UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-3091
Name of Fund: Merrill Lynch Series Fund, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, Merrill
Lynch Series Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ, 08536.
Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/03
Date of reporting period: 01/01/03 - 12/31/03
Item 1 - Report to Shareholders
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MERRILL LYNCH SERIES FUND, INC.
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ANNUAL REPORT
DECEMBER 31, 2003
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 2003
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DEAR SHAREHOLDER:
We are pleased to submit this annual report for Merrill Lynch Series Fund, Inc.,
in which we summarize the investment performance of each Portfolio and outline
our views on the investment environment. Performance information for each
Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserves
Portfolio, can be found in the tables on pages 12-16 of this report to
shareholders.
BALANCED CAPITAL STRATEGY PORTFOLIO
For the 12-month period ended December 31, 2003, the Portfolio had a total
return of +21.29%. The unmanaged equity benchmark, the Standard & Poor's (S&P)
500 Index, returned +28.68%, while the unmanaged fixed income benchmark, the
Lehman Brothers Aggregate Bond Index, returned +4.10% for the same period.
The year 2003 can be characterized as a "Tale of Two Markets" with U.S. equities
struggling during the first quarter, only to enjoy a dramatic recovery
thereafter, producing the first full year of positive equity market results
since 1999. Geopolitical events were a primary driver of equity market results
during the first three months of 2003, relegating most economic and corporate
developments to a position of secondary importance. Under these conditions, the
S&P 500 Index posted a negative return for the quarter.
Stock prices staged a powerful advance in the second quarter of 2003 with the
S&P 500 Index recording its biggest gain since the fourth quarter of 1998.
Geopolitical stability, unprecedented fiscal and monetary policy stimulus,
accumulating evidence of economic recovery, expectations for second-half
earnings improvements and attractive relative valuations propelled stocks
higher. Stocks continued to record robust gains in the second half of the year
as the economic recovery took hold, punctuated by better than 8% growth in gross
domestic product in the third quarter. Accelerating corporate earnings growth
led to improved capital spending and employment trends, while consumer spending
appeared solid through the critical holiday shopping season. In addition,
important international economies like those of China, Brazil and Japan also
reported an improved pace of growth, suggesting a period of synchronized global
expansion may be forthcoming. Combined with weakness in the U.S. dollar, these
conditions were expected to support strong corporate earnings growth into 2004,
driving powerful stock price appreciation.
The Portfolio's asset allocation position proved favorable and each asset class
outperformed its respective benchmark in 2003. Within the equity portfolio, the
pro-cyclical bias of our sector allocation was a major contributor to
performance. The materials and industrials sectors, two of the three
best-performing sectors of the S&P 500 Index in 2003, represented significant
overweights within the Portfolio. Stocks such as U.S. Steel, Alcoa Inc., United
Technologies and SPX Corp. were all strong contributors to results.
Stock selection in the financial sector, driven by a near-80% return in
FleetBoston Financial Corporation and strong performance from such capital
markets-sensitive names as Morgan Stanley and J.P. Morgan Chase & Co., also
contributed positively. Finally, the Portfolio's underweight position in the
troubled health care sector and avoidance of investments in such competitively
challenged companies as Merck & Co., Inc. and Johnson & Johnson also proved
beneficial. These factors offset relatively poor results from our technology
investments. Valuation concerns limited our overall technology exposure,
resulting in a fairly severe performance penalty, since this was the
best-performing sector in the S&P 500 Index for the year. Despite better than
60% total returns from Portfolio technology holdings Agere Systems Inc.,
Commscope, Inc. Agilent Technologies, Inc. and Texas Instruments Incorporated,
our results in this sector proved disappointing. Stock selection in the
telecommunication services sector was also weak as the performance of our
largest position, Verizon Communications, lagged the group.
We continued to adjust our holdings during the year in response to ongoing price
volatility. Within the equity portfolio, we further increased our energy
exposure. We believe value exists in this sector as sustainably high oil and gas
prices are expected to support good earnings and cash flow growth and an
improved level of oil field activity. We also increased our technology exposure
by adding to and initiating positions in
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companies that we believe enjoy strong competitive positions, solid financial
characteristics and proven management while selling at attractive valuation
levels for the first time in several years. We believe these companies will be
significant beneficiaries of the anticipated recovery in corporate technology
spending.
We lowered exposures across the media and entertainment sector. Improved
advertising trends and attractive free cash flow characteristics produced an
extended period of superior performance for several companies in this sector. As
valuations approached historically high levels, we decided to scale back our
positions. We also reduced positions in a number of the Portfolio's more
economically sensitive investments following substantial stock price gains and
valuation expansion.
The fixed income portion of the portfolio was able to avoid much of the interest
rate volatility which occurred this year by maintaining a meaningful position in
spread sectors. The Portfolio focused on areas with a lower correlation to
Treasury issues, such as high yield bonds and mortgage-related securities, which
were less vulnerable to fluctuations in interest rates. This strategy also
provided for more attractive total returns, as the market was clearly rewarding
investors for taking on additional risk. For example, high yield investments, as
measured by the unmanaged Merrill Lynch High Yield Index, returned +28.15% for
the 12 months ended December 31, 2003, while investment grade corporate bonds,
as measured by the unmanaged Merrill Lynch Corporate Master Index, returned
+8.31%; and Treasury issues, as measured by the unmanaged Merrill Lynch U.S.
Treasury Master Index, returned +2.26% for the same period.
Our emphasis on spread sectors included a focus on corporate bonds (both
investment grade and high yield), agency mortgage collateral and collateralized
mortgage obligations (CMOs), non-agency CMOs, asset-backed securities and
commercial mortgage-backed securities (CMBS). By strategically managing these
sectors and taking advantage of opportunities across the markets, we were able
to consistently add value to the portfolio. In general, we remained overweight
in these sectors throughout the period, with positions 12%-17% above the
benchmark in aggregate. In addition to individual security selection, we added
to our overweight positions in spread product through the use of total return
swaps in the high yield, mortgage and CMBS sectors. By using the derivative
market, we were able to receive the return of the appropriate index in exchange
for a floating-rate payment.
Our asset allocation position at year end showed 63.8% of net assets invested in
equities and 36.2% in debt securities, which includes short-term investments.
This compares to 65.4% in equities and 34.6% in debt securities (including
short-term investments) at the end of 2002. While the maintenance of a
relatively bullish investment position extracted a short-term performance
penalty in the first quarter of 2003, it proved to be the key driver of
performance during the full year. We continue to anticipate a constructive
environment for equities as we move through the early part of 2004, driven by
accelerating economic growth, improved corporate and consumer confidence and
rising corporate earnings. Given the magnitude of recent stock market gains and
the associated increase in valuation, however, we remain sensitive to price and
valuation considerations, focusing on improving the overall risk and return
profile of the equity portfolio and continually reassessing the wisdom of our
equity allocation. Bonds continue to look relatively expensive, in our view,
particularly U.S. government securities, as investors remain willing to pay high
prices for their perceived safety. This outlook supports our current asset
allocation position and, we believe, will produce continued superior returns for
our investors in the periods ahead.
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We are pleased to announce that Patrick Maldari now manages the fixed-income
portion of the Portfolio. Kurt Schansinger, Senior Portfolio Manager for the
Portfolio since 2001, maintains responsibility for overall asset allocation
decisions as well as management of the equity portion of the Portfolio. Mr.
Maldari has been employed by Merrill Lynch Investment Managers since 1984 and
has been Senior Portfolio Manager since 2001. Mr. Maldari, a CFA(R)
charterholder, is also head of a team of investment professionals managing
investment grade fixed income portfolios and has broad experience managing
institutional fixed income portfolios.
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CORE BOND STRATEGY PORTFOLIO
The year started slowly as uncertainty regarding possible war in Iraq, coupled
with fears of terrorism in the United States, hurt consumer confidence and
prospects for growth. Gross domestic product for the first
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quarter of 2003 grew at only 1.4%, the same rate as the disappointing fourth
quarter of 2002. In March, as combat commenced in Iraq, uncertainty began to
lift. When all-out war ended soon after, we saw a surge in economic activity,
which was most pronounced in the third quarter when growth increased to 8.2%.
The acceleration in economic growth ultimately led to significant volatility in
interest rates. The interest rate on the 10-year Treasury note, which began the
year at 3.80%, spiked from 3.10% on June 15 to 4.60% on September 2. Investors,
it seemed, had begun to factor in a potential tightening by the Federal Reserve
Board and continued inflationary pressures.
For the 12-month period ended December 31, 2003, the Portfolio had a total
return of +4.95%. The Portfolio's unmanaged benchmark, the Lehman Brothers
Aggregate Bond Index, returned +4.10% for the same period.
The Portfolio was able to avoid much of the interest rate volatility we saw
during the year by maintaining a meaningful position in spread sectors. That is,
we focused on areas with a lower correlation to Treasury issues, such as high
yield bonds and mortgage-related securities, which were less vulnerable to
fluctuations in interest rates. This strategy also provided for more attractive
total returns, as the market was clearly rewarding investors for taking on
additional risk. For example, high yield investments, as measured by the
unmanaged Merrill Lynch High Yield Index, returned +28.15% for the 12 months
ended December 31, 2003. Investment grade corporate bonds, as measured by the
unmanaged Merrill Lynch Corporate Master Index, returned +8.31%; and Treasury
issues, as measured by the unmanaged Merrill Lynch U.S. Treasury Master Index,
returned +2.26% for the same period.
Our emphasis on spread sectors included a focus on corporate bonds (both
investment grade and high yield), agency mortgage collateral and collateralized
mortgage obligations (CMOs), non-agency CMOs, asset-backed securities and
commercial mortgage-backed securities (CMBS). By strategically managing these
sectors and taking advantage of opportunities across the markets, we were able
to consistently add value to the portfolio. In general, we remained overweight
in these sectors throughout the period, with positions 12%-17% above the
benchmark in aggregate.
The most significant change during the year was a decision to increase the risk
profile of the Portfolio. At the start of the fiscal year, we had no exposure to
the high yield sector. Slowly, we established a high yield allocation, with a
maximum allocation during the period of approximately 5% of total assets. Given
market dynamics during the period, we felt justified in taking on the additional
risk associated with high yield securities. Since it appeared that the credit
cycle was about to turn and cumulative default rates would continue to decline
from their peak of about 11% in the third quarter of 2002, we believed that
investors would be compensated for taking on the risk of lower-rated securities.
At the same time, we increased our allocation in corporate bonds rated BBB from
15% of total assets to 25%. We also continued to add to our overweight position
in the investment-grade corporate area, increasing the overall corporate
overweight from approximately 2% of total assets at the beginning of the period
to 5% at the close of the year.
In addition to individual security selection, we utilized the derivative market
to gain exposure in these same sectors. Throughout the period, we added to our
overweight positions in spread product through the use of total return swaps in
the high yield, mortgage and CMBS sectors. By using the derivative market, we
were able to receive the return of the appropriate index in exchange for a
floating-rate payment.
The Portfolio maintained a duration profile relatively close to that of the
benchmark throughout the period. Given the steepness of the yield curve and the
attractive absolute yields available further out on the curve, we made a
conscious decision not to become too short relative to the benchmark, even
though interest rates were at historic lows.
As we closed out the year, we continued to position the Portfolio to take
advantage of opportunities in higher-beta sectors, such as BBB-rated corporate
bonds and high yield securities, because we believe the yield curve will
maintain its upward slope. An upward sloping yield curve tends to be a positive
for spread sectors. In general, improving economic conditions should continue to
support the high yield and investment-grade corporate bond sectors, and recent
downward pressure on the U.S. dollar likely will exert upward pressure on the
long end of the Treasury yield curve.
We intend to maintain our overweights to spread sectors at 12%-17% above the
benchmark weighting and continue to use the derivatives market to help implement
overall asset allocation decisions. Given the
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relatively benign interest rate forecast, we will continue to maintain a
duration close to that of the benchmark. We do not expect the Federal Reserve
Board to increase interest rates in the near term and, in fact, anticipate that
monetary policy will remain on hold for some time to ensure a sustainable
economic recovery.
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO
For the 12-month period ended December 31, 2003, the Portfolio had a total
investment return of +28.78% compared to a return of +25.66% for the unmanaged
Standard & Poor's (S&P) 500 Barra Growth Index and +28.68% for the unmanaged
benchmark S&P 500 Index. During the second half of 2003, the Portfolio posted a
total return of +18.90%, outperforming the +12.95% return of the S&P 500 Barra
Growth Index and the +15.14% return of the S&P 500 Index.
The Portfolio underperformed its benchmarks during the first half of the fiscal
year because of a lack of meaningful exposure to companies with medium-sized
market capitalizations and the failure to realize competitive investment returns
by several very large-capitalization stocks in the Portfolio. These companies
were Wal-Mart Stores Inc., IBM Corporation and Microsoft Corporation. We sold
these positions during a restructuring of the Portfolio's stock holdings in the
second quarter of 2003.
The Portfolio achieved above-average performance during the second half of 2003,
relative to the market for growth stocks, because of meaningful changes made in
the structure of the Portfolio's stock holdings during the second quarter.
Relative improvement in investment returns started to show in July and continued
on a trend basis through the second half of the year.
Relative to the S&P 500 Barra Growth Index, the Portfolio was most overweight
throughout the year in the consumer discretionary sector. During the second half
of 2003, the greatest returns in the sector were delivered by Coach Inc.,
PETsMART Inc., Tiffany & Co., Rogers Communications, Inc., Lowe's Companies,
Inc., Starbucks Corporation, NIKE Inc., Ross Stores, Inc. and SYSCO Corporation.
Stocks that detracted from total investment returns in the second half of 2003
were Best Buy Co., Inc., InterActiveCorp. and Krispy Kreme Doughnuts, Inc.
Nevertheless, the cumulative results of these poor performers were offset by
positive stock selection, which had a meaningful net positive impact on absolute
and relative investment returns.
The Portfolio's overweight position in the information technology sector was not
as significant as its overweight in the consumer discretionary sector. However,
the information technology sector stocks made a more significant contribution to
the Portfolio's absolute and relative performance results. Leading positive
contributors were Intel Corporation, ASM Lithography Holding N.V., Nortel
Networks Corporation, Cisco Systems, Inc., SAP AG, SanDisk Corporation, Altera
Corporation and Infosys Technologies Limited. Investments that detracted from
absolute and relative returns were Citrix Systems, Inc., First Data Corporation,
Lexmark International Group, Inc., Yahoo! Inc. and Xilinx, Inc. Again, these
negative returns were offset by the substantial positive effect of the majority
of investment choices.
In the health care sector, the most positive absolute and relative contributors
to the Portfolio's results were investments in Boston Scientific Corporation,
Amgen Inc. and Alcon, Inc. The Portfolio had no investments in the major U.S.
pharmaceutical companies. The stock price performance, in both absolute and
relative terms, for the major U.S. drug companies has been very weak on a trend
basis. However, a rise in share prices of major drug companies during the U.S.
Congressional debate and passage of the Medicare reform bill late in 2003 had a
negative short-term effect on the Portfolio's relative performance. We have been
negative on the regulatory and industry fundamentals for this subsector of
health care for more than two-and-a-half years and expect to continue to avoid
these stocks in the near term.
Stock positions among the Portfolio's ten largest holdings at year end had a
positive absolute and relative effect on investment performance. These companies
were Intel Corp., Cisco Systems, Inc., 3M Co., Lowe's Companies, Inc., Boston
Scientific Corporation and Coach Inc.
At the close of the period, the Portfolio was overweight relative to the S&P 500
Barra Growth Index in consumer discretionary, information technology,
industrials and energy. Our outlook for U.S. equity markets for 2004 is positive
relative to perceived investment opportunities in fixed income securities. We
believe the Portfolio is well positioned to take advantage of investment
opportunities in 2004.
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GLOBAL ALLOCATION STRATEGY PORTFOLIO
The Portfolio seeks competitive returns with low to moderate levels of risk
compared to most equity funds through a flexible, value-oriented approach. The
Portfolio invests in U.S. and global equity and fixed income securities, seeking
what we believe are the best investment opportunities worldwide, diversified
across asset classes, countries and securities. Within the equity portion of the
portfolio, the Portfolio management team looks for undervalued companies that
are expected to generate above-average rates of return. In selecting fixed
income securities, management focuses on total return and credit analysis.
Portfolio diversification is the key means of managing risk.
The year 2003 proved to be both a memorable and dynamic one in terms of the
overall global investment environment. The year, which began with investor
sentiment depressed by fears of a potential war in Iraq and a Severe Acute
Respiratory Syndrome (SARS) epidemic in Asia, ended with investors looking back
on the best broad gains for global equity markets since the 1980s. The upswing
in equity market returns was supported by broadening evidence of improving
economic fundamentals.
As a result of the stimulative effects of aggressive monetary and fiscal policy,
the United States concluded the year with a vastly improved economy following
the longest and deepest equity bear market since the Great Depression. Consumers
continued to spend, capital expenditures decisively turned upward, corporate
profits began to rise, job growth began to appear and export markets were
reviving. After the initial Iraq war-related setback, the market subsequently
registered significant gains with only minor periodic pullbacks. The Standard &
Poor's (S&P) 500 Index rose 28.68% during 2003 and, in keeping with many bear
market bottoms, greater returns were delivered by smaller-cap and higher-beta
equity indexes.
Outside the United States, many international equity markets also performed
well, buoyed by the improving U.S. economic fundamentals. In Europe, aided by a
significantly weaker dollar, returns to U.S. investors were in excess of 30% in
U.S.-dollar terms. Similar returns were achieved in Japan and the Pacific Region
overall, while many Asian emerging markets rose in excess of 50% as strong
economic growth continued.
Fixed-income markets in the United States recorded slightly higher yields for
most Treasury securities, along with record quality spread contraction. The
yield on the 10-year U.S. Treasury bond rose from 3.81% at the start of the year
to 4.24% at year end. Government bond yields in Japan and the United Kingdom
also experienced similar increases during the year. Overall, this proved to be
the year of the high yield bond, as investor appetite for risk increased on the
back of the Federal Reserve Board's interest rate cuts. June's rate cut moved
the Federal Funds rate to just 1%, the lowest level since 1958. This caused
fixed income investors to shift their attention toward lower-quality paper
during the year, paving the way for U.S. high yield bonds to return nearly 30%
in 2003.
The Portfolio enjoyed strong returns for the year, both in absolute terms and
relative to its Reference Portfolio. For the 12-month period ended December 31,
2003, the Portfolio had a total return of +35.54%. The Portfolio outperformed
the unmanaged benchmark, the Financial Times Stock Exchange (FTSE) World Index,
which returned +33.91%, and its Reference Portfolio, which returned +23.23% for
the same period. Returns for each component of the Reference Portfolio for the
12 months ended December 31, 2003 were as follows: the unmanaged S&P 500 Index
returned +28.68%; the unmanaged FTSE World (ex-U.S.) Index returned +40.72%; the
Merrill Lynch Treasury Index GA05 returned +2.51%; and the Citigroup (Non-US$)
World Government Bond Index returned +18.52%. Within the context of its
historical performance, the Portfolio's returns for the fiscal year, although
gratifying, are unusually large and should not be considered typical nor an
indication of future results.
The Portfolio's outperformance reflected both the increased volatility of our
asset mix and the nearly simultaneous success of many of the Portfolio's
investment strategies, including our positioning of the portfolio for a rebound
in global equity markets. Positive performance at the beginning of the 12-month
period was largely attributed to an asset allocation strategy that included an
overweight position in equities, especially U.S. stocks, and a significant
underweighting in fixed income, particularly high-quality, long-term U.S.
government bonds. During the first half of 2003, the U.S. equity market, driven
by positive economic and earnings news, broadly outperformed international
markets.
During the latter half of the year, the Portfolio maintained a slightly
underweight to neutral equity allocation and benefited from the continued
broad-based appreciation in global equity markets, notably in Asia and
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Canada. For the 12-month period as a whole, performance was further enhanced by
effective stock selection.
Although underweight in fixed income in general, the make-up of the Portfolio's
fixed income portion contributed favorably to performance for the year. The
Portfolio had significant exposure to U.S. corporate and high yield securities,
in addition to European and Canadian sovereign debt. These positions reflected
our belief that these securities would outperform U.S. Treasury issues. Our
outlook was realized over the period as corporate bonds rallied to enjoy their
strongest returns in more than a decade, and yield spreads narrowed from the
record levels seen in October 2002. The contraction in spreads was prompted by
economic revitalization, rapidly declining default rates and improving investor
confidence in the corporate and high yield sectors.
During 2003, we continued to focus on attractively valued stocks, particularly
in the United States and Asia. Our strategy included taking profits in those
stocks that outperformed, notably in the information technology and financials
sectors in the earlier part of the fiscal year, and in the materials sector
later in the period. As of December 31, 2003, the Portfolio's equity allocation
was overweight relative to that of its Reference Portfolio at 63.3% of net
assets, up slightly from 62.8% at the beginning of the year. The Portfolio's
equity exposure peaked at nearly 64% of net assets in February and March 2003.
We reduced our allocation to a relatively neutral position by gradually taking
profits as global equity markets rebounded during the second half of the fiscal
year. The equity allocation at the close of the period reflected a reduction in
our U.S. and European equity exposure, which was partially offset by a
significant increase in our Asian equity exposure in the last six months of the
period.
The Portfolio's U.S. equity weighting decreased during the year from an
overweight of 38.0% of net assets to an underweight of 30.4%, while the
Portfolio's non-U.S. equity exposure increased from a relatively underweight of
22.1% of net assets to an overweight of 32.9%. During the period, the
Portfolio's exposure to European equities decreased from 12.9% of net assets to
10.1%, and our Asian equity exposure increased from 8.5% of net assets to 19.5%.
We increased the Portfolio's overweight position in Asian equities, notably in
Japan, as global economies recovered and securities remained inexpensive
relative to other markets, particularly to U.S. equities.
The Portfolio was significantly underweight in fixed income securities during
the fiscal year with 21.9% of net assets invested in bonds worldwide as of
December 31, 2003. This compared to the Reference Portfolio's fixed income
allocation of 40%. Early in the year, we increased the Portfolio's position in
euro-denominated bonds and U.S.-denominated corporate debt and added positions
in Canadian sovereign debt. Later in the year, we reduced our overall fixed
income weighting by taking profits in the corporate and high yield securities as
these markets appreciated. (Please note that the Portfolio's U.S. fixed income
exposure includes bonds of non-U.S. issuers denominated in U.S. dollars.)
Approximately 4.8% of the Portfolio's net assets were invested in convertible
securities as of December 31, 2003, compared to 3.8% at the beginning of the
period. These securities are reported as a portion of the Portfolio's fixed
income investments, although some of these securities may tend to perform
similar to equities. Cash reserves during the year decreased from 16.5% of net
assets at the start of the period to 14.8% as of December 31, 2003. Cash is
actively managed and is an integral part of the Portfolio's investment strategy.
Within the Portfolio's current strategy, we consider cash to be zero-duration
fixed income investments, including short-term U.S. dollar and non-U.S. dollar
fixed income securities and other money market-type instruments.
Compared to its Reference Portfolio, the Portfolio ended the period overweight
in equities, significantly underweight in fixed income securities and overweight
in cash reserves. In terms of sector allocations, the Portfolio remained
overweight in energy, materials and telecommunications and is currently
underweight in the industrials, consumer discretionary, technology, health care,
consumer staples, utilities and financials sectors. The Portfolio ended the
fiscal year with little exposure to long-term, high-grade fixed income
securities. We find the yields on these instruments to be unattractive given the
associated risk of future interest rate increases.
As for currency exposure, we ended the period underweight in the Japanese yen,
slightly overweight the U.S. dollar, with modestly overweight positions in the
South Korean won, Indian rupee and Thai baht. The
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Portfolio's overweight in the U.S. dollar can be largely explained by its
below-benchmark exposure to the Japanese yen.
At the close of the period, the Portfolio's equity weighting was higher than
during most of its history. For that reason, we expect that the Portfolio may
exhibit a somewhat higher beta compared to the S&P 500 Index and higher
volatility in net asset value than historically has been the case. Nevertheless,
given the Portfolio's current positioning, we believe that both of these
measures should remain below those typical of most all-equity funds under most
market conditions.
HIGH YIELD PORTFOLIO
For the 12-month period ended December 31, 2003, the Portfolio had a total
return of +24.40%, compared to a return of +27.94% for the unmanaged Credit
Suisse First Boston (CSFB) High Yield Index.
Portfolio performance lagged that of the benchmark as sector allocations, which
detracted from performance, outweighed favorable security selection, which added
to results. In particular, an underweight in the telecommunications sector hurt
performance, as this sector saw rebounds in several formerly distressed credits.
In addition, our structured product exposure detracted from performance in part
due to the weak earnings of AK Steel, a component of the product. (The Portfolio
uses structured products as temporary investments to deal with heavy cash
inflows.) Finally, the Portfolio's average cash position of about 7% also was a
drag on results.
At the individual security level, the bonds of independent power producers The
AES Corporation and Calpine Corporation contributed positively to performance
during the year. Both firms completed asset sales and bank refinancings. The AES
bonds recovered from distressed levels to end the period well over par. The
bonds of American Tower Corporation, the owner of a wireless tower network, also
outperformed. American Tower was able to complete a timely senior note issue,
which eliminated liquidity concerns. On the downside, sharp deterioration in the
bonds of American Commercial Lines hindered performance during the year. Results
for this barge operator have remained depressed for far longer than we had
expected. We are paying close attention to the company's restructuring and are
hopeful that recent signs of improved industrial activity may result in a decent
recovery for bondholders.
Spurred by a confluence of positive factors--strong mutual fund inflows, rising
equity markets, a declining default rate and improving economic data
(particularly in the latter half of the year)--the high yield market had its
best year since 1991. Taking on risk was rewarded in 2003, as the lowest tier of
the credit spectrum (CCC-rated and defaulted securities) registered an
extraordinary total return of more than 50% for the year. In contrast, the
10-year Treasury note returned +1.32%. The spread of the CSFB High Yield Index
over U.S. Treasury securities ended the year at 4.86 percentage points, down
from 9.47 percentage points at year-end 2002. The spread is currently at its
narrowest level since July 1998. At year end, approximately 70% of the high
yield universe was trading above par.
Despite the impact of Severe Acute Respiratory Syndrome (SARS) on business and
consumer sentiment, along with the commencement of hostilities in Iraq, the high
yield market registered positive returns for each month during the first half of
the year, including a hefty +5.10% return in April. In July, a sell-off in
Treasury issues and a few weeks of negative fund flows weighed on the market.
Aided by strong improvement in the industrial economy (as evidenced by data from
the Institute for Supply Management), the high yield market posted positive
returns for each of the remaining months of the year. The trailing 12-month
default rate declined fairly steadily during the year. The final figure of
4.05%, as reported by CSFB, a leading underwriter of high yield bonds, was down
from 2002's level of 15.41%. While the improving economy and easier access to
capital markets were factors in the lower default rate, a more important
contributor may well have been that credits with the worst of the ill-conceived
business plans of the late 1990s have already gone bankrupt.
Inflows into high yield mutual funds totaled a record $30.2 billion in 2003, up
from $14.2 billion in 2002. (according to data from J.P. Morgan Securities.)
Pension funds and other institutions, as well as crossover buyers, were major
participants in the high yield market during the year. Issuers took advantage of
these favorable market conditions, as a total of 504 issues were priced for a
total value of approximately $149.1 billion. This compared to 260 deals for a
total of $67.9 billion in 2002. The first quarter was least active in terms of
new issues, owing to the SARS scare and war worries. The market showed an
increased
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appetite for risk as the year drew on--the latter half of the year saw a
two-fold increase in new issues in the lowest tiers of the credit spectrum (low
B and CCC).
We participated in the heavy new-issue calendar, although competition for
allocations was fierce. Among our larger purchases during the year were the
bonds of Nevada Power Company (an electric utility), Omnova Solutions Inc. (a
manufacturer of emulsion polymers, specialty chemicals and decorative products),
Star Gas Partners LP(a distributor of heating oil and propane), Millicom
International Cellular SA (owns and operates cellular systems worldwide) and Dex
Media West LLC (a leveraged buyout of selected yellow pages businesses of Qwest
Corporation).
We took advantage of the strong market conditions to liquidate several of our
holdings at substantial premiums to par. Among these were the bonds of MTR
Gaming, William Lyon Homes, The Hockey Co. and Seagate Technology. We also
liquidated distressed positions in Oregon Steel, GB Property Funding and
International Wire.
The Portfolio's industry weightings for the year shifted in several sectors. Our
weightings declined significantly in both the metals-other and wireless sectors,
as bonds of Great Lakes Carbon, P&L Coal Holding and Millicom International, and
a preferred of Nextel Communications were all called during the period after
dramatic price rebounds. We also reduced our holdings in the domestic cable
sector for relative value reasons. We increased our weightings in the chemicals
and automotive sectors, as several attractively priced new issues came to
market. Our heaviest overweights relative to the CSFB High Yield Index are in
the energy-other, chemicals, packaging and paper sectors. Energy-other is a
diverse sector that includes very stable subsectors, such as propane
distributors, and more volatile sectors such as refining and oil service. Given
lower gasoline inventories and high oil and natural gas prices, fundamentals
seem quite favorable for both refining and oil service. Our overweight to the
chemicals sector reflects our expectation of a recovery in the industrial
economy. Importantly, this portion of the Portfolio includes a number of bonds
of specialty chemical credits, which tend to be more stable. We favor packaging
for its stable end markets--food, beverages and household products such as
detergent. We prefer paper for the hard asset nature of this sector (timberlands
and mills). In addition, two major players just announced price hikes for
newsprint and pulp. We remain comfortable with these overweights.
As of December 31, 2003, the Portfolio's average credit rating was B+, as
measured by Standard & Poor's. This compares to a B rating for our benchmark.
The Portfolio's cash position was approximately 3% at year end. Given the high
yield market's strong technical tailwinds, we feel comfortable with our
relatively low cash position and the Portfolio's overall positioning. While the
high yield market's return for 2004 is likely to be modest compared to last
year, given that so much of the universe is trading over par, it should still be
a good year for the high yield asset class relative to other fixed income
alternatives.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
The year started slowly as uncertainty regarding possible war in Iraq, coupled
with fears of terrorism in the United States, hurt consumer confidence and
prospects for growth. Gross domestic product for the first quarter of 2003 grew
at only 1.4%, the same rate as the disappointing fourth quarter of 2002. In
March, as combat commenced in Iraq, uncertainty began to lift. When all-out war
ended soon after, we saw a surge in economic activity, which was most pronounced
in the third quarter when growth increased to 8.2%.
The acceleration in economic growth ultimately led to significant volatility in
interest rates. The interest rate on the 10-year Treasury note, which began the
year at 3.80%, spiked from 3.10% on June 15 to 4.60% on September 2, 2003.
Investors, it seemed, had begun to factor in a potential tightening by the
Federal Reserve Board and continued inflationary pressures.
For the 12-month period ended December 31, 2003, the Portfolio had a total
return of +2.26%. The Portfolio's unmanaged benchmark, the Citigroup
Government/Mortgage Index, returned +2.76% for the same period.
The Portfolio maintained a duration profile longer than that of the benchmark
throughout the period. This helped the Portfolio during the first half of the
year, but as interest rates made their move higher in the second half of the
year, the Portfolio began to underperform. We maintained this duration profile
in light of the steepness of the yield curve and the attractive absolute yields
available further out on the curve.
8
The most significant change throughout the year was reducing the Portfolio's
overall exposure to agency debentures in favor of structured product. This
underweight allowed us to avoid much of the turmoil that occurred during the
year within the agency market, thus reducing the overall volatility of Portfolio
returns.
Our emphasis on structured products included a focus on agency mortgage
collateral and collateralized mortgage obligations (CMOs), non-agency CMOs,
Fannie Mae delegated underwriting and servicing (FNMA DUS) securities,
Government National Mortgage Association (GNMA) project loans, asset-backed
securities and commercial mortgage-backed securities (CMBS). By strategically
managing these sectors and taking advantage of opportunities available across
the markets, we were able to add value to the Portfolio. In general, we remained
overweight in these sectors throughout 2003 with a special focus on commercial
loans in the form of CMBS, FNMA DUS securities and GNMA project loans (listed
under CMOs in the schedule of investments). The commercial loan marketplace
performed exceptionally well in 2003. Commercial spreads benefited largely from
a growing perception that the sector provides a relative "safe-haven" from the
spread and average life volatility exhibited by competing fixed income sectors.
In addition to individual security selection in these sectors, we also utilized
derivative securities to gain exposure to certain markets. Throughout the
period, we added to our overweight positions in spread product through the use
of total return swaps in the mortgage and CMBS sectors. By using the derivative
market, we were able to receive the return of the appropriate index in exchange
for a floating-rate payment.
As the year closed, we continued to position the Portfolio to take advantage of
opportunities in spread sectors and remained underweight in agency debt in favor
of structured product. We employed this strategy because we believe that the
yield curve will maintain its upward slope, which historically has proved to be
a positive for spread sectors, and agency spreads will remain volatile.
We intend to maintain our overweights to structured product and to continue to
use the derivatives market to help implement our overall asset allocation
decisions. Given the recent duration extension of the benchmark and the
relatively benign interest rate forecast, we have moved the Portfolio's duration
closer to the benchmark level. We do not expect the Federal Reserve Board to
increase interest rates in the near term and, in fact, anticipate that monetary
policy will remain on hold for a significant part of the new year to ensure a
sustainable economic recovery.
LARGE CAP CORE STRATEGY PORTFOLIO
Large Cap Core Strategy Portfolio invests primarily in a diversified portfolio
of equity securities of large cap companies that Fund management selects from
among those included in the Russell 1000 Index. Our investment process attempts
to add value through both security selection and portfolio construction.
Security selection involves the use of quantitative selection criteria,
including earnings momentum, earnings surprise and valuation. These criteria are
input into a proprietary quantitative model and are subject to selective
fundamental overrides. Portfolio construction consists of an optimization
process with risk management controlling style, capitalization, sector and
individual security allocations.
For the 12-month period ended December 31, 2003, the Portfolio had a total
return of +32.52%, 2.63 percentage points ahead of the unmanaged benchmark, the
Russell 1000 Index, which returned +29.89% for the same period. The Portfolio's
relative outperformance was a result of stock selection within the health care,
industrials and consumer discretionary sectors. The Portfolio also benefited
from an underweighted position in telecommunication services.
The year 2003 marked the end of the longest and deepest equity bear market in
the United States since the Great Depression. The equity market recorded
better-than-consensus returns as a result of better-than-expected earnings that
came from stunning productivity gains and modest revenue growth.
Although the market struggled somewhat prior to commencement of war in Iraq,
once conflict began, it moved decisively ahead. In fact, through year end, the
market never experienced more than a 5% pullback. As is the usual case after a
major bear market low, the best performers were companies characterized as
lower-quality, high-beta names. Small cap companies also fared well.
Fixed-income markets witnessed record quality spread contraction along with
slightly higher yields for most Treasury securities.
9
At the end of 2003, the U.S. economy was performing well and was seen as more
balanced than was the case at the beginning of the year. Along with stimulative
monetary and fiscal policy and continued strong consumer spending, capital
spending decisively turned up, job growth began and export markets started to
revive.
Throughout the year, we continued to concentrate on more cyclical areas of the
marketplace, focusing on companies and sectors with good near-term earnings
prospects and reasonable valuations. As a result of this strategy, we carried
above-benchmark weights in the technology and consumer discretionary sectors and
below-benchmark weights in financials, consumer staples and energy. During the
latter half of the year, we added to information technology, utilities,
telecommunication services and industrials, and reduced our weightings in health
care, financials and energy. Significant purchases included Lehman Brothers
Holdings, Inc., Citigroup Inc., Western Digital Corporation and SanDisk
Corporation. We liquidated holdings in Bank of America Corporation, U.S. Bancorp
and Washington Mutual, Inc.
Favorable liquidity conditions, stimulative fiscal policy and rising earnings
expectations have been responsible for the first year of the equity bull market
that began in October 2002. However, we believe the stimulus from falling
interest rates and excess liquidity that helped fuel consumer spending
throughout the economic downturn is likely to diminish, and the economic growth
baton will pass from the U.S. consumer to the rest of the U.S. economy and the
world. Higher confidence levels regarding sustainability of growth, an easing of
deflation fears and a declining dollar are likely to cause rising interest rates
across the yield curve, prompting the Federal Reserve Board to begin increasing
the Federal Funds rate, which is at a two-generation low of 1%, to more normal
levels.
Certainly, earnings growth is a requirement for the equity bull market to
continue. While we expect earnings growth to continue in 2004, the advance is
likely to be less robust with less breadth. In such an environment, good stock
selection is paramount. Higher-quality, higher-capitalization, lower-beta and
non-U.S. securities are likely to have better relative performance in 2004, in
our view. While the cyclical environment remains positive, as equity prices
advance and the business cycle matures, the secular problems of high debt, low
savings and the twin deficits may rear their ugly heads. Our 2004 outlook
remains in the context of an 8-5-2 world: 8% return for stocks, 5% for bonds and
2% for cash over a five-year -- ten-year period. Inside the markets, we expect
that the phrase "a stock picker's market" will remain relevant, and it is likely
that intelligent trading and tactical asset allocation will continue to be
rewarded.
MONEY RESERVE PORTFOLIO
For the 12-month period ended December 31, 2003, the Portfolio had a net
annualized yield of .89%. As of December 31, 2003, the Portfolio had a seven-day
yield of .78%. The average portfolio maturity was 67 days as of December 31,
2003, compared to 59 days at June 30, 2003.
U.S. economic growth dramatically advanced during 2003 from a sub par 1.4% in
the first quarter to an impressive 8.2% in the third quarter. During the last
six months, many sectors of the economy showed marked improvement. The labor
market continued to recuperate with initial claims for jobless insurance in
December averaging 356,000, and the number of workers receiving benefits falling
below 3.3 million. Both statistics are at the lowest levels seen in more than
two years. Consumer spending was on a stronger path, and the manufacturing
sector strengthened significantly with December's Institute for Supply
Management Index coming in at 66.2%, reaching its highest level in more than two
decades. Inflation continued to edge down in the face of upside economic growth,
reinforcing investors' sense that the Federal Reserve Board can be patient with
strong growth.
One threat to this upside scenario appeared to be the weakening dollar. In the
last quarter of the year, the dollar fell about 20% against the euro. While the
weakening dollar has been a positive for U.S. exports of goods and services,
there is some concern that the dollar's slide could eventually drive up
long-term interest rates if foreign investors avoid the U.S. markets.
During the last six months of the year, the Portfolio maintained an average
maturity ranging from a low of 57 days to a high of 69 days. While the fear of
deflation has waned, the low-inflation environment has kept the Federal Fund's
rate at 1% during this time.
10
Our strategy has remained fairly consistent throughout the period. Early in the
period, when deflation fears were at their highest and economic news was
inconsistent, the short end of the yield curve rallied significantly in
expectation that the Federal Reserve Board would potentially slash interest
rates to a level below 1%. At that point, we focused our investing in the short
end of the curve and allowed the Portfolio's average life fall to a low of 48
days, as we felt that the inevitable steeper yield curve would provide us better
entry points on longer-dated securities. The steepening of the yield curve
eventually occurred as fiscal stimulus, combined with the effects of lower
interest rates, started to have a positive impact on the economy in the fourth
quarter. We took advantage of the higher rates by purchasing longer-dated
callable U.S. agency securities, as they offered yield enhancement and the
potential for price appreciation. With the market then more fairly priced, in
our view, we moved our average life out to the mid-to-high 60-day range.
Looking ahead, the economy appears to have turned the corner with the 2004
consensus forecast for U.S. real growth of 4.4%. Despite this, we believe that
the Federal Reserve Board will keep interest rates unchanged because of
persistently low inflation and its strong desire to reduce the risk of
deflation.
The Portfolio's composition at the end of December and as of our last report to
shareholders is detailed below:
<Table>
<Caption>
- --------------------------------------------------------------------------------
12/31/03 6/30/03
- --------------------------------------------------------------------------------
Certificates of Deposit--Yankee............................. 1.7% 5.8%
Commercial Paper............................................ 39.0 50.3
Corporate Notes............................................. 1.3 1.6
Funding Agreements.......................................... 9.3 8.7
Government Agency Notes..................................... 10.2 --
Medium-Term Notes........................................... 12.1 8.9
Repurchase Agreements....................................... 4.2 --
U.S. Government, Agency & Instrumentality
Obligations--Non-Discount................................. 22.1 25.1
Other Assets Less Liabilities............................... 0.1 --
Liabilities in Excess of Other Assets....................... -- (0.4)
----- -----
Total....................................................... 100.0% 100.0%
===== =====
- --------------------------------------------------------------------------------
</Table>
IN CONCLUSION
We thank you for your continued investment in Merrill Lynch Series Fund, Inc.,
and we look forward to serving your investment needs in the future.
Sincerely,
- -s- Terry K. Glenn
Terry K. Glenn
President and Director
February 11, 2004
11
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 2003
- --------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS*
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------
6-MONTH 12-MONTH
TOTAL TOTAL STANDARDIZED
AS OF DECEMBER 31, 2003 RETURN RETURN 30-DAY YIELD
- -------------------------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO +11.05% +21.29% --
- -------------------------------------------------------------------------------------------------
CORE BOND STRATEGY PORTFOLIO + 0.61 + 4.95 3.12%
- -------------------------------------------------------------------------------------------------
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO +18.90 +28.78 --
- -------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO +17.25 +35.54 --
- -------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 8.91 +24.40 7.21
- -------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO - 0.73 + 2.26 2.84
- -------------------------------------------------------------------------------------------------
LARGE CAP CORE STRATEGY PORTFOLIO +17.83 +32.52 --
- -------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
<Table>
<Caption>
- ---------------------------------------------------------------------------------------------------
ONE FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED
12/31/03 12/31/03 12/31/03
---------- ---------- ---------
- ---------------------------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO +21.29% +2.40% + 6.61%
- ---------------------------------------------------------------------------------------------------
CORE BOND STRATEGY PORTFOLIO + 4.95 +5.89 + 6.33
- ---------------------------------------------------------------------------------------------------
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO +28.78 -0.54 +10.48
- ---------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO +35.54 +4.65 + 6.62
- ---------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +24.40 +4.16 + 5.21
- ---------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 2.26 +5.77 + 6.15
- ---------------------------------------------------------------------------------------------------
LARGE CAP CORE STRATEGY PORTFOLIO +32.52 +2.84 + 8.07
- ---------------------------------------------------------------------------------------------------
</Table>
* Total investment returns are based on changes in net asset value for the
periods shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend/payable date.
Insurance-related fees and expenses are not reflected in these returns.
Past results shown should not be considered a representation of future
performance.
12
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment
- --------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO
<Table>
<Caption>
LEHMAN BROTHERS MERRILL LYNCH
BALANCED CAPITAL STANDARD & POOR'S AGGREGATE BOND DOMESTIC MASTER
STRATEGY PORTFOLIO+ 500 INDEX++++ INDEX+++ BOND INDEX++++
------------------- ----------------- --------------- ---------------
12/93 10000 10000 10000 10000
12/94 9495 10132 9708 9718
12/95 11161 13939 11502 11517
12/96 12759 17140 11919 11931
12/97 15204 22858 13070 13083
12/98 16850 29391 14206 14243
12/99 20255 35575 14089 14107
12/00 19260 32336 15727 15761
12/01 17959 28493 17055 17073
12/02 15643 22196 18804 18850
12/03 18972 28563 19576 19627
</Table>
+ Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses. Balanced
Capital Strategy Portfolio invests in U.S. and foreign equity and fixed
income securities.
++ This unmanaged index covers 500 industrial, utility, transportation and
financial companies of the U.S. markets (mostly NYSE issues), representing
about 75% of NYSE market capitalization and 30% of NYSE issues.
+++ This unmanaged market-weighted index is comprised of U.S. government and
agency securities, mortgage-backed securities issued by the Government
National Mortgage Association, Freddie Mac or Fannie Mae and
investment-grade (rated BBB or better) corporate bonds. The Portfolio
recently changed its fixed income benchmark from the Merrill Lynch Domestic
Master Bond Index to the Lehman Brothers Aggregate Bond Index. Portfolio
management believes that the new fixed income benchmark provides for a
better comparison relative to the Portfolio's investment objectives.
++++ This unmanaged index is comprised of the entire universe of domestic
investment grade bonds including U.S. Treasury bonds, corporate bonds and
mortgages.
Past performance is not predictive of future results.
13
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
CORE BOND STRATEGY PORTFOLIO
<Table>
<Caption>
LEHMAN BROTHERS AGGREGATE
CORE BOND STRATEGY PORTFOLIO+ BOND INDEX++
----------------------------- -------------------------
12/93 10000 10000
12/94 9487 9708
12/95 11446 11502
12/96 11763 11919
12/97 12798 13070
12/98 13880 14206
12/99 13554 14089
12/00 14851 15727
12/01 16014 17055
12/02 17607 18804
12/03 18479 19576
</Table>
+ Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses. Core Bond
Strategy Portfolio normally invests at least 80% of its net assets in fixed
income securities of any kind.
++ This unmanaged market-weighted index is comprised of U.S. Government and
agency securities, mortgage-backed securities issued by the Government
National Mortgage Association, Freddie Mac or Fannie Mae and investment-grade
(rated BBB or better) corporate bonds.
Past performance is not predictive of future results.
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO
<Table>
<Caption>
FUNDAMENTAL GROWTH STRATEGY
PORTFOLIO+ STANDARD & POOR'S 500 INDEX++
--------------------------- -----------------------------
12/93 10000 10000
12/94 9307 10132
12/95 12597 13939
12/96 15062 17140
12/97 20146 22858
12/98 27838 29391
12/99 38691 35575
12/00 36223 32336
12/01 29408 28493
12/02 21034 22196
12/03 27088 28563
</Table>
+ Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses. Fundamental
Growth Strategy Portfolio invests in equity securities of U.S. companies of
any size, but emphasizes equity securities of companies with the potential to
achieve above-average earnings growth.
++ This unmanaged Index covers 500 industrial, utility, transportation and
financial companies of the U.S. markets (mostly NYSE issues), representing
about 75% of NYSE market capitalization and 30% of NYSE issues.
Past performance is not predictive of future results.
14
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO
<Table>
<Caption>
GLOBAL ALLOCATION
STRATEGY PORTFOLIO+ REFERENCE PORTFOLIO+++ FTSE WORLD INDEX++
------------------- ---------------------- ------------------
12/93 10000.00 10000.00 10000.00
12/94 9838.00 10248.00 10583.00
12/95 10865.00 12606.00 12659.00
12/96 12362.00 13974.00 14331.00
12/97 13811.00 15781.00 16537.00
12/98 15122.00 18918.00 20347.00
12/99 18352.00 21428.00 25637.00
12/00 16623.00 20499.00 22797.00
12/01 15222.00 18902.00 19117.00
12/02 14002.00 17810.00 15473.00
12/03 18978.00 21947.00 20719.00
</Table>
+ Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses. Global
Allocation Strategy Portfolio invests in a portfolio of equity, debt and
money market securities.
++ This unmanaged market capitalization-weighted Index is comprised of nearly
2000 equities from 24 countries in 12 regions, including the United States.
+++ This unmanaged Reference Portfolio is a weighted Index comprised of 36% of
the unmanaged Standard & Poor's 500 Index, 24% FTSE World Index (Ex-U.S.)
Equities, 24% Merrill Lynch Treasury Index GA05, and 16% Citigroup World
Government Bond Index (Ex-U.S.).
Past performance is not predictive of future results.
HIGH YIELD PORTFOLIO
<Table>
<Caption>
CREDIT SUISSE FIRST BOSTON HIGH
HIGH YIELD PORTFOLIO+ YIELD INDEX++
--------------------- -------------------------------
12/93 10000 10000
12/94 9812 9903
12/95 11491 11624
12/96 12907 13068
12/97 14293 14718
12/98 13551 14803
12/99 14344 15289
12/00 13606 14492
12/01 13838 15333
12/02 13358 15809
12/03 16617 20226
</Table>
+ Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses. High Yield
Portfolio invests under normal circumstances at least 80% of its net assets
in fixed income securities with lower credit, which means credit quality
equivalent to or below the fourth highest rating level of recognized rating
agencies.
++ This unmanaged market-weighted Index is comprised of high-yield debt
securities rated BBB or lower.
Past performance is not predictive of future results.
15
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Concluded)
- --------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
<Table>
<Caption>
INTERMEDIATE GOVERNMENT BOND CITIGROUP GOVERNMENT/MORTGAGE
PORTFOLIOI INDEXII
---------------------------- -----------------------------
12/93 10000 10000
12/94 9522 9731
12/95 11318 11466
12/96 11614 11889
12/97 12592 13018
12/98 13718 14158
12/99 13546 14075
12/00 15123 15811
12/01 16172 17027
12/02 17757 18762
12/03 18160 19280
</Table>
+ Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses. Intermediate
Government Bond Portfolio invests at least 80% of its net assets in bonds and
other debt securities that are issued or guaranteed by the U.S. government or
U.S. government agencies or government-sponsored enterprises.
++ This unmanaged Index is comprised of 30-year and 15-year GNMA, FNMA and FHLMC
securities, and FNMA and FHLMC debentures and treasury securities.
Past performance is not predictive of future results.
LARGE CAP CORE STRATEGY PORTFOLIO
<Table>
<Caption>
LARGE CAP CORE STRATEGY
PORTFOLIO+ RUSSELL 1000 INDEX++
----------------------- --------------------
12/93 10000.00 10000.00
12/94 9488.00 10039.00
12/95 11455.00 13830.00
12/96 13349.00 16935.00
12/97 16349.00 22498.00
12/98 18892.00 28578.00
12/99 24868.00 34554.00
12/00 22414.00 31863.00
12/01 20180.00 27896.00
12/02 16397.00 21856.00
12/03 21730.00 28389.00
</Table>
+ Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses. Large Cap Core
Strategy Portfolio generally invests in at least 80% of its net assets in a
diversified portfolio of equity securities, primarily common stocks, of
large cap companies included at the time of purchase in the Russell 1000
Index.
++ This unmanaged index measures the performance of the 1,000 largest companies
in the Russell 3000 Index, which represents approximately 92% of the total
market capitalization of the Russell 3000 Index. The Portfolio is managed to
this broad-based index, which provides for a better comparison relative to
the S&P 500 Index.
Past performance is not predictive of future results.
16
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
BERMUDA IT SERVICES 200,000 +Accenture Ltd. (Class A)............... $ 5,264,000 0.5%
--------------------------------------------------------------------------------------------------------------
INSURANCE 275,000 ACE Limited............................. 11,390,500 1.2
50,000 XL Capital Ltd. (Class A)............... 3,877,500 0.4
-------------- -----
15,268,000 1.6
--------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN BERMUDA 20,532,000 2.1
- --------------------------------------------------------------------------------------------------------------------------------
CANADA OIL & GAS 175,000 EnCana Corp. ........................... 6,902,000 0.7
--------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CANADA 6,902,000 0.7
- --------------------------------------------------------------------------------------------------------------------------------
NETHERLANDS FOOD PRODUCTS 125,000 Unilever NV (NY Registered Shares)...... 8,112,500 0.9
--------------------------------------------------------------------------------------------------------------
OIL & GAS 75,000 Royal Dutch Petroleum Company (NY
Registered Shares).................... 3,929,250 0.4
--------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE NETHERLANDS 12,041,750 1.3
- --------------------------------------------------------------------------------------------------------------------------------
SWITZERLAND FOOD PRODUCTS 50,000 Nestle SA (Registered Shares)........... 12,492,420 1.3
--------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWITZERLAND 12,492,420 1.3
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES AEROSPACE & DEFENSE 325,000 Honeywell International Inc. ........... 10,864,750 1.1
100,000 Northrop Grumman Corporation............ 9,560,000 1.0
275,000 Raytheon Company........................ 8,261,000 0.9
125,000 United Technologies Corporation......... 11,846,250 1.2
-------------- -----
40,532,000 4.2
--------------------------------------------------------------------------------------------------------------
BEVERAGES 225,000 Anheuser-Busch Companies, Inc. ......... 11,853,000 1.2
--------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 325,000 Masco Corporation....................... 8,908,250 0.9
--------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS 200,000 J.P. Morgan Chase & Co. ................ 7,346,000 0.8
200,000 Janus Capital Group Inc. ............... 3,282,000 0.3
350,000 Mellon Financial Corporation............ 11,238,500 1.2
175,000 Morgan Stanley.......................... 10,127,250 1.0
-------------- -----
31,993,750 3.3
--------------------------------------------------------------------------------------------------------------
CHEMICALS 100,000 E.I. du Pont de Nemours and Company..... 4,589,000 0.5
--------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS 85,000 PNC Bank Corp. ......................... 4,652,050 0.5
225,000 Wells Fargo & Company................... 13,250,250 1.3
-------------- -----
17,902,300 1.8
--------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 460,000 +CommScope, Inc. ....................... 7,511,800 0.8
EQUIPMENT
--------------------------------------------------------------------------------------------------------------
COMPUTERS & 300,000 Hewlett-Packard Company................. 6,891,000 0.7
PERIPHERALS
130,000 International Business Machines
Corporation........................... 12,048,400 1.3
-------------- -----
18,939,400 2.0
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 275,000 Citigroup Inc. ......................... 13,348,500 1.4
SERVICES
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED 300,000 Verizon Communications.................. 10,524,000 1.1
TELECOMMUNICATION
SERVICES
--------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 350,000 +Agilent Technologies, Inc. ............ 10,234,000 1.1
INSTRUMENTS
--------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 200,000 GlobalSantaFe Corporation............... 4,966,000 0.5
SERVICES
100,000 Schlumberger Limited.................... 5,472,000 0.5
100,000 +Weatherford International Ltd. ........ 3,600,000 0.4
-------------- -----
14,038,000 1.4
--------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS 125,000 General Mills, Inc. .................... 5,662,500 0.6
--------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT 275,000 Baxter International Inc. .............. 8,393,000 0.9
& SUPPLIES
--------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS 150,000 Aetna Inc. (New Shares)................. 10,137,000 1.1
&
SERVICES
100,000 CIGNA Corporation....................... 5,750,000 0.6
250,000 HCA Inc. ............................... 10,740,000 1.1
-------------- -----
26,627,000 2.8
--------------------------------------------------------------------------------------------------------------
</Table>
17
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONTINUED)
HOTELS, RESTAURANTS & 100,000 Carnival Corporation.................... $ 3,973,000 0.4%
LEISURE
350,000 McDonald's Corporation.................. 8,690,500 0.9
-------------- -----
12,663,500 1.3
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 225,000 Kimberly-Clark Corporation.............. 13,295,250 1.4
--------------------------------------------------------------------------------------------------------------
IT SERVICES 100,000 +Computer Sciences Corporation.......... 4,423,000 0.5
--------------------------------------------------------------------------------------------------------------
INDUSTRIAL 300,000 General Electric Company................ 9,294,000 1.0
CONGLOMERATES
450,000 Tyco International Ltd. ................ 11,925,000 1.2
-------------- -----
21,219,000 2.2
--------------------------------------------------------------------------------------------------------------
INSURANCE 175,000 American International Group, Inc. ..... 11,599,000 1.2
250,000 Prudential Financial, Inc. ............. 10,442,500 1.1
-------------- -----
22,041,500 2.3
--------------------------------------------------------------------------------------------------------------
MACHINERY 250,000 Dover Corporation....................... 9,937,500 1.0
125,000 ITT Industries, Inc. ................... 9,276,250 1.0
175,000 +SPX Corporation........................ 10,291,750 1.1
-------------- -----
29,505,500 3.1
--------------------------------------------------------------------------------------------------------------
MEDIA 235,000 Clear Channel Communications, Inc. ..... 11,005,050 1.1
350,000 +The Interpublic Group of Companies,
Inc. ................................. 5,460,000 0.6
350,000 +Liberty Media Corporation (Class A).... 4,161,500 0.4
275,000 Viacom, Inc. (Class B).................. 12,204,500 1.3
250,000 The Walt Disney Company................. 5,832,500 0.6
-------------- -----
38,663,550 4.0
--------------------------------------------------------------------------------------------------------------
METALS & MINING 200,000 Alcoa Inc. ............................. 7,600,000 0.8
75,000 Nucor Corporation....................... 4,200,000 0.4
250,000 United States Steel Corporation......... 8,755,000 0.9
-------------- -----
20,555,000 2.1
--------------------------------------------------------------------------------------------------------------
OIL & GAS 100,000 Anadarko Petroleum Corporation.......... 5,101,000 0.5
200,000 Devon Energy Corporation................ 11,452,000 1.2
200,000 Exxon Mobil Corporation................. 8,200,000 0.8
200,000 Murphy Oil Corporation.................. 13,062,000 1.4
-------------- -----
37,815,000 3.9
--------------------------------------------------------------------------------------------------------------
PAPER & FOREST 275,000 International Paper Company............. 11,855,250 1.3
PRODUCTS
200,000 Weyerhaeuser Company.................... 12,800,000 1.3
-------------- -----
24,655,250 2.6
--------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS 150,000 Avon Products, Inc. .................... 10,123,500 1.1
--------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 350,000 Pfizer, Inc. ........................... 12,365,500 1.3
300,000 Schering-Plough Corporation............. 5,217,000 0.5
250,000 Wyeth................................... 10,612,500 1.1
-------------- -----
28,195,000 2.9
--------------------------------------------------------------------------------------------------------------
ROAD & RAIL 100,000 Burlington Northern Santa Fe
Corporation........................... 3,235,000 0.3
225,000 CSX Corporation......................... 8,086,500 0.8
-------------- -----
11,321,500 1.1
--------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 700,000 +Agere Systems Inc. (Class A)........... 2,135,000 0.2
SEMICONDUCTOR
EQUIPMENT
275,000 +Applied Materials, Inc. ............... 6,173,750 0.7
150,000 Intersil Holding Corporation (Class
A).................................... 3,727,500 0.4
150,000 +Micron Technology, Inc. ............... 2,020,500 0.2
75,000 Texas Instruments Incorporated.......... 2,203,500 0.2
-------------- -----
16,260,250 1.7
--------------------------------------------------------------------------------------------------------------
SOFTWARE 475,000 Microsoft Corporation................... 13,081,500 1.4
200,000 +Siebel Systems, Inc. .................. 2,774,000 0.3
-------------- -----
15,855,500 1.7
--------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL 550,000 The Limited, Inc. ...................... 9,916,500 1.0
150,000 The TJX Companies, Inc. ................ 3,307,500 0.4
-------------- -----
13,224,000 1.4
--------------------------------------------------------------------------------------------------------------
</Table>
18
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONCLUDED)
THRIFTS & MORTGAGE 135,000 Fannie Mae.............................. $ 10,133,100 1.0%
FINANCE
--------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED STATES 561,005,900 58.3
--------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST--$567,043,577) 612,974,070 63.7
- --------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES COMMERCIAL BANKS 70 DG Funding Trust(a)..................... 770,315 0.1
--------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED STOCKS
(COST--$770,252) 770,315 0.1
- --------------------------------------------------------------------------------------------------------------------------------
FACE
AMOUNT FIXED-INCOME SECURITIES
- --------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA ELECTRIC UTILITIES US$ 225,000 Australian Gas Light Company, 5.30% due
9/25/2015(a).......................... 227,666 0.0
485,000 TXU Australia Holdings Partnership LP,
6.15% due 11/15/2013(a)............... 494,328 0.1
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN
AUSTRALIA 721,994 0.1
- --------------------------------------------------------------------------------------------------------------------------------
AUSTRIA PAPER & FOREST 300,000 Sappi Papier Holdings AG, 6.75% due
PRODUCTS 6/15/2012(a).......................... 327,941 0.0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN AUSTRIA 327,941 0.0
- --------------------------------------------------------------------------------------------------------------------------------
BRAZIL BEVERAGES 670,000 Cia Brasileira de Bebida, 8.75% due
9/15/2013(a).......................... 710,200 0.1
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN BRAZIL 710,200 0.1
- --------------------------------------------------------------------------------------------------------------------------------
CANADA DIVERSIFIED FINANCIAL 215,000 Brascan Corporation, 5.75% due
SERVICES 3/01/2010............................. 227,609 0.0
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED 515,000 Telus Corporation, 7.50% due
TELECOMMUNICATION 6/01/2007............................. 576,359 0.1
SERVICES
--------------------------------------------------------------------------------------------------------------
METALS & MINING 295,000 Potash Corporation of Saskatchewan,
7.75% due 5/31/2011................... 346,379 0.0
--------------------------------------------------------------------------------------------------------------
PAPER & FOREST 65,000 Abitibi Consolidated Inc., 8.55% due
PRODUCTS 8/01/2010............................. 72,384 0.0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN CANADA 1,222,731 0.1
- --------------------------------------------------------------------------------------------------------------------------------
CHILE CONSTRUCTION MATERIALS 560,000 Celulosa Arauco y Constitucion SA,
8.625% due 8/15/2010.................. 669,173 0.1
--------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT 220,000 Republic of Chile, 5.50% due
OBLIGATIONS 1/15/2013............................. 226,270 0.0
--------------------------------------------------------------------------------------------------------------
METALS & MINING Corporacion Nacional del Cobre
(Codelco)(a):
345,000 6.375% due 11/30/2012................. 373,236 0.1
360,000 5.50% due 10/15/2013.................. 365,324 0.0
-------------- -----
738,560 0.1
--------------------------------------------------------------------------------------------------------------
PAPER & FOREST 290,000 Inversiones CMPC SA, 4.875% due
PRODUCTS 6/18/2013(a).......................... 278,838 0.0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN CHILE 1,912,841 0.2
- --------------------------------------------------------------------------------------------------------------------------------
FRANCE DIVERSIFIED France Telecom:
TELECOMMUNICATION
SERVICES
1,860,000 9.25% due 3/01/2011................... 2,234,013 0.3
260,000 10% due 3/01/2031..................... 345,456 0.0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN FRANCE 2,579,469 0.3
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
19
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES++ AMOUNT FIXED-INCOME SECURITIES VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
GERMANY FOREIGN GOVERNMENT E 1,362,000 Bundesobligation, 3.50% due 10/10/2008.. $ 1,717,777 0.2%
OBLIGATIONS
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN GERMANY 1,717,777 0.2
- --------------------------------------------------------------------------------------------------------------------------------
HONG KONG INDUSTRIAL Hutchinson Whampoa International Ltd.:
CONGLOMERATES US$ 300,000 5.45% due 11/24/2010.................. 304,292 0.0
910,000 6.25% due 1/24/2014(a)................ 923,998 0.1
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN HONG
KONG 1,228,290 0.1
- --------------------------------------------------------------------------------------------------------------------------------
ITALY DIVERSIFIED 510,000 Telecom Italia Capital SA, 5.25% due
TELECOMMUNICATION 11/15/2013(a)......................... 511,015 0.1
SERVICES
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN ITALY 511,015 0.1
- --------------------------------------------------------------------------------------------------------------------------------
JAPAN COMMERCIAL BANKS Y 308,800,000 International Bank for Reconstruction &
Development, 4.75% due 12/20/2004..... 3,011,888 0.3
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN JAPAN 3,011,888 0.3
- --------------------------------------------------------------------------------------------------------------------------------
MEXICO FOREIGN GOVERNMENT United Mexican States:
OBLIGATIONS
US$ 650,000 9.875% due 2/01/2010.................. 820,625 0.1
265,000 6.375% due 1/16/2013.................. 274,938 0.0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN MEXICO 1,095,563 0.1
- --------------------------------------------------------------------------------------------------------------------------------
NETHERLANDS BEVERAGES 400,000 Coca-Cola HBC Finance BV, 5.125% due
9/17/2013(a).......................... 401,030 0.0
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 385,000 Deutsche Telekom International Finance,
SERVICES 8.50% due 6/15/2010................... 465,510 0.1
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED 340,000 Koninklijke (KPN) NV,
TELECOMMUNICATION 8% due 10/01/2010..................... 406,731 0.1
SERVICES
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN THE
NETHERLANDS 1,273,271 0.2
- --------------------------------------------------------------------------------------------------------------------------------
UNITED COMMERCIAL BANKS 580,000 HBOS PLC, 6% due 11/01/2033(a).......... 576,592 0.1
KINGDOM
--------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS 290,000 Hanson PLC, 7.875% due 9/27/2010........ 342,295 0.0
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED 1,020,000 British Telecom PLC, 8.375% due
TELECOMMUNICATION 12/15/2010............................ 1,241,213 0.1
SERVICES
--------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN THE
UNITED KINGDOM 2,160,100 0.2
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES AEROSPACE & DEFENSE 350,000 Lockheed Martin Corporation, 8.20% due
12/01/2009............................ 425,024 0.1
345,000 Precision Castparts Corp., 5.60% due
12/15/2013(a)......................... 347,069 0.0
Raytheon Company:
1,820,000 6.15% due 11/01/2008.................. 1,980,417 0.2
595,000 8.30% due 3/01/2010................... 713,945 0.1
-------------- -----
3,466,455 0.4
--------------------------------------------------------------------------------------------------------------
</Table>
20
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES++ AMOUNT FIXED-INCOME SECURITIES VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES AIRLINES US$ 315,000 American Airlines, 3.857% due
(CONTINUED) 7/09/2010............................. $ 311,317 0.0%
675,000 Continental Airlines, Inc., 7.875% due
7/02/2018............................. 678,962 0.1
-------------- -----
990,279 0.1
--------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS 525,000 Lear Corporation, 8.11% due 5/15/2009... 617,531 0.1
--------------------------------------------------------------------------------------------------------------
AUTOMOBILES Daimler-Chrysler NA Holdings:
655,000 6.40% due 5/15/2006................... 701,772 0.1
330,000 7.75% due 1/18/2011................... 377,374 0.0
General Motors Corporation:
335,000 7.20% due 1/15/2011................... 368,328 0.0
930,000 7.125% due 7/15/2013.................. 1,019,903 0.1
310,000 Hyundai Motor Manufacturing Alabama,
LLC, 5.30% due 12/19/2008(a).......... 310,927 0.0
-------------- -----
2,778,304 0.2
--------------------------------------------------------------------------------------------------------------
BEVERAGES 70,000 Brown-Forman Corporation, 3% due
3/15/2008............................. 68,511 0.0
690,000 Miller Brewing Company, 5.50% due
8/15/2013(a).......................... 704,934 0.1
-------------- -----
773,445 0.1
--------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS 740,000 J.P. Morgan Chase & Co., 4.50% due
11/15/2010............................ 745,881 0.1
Lehman Brothers Holdings, Inc.:
365,000 6.625% due 4/01/2004.................. 369,768 0.0
30,000 4% due 1/22/2008...................... 30,598 0.0
800,000 3.50% due 8/07/2008................... 794,999 0.1
255,000 Mellon Funding Corporation, 4.875% due
6/15/2007............................. 270,099 0.0
345,000 Morgan Stanley, 6.75% due 4/15/2011..... 390,340 0.0
-------------- -----
2,601,685 0.2
--------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS 170,000 BSCH Issuances Ltd., 7.625% due
9/14/2010............................. 201,522 0.0
300,000 Banc One Corp., 8% due 4/29/2027........ 376,975 0.0
Bank of America Corporation:
410,000 5.875% due 2/15/2009.................. 449,235 0.0
194,000 7.40% due 1/15/2011................... 227,529 0.0
1,045,000 BankAmerica Capital III, 1.72% due
1/15/2027(c).......................... 985,558 0.1
440,000 Certegy Inc., 4.75% due 9/15/2008....... 451,081 0.0
Chase Capital(c):
695,000 II, 1.663% due 2/01/2027.............. 644,029 0.1
590,000 III, 1.723% due 3/01/2027............. 549,957 0.1
435,000 Corporacion Andina de Fomento, 6.875%
due 3/15/2012......................... 482,659 0.1
730,000 First Chicago NBD Capital I, 1.713% due
2/01/2027(c).......................... 685,738 0.1
105,000 Firstbank Puerto Rico, 7.625% due
12/20/2005............................ 112,782 0.0
70,000 FleetBoston Financial Corporation,
6.375% due 5/15/2008.................. 77,634 0.0
105,000 Golden West Financial Corporation, 4.75%
due 10/01/2012........................ 105,085 0.0
145,000 Hudson United Bancorp Inc., 8.20% due
9/15/2006............................. 158,886 0.0
815,000 Nationsbank Capital Trust III, 1.70% due
1/15/2027(c).......................... 764,209 0.1
785,000 PNC Funding Corporation, 6.125% due
2/15/2009............................. 864,619 0.1
235,000 Popular North America, Inc., 3.875% due
10/01/2008............................ 234,560 0.0
780,000 Provident Bank, 6.375% due
1/15/2004 780,000 0.1
120,000 Regions Financial Corporation, 6.375%
due 5/15/2012......................... 132,013 0.0
</Table>
21
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES++ AMOUNT FIXED-INCOME SECURITIES VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES COMMERCIAL BANKS US$ 150,000 Saint George Bank Limited, 5.30% due
(CONTINUED) (CONCLUDED) 10/15/2015(a)......................... $ 150,118 0.0%
40,000 Synovus Financial, 4.875% due
2/15/2013............................. 39,349 0.0
355,000 UFJ Finance Aruba A.E.C., 6.75% due
7/15/2013............................. 378,607 0.0
600,000 US Bancorp, 1.318% due 9/16/2005(c)..... 600,610 0.1
475,000 Wells Fargo & Company, 5.125% due
2/15/2007............................. 506,758 0.1
520,000 Westpac Banking Corporation, 4.625% due
6/01/2018............................. 484,429 0.1
-------------- -----
10,443,942 1.1
--------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & 145,000 Aramark Services Inc., 6.75% due
SUPPLIES 8/01/2004............................. 148,659 0.0
Cendant Corporation:
515,000 6.875% due 8/15/2006.................. 565,028 0.1
270,000 6.25% due 1/15/2008................... 294,524 0.0
270,000 PHH Corporation, 6% due 3/01/2008....... 290,510 0.0
250,000 Waste Management Inc., 7.375% due
8/01/2010............................. 288,883 0.0
-------------- -----
1,587,604 0.1
--------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 500,000 GTE Corporation, 6.84% due 4/15/2018.... 546,741 0.1
EQUIPMENT
615,000 Harris Corporation, 6.35% due
2/01/2028............................. 656,784 0.1
-------------- -----
1,203,525 0.2
--------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING Sealed Air Corporation:
1,470,000 5.375% due 4/15/2008.................. 1,552,157 0.2
295,000 6.95% due 5/15/2009(a)................ 331,540 0.0
-------------- -----
1,883,697 0.2
--------------------------------------------------------------------------------------------------------------
DISTRIBUTORS 510,000 AGL Capital Corporation, 4.45% due
4/15/2013............................. 484,365 0.1
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 935,000 Bear Stearns Company Inc., 5.70% due
SERVICES 11/15/2014............................ 974,630 0.1
400,000 Capital One Bank, 4.875% due 5/15/2008.. 411,661 0.0
Citigroup Inc.:
755,000 7.25% due 10/01/2010.................. 879,996 0.1
520,000 6.50% due 1/18/2011................... 586,287 0.1
385,000 6.625% due 6/15/2032.................. 417,065 0.0
25,000 Deutsche Telekom International Finance,
8.75% due 6/15/2030................... 31,936 0.0
Ford Motor Credit Company:
615,000 7.375% due 10/28/2009................. 675,369 0.1
1,905,000 7% due 10/01/2013..................... 2,009,163 0.2
2,325,000 General Electric Capital Corporation, 6%
due 6/15/2012......................... 2,521,353 0.3
General Motors Acceptance Corporation:
505,000 6.875% due 8/28/2012.................. 543,292 0.1
660,000 8% due 11/01/2031..................... 741,158 0.1
1,560,000 The Goldman Sachs Group, Inc., 6.875%
due 1/15/2011......................... 1,771,548 0.2
Household Finance Corporation:
1,130,000 4.625% due 1/15/2008.................. 1,174,665 0.1
505,000 6.50% due 11/15/2008.................. 562,947 0.1
280,000 IOS Capital LLC, 7.25% due 6/30/2008.... 298,200 0.0
285,000 International Lease Finance Corporation,
2.95% due 5/23/2006................... 287,255 0.0
220,000 MBNA America Bank NA, 7.125% due
11/15/2012............................ 251,586 0.0
Principal Life Global(a):
235,000 3.625% due 4/30/2008.................. 234,699 0.0
280,000 6.25% due 2/15/2012................... 304,975 0.0
945,000 Textron Financial Corporation, 2.75% due
6/01/2006............................. 943,049 0.1
</Table>
22
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES++ AMOUNT FIXED-INCOME SECURITIES VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES DIVERSIFIED FINANCIAL US$ 460,000 Washington Real Estate Investment Trust,
(CONTINUED) SERVICES (CONCLUDED) 5.25% due 1/15/2014................... $ 460,567 0.1%
-------------- -----
16,081,401 1.7
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED 225,000 AT&T Corporation, 8.05% due 11/15/2011.. 258,970 0.0
TELECOMMUNICATION
SERVICES
270,000 Intelsat, Ltd., 6.50% due
11/01/2013(a)......................... 281,716 0.0
Verizon Global Funding Corporation:
1,010,000 4% due 1/15/2008...................... 1,028,988 0.1
675,000 6.875% due 6/15/2012.................. 757,164 0.1
765,000 7.375% due 9/01/2012.................. 886,450 0.1
-------------- -----
3,213,288 0.3
--------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES 374,000 AEP Texas Central Company, 6.65% due
2/15/2033............................. 394,887 0.0
650,000 Cincinnati Gas & Electric Company, 5.70%
due 9/15/2012......................... 683,849 0.1
Consumers Energy(a):
170,000 4.25% due 4/15/2008................... 171,698 0.0
780,000 4% due 5/15/2010...................... 754,733 0.1
280,000 Dominion Resources Inc., 7.625% due
7/15/2005............................. 302,475 0.0
135,000 Exelon Corporation, 6.75% due
5/01/2011............................. 150,783 0.0
610,000 Exelon Generation Company, LLC, 5.35%
due 1/15/2014(a)...................... 607,512 0.1
825,000 FPL Group Capital Inc., 1.47% due
3/30/2005(c).......................... 825,195 0.1
395,000 Nisource Finance Corporation, 5.40% due
7/15/2014............................. 399,936 0.0
330,000 PSE&G Power, 6.95% due 6/01/2012........ 372,169 0.0
600,000 Pepco Holdings Inc., 4% due 5/15/2010... 582,975 0.1
405,000 Public Service Company of New Mexico,
4.40% due 9/15/2008................... 410,118 0.1
555,000 Southern California Edison Company, 8%
due 2/15/2007......................... 634,781 0.1
375,000 Southern Power Company, 6.25% due
7/15/2012............................. 405,192 0.0
-------------- -----
6,696,303 0.7
--------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 375,000 Jabil Circuit Inc., 5.875% due
INSTRUMENTS 7/15/2010............................. 391,152 0.0
--------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS 620,000 Cadbury Schweppes US Finance LLC, 5.125%
due 10/01/2013(a)..................... 615,963 0.1
--------------------------------------------------------------------------------------------------------------
GAS UTILITIES 485,750 Kern River Funding Corporation, 4.893%
due 4/30/2018(a)...................... 483,409 0.1
1,070,000 Plains All American Pipeline LP, 5.625%
due 12/15/2013(a)..................... 1,079,363 0.1
400,000 TGT Pipeline, LLC, 5.20% due 6/01/2018.. 374,533 0.0
800,000 Texas Gas Transmission Corporation,
4.60% due 6/01/2015................... 753,802 0.1
465,000 Vectren Utility Holdings, 5.25% due
8/01/2013............................. 466,149 0.1
-------------- -----
3,157,256 0.4
--------------------------------------------------------------------------------------------------------------
HEALTH CARE HCA Inc.:
PROVIDERS &
SERVICES
290,000 6.95% due 5/01/2012................... 310,941 0.0
500,000 6.30% due 10/01/2012.................. 515,508 0.1
Manor Care, Inc.:
475,000 7.50% due 6/15/2006................... 515,375 0.1
175,000 6.25% due 5/01/2013................... 184,406 0.0
-------------- -----
1,526,230 0.2
--------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 785,000 MGM Mirage Inc., 6% due 10/01/2009...... 806,587 0.1
LEISURE
185,000 Tricon Global Restaurants, 8.875% due
4/15/2011............................. 224,313 0.0
-------------- -----
1,030,900 0.1
--------------------------------------------------------------------------------------------------------------
</Table>
23
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES++ AMOUNT FIXED-INCOME SECURITIES VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES HOUSEHOLD PRODUCTS US$ 305,000 The Dial Corporation, 6.50% due
(CONTINUED) 9/15/2008............................. $ 341,174 0.0%
--------------------------------------------------------------------------------------------------------------
INDUSTRIAL 10,000 Eli Lilly & Company, 7.125% due
CONGLOMERATES 6/01/2025............................. 11,821 0.0
30,000 General Electric Company, 5% due
2/01/2013............................. 30,340 0.0
1,175,000 Tyco International Group SA, 6.75% due
2/15/2011............................. 1,283,688 0.1
-------------- -----
1,325,849 0.1
--------------------------------------------------------------------------------------------------------------
INSURANCE 405,000 Berkley (WR) Corporation, 5.125% due
9/30/2010............................. 409,326 0.0
715,000 NLV Financial Corporation, 7.50% due
8/15/2033(a).......................... 742,512 0.1
455,000 RLI Corp., 5.95% due 1/15/2014.......... 453,067 0.1
910,000 Security Benefit Life, 7.45% due
10/01/2033(a)......................... 928,340 0.1
235,000 Travelers Property Casualty, 6.375% due
3/15/2033............................. 245,051 0.0
-------------- -----
2,778,296 0.3
--------------------------------------------------------------------------------------------------------------
MACHINERY 85,000 Emerson Electric Company, 6% due
8/15/2032............................. 86,635 0.0
--------------------------------------------------------------------------------------------------------------
MEDIA 1,835,000 AOL Time Warner Inc., 6.875% due
5/01/2012............................. 2,064,935 0.2
165,000 Clear Channel Communications, Inc.,
4.25% due 5/15/2009................... 165,424 0.0
600,000 Comcast Cable Communications, 6.375% due
1/30/2006............................. 645,929 0.1
505,000 Comcast Corporation, 5.85% due
1/15/2010............................. 539,196 0.1
35,000 Cox Communications Inc., 7.125% due
10/01/2012............................ 40,369 0.0
665,000 Echostar DBS Corporation, 5.75% due
10/01/2008(a)......................... 672,481 0.1
Liberty Media Corporation:
190,000 7.875% due 7/15/2009.................. 220,092 0.0
590,000 5.70% due 5/15/2013................... 596,646 0.1
830,000 News America Incorporated, 6.75% due
1/09/2038............................. 926,806 0.1
400,000 Tele-Communications Inc., 9.80% due
2/01/2012............................. 521,778 0.1
250,000 USA Interactive, 7% due 1/15/2013....... 275,645 0.0
555,000 Univision Communication Inc., 7.85% due
7/15/2011............................. 659,806 0.1
-------------- -----
7,329,107 0.9
--------------------------------------------------------------------------------------------------------------
OIL & GAS Anadarko Finance Company:
202,000 6.75% due 5/01/2011................... 228,993 0.0
106,000 7.50% due 5/01/2031................... 124,177 0.0
295,000 Colonial Pipeline, 7.63% due
4/15/2032(a).......................... 360,992 0.0
225,000 EnCana Corp., 4.75% due 10/15/2013...... 221,821 0.0
215,000 Motiva Enterprises LLC, 5.20% due
9/15/2012(a).......................... 218,876 0.0
375,000 Pemex Project Funding Master Trust,
9.125% due 10/13/2010................. 445,313 0.1
765,000 Ultramar Diamond Shamrock, 6.75% due
10/15/2037............................ 841,981 0.1
-------------- -----
2,442,153 0.2
--------------------------------------------------------------------------------------------------------------
PAPER & FOREST 1,020,000 Boise Cascade Corporation, 7.66% due
PRODUCTS 5/27/2005............................. 1,067,862 0.1
510,000 Champion International Corp., 6.65% due
12/15/2037............................ 571,352 0.1
</Table>
24
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES++ AMOUNT FIXED-INCOME SECURITIES VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
UNITED STATES PAPER & FOREST US$ 200,000 Rock-Tenn Company, 5.625% due
(CONCLUDED) PRODUCTS (CONCLUDED) 3/15/2013............................. $ 201,193 0.0%
-------------- -----
1,840,407 0.2
--------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS Wyeth:
500,000 5.50% due 2/01/2014................... 505,708 0.1
245,000 6.50% due 2/01/2034................... 250,520 0.0
-------------- -----
756,228 0.1
--------------------------------------------------------------------------------------------------------------
REAL ESTATE 565,000 Camden Property Trust, 5.375% due
12/15/2013............................ 568,403 0.1
170,000 Developers Diversified Realty, 6.625%
due 1/15/2008......................... 183,846 0.0
395,000 HRPT Properties Trust, 5.75% due
2/15/2014............................. 396,071 0.0
340,000 Health Care Properties Investors Inc.,
6.45% due 6/25/2012................... 368,707 0.0
285,000 Health Care REIT, Inc., 6% due
11/15/2013............................ 288,025 0.0
415,000 Highwoods Realty LP, 7% due
12/01/2006............................ 450,247 0.1
305,000 United Dominion Realty Trust, Inc.,
6.50% due 6/15/2009................... 336,138 0.0
-------------- -----
2,591,437 0.2
--------------------------------------------------------------------------------------------------------------
ROAD & RAIL 210,000 Burlington Northern Santa Fe
Corporation, 7.95% due 8/15/2030...... 259,178 0.0
640,000 Norfolk Southern Corporation, 7.25% due
2/15/2031............................. 724,744 0.1
Union Pacific Corporation:
230,000 7.25% due 11/01/2008.................. 261,645 0.0
130,000 4.698% due 1/02/2024.................. 125,176 0.0
-------------- -----
1,370,743 0.1
--------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 455,000 Countrywide Home Loan, 5.625% due
FINANCE 7/15/2009............................. 488,361 0.1
--------------------------------------------------------------------------------------------------------------
WIRELESS 293,000 AT&T Broadband Corporation, 8.375% due
TELECOMMUNICATION 3/15/2013............................. 358,500 0.0
SERVICES 110,000 AT&T Wireless Services Inc., 8.75% due
3/01/2031............................. 135,721 0.0
1,005,000 Sprint Capital Corporation, 6.90% due
5/01/2019............................. 1,026,647 0.1
-------------- -----
1,520,868 0.1
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN THE
UNITED STATES 82,414,583 8.6
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FIXED-INCOME
SECURITIES (COST--$98,633,061) 100,887,663 10.5
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
COLLATERALIZED MORTGAGE OBLIGATIONS++
- --------------------------------------------------------------------------------------------------------------------------------
2,600,000 CIT Group Home Equity Loan Trust, Series
2003-1, Class A2, 2.35% due
4/20/2027............................. 2,606,109 0.3
Fannie Mae:
325,829 5% due 1/15/2019...................... 332,244 0.0
1,340,000 6% due 5/15/2011...................... 1,485,176 0.2
1,930,000 6.375% due 6/15/2009.................. 2,182,448 0.2
12,680,075 6.50% due 8/01/2028-1/15/2034......... 13,261,831 1.4
2,220,000 7.125% due 1/15/2030.................. 2,674,003 0.3
3,015,518 7.50% due 9/01/2029-12/01/2031........ 3,222,797 0.3
2,600,000 Fannie Mae Whole Loan, Series 2003-W19,
Class 1A1, 2.01% due 11/25/2033....... 2,600,000 0.3
1,700,000 First Franklin Mortgage Loan Asset
Trust, Series 2003-FF5, Class A2,
2.82% due 3/25/2034(c)................ 1,700,000 0.2
</Table>
25
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE COLLATERALIZED MORTGAGE OBLIGATIONS++ PERCENT OF
AMOUNT (CONCLUDED) VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
Freddie Mac:
US$ 1,800,000 5% due 1/15/2019...................... $ 1,833,188 0.2%
8,105,788 5% due 8/01/2033...................... 8,005,211 0.8
6,932,080 5.50% due 12/01/2017-1/01/2018........ 7,190,119 0.7
10,650,000 5.50% due 1/15/2034................... 10,776,469 1.1
3,207,349 6% due 4/01/2016-12/01/2017........... 3,365,437 0.3
19,684,500 6% due 1/15/2034...................... 20,336,549 2.1
1,559,821 6.50% due 8/01/2016-8/01/2017......... 1,652,433 0.2
2,520,000 6.625% due 9/15/2009.................. 2,881,799 0.3
6,092,635 7% due 7/01/2031-7/01/2032............ 6,446,344 0.7
2,285,650 GMAC Mortgage Corporation Loan Trust,
Series 2003-J7, Class A10, 5.50% due
11/25/2033............................ 2,325,206 0.2
Government National Mortgage
Association:
1,100,000 5% due 1/15/2019...................... 1,126,468 0.1
2,476 7.50% due 6/15/2005-1/15/2006......... 2,574 0.0
1,431,320 7.50% due 12/15/2026-3/15/2032........ 1,537,000 0.2
1,500,000 Greenwich Capital Commercial Funding
Corporation, Series 2002-C1, Class A4,
4.948% due 1/11/2035.................. 1,523,739 0.2
1,250,000 LB-UBS Commercial Mortgage Trust, Series
2002-C1, Class A3, 6.226% due
3/15/2026............................. 1,380,541 0.2
1,985,088 MASTR Asset Securitization Trust
2003-10, 5.50% due 11/25/2033......... 1,986,329 0.2
3,000,000 MBNA Credit Card Master Note Trust,
Series................................ 3,246,064 0.3
1,000,000 Nationslink Funding Corporation, Series
1999-2, Class A3, 7.181% due
6/20/2031............................. 1,093,499 0.1
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (COST--$106,060,246) 106,773,577 11.1
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT OBLIGATIONS
- --------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
1,125,000 3.125% due 9/15/2008.................. 1,124,341 0.1
1,550,000 7.50% due 11/15/2016.................. 1,973,344 0.2
950,000 8.125% due 8/15/2019.................. 1,283,242 0.1
3,290,000..... 7.25% due 8/15/2022..................... 4,152,210 0.4
680,000....... 6.25% due 8/15/2023..................... 775,067 0.0
680,000 6.625% due 2/15/2027.................. 812,202 0.1
1,650,000 5.375% due 2/15/2031.................. 1,720,706 0.2
U.S. Treasury Inflation Indexed Notes:
1,477,759 3.875% due 1/15/2009.................. 1,668,757 0.2
1,283,923 3.50% due 1/15/2011................... 1,442,985 0.2
U.S. Treasury Notes:
9,000,000 7% due 7/15/2006(d)................... 10,081,053 1.1
950,000 6.50% due 2/15/2010................... 1,103,929 0.1
1,855,000 4.25% due 8/15/2013................... 1,857,319 0.2
360,000 4.25% due 11/15/2013.................. 359,606 0.0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST--$27,974,443) 28,354,761 2.9
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
STATE MUNICIPAL BONDS
- --------------------------------------------------------------------------------------------------------------------------------
TEXAS 235,000 Harris County, Texas, Industrial
Development Corporation, Solid Waste
Disposal Revenue Bonds (Deer Park
Refining LP), 5.683% due
3/01/2023(c).......................... 238,955 0.0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS (COST--$235,000).. 238,955 0.0
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
26
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUNDS, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BENEFICIAL INTEREST/
SHARES HELD SHORT-TERM SECURITIES VALUE
- -------------------------------------------------------------------------------------------------------------------------
US$150,166,161 Merrill Lynch Liquidity Series, LLC Cash
Sweep Series I(b)..................... $ 150,166,161
US$ 35,213,775 Merrill Lynch Liquidity Series, LLC
Money Market Series(b)(e)............. 35,213,775
19,971,675 Merrill Lynch Premier Institutional
Fund(b)(e)............................ 19,971,675
- -------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES
(COST--$205,351,611) 205,351,611
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$1,006,068,190).................. 1,055,350,952
VARIATION MARGIN ON FINANCIAL FUTURES
CONTRACTS*.............................. 32,968
UNREALIZED APPRECIATION ON SWAPS--
NET**................................... 5,990
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS***........... (65,048)
LIABILITIES IN EXCESS OF OTHER ASSETS... (92,805,550)
--------------
NET ASSETS.............................. $ 962,519,312
==============
- -------------------------------------------------------------------------------------------------------------------------
<Caption>
PERCENT OF
NET ASSETS
- ------------- ----------
15.6%
3.6
2.1
- ------------------------------------
21.3
- -----------------------------------------------
109.6
0.0
0.0
0.0
(9.6)
-----
100.0%
=====
- ----------------------------------------------------------
</Table>
+ Non-income producing security.
++ Mortgage-Backed Obligations are subject to principal paydowns as a result of
prepayments or refinancings of the underlying mortgage instruments. As a result,
the average life may be substantially less than the original maturity.
++ For Portfolio compliance purposes, "Industries" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio management.
This definition may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease. These industry
classifications are unaudited.
* Financial futures contracts purchased as of December 31, 2003 were as follows:
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------
NUMBER OF UNREALIZED
CONTRACTS ISSUE EXPIRATION DATE FACE VALUE GAINS (LOSSES)
- -----------------------------------------------------------------------------------------------
52 Eurodollar Futures December 2004 $51,740,234 $(21,034)
211 Ten Year U.S. Treasury Note Futures March 2004 23,589,619 98,427
- -----------------------------------------------------------------------------------------------
TOTAL UNREALIZED GAINS--NET $ 77,393
========
- -----------------------------------------------------------------------------------------------
</Table>
** Swap contracts entered into as of December 31, 2003 were as follows:
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION
AMOUNT (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------
Receive a variable return equal to Lehman Brothers US High
Yield Index Total Return and pay floating rate based on
1-month USD LIBOR, plus .15%
Broker, Credit Suisse First Boston International
Expires March 2004 $ 2,500,000 $ --
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .22%
Broker, JP Morgan Chase Bank
Expires January 2004 4,750,000 --
Pay 3.875% on TIPS adjusted principal and receive a fixed
rate of 3.401%
Broker, JP Morgan Chase Bank
Expires January 2009 1,694,000 (1,422)
Pay 3.50% on TIPS adjusted principal and receive a fixed
rate of 4.17%
Broker, Morgan Stanley Capital Services Inc.
Expires January 2011 1,450,000 8,221
Sold credit default protection on TRAC-X NA Series March
2009 Index and receive 1% interest
Broker, Morgan Stanley Capital Services Inc.
Expires March 2009 1,500,000 (143)
</Table>
27
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION
AMOUNT (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------
Sold credit default protection on TRAC-X NA Series March
2009 Index and receive 1% interest
Broker, JP Morgan Chase Bank
Expires March 2009 $ 2,000,000 $ (666)
Receive a variable return equal to Lehman Brothers CMBS
Investment Grade Index Total Return and pay floating rate
based on 1-month USD LIBOR, minus .55%
Broker, Morgan Stanley Capital Services Inc.
Expires March 2004 10,350,000 --
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .30%
Broker, JP Morgan Chase Bank
Expires April 2004 2,750,000 --
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .17%
Broker, JP Morgan Chase Bank
Expires February 2004 3,250,000 --
Receive a variable return equal to Lehman Brothers U.S.
Treasury Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .20%
Broker, Lehman Brothers Special Finance
Expires December 2004 15,100,000 --
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .25%
Broker, JP Morgan Chase Bank
Expires January 2004 10,000,000 --
- ---------------------------------------------------------------------------------------------------
TOTAL $ 5,990
========
- ---------------------------------------------------------------------------------------------------
</Table>
*** Forward foreign exchange contracts as of December 31, 2003 were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------
FOREIGN CURRENCY SOLD SETTLEMENT DATE UNREALIZED DEPRECIATION
- ----------------------------------------------------------------
E1,363,099 March 2004 $(65,048)
- ----------------------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON
FORWARD FOREIGN EXCHANGE CONTRACTS--
NET (US$ COMMITMENT--$1,650,713) $(65,048)
========
- ----------------------------------------------------------------
</Table>
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) Investments in companies considered to be an affiliate of the Portfolio
(such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------------------
NET INTEREST/DIVIDEND
AFFILIATE ACTIVITY INCOME
- -----------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $150,166,161 $154,784
Merrill Lynch Liquidity Series, LLC Cash Sweep Series II $(32,601,320) $908,700
Merrill Lynch Liquidity Series, LLC Money Market Series $(69,654,358) $ 93,726
Merrill Lynch Premier Institutional Fund (73,024,593) $ 60,661
- -----------------------------------------------------------------------------------------------------------
</Table>
(c) Floating rate note.
(d) All or a portion of security held as collateral in connection with open
financial futures contracts.
(e) Security was purchased with the cash proceeds from securities loans.
See Notes to Financial Statements.
28
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
RATINGS++ RATINGS++ AMOUNT ASSET-BACKED SECURITIES++ VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
AAA Aaa US$ 1,000,000 Ace Securities Corp., Series 2003-OP1,
Class A2, 1.51% due 12/25/2033(a)..... $ 1,000,156
AAA Aaa 1,000,000 Banc of America Large Loan, Series
2003-BBA2, Class A3, 1.44% due
11/15/2015(a)(c)...................... 1,000,469
AAA Aaa 1,100,000 CIT Equipment Collateral, Series
2003-VT1, Class A3A, 1.25% due
4/20/2007(a).......................... 1,101,166
AAA Aaa 1,300,000 CIT Group Home Equity Loan Trust, Series
2003-1, Class A2, 2.35% due
4/20/2027............................. 1,303,055
California Infrastructure PG&E, Series
1997-1:
AAA Aaa 271,730 Class A6, 6.38% due 9/25/2008......... 289,401
AAA Aaa 439,030 Class A7, 6.42% due 9/25/2008......... 466,962
Capital Auto Receivables Asset Trust,
Series 2003-2(a):
AAA Aaa 1,050,000 Class A3B, 1.203% due 2/15/2007....... 1,050,147
A+ Aa3 350,000 Class B1, 1.443% due 1/15/2009........ 349,895
AAA Aaa 850,000 Capital One Auto Finance Trust, Series
2003-A, Class A3B, 1.28% due
10/15/2007(a)......................... 851,545
NR* NR* 1,250,000 Capital One Master Trust, Series 2000-4,
Class C, 1.963% due 8/15/2008(a)(b)... 1,246,533
AAA Aaa 1,248,491 Centex Home Equity, Series 2003-B, Class
AV,1.421% due 6/25/2033(a)............ 1,248,094
Chase Credit Card Master Trust, Class
C(a):
BBB Baa2 800,000 Series 2000-3, 1.863% due 1/15/2008... 803,748
BBB Baa2 1,400,000 Series 2003-1, 2.263% due 4/15/2008... 1,414,301
AAA NR* 1,100,000 CountryWide Asset-Backed Certificates,
Series 2003-BC3, Class A2, 1.429% due
9/25/2033(a).......................... 1,098,594
AAA Aaa 1,414,402 Countrywide Home Loans, Series 2003-R4,
Class 1A1A, 2.216% due 7/25/2019(c)... 1,415,949
BBB Baa2 450,000 First Bankcard Master Credit Card Trust,
Series 2001-1A, Class C, 2.313% due
11/15/2006(a)(c)...................... 450,734
AAA Aaa 750,000 First Franklin Mortgage Loan Asset
Trust, Series 2003-FF5, Class A2,
2.82% due 3/25/2034(a)................ 750,000
AAA NR* 993,761 GMAC Mortgage Corporation Loan Trust,
Series 2003-J7, Class A10, 5.50% due
11/25/2033............................ 1,010,959
AAA Aaa 700,000 Household Automotive Trust, Series
2002-3, Class A3A, 2.75% due
6/18/2007............................. 708,524
AAA Aaa 440,586 Household Home Equity Loan Trust, Series
2002-2, Class A, 1.449% due
4/20/2032(a).......................... 440,486
AAA Aaa 706,743 Long Beach Mortgage Loan Trust, Series
2002-4, Class 2A, 1.601% due
11/26/2032(a)......................... 708,436
AAA Aaa 992,544 MASTR Asset Securitization Trust
2003-10, 5.50% due 11/25/2033......... 993,164
A+ A2 450,596 MBNA Master Credit Card Trust, Series
1999-F, Class B, 1.57% due
1/16/2007(a).......................... 450,776
Option One Mortgage Loan Trust(a):
AAA Aaa 528,968 Series 2002-4, Class A, 1.401% due
7/25/2032............................. 528,011
AAA Aaa 1,339,934 Series 2003-4, Class A2, 1.461% due
7/25/2033............................. 1,338,596
</Table>
29
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
RATINGS++ RATINGS++ AMOUNT ASSET-BACKED SECURITIES++ (CONCLUDED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
AAA Aaa US$ 917,358 Residential Asset Mortgage Products,
Inc., Series 2003-RS7, Class AI1,
1.271% due 6/25/2018(a)............... $ 917,103
Residential Asset Securities
Corporation:
AAA Aaa 1,100,000 Series 2002-KS8, Class A2, 3.04% due
5/25/2023............................. 1,108,498
AAA Aaa 1,544,263 Series 2003-KS5, Class AIIB, 1.431%
due 7/25/2033(a)...................... 1,540,541
AAA Aaa 1,358,473 Saxon Asset Securities Trust, Series
2002-3, Class AV, 1.541% due
12/25/2032(a)......................... 1,360,393
A A2 900,000 Superior Wholesale Inventory Financing
Trust, Series 2001, Class A7, 1.563%
due 6/15/2006(a)...................... 898,749
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(COST--$27,786,596)--20.4% 27,844,985
- ------------------------------------------------------------------------------------------------------------------------------------
<Caption>
GOVERNMENT & AGENCY
OBLIGATIONS
- ------------------------------------------------------------------------------------------------------------------------------------
Fannie Mae:
AAA Aaa 920,000 6.375% due 6/15/2009.................. 1,040,338
AAA Aaa 640,000 6% due 5/15/2011...................... 709,338
AAA Aaa 1,070,000 7.125% due 1/15/2030.................. 1,288,821
AAA Aaa 1,210,000 Freddie Mac, 6.625% due 9/15/2009....... 1,383,721
U.S. Treasury Bonds & Notes:
AAA Aaa 65,000 1.875% due 9/30/2004.................. 65,368
AAA Aaa 6,120,000 7% due 7/15/2006...................... 6,855,116
AAA Aaa 135,000 3% due 2/15/2008...................... 135,627
AAA Aaa 490,000 6.50% due 2/15/2010................... 569,395
AAA Aaa 381,000 4% due 11/15/2012..................... 377,339
AAA Aaa 180,000 4.25% due 11/15/2013.................. 179,803
AAA Aaa 810,000 7.50% due 11/15/2016(c)............... 1,031,231
AAA Aaa 490,000 8.125% due 8/15/2019.................. 661,883
AAA Aaa 1,710,000 7.25% due 8/15/2022................... 2,158,140
AAA Aaa 350,000 6.25% due 8/15/2023................... 398,932
AAA Aaa 350,000 6.625% due 2/15/2027.................. 418,045
AAA Aaa 455,000 5.375% due 2/15/2031.................. 474,498
U.S. Treasury Inflation Indexed Notes:
AAA Aaa 767,081 3.875% due 1/15/2009.................. 866,225
AAA Aaa 664,281 3.50% due 1/15/2011................... 746,577
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL GOVERNMENT & AGENCY OBLIGATIONS
(COST--$19,039,086)--14.1% 19,360,397
- ------------------------------------------------------------------------------------------------------------------------------------
<Caption>
GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES++
- ------------------------------------------------------------------------------------------------------------------------------------
Fannie Mae:
AAA Aaa 1,150,000 2.01% due 11/25/2033.................. 1,150,000
AAA Aaa 1,878,423 5% due 1/15/2019...................... 1,915,405
AAA Aaa 549,036 6% due 2/01/2017...................... 576,282
AAA Aaa 903,409 6% due 1/15/2034...................... 933,617
AAA Aaa 5,063,267 6.50% due 6/01/2031-1/15/2034......... 5,295,565
AAA Aaa 238,624 7% due 2/01/2016...................... 255,150
AAA Aaa 1,591,232 7% due 2/01/2031-8/01/2032............ 1,684,868
AAA Aaa 895,893 7.50% due 4/01/2029-5/01/2033......... 957,522
AAA Aaa 513,930 8% due 9/01/2030-11/01/2032........... 555,580
Freddie Mac:
AAA Aaa 1,365,474 4.50% due 8/01/2018................... 1,366,900
AAA Aaa 1,411,200 5% due 1/15/2019...................... 1,437,220
AAA Aaa 2,739,009 5% due 8/01/2033-1/15/2034............ 2,703,733
AAA Aaa 697,060 5.50% due 3/01/2018................... 723,174
AAA Aaa 5,000,000 5.50% due 1/15/2034................... 5,059,375
AAA Aaa 571,328 6% due 4/01/2017-5/01/2017............ 599,530
AAA Aaa 7,138,700 6% due 1/15/2034...................... 7,375,169
AAA Aaa 530,221 6.50% due 5/01/2016-6/01/2016......... 561,663
AAA Aaa 405,263 7% due 4/01/2032-9/01/2032............ 428,796
</Table>
30
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE GOVERNMENT AGENCY MORTGAGE-BACKED
RATINGS++ RATINGS++ AMOUNT SECURITIES (CONCLUDED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage
Association:
AAA Aaa US$ 1,000,000 5% due 1/15/2019...................... $ 1,024,062
AAA Aaa 247,119 6.50% due 10/15/2031.................. 260,751
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST--$34,477,347)--25.5% 34,864,362
- ------------------------------------------------------------------------------------------------------------------------------------
<Caption>
NON-GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES++
- ------------------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE AAA Aaa 850,000 Collateralized Mortgage Pass-Through
OBLIGATIONS--4.1% Certificates, Series 2003-FL8, Class
A-2, 1.363% due 7/15/2015(a)(b)....... 849,669
AAA NR* 485,897 Deutsche Mortgage Securities, Inc.,
Series 2003-1, Class 1A1, 4.50% due
4/25/2033............................. 490,808
AAA AAA 1,750,000 Granite Mortgages PLC, Series, 2003-2,
Class 1A2, 1.32% due 7/20/2020(a)..... 1,750,000
AAA Aaa 1,400,000 RMAC, Series 2003-NS2A, Class A2C, 1.57%
due 9/12/2035(a)...................... 1,403,500
AAA Aaa 524,432 Structured Asset Securities Corporation,
Series 2002-9, Class A2, 1.441% due
10/25/2027(a)......................... 523,979
Washington Mutual Inc.:(a)
AAA Aaa 544,632 Series 2002-AR4, Class A7, 5.518% due
4/26/2032............................. 552,524
AAA Aaa 27,207 Series 2003-AR1, Class A2, 2.92% due
3/25/2033............................. 27,187
------------
5,597,667
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL MORTGAGE-BACKED AAA Aaa 1,400,000 Commercial Mortgage Pass-Thru
SECURITIES--5.1% Certificates, Series 2003-FL9, Class
A3, 1.483% due 11/15/2015(a).......... 1,400,000
Greenwich Capital Commercial Funding
Corporation:
AAA Aaa 1,000,000 Series 2002-C1, Class A4, 4.948% due
1/11/2035............................. 1,015,826
AAA Aaa 1,399,893 Series 2003-FL1, Class A, 1.44% due
1/05/2006(a).......................... 1,399,567
AAA Aaa 800,000 LB-UBS Commercial Mortgage Trust, Series
2002-C1, Class A3, 6.226% due
3/15/2026............................. 883,546
AAA NR* 650,000 Nationslink Funding Corporation, Series
1999-2, Class A3, 7.181% due
6/20/2031............................. 710,775
AAA Aaa 1,600,000 Wachovia Bank Commercial Mortgage Trust,
Series 2003-WHL2, Class A3, 1.44% due
6/15/2013(a).......................... 1,599,465
------------
7,009,179
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL NON-GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(COST--$12,525,553)--9.2% 12,606,846
- ------------------------------------------------------------------------------------------------------------------------------------
<Caption>
INDUSTRIES+ CORPORATE BONDS & NOTES
- ------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.1% BBB+ Baa1 165,000 Hanson PLC, 7.875% due 9/27/2010........ 194,754
- ------------------------------------------------------------------------------------------------------------------------------------
CABLE--US--0.2% BB- Ba3 305,000 Echostar DBS Corporation, 5.75% due
10/01/2008(b)......................... 308,431
- ------------------------------------------------------------------------------------------------------------------------------------
CANADIAN CORPORATES+++--0.2% BB+ Ba1 45,000 Abitibi Consolidated Inc., 8.55% due
8/01/2010(3).......................... 50,112
BBB+ Baa2 145,000 Potash Corporation of Saskatchewan,
7.75% due 5/31/2011(3)................ 170,254
------------
220,366
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & BBB Baa3 155,000 Waste Management Inc., 7.375% due
SUPPLIES--0.1% 8/01/2010............................. 179,107
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
31
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES+ RATINGS++ RATINGS++ AMOUNT CORPORATE BONDS & NOTES VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS--0.7% Sealed Air Corporation:
BBB Baa3 US$ 655,000 5.375% due 4/15/2008.................. $ 691,607
BBB Baa3 230,000 6.95% due 5/15/2009(b)................ 258,489
------------
950,096
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED--0.1% A- Baa3 155,000 Brascan Corporation, 5.75% due
3/01/2010............................. 164,090
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCE--1.0% Household Finance Corporation:
A A1 210,000 4.625% due 1/15/2008.................. 218,301
A A1 180,000 5.875% due 2/01/2009.................. 195,474
A A1 385,000 6.75% due 5/15/2011................... 433,411
BBB- Ba1 150,000 IOS Capital LLC, 7.25% due 6/30/2008.... 159,750
AA Aa3 85,000 Texaco Capital Inc., 8.625% due
6/30/2010............................. 106,902
A- A3 220,000 Textron Financial Corporation, 2.75% due
6/01/2006............................. 219,546
------------
1,333,384
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCE--BANKS--4.4% A- A1 105,000 Banc One Corp., 8% due 4/29/2027........ 131,941
Bank of America Corporation:
A+ Aa2 260,000 5.875% due 2/15/2009.................. 284,881
A Aa3 145,000 7.40% due 1/15/2011................... 170,060
A- Aa3 525,000 BankAmerica Capital III, 1.69% due
1/15/2027(a).......................... 495,137
BBB- Baa2 225,000 Capital One Bank, 4.875% due 5/15/2008.. 231,559
Chase Capital (a):
A- A2 350,000 II, 1.663% due 2/01/2027.............. 324,331
A- A2 295,000 III, 1.723% due 3/01/2027............. 274,979
Citigroup Inc.:
A+ Aa2 300,000 7.25% due 10/01/2010.................. 349,667
AA- Aa1 20,000 6.50% due 1/18/2011................... 22,549
A+ Aa2 275,000 6.625% due 6/15/2032.................. 297,904
BBB+ A1 365,000 First Chicago NBD Capital I, 1.713% due
2/01/2027(a).......................... 342,869
BB+ Baa3 160,000 Firstbank Puerto Rico, 7.625% due
12/20/2005............................ 171,858
FleetBoston Financial Corporation:
A A1 65,000 3.85% due 2/15/2008................... 66,073
A- A2 90,000 6.375% due 5/15/2008.................. 99,816
A+ Aa3 300,000 HBOS plc, 6% due 11/01/2033(b).......... 298,237
BB+ NR* 105,000 Hudson United Bancorp Inc., 8.20% due
9/15/2006............................. 115,056
A- Aa3 410,000 Nationsbank Capital Trust III, 1.67% due
1/15/2027(a).......................... 384,449
BBB+ A3 395,000 PNC Funding Corporation, 6.125% due
2/15/2009............................. 435,063
BBB+ A3 120,000 Popular North America, Inc., 3.875% due
10/01/2008............................ 119,775
BB+ Ba1 435,000 Provident Bank, 6.375% due 1/15/2004.... 435,000
A- A3 65,000 Saint George Bank Limited, 5.30% due
10/15/2015(b)......................... 65,051
A- A3 75,000 Synovus Financial, 4.875% due
2/15/2013............................. 73,779
A+ Aa3 440,000 US Bancorp, 1.318% due 9/16/2005(a)..... 440,447
BBB+ A3 200,000 Washington Mutual Inc., 7.50% due
8/15/2006............................. 223,428
AA- Aa1 125,000 Wells Fargo & Company, 5.125% due
2/15/2007............................. 133,357
------------
5,987,266
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCE--OTHER--7.0% A+ A1 250,000 American Honda Finance, 1.42% due
10/03/2005(a)(b)...................... 251,031
A A1 585,000 Bear Stearns Company Inc., 5.70% due
11/15/2014............................ 609,795
BBB Baa2 205,000 Certegy Inc., 4.75% due 9/15/2008....... 210,163
A A3 350,000 Countrywide Home Loan, 5.625% due
7/15/2009............................. 375,663
</Table>
32
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES+ RATINGS++ RATINGS++ AMOUNT CORPORATE BONDS & NOTES VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCE--OTHER (CONCLUDED) Deutsche Telekom International Finance:
BBB+ Baa3 US$ 195,000 8.50% due 6/15/2010................... $ 235,778
BBB+ Baa3 190,000 8.75% due 6/15/2030................... 242,711
Ford Motor Credit Company:
BBB- A3 305,000 7.375% due 10/28/2009................. 334,939
BBB- A3 965,000 7% due 10/01/2013..................... 1,017,765
General Motors Acceptance Corporation:
BBB A3 2,000,000 2.41% due 10/20/2005(a)............... 2,015,018
BBB A3 140,000 6.875% due 8/28/2012.................. 150,616
BBB A3 369,000 8% due 11/01/2031..................... 414,375
A+ A1 70,000 Golden West Financial Corporation, 4.75%
due 10/01/2012........................ 70,056
A+ Aa3 820,000 The Goldman Sachs Group, Inc., 6.875%
due 1/15/2011......................... 931,199
AA- A1 155,000 International Lease Finance Corporation,
2.95% due 5/23/2006................... 156,226
A+ A1 365,000 J.P. Morgan Chase & Co., 4.50% due
11/15/2010............................ 367,901
A A1 380,000 Lehman Brothers Holdings, Inc., 3.50%
due 8/07/2008......................... 377,625
BBB Baa2 155,000 MBNA America Bank NA, 7.125% due
11/15/2012............................ 177,254
MBNA Corporation:
BBB Baa2 277,000 6.25% due 1/17/2007................... 301,568
BBB Baa2 100,000 5.625% due 11/30/2007................. 107,002
A A2 65,000 Mellon Funding Corporation, 5% due
12/01/2014............................ 65,164
A+ Aa3 215,000 Morgan Stanley, 6.75% due 4/15/2011..... 243,255
AA Aa3 225,000 Principal Life Global, 6.25% due
2/15/2012(b).......................... 245,070
A- A2 35,000 Regions Financial Corporation, 6.375%
due 5/15/2012......................... 38,504
BBB- Baa1 180,000 UFJ Finance Aruba A.E.C., 6.75% due
7/15/2013............................. 191,970
Verizon Global Funding Corporation:
A+ A2 335,000 6.875% due 6/15/2012.................. 375,778
A+ A2 75,000 7.375% due 9/01/2012.................. 86,907
------------
9,593,333
- ------------------------------------------------------------------------------------------------------------------------------------
FOREIGN OBLIGATIONS--0.9%+++ AAA Aaa Y 133,500,000 International Bank for Reconstruction &
Development, 4.75% due
12/20/2004(1)......................... 1,302,095
- ------------------------------------------------------------------------------------------------------------------------------------
GAMING--0.3% BB+ Ba1 US$ 360,000 MGM Mirage Inc., 6% due 10/01/2009...... 369,900
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL--CONSUMER BBB- Ba1 350,000 American Greetings, 6.10% due
GOODS--1.1% 8/01/2028............................. 360,500
A A2 95,000 Brown-Forman Corporation, 3% due
3/15/2008............................. 92,979
BBB Baa2 285,000 Cadbury Schweppes US Finance LLC, 5.125%
due 10/01/2013(b)..................... 283,144
A A3 190,000 Coca-Cola HBC Finance BV, 5.125% due
9/17/2013(b).......................... 190,489
BBB- Baa3 150,000 The Dial Corporation, 6.50% due
9/15/2008............................. 167,790
BBB+ Baa1 330,000 Miller Brewing Company, 5.50% due
8/15/2013(b).......................... 337,142
BB+ Ba1 95,000 Tricon Global Restaurants, 8.875% due
4/15/2011............................. 115,188
------------
1,547,232
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL--ENERGY--1.7% BBB+ Baa1 250,000 AGL Capital Corporation, 4.45% due
4/15/2013............................. 237,434
BBB+ Baa1 95,000 Anadarko Finance Company, 7.50% due
5/01/2031............................. 111,290
BBB+ Baa1 100,000 Anadarko Petroleum Corporation, 5.375%
due 3/01/2007......................... 106,906
</Table>
33
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES+ RATINGS++ RATINGS++ AMOUNT CORPORATE BONDS & NOTES VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL--ENERGY A A2 US$ 240,000 Colonial Pipeline, 7.63% due
(CONCLUDED) 4/15/2032(b).......................... $ 293,689
A- A3 242,875 Kern River Funding Corporation, 4.893%
due 4/30/2018(b)...................... 241,704
BBB+ Baa1 150,000 Kinder Morgan Energy Partners, L.P.,
5.35% due 8/15/2007................... 160,711
BBB- Baa3 190,000 MidAmerican Energy Holdings, 5.875% due
10/01/2012............................ 199,221
NR* A1 150,000 Motiva Enterprises LLC, 5.20% due
9/15/2012(b).......................... 152,704
BBB- Ba1 470,000 Plains All American Pipeline LP, 5.625%
due 12/15/2013(b)..................... 474,113
BBB Baa2 140,000 TGT Pipeline, LLC, 5.20% due 6/01/2018.. 131,087
BBB+ Baa1 265,000 Texas Gas Transmission Corporation,
4.60% due 6/01/2015................... 249,697
------------
2,358,556
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-- A- A2 225,000 Alcoa Inc., 1.46% due 12/06/2004(a)..... 225,493
MANUFACTURING--5.2%
BBB- Baa3 315,000 Cia Brasileira de Bebida, 8.75% due
9/15/2013(b).......................... 333,900
Daimler-Chrysler NA Holdings:
BBB A3 1,500,000 1.97% due 9/26/2005(a)................ 1,504,163
BBB A3 200,000 6.40% due 5/15/2006................... 214,281
BBB A3 225,000 7.75% due 1/18/2011................... 257,301
A A2 60,000 Emerson Electric Company, 6% due
8/15/2032............................. 61,154
AAA Aaa 685,000 General Electric Company, 5% due
2/01/2013............................. 692,764
General Motors Corporation:
BBB Baa1 195,000 7.20% due 1/15/2011................... 214,400
BBB Baa1 405,000 7.125% due 7/15/2013.................. 444,151
Hutchinson Whampoa International Ltd.:
A- A3 150,000 5.45% due 11/24/2010.................. 152,146
A- A3 455,000 6.25% due 1/24/2014(b)................ 461,999
BB+ Ba1 155,000 Hyundai Motor Manufacturing Alabama,
LLC, 5.30% due 12/19/2008(b).......... 155,464
BB+ Baa3 185,000 Jabil Circuit Inc., 5.875% due
7/15/2010............................. 192,968
BBB- Ba1 265,000 Lear Corporation, 8.11% due 5/15/2009... 311,706
BBB Baa2 160,000 Martin Marietta Corp., 7.375% due
4/15/2013............................. 184,766
BBB- Baa3 150,000 Precision Castparts Corp., 5.60% due
12/15/2013(b)......................... 150,900
Raytheon Company:
BBB- Baa3 660,000 8.30% due 3/01/2010................... 791,939
BBB- Baa3 200,000 6.75% due 3/15/2018................... 216,002
BBB- Ba2 450,000 Tyco International Group SA, 6.75% due
2/15/2011............................. 491,625
------------
7,057,122
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL--SERVICES--5.5% BBB+ Baa1 1,005,000 AOL Time Warner Inc., 6.875% due
5/01/2012............................. 1,130,932
Aramark Services Inc.:
BBB- Baa3 245,000 6.75% due 8/01/2004................... 251,182
BBB- Baa3 205,000 6.375% due 2/15/2008.................. 218,705
BBB- Baa3 320,000 British Sky Broadcasting Group PLC,
8.20% due 7/15/2009................... 380,963
Cendant Corporation:
BBB Baa1 235,000 6.875% due 8/15/2006.................. 257,828
BBB Baa1 110,000 6.25% due 1/15/2008................... 119,991
BBB Baa3 240,000 Comcast Corporation, 5.85% due
1/15/2010............................. 256,251
HCA Inc.:
BBB- Ba1 145,000 6.95% due 5/01/2012................... 155,471
BBB- Ba1 275,000 6.30% due 10/01/2012.................. 283,529
BBB Ba1 360,000 Lenfest Communications, Inc., 10.50% due
6/15/2006............................. 419,565
</Table>
34
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES+ RATINGS++ RATINGS++ AMOUNT CORPORATE BONDS & NOTES VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL--SERVICES Liberty Media Corporation:
(CONCLUDED)
BBB- Baa3 US$ 1,500,000 2.67% due 9/17/2006(a)................ $ 1,516,305
BBB- Baa3 130,000 7.875% due 7/15/2009.................. 150,589
BBB- Baa3 350,000 5.70% due 5/15/2013................... 353,943
Manor Care, Inc.:
BBB Ba1 235,000 7.50% due 6/15/2006................... 254,975
BBB Ba1 115,000 6.25% due 5/01/2013................... 121,181
News America Incorporated:
BBB- Baa3 90,000 6.55% due 3/15/2033................... 93,494
BBB- Baa3 120,000 6.75% due 1/09/2038................... 133,996
BBB+ Baa1 200,000 PHH Corporation, 6% due 3/01/2008....... 215,193
BBB Baa3 60,000 SuperValu Inc., 7.50% due 5/15/2012..... 68,157
BBB Baa3 235,000 Tele-Communications Inc., 9.80% due
2/01/2012............................. 306,545
BBB- Baa3 175,000 USA Interactive, 7% due 1/15/2013....... 192,951
BBB- Baa3 240,000 Univision Communication Inc., 7.85% due
7/15/2011............................. 285,321
Wyeth:
A Baa1 250,000 5.50% due 2/01/2014................... 252,854
A Baa1 120,000 6.50% due 2/01/2034................... 122,703
------------
7,542,624
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL--TRANSPORTATION--1.2% AAA Aaa 155,000 American Airlines, 3.857% due
7/09/2010............................. 153,188
BBB+ Baa2 100,000 Burlington Northern Santa Fe
Corporation, 7.95% due 8/15/2030...... 123,418
Continental Airlines, Inc.:
AAA Aaa 140,000 6.563% due 2/15/2012.................. 148,877
BBB Ba3 295,000 7.875% due 7/02/2018.................. 296,732
BBB Baa1 415,000 Norfolk Southern Corporation, 7.25% due
2/15/2031............................. 469,951
Southwest Airlines Co.:
A Baa1 30,000 8% due 3/01/2005...................... 31,838
A Baa1 190,000 7.875% due 9/01/2007.................. 216,839
Union Pacific Corporation:
BBB Baa2 110,000 7.25% due 11/01/2008.................. 125,134
A Aa3 75,000 4.698% due 1/02/2024.................. 72,217
------------
1,638,194
- ------------------------------------------------------------------------------------------------------------------------------------
INSURANCE--1.1% BBB+ Baa2 190,000 Berkley (WR) Corporation, 5.125% due
9/30/2010............................. 192,030
AA- A2 80,000 Marsh & McLennan Companies Inc., 3.625%
due 2/15/2008......................... 80,282
BBB+ Baa3 345,000 NLV Financial Corporation, 7.50% due
8/15/2033(b).......................... 358,275
BBB+ Baa3 225,000 RLI Corp., 5.95% due 1/15/2014.......... 224,044
A- Baa1 420,000 Security Benefit Life, 7.45% due
10/01/2033(b)......................... 428,465
A- A2 175,000 Travelers Property Casualty, 6.375% due
3/15/2033............................. 182,485
------------
1,465,581
- ------------------------------------------------------------------------------------------------------------------------------------
OIL REFINERIES--0.5% A- Baa1 105,000 EnCana Corp., 4.75% due 10/15/2013...... 103,516
BBB Baa3 460,000 Ultramar Diamond Shamrock, 6.75% due
10/15/2037............................ 506,289
------------
609,805
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER--1.3% BB Ba2 495,000 Boise Cascade Corporation, 7.66% due
5/27/2005............................. 518,227
BBB+ Baa2 275,000 Celulosa Arauco y Constitucion SA,
8.625% due 8/15/2010.................. 328,612
BBB Baa2 480,000 Champion International Corp., 6.65% due
12/15/2037............................ 537,743
BBB- Baa3 155,000 Rock-Tenn Company, 5.625% due
3/15/2013............................. 155,925
BBB Baa2 150,000 Sappi Papier Holdings AG, 6.75% due
6/15/2012(b).......................... 163,971
------------
1,704,478
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
35
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES+ RATINGS++ RATINGS++ AMOUNT CORPORATE BONDS & NOTES VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT BBB Baa2 US$ 270,000 Camden Property Trust, 5.375% due
TRUST--1.6% 12/15/2013............................ $ 271,626
BBB Baa3 125,000 Developers Diversified Realty, 6.625%
due 1/15/2008......................... 135,181
BBB+ Baa1 365,000 Duke Realty Corporation, 5.25% due
1/15/2010............................. 381,549
BBB Baa2 205,000 HRPT Properties Trust, 5.75% due
2/15/2014............................. 205,556
BBB+ Baa2 55,000 Health Care Properties Inc., 7.48% due
4/05/2004............................. 55,644
Health Care Properties Investors Inc.:
BBB+ Baa2 135,000 6.50% due 2/15/2006................... 143,862
BBB+ Baa2 245,000 6.45% due 6/25/2012................... 265,686
BBB- Baa3 135,000 Health Care REIT, Inc., 6% due
11/15/2013............................ 136,433
BBB- Baa3 165,000 Nationwide Health Properties, 6.59% due
7/07/2038............................. 162,053
BBB Baa3 150,000 United Dominion Realty Trust, Inc.,
6.50% due 6/15/2009................... 165,314
A- Baa1 220,000 Washington Real Estate Investment Trust,
5.25% due 1/15/2014................... 220,271
------------
2,143,175
- ------------------------------------------------------------------------------------------------------------------------------------
RETAIL--STORES--0.0% BBB+ Baa1 60,000 Limited Brands Inc., 6.125% due
12/01/2012............................ 64,309
- ------------------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL--0.2% A A2 220,000 Corporacion Andina de Fomento, 6.875%
due 3/15/2012......................... 244,104
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES-- BBB Baa2 110,000 AT&T Corporation, 8.05% due 11/15/2011.. 126,608
COMMUNICATIONS--1.7%
BBB Baa2 152,000 AT&T Wireless Services Inc., 8.75% due
3/01/2031............................. 187,542
A+ A3 270,000 GTE Corporation, 6.84% due 4/15/2018.... 295,240
BBB Baa2 230,000 Harris Corporation, 6.35% due
2/01/2028............................. 245,626
BBB+ Baa3 130,000 Intelsat, Ltd., 6.50% due
11/01/2013(b)......................... 135,641
B- Ba3 234,000 Qwest Corporation, 7.20% due
11/01/2004............................ 239,265
BBB- Baa3 240,000 Sprint Capital Corporation, 6.90% due
5/01/2019............................. 245,169
BBB+ Baa2 270,000 Telecom Italia Capital SA, 5.25% due
11/15/2013(b)......................... 270,538
BBB Ba1 255,000 Telus Corporation, 7.50% due 6/01/2007.. 285,382
A+ A2 220,000 Verizon New York Inc., 6.875% due
4/01/2012............................. 243,432
------------
2,274,443
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES--ELECTRIC & NR* Baa2 270,000 AEP Texas Central Company, 6.65% due
GAS--2.7% 2/15/2033............................. 285,079
BBB+ A3 125,000 Alabama Power Capital Trust, 5.50% due
10/01/2042(a)......................... 130,696
A A2 105,000 Australian Gas Light Company, 5.30% due
9/25/2015(b).......................... 106,244
BBB Baa1 240,000 Cincinnati Gas & Electric Company, 5.70%
due 9/15/2012......................... 252,498
Consumers Energy(b):
BBB- Baa3 100,000 4.25% due 4/15/2008................... 100,999
BBB- Baa3 140,000 4% due 5/15/2010...................... 135,465
BBB+ Baa1 200,000 Dominion Resources Inc., 7.625% due
7/15/2005............................. 216,053
A- Baa1 305,000 Exelon Generation Company, LLC, 5.35%
due 1/15/2014(b)...................... 303,756
A- A2 380,000 FPL Group Capital Inc., 1.47% due
3/30/2005(a).......................... 380,090
BBB Baa3 200,000 Nisource Finance Corporation, 5.40% due
7/15/2014............................. 202,499
BBB Baa1 225,000 PSE&G Power, 6.95% due 6/01/2012........ 253,752
BBB Baa2 160,000 Pepco Holdings Inc., 4% due 5/15/2010... 155,460
</Table>
36
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES+ RATINGS++ RATINGS++ AMOUNT CORPORATE BONDS & NOTES VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES--ELECTRIC & GAS BBB- Baa3 US$ 190,000 Public Service Company of New Mexico,
(CONCLUDED) 4.40% due 9/15/2008................... $ 192,401
BBB Baa2 265,000 Southern California Edison Company, 8%
due 2/15/2007......................... 303,094
BBB+ Baa1 210,000 Southern Power Company, 6.25% due
7/15/2012............................. 226,907
BBB Baa2 215,000 TXU Australia Holdings Partnership LP,
6.15% due 11/15/2013(b)............... 219,135
A- Baa1 225,000 Vectren Utility Holdings, 5.25% due
8/01/2013............................. 225,556
------------
3,689,684
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE CORPORATES+++--1.9% A- A1 100,000 BSCH Issuances Ltd., 7.625% due
9/14/2010(1).......................... 118,542
A- Baa1 570,000 British Telecom PLC, 8.375% due
12/15/2010(4)......................... 693,619
Corporacion Nacional del Cobre
(Codelco)(3)(b):
A- A2 250,000 6.375% due 11/30/2012................. 270,461
A- A2 180,000 5.50% due 10/15/2013.................. 182,662
France Telecom(4):
BBB Baa3 465,000 9.25% due 3/01/2011................... 558,503
BBB Baa3 155,000 10% due 3/01/2031..................... 205,945
A- Baa2 155,000 Inversiones CMPC SA, 4.875% due
6/18/2013(3)(b)....................... 149,034
BBB+ Baa1 220,000 Koninklijke (KPN) NV, 8% due
10/01/2010(3)......................... 263,179
BBB- Baa1 165,000 Pemex Project Funding Master Trust,
9.125% due 10/13/2010(1).............. 195,938
------------
2,637,883
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE SOVEREIGNS+++--1.2% AAA Aaa E 596,000 Bundesobligation, 3.50% due
10/10/2008(2)......................... 751,685
A- Baa1 US$ 170,000 Republic of Chile, 5.50% due
1/15/2013(2).......................... 174,845
United Mexican States(2):
BBB- Baa2 405,000 9.875% due 2/01/2010.................. 511,313
BBB- Baa2 220,000 6.375% due 1/16/2013.................. 228,250
------------
1,666,093
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(COST $55,468,843)--41.9% 57,246,105
- ------------------------------------------------------------------------------------------------------------------------------------
STATE MUNICIPAL BONDS
- ------------------------------------------------------------------------------------------------------------------------------------
TEXAS--0.1% 100,000 Harris County, Texas, Industrial
Development Corporation, Solid Waste
Disposal Revenue Bonds (Deer Park
Refining LP), 5.683% due
3/01/2023(a).......................... 101,683
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS (COST
$100,000)--0.1% 101,683
- ------------------------------------------------------------------------------------------------------------------------------------
SHARES
INDUSTRIES+ HELD PREFERRED STOCKS
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.3% 35 DG Funding Trust (Non-Convertible)(b)... 385,158
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS (COST
$385,126)--0.3% 385,158
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
37
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT SHORT-TERM SECURITIES VALUE
- ----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER**--2.9% US$ 3,933,000 UBS AG, 0.95% due 1/02/2004............. $ 3,932,792
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST
$3,932,792)--2.9% 3,932,792
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS(D)
(COST $153,715,343)--114.4%............. 156,342,328
VARIATION MARGIN ON FINANCIAL FUTURES
CONTRACTS***--0.0%...................... (7,187)
UNREALIZED APPRECIATION ON
SWAPS--NET****--0.0%.................... 784
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS*****--0.0%... (28,464)
LIABILITIES IN EXCESS OF OTHER
ASSETS--(14.4%)......................... (19,608,972)
------------
NET ASSETS--100.0%...................... $136,698,489
============
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
+ For Portfolio compliance purposes, "Industries" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio management.
This definition may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease. These industry
classifications are unaudited.
++ Asset-Backed and Mortgage-Backed Obligations are subject to principal
paydowns as a result of prepayments or refinancings of the underlying
instruments. As a result, the average life may be substantially less than the
original maturity.
+++ Corresponding industry groups for foreign securities:
(1) Financial Institution.
(2) Government Entity.
(3) Industrial.
(4) Telecommunications.
++ Ratings of issues shown are unaudited.
* Not Rated.
** 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.
*** Financial futures contracts purchased as of December 31, 2003 were as
follows:
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------
NUMBER OF UNREALIZED
CONTRACTS ISSUE EXPIRATION DATE FACE VALUE LOSSES
- -------------------------------------------------------------------------------------------------------------
26 Eurodollar Futures December 2004 $25,870,117 $(10,517)
- -------------------------------------------------------------------------------------------------------------
TOTAL UNREALIZED LOSSES--NET $(10,517)
========
- -------------------------------------------------------------------------------------------------------------
</Table>
Financial futures contracts sold as of December 31, 2003 were as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------
NUMBER OF UNREALIZED
CONTRACTS ISSUE EXPIRATION DATE FACE VALUE LOSSES
- ------------------------------------------------------------------------------------------------------------
46 Ten-Year U.S. Treasury Note Futures March 2004 $5,107,984 $(56,235)
- ------------------------------------------------------------------------------------------------------------
TOTAL UNREALIZED LOSSES--NET $(56,235)
========
- ------------------------------------------------------------------------------------------------------------
</Table>
**** Swap contracts entered into as of December 31, 2003 were as follows:
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION
AMOUNT (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------
Receive a variable return equal to Lehman Brothers US High
Yield Index Total Return and pay floating rate based on
1-month USD LIBOR, plus .15%
Broker, Credit Suisse First Boston International
Expires March 2004 $1,400,000 $ --
Sold credit default protection on Sprint Capital Corp. and
receive 1.50% interest
Broker Morgan Stanley Capital Services Inc.
Expires September 2008 430,000 5,630
Sold credit default protection on Comcast Cable
Communications Inc. and receive 1.15% interest
Broker Morgan Stanley Capital Services Inc.
Expires September 2008 430,000 11,026
</Table>
38
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION
AMOUNT (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .22%
Broker, JP Morgan Chase Bank
Expires January 2004 $1,400,000 $ --
Pay 3.875% on TIPS adjusted principal and receive a fixed
rate of 3.401%
Broker, JP Morgan Chase Bank
Expires January 2009 879,000 (737)
Pay 3.50% on TIPS adjusted principal and receive a fixed
rate of 4.17%
Broker, Morgan Stanley Capital Services Inc.
Expires January 2011 750,000 4,253
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .25%
Broker, JP Morgan Chase Bank
Expires January 2004 1,350,000 --
Receive a variable return equal to Lehman Brothers CMBS
Investment Grade Index Total Return and pay floating rate
based on 1-month USD LIBOR, minus .55%
Broker, Deutsche Bank AG, London
Expires June 2004 1,600,000 --
Receive a variable return equal to Lehman Brothers CMBS
Investment Grade Index Total Return and pay floating rate
based on 1-month USD LIBOR, minus .55%
Broker, Morgan Stanley Capital Services Inc.
Expires March 2004 4,650,000 --
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .30%
Broker, JP Morgan Chase Bank
Expires April 2004 1,500,000 --
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .17%
Broker, JP Morgan Chase Bank
Expires February 2004 1,500,000 --
Receive a variable return equal to Lehman Brothers U.S.
Treasury Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .20%
Broker, Lehman Brothers Special Finance
Expires December 2004 6,700,000 --
Receive a variable return equal to Lehman Brothers CMBS AAA
Index Total Return and pay fixed rate of .5542%
Broker, Lehman Brothers Special Finance
Expires January 2004 2,150,000 --
Bought credit default protection on Tyson Foods Inc. and pay
1.36% interest
Broker, Morgan Stanley Capital Services Inc.
Expires September 2008 430,000 (7,753)
Bought credit default protection on Weyerhaeuser Co. and pay
..73% interest
Broker, Morgan Stanley Capital Services Inc.
Expires September 2008 430,000 (2,526)
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .25%
Broker, JP Morgan Chase Bank
Expires January 2004 4,000,000 --
</Table>
39
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION
AMOUNT (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------
Receive a variable return based on 3-month USD LIBOR, plus
..50% which is capped at a fixed coupon of 8% and callable
quarterly beginning March 29, 2004 and pay floating rate
based on 3-month USD LIBOR
Broker, JP Morgan Chase Bank
Expires September 2009 $3,900,000 $(9,109)
- ---------------------------------------------------------------------------------------------------------------
TOTAL $ 784
=======
- ---------------------------------------------------------------------------------------------------------------
</Table>
***** Forward foreign exchange contracts as of December 31, 2003 were as
follows:
<Table>
<Caption>
- ----------------------------------------------------------------
FOREIGN CURRENCY SOLD SETTLEMENT DATE UNREALIZED DEPRECIATION
- ----------------------------------------------------------------
E 596,481 March 2004 $(28,464)
- ----------------------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS--NET (US$
COMMITMENT--$722,339) $(28,464)
========
- ----------------------------------------------------------------
</Table>
(a) Floating rate note.
(b) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(c) All or a portion of security held as collateral in connection with open
financial futures contracts.
(d) Investments in companies considered to be an affiliate of the Portfolio
(such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
<Table>
<Caption>
- -------------------------------------------------------------------------------------
NET INTEREST/DIVIDEND
AFFILIATE ACTIVITY INCOME
- -------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Money Market Series -- $ 635
Merrill Lynch Premier Institutional Fund -- $1,947
- -------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
40
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Fundamental Growth Strategy Portfolio
Schedule of Investments as of December 31, 2003 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
AIR FREIGHT & 98,100 United Parcel Service, Inc. (Class B)............... $ 7,313,355 2.4%
LOGISTICS
- ------------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY 37,300 +Genentech, Inc. ................................... 3,490,161 1.1
76,500 +Gilead Sciences, Inc. ............................. 4,447,710 1.4
------------ -----
7,937,871 2.5
- ------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS 168,200 Ecolab Inc. ........................................ 4,603,634 1.5
84,000 Praxair, Inc. ...................................... 3,208,800 1.0
------------ -----
7,812,434 2.5
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS 44,700 Bank of America Corporation......................... 3,595,221 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & 47,000 +Apollo Group, Inc. (Class A)....................... 3,196,000 1.0
SUPPLIES
76,400 +Career Education Corporation....................... 3,061,348 1.0
------------ -----
6,257,348 2.0
- ------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 579,500 +Cisco Systems, Inc. ............................... 14,076,055 4.6
EQUIPMENT
166,000 Nokia Oyj 'A' (ADR)(a).............................. 2,822,000 0.9
691,900 +Nortel Networks Corporation........................ 2,926,737 0.9
------------ -----
19,824,792 6.4
- ------------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & 235,400 Hewlett-Packard Company............................. 5,407,138 1.8
PERIPHERALS
44,400 +SanDisk Corporation................................ 2,714,616 0.9
------------ -----
8,121,754 2.7
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE 96,100 American Express Company............................ 4,634,903 1.5
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING 45,200 Ball Corporation.................................... 2,692,564 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 63,100 Citigroup Inc. ..................................... 3,062,874 1.0
SERVICES
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 77,500 +BJ Services Company................................ 2,782,250 0.9
SERVICE
91,600 Baker Hughes Incorporated........................... 2,945,856 1.0
99,300 Schlumberger Limited................................ 5,433,696 1.8
------------ -----
11,161,802 3.7
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES 110,000 SUPERVALU Inc. ..................................... 3,144,900 1.0
RETAILING
96,600 SYSCO Corporation................................... 3,596,418 1.2
------------ -----
6,741,318 2.2
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT 94,800 Alcon, Inc. ........................................ 5,739,192 1.9
& SUPPLIES
171,900 +Boston Scientific Corporation...................... 6,319,044 2.0
70,000 DENTSPLY International Inc. ........................ 3,161,900 1.0
137,100 Medtronic, Inc. .................................... 6,664,431 2.2
48,300 +Varian Medical Systems, Inc. ...................... 3,337,530 1.1
------------ -----
25,222,097 8.2
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS 92,100 +Anthem, Inc. ...................................... 6,907,500 2.2
& SERVICES
82,900 UnitedHealth Group Incorporated..................... 4,823,122 1.6
------------ -----
11,730,622 3.8
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 79,500 +Brinker International, Inc. ....................... 2,636,220 0.9
LEISURE
68,700 +Krispy Kreme Doughnuts, Inc. ...................... 2,514,420 0.8
128,300 +Starbucks Corporation.............................. 4,241,598 1.4
132,300 +YUM! Brands, Inc. ................................. 4,551,120 1.5
------------ -----
13,943,358 4.6
- ------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES 57,100 +Affiliated Computer Services, Inc. (Class A)....... 3,109,666 1.0
112,100 First Data Corporation.............................. 4,606,189 1.5
34,600 +Hewitt Associates, Inc. (Class A).................. 1,034,540 0.3
52,400 Infosys Technologies Limited (ADR)(a)............... 5,014,680 1.6
100,800 Paychex, Inc. ...................................... 3,749,760 1.2
------------ -----
17,514,835 5.6
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 139,400 3M Co. ............................................. 11,853,182 3.8
CONGLOMERATES
532,000 General Electric Company............................ 16,481,360 5.3
------------ -----
28,334,542 9.1
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
41
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Fundamental Growth Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET & CATALOG 90,700 +eBay Inc. ......................................... $ 5,858,313 1.9%
RETAIL
103,200 +InterActiveCorp.................................... 3,501,576 1.1
------------ -----
9,359,889 3.0
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & 72,800 +Yahoo! Inc. ....................................... 3,288,376 1.1
SERVICES
- ------------------------------------------------------------------------------------------------------------------------------------
MACHINERY 49,200 ITT Industries, Inc. ............................... 3,651,132 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS 60,000 Canon, Inc. ........................................ 2,793,692 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS 46,200 Apache Corporation.................................. 3,746,820 1.2
74,100 Devon Energy Corporation............................ 4,242,966 1.4
------------ -----
7,989,786 2.6
- ------------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 79,200 +Forest Laboratories, Inc. ......................... 4,894,560 1.6
- ------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 170,200 +Altera Corporation................................. 3,863,540 1.2
SEMICONDUCTOR
EQUIPMENT
495,000 Intel Corporation................................... 15,939,000 5.2
106,400 Texas Instruments Incorporated...................... 3,126,032 1.0
------------ -----
22,928,572 7.4
- ------------------------------------------------------------------------------------------------------------------------------------
SOFTWARE 144,400 +Citrix Systems, Inc. .............................. 3,062,724 1.0
101,400 +Electronic Arts Inc. .............................. 4,844,892 1.6
67,500 +Mercury Interactive Corporation.................... 3,283,200 1.1
76,500 SAP AG (Systeme, Anwendungen, Produkte in der
Datenverarbeitung)(ADR)(a)........................ 3,179,340 1.0
------------ -----
14,370,156 4.7
- ------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL 29,700 +AutoZone, Inc. .................................... 2,530,737 0.8
115,100 +Bed, Bath & Beyond Inc. ........................... 4,989,585 1.6
94,900 Best Buy Co., Inc. ................................. 4,957,576 1.6
150,700 Lowe's Companies, Inc. ............................. 8,347,273 2.7
137,600 PETsMART, Inc. ..................................... 3,274,880 1.1
88,450 +Rent A Center Inc. ................................ 2,642,886 0.9
140,200 Ross Stores, Inc. .................................. 3,705,486 1.2
63,500 Tiffany & Co. ...................................... 2,870,200 0.9
------------ -----
33,318,623 10.8
- ------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & 158,800 +Coach, Inc. ....................................... 5,994,700 1.9
LUXURY GOODS
85,400 Nike, Inc. (Class B)................................ 5,846,484 1.9
------------ -----
11,841,184 3.8
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST--$254,588,050) 300,337,660 97.4
- ------------------------------------------------------------------------------------------------------------------------------------
<Caption>
BENEFICIAL INTEREST/
SHARES HELD SHORT-TERM SECURITIES
- ------------------------------------------------------------------------------------------------------------------------------------
$10,769,222 Merrill Lynch Liquidity Series, LLC Cash Sweep
Series I(b)......................................... 10,769,222 3.5
$15,137,363 Merrill Lynch Liquidity Series, LLC Money Market
Series(b)(c)...................................... 15,137,363 4.9
5,045,787 Merrill Lynch Premier Institutional Fund(b)(c)...... 5,045,787 1.6
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$30,952,372) 30,952,372 10.0
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$285,540,422).............. 331,290,032 107.4
LIABILITIES IN EXCESS OF OTHER ASSETS............... (23,044,987) (7.4)
------------ -----
NET ASSETS.......................................... $308,245,045 100.0%
============ =====
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
42
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Fundamental Growth Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
(a) American Depositary Receipts (ADR).
(b) Investments in companies considered to be an affiliate of the Portfolio
(such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------
NET INTEREST/DIVIDEND
AFFILIATE ACTIVITY INCOME
- ----------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 10,769,222 $ 9,855
Merrill Lynch Liquidity Series, LLC Cash Sweep Series II $(10,047,090) $116,412
Merrill Lynch Liquidity Series, LLC Money Market Series $(23,182,751) $ 17,221
Merrill Lynch Premier Institutional Fund (28,936,200) $ 10,713
- ----------------------------------------------------------------------------------------------
</Table>
(c) Security was purchased with the cash proceeds from securities loans.
+ Non-income producing security.
+++ For Portfolio compliance purposes, "Industries" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio management.
This definition may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease. These industry
classifications are unaudited.
See Notes to Financial Statements.
43
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA FOOD PRODUCTS 148,000 +Burns, Philp & Company Limited......... $ 63,561 0.0%
------------------------------------------------------------------------------------------------------------
METALS & MINING
24,100 Alumina Limited......................... 119,299 0.0
141,400 BHP Billiton Limited.................... 1,298,696 0.6
53,800 BHP Steel Limited....................... 226,999 0.1
15,500 Newcrest Mining Limited................. 151,236 0.1
27,700 Rio Tinto Limited....................... 776,385 0.4
176,400 +WMC Resources Limited.................. 748,275 0.4
------------ -----
3,320,890 1.6
------------------------------------------------------------------------------------------------------------
OIL & GAS
19,800 Woodside Petroleum Limited.............. 220,791 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN AUSTRALIA 3,605,242 1.7
- ---------------------------------------------------------------------------------------------------------------------------------
BERMUDA INSURANCE 19,800 ACE Limited(c).......................... 820,116 0.4
5,000 XL Capital Ltd. (Class A)............... 387,750 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN BERMUDA 1,207,866 0.6
- ---------------------------------------------------------------------------------------------------------------------------------
BRAZIL METALS & MINING 2,700 Companhia Vale do Rio Doce (ADR)(a)..... 157,950 0.1
4,500 Companhia Vale do Rio Doce (Sponsored
ADR)(a)............................... 231,795 0.1
------------ -----
389,745 0.2
------------------------------------------------------------------------------------------------------------
OIL & GAS
14,000 Petroleo Brasileiro SA--Petrobras
(ADR)(a).............................. 409,360 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN BRAZIL 799,105 0.4
- ---------------------------------------------------------------------------------------------------------------------------------
CANADA COMMUNICATIONS 38,029 +Nortel Networks Corporation............ 160,863 0.1
EQUIPMENT
------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT &
SERVICE
64,700 +Drillers Technology Corp. ............. 60,081 0.0
6,300 Ensign Resource Service Group, Inc. .... 100,429 0.0
2,300 +Precision Drilling Corporation......... 101,006 0.1
15,200 +Tesco Corporation...................... 124,094 0.1
------------ -----
385,610 0.2
------------------------------------------------------------------------------------------------------------
METALS & MINING
5,000 Barrick Gold Corporation................ 113,407 0.0
46,900 +Eldorado Gold Corporation.............. 146,988 0.1
8,600 +Glamis Gold Ltd. ...................... 148,275 0.1
25,800 +Inco Limited........................... 1,027,356 0.5
39,300 Placer Dome Inc. ....................... 703,863 0.3
7,200 Placer Dome Inc. ....................... 129,096 0.1
------------ -----
2,268,985 1.1
------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES &
UNREGULATED POWER
30,496 +Rider Resources Ltd. .................. 81,417 0.0
------------------------------------------------------------------------------------------------------------
OIL & GAS
21,700 +Atlas Energy Ltd. ..................... 67,170 0.0
2,800 Canadian Natural Resources Ltd. ........ 141,641 0.1
25,000 +Canadian Superior Energy, Inc. ........ 63,068 0.0
11,000 +Cequel Energy Inc. .................... 77,036 0.0
17,700 +Clear Energy Inc. ..................... 48,624 0.0
13,500 +Compton Petroleum Corporation.......... 62,681 0.0
16,000 +Devlan Exploration Inc. ............... 29,097 0.0
22,826 EnCana Corp. ........................... 900,852 0.4
5,800 Husky Energy Inc. ...................... 105,340 0.1
25,600 +Impact Energy Inc. .................... 26,744 0.0
4,400 Nexen Inc. ............................. 159,759 0.1
3,000 Niko Resources Ltd. .................... 62,914 0.0
3,100 Penn West Petroleum Ltd. ............... 115,556 0.1
6,500 Petro-Canada............................ 321,466 0.2
28,500 +Progress Energy Ltd. .................. 273,476 0.1
12,600 Suncor Energy, Inc. .................... 316,889 0.2
23,500 +TUSK Energy Inc. ...................... 68,741 0.0
5,700 Talisman Energy Inc. ................... 324,290 0.2
23,300 +Thunder Energy Inc. ................... 150,736 0.1
------------ -----
3,316,080 1.6
------------------------------------------------------------------------------------------------------------
PAPER & FOREST
PRODUCTS
7,300 Domtar, Inc. ........................... 91,797 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CANADA 6,304,752 3.0
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
44
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
CHINA INSURANCE 2,900 +China Life Insurance Co., Limited
(ADR)(a).............................. $ 95,613 0.0%
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CHINA 95,613 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
DENMARK COMMERCIAL SERVICES & 6,763 ISS A/S................................. 333,387 0.2
SUPPLIES
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN DENMARK 333,387 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
FINLAND PAPER & FOREST 6,668 Stora Enso Oyj 'R'...................... 89,826 0.0
PRODUCTS
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FINLAND 89,826 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
FRANCE AUTOMOBILES 3,728 PSA Peugeot Citroen..................... 189,974 0.1
------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS
8,741 BNP Paribas SA.......................... 550,391 0.3
6,804 Credit Agricole S.A. ................... 162,462 0.1
------------ -----
712,853 0.4
------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS
2,874 Lafarge SA (Ordinary)................... 255,934 0.1
------------------------------------------------------------------------------------------------------------
DIVERSIFIED
TELECOMMUNICATION
SERVICES
11,955 +France Telecom SA...................... 341,700 0.2
------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS
2,807 Schneider SA............................ 183,758 0.1
------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT &
SERVICE
8,925 Technip-Coflexip SA (ADR)(a)............ 240,261 0.1
------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS &
LEISURE
8,279 Accor SA................................ 374,894 0.2
------------------------------------------------------------------------------------------------------------
INSURANCE
9,231 Axa..................................... 197,591 0.1
------------------------------------------------------------------------------------------------------------
MEDIA
11,595 +Vivendi Universal SA................... 281,831 0.1
------------------------------------------------------------------------------------------------------------
METALS & MINING
11,343 Arcelor................................. 197,730 0.1
------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES &
UNREGULATED POWER
12,853 Suez SA................................. 258,259 0.1
------------------------------------------------------------------------------------------------------------
OIL & GAS
3,500 Total Fina SA (ADR)(a).................. 323,785 0.2
3,857 TotalFinaElf SA......................... 717,105 0.3
------------ -----
1,040,890 0.5
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FRANCE 4,275,675 2.1
- ---------------------------------------------------------------------------------------------------------------------------------
GERMANY AIRLINES 6,984 Deutsche Lufthansa AG (Registered
Shares)............................... 116,723 0.1
------------------------------------------------------------------------------------------------------------
AUTOMOBILES
3,066 Bayerische Motoren Werke (BMW) AG....... 142,123 0.1
2,621 Volkswagen AG........................... 145,960 0.1
------------ -----
288,083 0.2
------------------------------------------------------------------------------------------------------------
CHEMICALS
7,285 Bayer AG................................ 213,367 0.1
4,200 Celanese AG............................. 170,898 0.1
4,350 Linde AG................................ 234,290 0.1
------------ -----
618,555 0.3
------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL
SERVICES
3,589 Deutsche Boerse AG...................... 196,245 0.1
------------------------------------------------------------------------------------------------------------
DIVERSIFIED
TELECOMMUNICATION
SERVICES
15,994 +Deutsche Telekom AG (Registered
Shares)............................... 292,725 0.1
------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES
4,583 E.On AG................................. 299,097 0.1
------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS
1,210 Henkel KGaA............................. 88,964 0.0
------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS
4,519 Schering AG............................. 228,857 0.1
------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL &
LUXURY GOODS
1,921 Adidas-Salomon AG....................... 218,802 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN GERMANY 2,348,051 1.1
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
45
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
HONG KONG AUTOMOBILES 98,000 Denway Motors Limited................... $ 104,140 0.0%
------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS
27,600 HSBC Holdings PLC....................... 435,494 0.2
------------------------------------------------------------------------------------------------------------
INDUSTRIAL
CONGLOMERATES
74,260 Hutchison Whampoa Limited............... 547,605 0.3
------------------------------------------------------------------------------------------------------------
OIL & GAS
5,100 CNOOC Limited (ADR)(a).................. 203,592 0.1
------------------------------------------------------------------------------------------------------------
TRANSPORTATION
INFRASTRUCTURE
29,000 Hainan Meilan Airport Company Limited
'H'................................... 20,171 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN HONG KONG 1,311,002 0.6
- ---------------------------------------------------------------------------------------------------------------------------------
INDIA AUTOMOBILES 10,000 Bajaj Auto Limited...................... 249,282 0.1
------------------------------------------------------------------------------------------------------------
CHEMICALS
134,000 +Reliance Industries Ltd. .............. 1,682,893 0.8
------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS
8,000 Oriental Bank of Commerce............... 44,958 0.0
4,300 State Bank of India..................... 50,752 0.0
------------ -----
95,710 0.0
------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS
28,800 Hindustan Lever Ltd. ................... 129,213 0.1
------------------------------------------------------------------------------------------------------------
IT SERVICES
6,000 Infosys Technologies Limited............ 731,665 0.4
------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS
4,000 Dr. Reddy's Laboratories Limited........ 125,199 0.1
9,100 Ranbaxy Laboratories Limited............ 219,038 0.1
------------ -----
344,237 0.2
------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE
FINANCE
31,000 Housing Development Finance Corporation
Ltd. (HDFC)........................... 437,805 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN INDIA 3,670,805 1.8
- ---------------------------------------------------------------------------------------------------------------------------------
INDONESIA COMMERCIAL BANKS 267,000 PT Bank Danamon Indonesia Tbk........... 64,194 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN INDONESIA 64,194 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
IRELAND COMMERCIAL BANKS 18,438 Bank of Ireland......................... 251,173 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN IRELAND 251,173 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
ISRAEL COMMUNICATIONS 64,600 +ECI Telecom Limited (U.S. Registered
EQUIPMENT Shares)............................... 370,158 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN ISRAEL 370,158 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
ITALY COMMERCIAL BANKS 29,354 +Capitalia SpA.......................... 86,381 0.0
129,873 Intesa BCI SpA.......................... 507,828 0.2
59,145 Unicredito Italiano SpA................. 319,299 0.2
------------ -----
913,508 0.4
------------------------------------------------------------------------------------------------------------
DIVERSIFIED
TELECOMMUNICATION
SERVICES
92,609 +Telecom Italia SpA..................... 274,509 0.1
------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT &
SERVICE
22,900 Saipem SpA.............................. 185,412 0.1
------------------------------------------------------------------------------------------------------------
OIL & GAS
30,973 ENI SpA................................. 584,454 0.3
1,100 ENI SpA (ADR)(a)........................ 104,478 0.1
------------ -----
688,932 0.4
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN ITALY 2,062,361 1.0
- ---------------------------------------------------------------------------------------------------------------------------------
JAPAN AUTO COMPONENTS 9,500 Toyota Industries Corporation........... 201,666 0.1
------------------------------------------------------------------------------------------------------------
AUTOMOBILES
47,000 Fuji Heavy Industries, Ltd. ............ 228,049 0.1
4,400 Honda Motor Co., Ltd. .................. 195,428 0.1
19,000 Suzuki Motor Corporation................ 281,179 0.2
------------ -----
704,656 0.4
------------------------------------------------------------------------------------------------------------
BEVERAGES
8,100 Coca-Cola West Japan Company Limited.... 158,720 0.1
5,000 Kinki Coca-Cola Bottling Co., Ltd. ..... 36,344 0.0
------------ -----
195,064 0.1
------------------------------------------------------------------------------------------------------------
CHEMICALS
26,000 Shin-Etsu Chemical Co., Ltd. ........... 1,062,611 0.5
------------------------------------------------------------------------------------------------------------
COMPUTERS &
PERIPHERALS
1,500 Seiko Epson Corporation................. 69,982 0.0
------------------------------------------------------------------------------------------------------------
</Table>
46
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
JAPAN CONSTRUCTION & 47,000 JGC Corporation......................... $ 490,305 0.2%
(CONCLUDED) ENGINEERING
------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE
8,000 Credit Saison Co., Ltd. ................ 180,648 0.1
------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS
12,000 Murata Manufacturing Co., Ltd. ......... 648,316 0.3
------------------------------------------------------------------------------------------------------------
FOOD & STAPLES
RETAILING
13,500 Ito-Yokado Co., Ltd. ................... 424,512 0.2
------------------------------------------------------------------------------------------------------------
INSURANCE
194,000 Aioi Insurance Company, Limited......... 771,149 0.4
221 Millea Holdings, Inc. .................. 2,887,002 1.4
291,000 Mitsui Sumitomo Insurance Company,
Limited............................... 2,389,475 1.1
39,000 NIPPONKOA Insurance Company, Limited.... 215,797 0.1
------------ -----
6,263,423 3.0
------------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS
18,000 Canon, Inc. ............................ 838,108 0.4
------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS
3,000 Kyorin Pharmaceutical Co., Ltd. ........ 33,731 0.0
10,600 Rohto Pharmaceutical Co., Ltd. ......... 88,424 0.1
17,000 Takeda Chemical Industries, Ltd. ....... 674,163 0.3
------------ -----
796,318 0.4
------------------------------------------------------------------------------------------------------------
SOFTWARE
2,100 Nintendo Company Ltd. .................. 195,950 0.1
------------------------------------------------------------------------------------------------------------
WIRELESS
TELECOMMUNICATION
SERVICES
135 NTT DoCoMo, Inc. ....................... 306,102 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN JAPAN 12,377,661 6.0
- ---------------------------------------------------------------------------------------------------------------------------------
MEXICO BEVERAGES 5,400 Fomento Economico Mexicano, SA de CV
(ADR)(a).............................. 199,152 0.1
------------------------------------------------------------------------------------------------------------
MEDIA
8,800 Grupo Televisa SA (ADR)(a).............. 350,768 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN MEXICO 549,920 0.3
- ---------------------------------------------------------------------------------------------------------------------------------
NETHERLANDS CHEMICALS 3,794 Akzo Nobel NV........................... 146,438 0.1
------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS
7,906 ABN AMRO Holding NV..................... 184,985 0.1
------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES &
SUPPLIES
17,605 +Buhrmann NV............................ 153,444 0.1
12,020 Vedior NV 'A'........................... 188,002 0.1
------------ -----
341,446 0.2
------------------------------------------------------------------------------------------------------------
CONSTRUCTION &
ENGINEERING
3,962 Imtech NV............................... 102,848 0.1
------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL
SERVICES
22,478 ING Groep NV............................ 524,240 0.3
------------------------------------------------------------------------------------------------------------
FOOD & STAPLES
RETAILING
30,147 Koninklijke Ahold NV.................... 229,677 0.1
------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS
3,531 +Koninklijke Numico NV.................. 97,583 0.0
------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES
10,923 Koninklijke (Royal) Philips Electronics
NV.................................... 318,955 0.1
------------------------------------------------------------------------------------------------------------
INSURANCE
12,827 Aegon NV................................ 189,784 0.1
------------------------------------------------------------------------------------------------------------
MEDIA
15,145 Wolters Kluwer NV 'A'................... 236,879 0.1
------------------------------------------------------------------------------------------------------------
OIL & GAS
11,167 Royal Dutch Petroleum Company........... 588,774 0.3
9,800 Royal Dutch Petroleum Company (NY
Registered Shares).................... 513,422 0.2
------------ -----
1,102,196 0.5
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE NETHERLANDS 3,475,031 1.7
- ---------------------------------------------------------------------------------------------------------------------------------
SINGAPORE BEVERAGES 20,000 Fraser & Neave Limited.................. 148,384 0.1
------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS
21,000 Oversea-Chinese Banking Corporation
Ltd................................... 149,620 0.1
------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS
15,850 +Flextronics International Ltd. ........ 235,214 0.1
------------------------------------------------------------------------------------------------------------
</Table>
47
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
SINGAPORE HEALTH CARE PROVIDERS 131,000 Parkway Holdings Limited................ $ 75,208 0.0%
(CONCLUDED) & SERVICES
------------------------------------------------------------------------------------------------------------
INDUSTRIAL
CONGLOMERATES
86,000 Keppel Corporation Ltd. ................ 308,897 0.1
------------------------------------------------------------------------------------------------------------
REAL ESTATE
133,000 Keppel Land Limited..................... 123,736 0.1
------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SINGAPORE 1,301,319 0.6
- ---------------------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA PAPER & FOREST 25,800 Sappi Limited (ADR)(a).................. 352,686 0.2
PRODUCTS
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SOUTH AFRICA 352,686 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
SOUTH KOREA DIVERSIFIED 44,100 KT Corporation (ADR)(a)................. 840,987 0.4
TELECOMMUNICATION
SERVICES
------------------------------------------------------------------------------------------------------------
METALS & MINING
32,000 POSCO (ADR)(a).......................... 1,087,040 0.5
------------------------------------------------------------------------------------------------------------
WIRELESS
TELECOMMUNICATION
SERVICES
1,000 SK Telecom Co., Ltd. ................... 167,016 0.1
9,400 SK Telecom Co., Ltd. (ADR)(a)........... 175,310 0.1
------------ -----
342,326 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SOUTH KOREA 2,270,353 1.1
- ---------------------------------------------------------------------------------------------------------------------------------
SPAIN TOBACCO 8,336 Altadis................................. 236,579 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SPAIN 236,579 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
SWEDEN COMMERCIAL BANKS 26,276 Nordbanken Holding AB................... 197,199 0.1
------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES &
SUPPLIES
14,487 Securitas AB 'B'........................ 195,300 0.1
------------------------------------------------------------------------------------------------------------
INSURANCE
54,335 Skandia Forsakrings AB.................. 197,848 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWEDEN 590,347 0.3
- ---------------------------------------------------------------------------------------------------------------------------------
SWITZERLAND CAPITAL MARKETS 15,057 Credit Suisse Group..................... 550,903 0.3
------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS
7,048 Holcim Ltd. (Registered Shares)......... 328,251 0.2
------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT
39,345 +ABB Ltd. .............................. 199,469 0.1
------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS
1,932 Nestle SA (Registered Shares)........... 482,707 0.2
------------------------------------------------------------------------------------------------------------
INSURANCE
1,273 +Swiss Life Holding..................... 233,654 0.1
------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS
8,363 Novartis AG (Registered Shares)......... 379,691 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWITZERLAND 2,174,675 1.1
- ---------------------------------------------------------------------------------------------------------------------------------
TAIWAN DIVERSIFIED 16,000 Chunghwa Telecom Co., Ltd. (ADR)(a)..... 232,000 0.1
TELECOMMUNICATION
SERVICES
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN TAIWAN 232,000 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
THAILAND COMMERCIAL BANKS 12,700 +Bangkok Bank Public Company Limited
'Foreign Registered'.................. 36,860 0.0
430,000 +Siam Commercial Bank Public Company
Limited (Registered Shares)........... 586,031 0.3
------------ -----
622,891 0.3
------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS
49,800 The Siam Cement Public Company Limited
'Foreign Registered'.................. 346,894 0.2
23,600 Siam City Cement Public Company Limited
'Foreign'............................. 135,802 0.1
------------ -----
482,696 0.3
------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS
62,000 Thai Union Frozen Products Public
Company Limited 'Foreign'............. 50,073 0.0
------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES
317,000 Land and Houses Public Company Limited
'Foreign'............................. 101,606 0.1
------------------------------------------------------------------------------------------------------------
</Table>
48
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
THAILAND OIL & GAS 30,100 PTT Exploration and Production Public
(CONCLUDED) Company Limited 'Foreign'............. $ 203,591 0.1%
99,500 PTT Public Company Limited 'Foreign'.... 464,572 0.2
------------ -----
668,163 0.3
------------------------------------------------------------------------------------------------------------
TRANSPORTATION
INFRASTRUCTURE
97,600 Bangkok Expressway Public Company
Limited 'Foreign'..................... 61,581 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THAILAND 1,987,010 1.0
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM AEROSPACE & DEFENSE 70,195 BAE Systems PLC......................... 211,422 0.1
------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS
49,624 Barclays PLC............................ 442,618 0.2
15,540 Royal Bank of Scotland Group PLC........ 457,900 0.2
------------ -----
900,518 0.4
------------------------------------------------------------------------------------------------------------
FOOD & STAPLES
RETAILING
14,433 Boots Group PLC......................... 178,535 0.1
26,714 J Sainsbury PLC......................... 149,564 0.0
------------ -----
328,099 0.1
------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS
32,230 Unilever PLC............................ 300,455 0.1
------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS &
LEISURE
22,408 Compass Group PLC....................... 152,432 0.1
------------------------------------------------------------------------------------------------------------
INDUSTRIAL
CONGLOMERATES
11,145 Smiths Industries PLC................... 131,878 0.1
------------------------------------------------------------------------------------------------------------
INSURANCE
21,507 AVIVA PLC............................... 188,750 0.1
22,631 Prudential Corporation PLC.............. 191,322 0.1
------------ -----
380,072 0.2
------------------------------------------------------------------------------------------------------------
OIL & GAS
50,646 BP Amoco PLC............................ 410,708 0.2
2,000 BP Amoco PLC (ADR)(a)................... 98,700 0.0
------------ -----
509,408 0.2
------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS
15,085 GlaxoSmithKline PLC..................... 345,657 0.2
------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL
41,078 Kesa Electricals PLC.................... 189,171 0.1
------------------------------------------------------------------------------------------------------------
TRANSPORTATION
INFRASTRUCTURE
22,259 BAA PLC................................. 197,741 0.1
------------------------------------------------------------------------------------------------------------
WIRELESS
TELECOMMUNICATION
SERVICES
135,726 Vodafone Group PLC...................... 336,514 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED
KINGDOM 3,983,367 1.9
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES AEROSPACE & DEFENSE 1,200 General Dynamics Corporation............ 108,468 0.1
3,400 Raytheon Company........................ 102,136 0.0
------------ -----
210,604 0.1
------------------------------------------------------------------------------------------------------------
AIR FREIGHT &
LOGISTICS
2,400 +ABX Air, Inc........................... 10,320 0.0
------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS
13,600 +The Goodyear Tire & Rubber Company..... 106,896 0.1
------------------------------------------------------------------------------------------------------------
BEVERAGES
7,400 PepsiAmericas, Inc...................... 126,688 0.1
------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS
9,500 The Bank of New York Company, Inc....... 314,640 0.1
9,400 J.P. Morgan Chase & Co.................. 345,262 0.2
24,200 +Knight Trading Group, Inc.............. 354,288 0.2
3,100 Mellon Financial Corporation............ 99,541 0.0
6,800 Morgan Stanley.......................... 393,516 0.2
------------ -----
1,507,247 0.7
------------------------------------------------------------------------------------------------------------
CHEMICALS
7,050 E.I. du Pont de Nemours and Company..... 323,525 0.2
5,000 +Hercules Incorporated.................. 61,000 0.0
8,300 Millennium Chemicals Inc................ 105,244 0.0
2,800 Praxair, Inc............................ 106,960 0.1
------------ -----
596,729 0.3
------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS
6,150 Charter One Financial, Inc.............. 212,483 0.1
8,100 FleetBoston Financial Corporation....... 353,565 0.2
------------ -----
566,048 0.3
------------------------------------------------------------------------------------------------------------
</Table>
49
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES COMMERCIAL SERVICES & 2,400 +Cendant Corporation.................... $ 53,448 0.0%
(CONTINUED) SUPPLIES
20,500 Information Resources, Inc.............. 34,850 0.0
------------ -----
88,298 0.0
------------------------------------------------------------------------------------------------------------
COMMUNICATIONS
EQUIPMENT
35,000 +3Com Corporation....................... 285,950 0.1
47,700 +ADC Telecommunications, Inc............ 141,669 0.1
9,800 +Cisco Systems, Inc..................... 238,042 0.1
39,900 +Lucent Technologies Inc................ 113,316 0.1
5,700 Motorola, Inc........................... 80,199 0.0
2,500 QUALCOMM Incorporated................... 134,825 0.1
12,800 +Tellabs, Inc........................... 107,904 0.0
------------ -----
1,101,905 0.5
------------------------------------------------------------------------------------------------------------
COMPUTERS &
PERIPHERALS
5,000 +Apple Computer, Inc.................... 106,850 0.1
7,870 +EMC Corporation........................ 101,680 0.0
21,671 Hewlett-Packard Company................. 497,783 0.2
1,300 International Business Machines
Corporation........................... 120,484 0.1
1,300 +NCR Corporation........................ 50,440 0.0
47,850 +Sun Microsystems, Inc.................. 214,847 0.1
------------ -----
1,092,084 0.5
------------------------------------------------------------------------------------------------------------
CONSTRUCTION &
ENGINEERING
5,000 Chicago Bridge & Iron Company NV (NY
Registered Shares).................... 144,500 0.1
99,000 +Foster Wheeler Ltd..................... 99,990 0.0
24,800 +McDermott International, Inc........... 296,360 0.1
100,800 +Quanta Services, Inc................... 735,840 0.4
4,000 +The Shaw Group Inc..................... 54,480 0.0
------------ -----
1,331,170 0.6
------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING
14,800 +Crown Holdings, Inc.................... 134,088 0.0
8,600 +Smurfit-Stone Container Corporation.... 159,702 0.1
------------ -----
293,790 0.1
------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL
SERVICES
24,400 CIT Group Inc........................... 877,180 0.4
37,300 Citigroup Inc.(c)....................... 1,810,542 0.9
4,637 Leucadia National Corporation........... 213,766 0.1
------------ -----
2,901,488 1.4
------------------------------------------------------------------------------------------------------------
DIVERSIFIED
TELECOMMUNICATION
SERVICES
11,100 ALLTEL Corporation...................... 517,038 0.2
6,280 AT&T Corporation........................ 127,484 0.1
10,800 BellSouth Corporation................... 305,640 0.1
19,800 +Cincinnati Bell Inc.................... 99,990 0.0
1,000,000 LTC--Williams Communications............ 10 0.0
4,853 +NTL Incorporated....................... 338,497 0.2
21,700 SBC Communications Inc.................. 565,719 0.3
9,200 Sprint Corporation...................... 151,064 0.1
19,000 Verizon Communications.................. 666,520 0.3
10,933 WilTel Communications Group, Inc........ 0 0.0
------------ -----
2,771,962 1.3
------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES
5,100 DTE Energy Company...................... 200,940 0.1
11,200 PPL Corporation......................... 490,000 0.2
------------ -----
690,940 0.3
------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS
26,308 +Solectron Corporation.................. 155,480 0.1
7,500 +Waters Corporation..................... 248,700 0.1
------------ -----
404,180 0.2
------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT &
SERVICE
2,400 Baker Hughes Incorporated............... 77,184 0.0
13,100 ENSCO International Incorporated........ 355,927 0.2
20,514 GlobalSantaFe Corporation............... 509,363 0.2
4,600 +Grant Prideco, Inc. ................... 59,892 0.0
7,900 Halliburton Company..................... 205,400 0.1
7,700 +Input/Output, Inc. .................... 34,727 0.0
7,400 +Key Energy Services, Inc. ............. 76,294 0.0
2,600 +Noble Corporation...................... 93,028 0.1
2,200 +Patterson-UTI Energy, Inc. ............ 72,424 0.0
3,500 +Precision Drilling Corporation......... 152,880 0.1
</Table>
50
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES ENERGY EQUIPMENT & 15,750 +Rowan Companies, Inc. ................. $ 364,928 0.2%
(CONTINUED) SERVICE (CONCLUDED)
10,800 Schlumberger Limited.................... 590,976 0.3
2,200 Tidewater Inc. ......................... 65,736 0.0
4,300 +Transocean Inc. ....................... 103,243 0.1
------------ -----
2,762,002 1.3
------------------------------------------------------------------------------------------------------------
FOOD & STAPLES
RETAILING
6,200 CVS Corporation......................... 223,944 0.1
3,200 +Safeway Inc. .......................... 70,112 0.0
14,900 Wal-Mart Stores, Inc. .................. 790,445 0.4
6,300 Walgreen Co. ........................... 229,194 0.1
------------ -----
1,313,695 0.6
------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS
3,800 Archer-Daniels-Midland Company.......... 57,836 0.0
3,900 ConAgra, Inc. .......................... 102,921 0.1
2,600 Kraft Foods Inc. (Class A).............. 83,772 0.1
100,200 Tyson Foods, Inc. (Class A)............. 1,326,648 0.6
------------ -----
1,571,177 0.8
------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES
4,900 Baxter International Inc. .............. 149,548 0.1
------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS
& SERVICES
3,325 Aetna Inc. (New Shares)................. 224,704 0.1
3,100 AmerisourceBergen Corporation........... 174,065 0.1
7,400 +Andrx Group............................ 177,896 0.1
61,800 +Beverly Enterprises, Inc. ............. 530,862 0.3
2,500 CIGNA Corporation....................... 143,750 0.1
3,300 Cardinal Health, Inc. .................. 201,828 0.1
1,500 HCA Inc. ............................... 64,440 0.0
9,900 +LifePoint Hospitals, Inc. ............. 291,555 0.1
3,700 Manor Care, Inc. ....................... 127,909 0.1
1,796 +Medco Health Solutions, Inc. .......... 61,046 0.0
75,200 +Stewart Enterprises, Inc. (Class A).... 427,136 0.2
12,200 +Triad Hospitals, Inc. ................. 405,894 0.2
5,450 +WellChoice Inc. ....................... 188,025 0.1
------------ -----
3,019,110 1.5
------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS &
LEISURE
1,200 Darden Restaurants, Inc. ............... 25,248 0.0
227,900 +La Quinta Corporation.................. 1,460,839 0.7
------------ -----
1,486,087 0.7
------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS
6,200 Kimberly-Clark Corporation.............. 366,358 0.2
------------------------------------------------------------------------------------------------------------
IT SERVICES
2,700 Automatic Data Processing, Inc. ........ 106,947 0.1
1,200 +Computer Sciences Corporation.......... 53,076 0.0
2,700 +Concord EFS, Inc. ..................... 40,068 0.0
2,700 First Data Corporation.................. 110,943 0.1
7,900 +Sykes Enterprises, Incorporated........ 67,624 0.0
5,400 +Unisys Corporation..................... 80,190 0.0
------------ -----
458,848 0.2
------------------------------------------------------------------------------------------------------------
INDUSTRIAL
CONGLOMERATES
72,500 General Electric Company................ 2,246,050 1.1
24,400 Tyco International Ltd. ................ 646,600 0.3
------------ -----
2,892,650 1.4
------------------------------------------------------------------------------------------------------------
INSURANCE
9,800 The Allstate Corporation................ 421,596 0.2
23,500 American International Group, Inc. ..... 1,557,580 0.8
5,000 The Hartford Financial Services Group,
Inc. ................................. 295,150 0.1
3,800 Horace Mann Educators Corporation....... 53,086 0.0
3,700 Marsh & McLennan Companies, Inc. ....... 177,193 0.1
7,900 MetLife, Inc. .......................... 265,993 0.1
5,400 Prudential Financial, Inc. ............. 225,558 0.1
18,913 Travelers Property Casualty Corp. (Class
A).................................... 317,360 0.2
8,136 Travelers Property Casualty Corp. (Class
B).................................... 138,068 0.1
------------ -----
3,451,584 1.7
------------------------------------------------------------------------------------------------------------
</Table>
51
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES LEISURE EQUIPMENT & 3,500 Eastman Kodak Company................... $ 89,845 0.0%
(CONTINUED) PRODUCTS
------------------------------------------------------------------------------------------------------------
MACHINERY
1,200 Deere & Company......................... 78,060 0.0
3,600 Pall Corporation........................ 96,588 0.1
------------ -----
174,648 0.1
------------------------------------------------------------------------------------------------------------
MEDIA
12,545 +Comcast Corporation (Class A).......... 412,354 0.2
5,400 +EchoStar Communications Corporation
(Series A)............................ 183,600 0.1
9,220 +Hughes Electronics Corporation......... 152,591 0.1
17,600 +Liberty Media Corporation (Class A).... 209,264 0.1
17,300 +Time Warner Inc. ...................... 311,227 0.1
8,100 Viacom, Inc. (Class B).................. 359,478 0.2
6,400 The Walt Disney Company................. 149,312 0.1
------------ -----
1,777,826 0.9
------------------------------------------------------------------------------------------------------------
METALS & MINING
40,400 +AK Steel Holding Corporation........... 206,040 0.1
9,676 Alcoa Inc. ............................. 367,688 0.2
7,500 Arch Coal, Inc. ........................ 233,775 0.1
7,100 CONSOL Energy Inc. ..................... 183,890 0.1
16,300 Commonwealth Industries, Inc. .......... 163,652 0.1
8,200 Freeport-McMoRan Copper & Gold, Inc.
(Class B)............................. 345,466 0.2
2,700 Newmont Mining Corporation.............. 131,247 0.1
4,300 Nucor Corporation....................... 240,800 0.1
8,700 United States Steel Corporation......... 304,674 0.1
------------ -----
2,177,232 1.1
------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES &
18,900 +The AES Corporation.................... 178,416 0.1
UNREGULATED POWER
185,700 El Paso Corporation..................... 1,520,883 0.7
7,000 Equitable Resources, Inc. .............. 300,440 0.2
10,000 The Williams Companies, Inc. ........... 98,200 0.0
------------ -----
2,097,939 1.0
------------------------------------------------------------------------------------------------------------
OIL & GAS
5,000 Amerada Hess Corporation................ 265,850 0.1
2,700 Anadarko Petroleum Corporation.......... 137,727 0.1
15,730 ChevronTexaco Corporation............... 1,358,915 0.7
5,279 ConocoPhillips.......................... 346,144 0.2
1,287 Devon Energy Corporation................ 73,694 0.0
24,808 Exxon Mobil Corporation................. 1,017,128 0.5
6,600 +Forest Oil Corporation................. 188,562 0.1
28,179 Kerr-McGee Corporation.................. 1,310,042 0.6
17,100 Marathon Oil Corporation................ 565,839 0.3
2,300 +Newfield Exploration Company........... 102,442 0.0
3,900 Noble Energy, Inc. ..................... 173,277 0.1
13,700 Occidental Petroleum Corporation........ 578,688 0.3
10,000 +Stone Energy Corporation............... 424,500 0.2
10,800 Unocal Corporation...................... 397,764 0.2
1,700 +Whiting Petroleum Corporation.......... 31,280 0.0
------------ -----
6,971,852 3.4
------------------------------------------------------------------------------------------------------------
PAPER & FOREST
PRODUCTS
6,200 Bowater Incorporated.................... 287,122 0.1
6,600 Deltic Timber Corporation............... 200,640 0.1
------------ -----
487,762 0.2
------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS
5,400 The Gillette Company.................... 198,342 0.1
------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS
11,300 Abbott Laboratories..................... 526,580 0.3
18,600 Bristol-Myers Squibb Company............ 531,960 0.3
6,200 Eli Lilly and Company................... 436,046 0.2
21,600 Johnson & Johnson....................... 1,115,856 0.5
14,900 Merck & Co., Inc. ...................... 688,380 0.3
56,250 Pfizer, Inc. ........................... 1,987,313 1.0
22,400 Schering-Plough Corporation............. 389,536 0.2
10,200 Wyeth................................... 432,990 0.2
------------ -----
6,108,661 3.0
------------------------------------------------------------------------------------------------------------
</Table>
52
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD COMMON STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES REAL ESTATE 7,500 American Financial Realty Trust......... $ 127,875 0.1%
(CONCLUDED)
2,700 +American Financial Realty Trust........ 46,035 0.0
6,100 Catellus Development Corporation........ 147,132 0.1
3,100 +Cedar Shopping Centers Inc. ........... 38,502 0.0
9,455 Friedman, Billings, Ramsey Group, Inc.
(Class A)............................. 218,221 0.1
100 +Marco Polo Investment Holdings
Limited............................... 100,000 0.0
7,500 Nationwide Health Properties, Inc. ..... 146,625 0.1
4,900 The St. Joe Company..................... 182,721 0.1
4,100 Trizec Properties, Inc. ................ 63,140 0.0
------------ -----
1,070,251 0.5
------------------------------------------------------------------------------------------------------------
ROAD & RAIL
2,500 +Swift Transportation Co., Inc. ........ 52,550 0.0
------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS &
SEMICONDUCTOR
EQUIPMENT
20,000 +Advanced Micro Devices, Inc. .......... 298,000 0.1
25,150 +Agere Systems Inc. (Class A)........... 76,708 0.0
13,519 +Agere Systems Inc. (Class B)........... 39,205 0.0
9,800 Intel Corporation....................... 315,560 0.2
40,000 +Lattice Semiconductor Corporation...... 387,200 0.2
------------ -----
1,116,673 0.5
------------------------------------------------------------------------------------------------------------
SOFTWARE
81,200 Computer Associates International,
Inc. ................................. 2,220,008 1.1
7,400 +Compuware Corporation.................. 44,696 0.0
75,000 Microsoft Corporation(c)................ 2,065,500 1.0
5,000 +Siebel Systems, Inc. .................. 69,350 0.0
------------ -----
4,399,554 2.1
------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL
12,600 Circuit City Stores--Circuit City
Group................................. 127,638 0.1
17,200 The Home Depot, Inc. ................... 610,428 0.3
17,300 +Toys 'R' Us, Inc. ..................... 218,672 0.1
------------ -----
956,738 0.5
------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL &
LUXURY GOODS
19,400 +Unifi, Inc. ........................... 125,130 0.1
------------------------------------------------------------------------------------------------------------
TOBACCO
7,400 Altria Group, Inc. ..................... 402,708 0.2
------------------------------------------------------------------------------------------------------------
WIRELESS
TELECOMMUNICATION
SERVICES
35,200 +AT&T Wireless Services Inc. ........... 281,248 0.1
54,700 +Sprint Corp. (PCS Group)............... 307,414 0.2
------------ -----
588,662 0.3
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED STATES 60,067,781 29.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST--$96,046,915) 116,387,939 56.2
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
EQUITY CLOSED-END FUNDS
- ---------------------------------------------------------------------------------------------------------------------------------
VIETNAM DIVERSIFIED FINANCIAL 50,000 +Vietnam Enterprise Investments Limited
SERVICES 'C'................................... 53,000 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL EQUITY CLOSED-END FUNDS
(COST--$50,000) 53,000 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
PREFERRED STOCKS
- ---------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA COMMERCIAL BANKS 9,200 National Australia Bank Limited (7.875%
Convertible).......................... 351,440 0.2
------------------------------------------------------------------------------------------------------------
MEDIA
1,031 The News Corporation Limited
(Convertible) (ADR)(a)................ 31,195 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS IN AUSTRALIA 382,635 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
GERMANY CHEMICALS 4,464 Henkel KGaA............................. 349,101 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS IN GERMANY 349,101 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
53
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
COUNTRY INDUSTRIES+++ HELD PREFERRED STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES DIVERSIFIED 3,698 +McLeodUSA Incorporated (Convertible,
TELECOMMUNICATION Series A), 2.50%...................... $ 28,179 0.0%
SERVICES
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS IN THE UNITED
STATES 28,179 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED STOCKS
(COST--$839,673) 759,915 0.4
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
WARRANTS(G)
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES DIVERSIFIED 8,194........ McLeodUSA Incorporated.................. 4,097 0.0
TELECOMMUNICATION
SERVICES
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN WARRANTS
(COST--$913) 4,097 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT FIXED INCOME SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------------
CANADA FOREIGN GOVERNMENT C$ 1,730,000 Canadian Government, 3.50% due
OBLIGATIONS 6/01/2004............................. 1,343,677 0.7
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN CANADA 1,343,677 0.7
- ---------------------------------------------------------------------------------------------------------------------------------
CAYMAN ISLANDS DIVERSIFIED FINANCIAL +SMFG Finance (Cayman) Ltd. (Convertible
SERVICES Bonds):
US$15,000,000 2.25% due 7/11/2005................... 244,938 0.1
3,000,000 2.25% due 7/11/2005 (Regulation S).... 48,988 0.0
--------------------------------------------------------------------------------------------------------------
293,926 0.1
------------------------------------------------------------------------------------------------------------
OIL & GAS
120,000 Momenta Cayman, 2.50% due 8/01/2007
(Regulation S) (Convertible Bonds).... 119,700 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
CAYMAN ISLANDS 413,626 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
CHILE ELECTRIC UTILITIES 1,773,822 Empresa Electricidade del Norte, 4% due
11/05/2017............................ 1,259,414 0.6
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN CHILE 1,259,414 0.6
- ---------------------------------------------------------------------------------------------------------------------------------
European Investment Bank:
EUROPE COMMERCIAL BANKS E 750,000 5.25% due 4/15/2004................... 955,231 0.5
L 650,000 6% due 11/26/2004..................... 1,181,347 0.6
800,000 6.125% due 12/07/2005................. 1,474,025 0.7
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN EUROPE 3,610,603 1.8
- ---------------------------------------------------------------------------------------------------------------------------------
FRANCE CONTAINERS & PACKAGING E 100,000 Crown Cork & Seal SA, 6% due
12/06/2004............................ 127,396 0.0
US$ 470,000 Crown Euro Holdings SA, 10.875% due
3/01/2013............................. 552,838 0.3
--------------------------------------------------------------------------------------------------------------
680,234 0.3
------------------------------------------------------------------------------------------------------------
INSURANCE
E 444 Axa SA, 0%* due 12/21/2004.............. 8,955 0.0
------------------------------------------------------------------------------------------------------------
REAL ESTATE
164,646 Societe Fonciere Lyonnaise SA, 4% due
10/31/2004 (Convertible Bonds)........ 234,991 0.1
------------------------------------------------------------------------------------------------------------
SOFTWARE
86,000 +Infogrames Entertainment, 1% due
7/01/2004 (Convertible Bonds)......... 112,970 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN FRANCE 1,037,150 0.5
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
54
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES+++ AMOUNT FIXED INCOME SECURITIES VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
GERMANY DIVERSIFIED E 1,886,000 +WorldCom, Inc., 6.75% due 5/15/2008.... $ 642,305 0.3%
TELECOMMUNICATION
SERVICES
------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT
OBLIGATIONS
5,500,000 Bundesobligation, 3.25% due 2/17/2004... 6,947,536 3.4
Bundesrepublic Deutschland:
1,720,000 6.50% due 10/14/2005.................. 2,314,896 1.1
5,830,000 5.25% due 1/04/2011................... 7,922,914 3.8
------------ -----
17,185,346 8.3
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN GERMANY 17,827,651 8.6
- ---------------------------------------------------------------------------------------------------------------------------------
INDIA AUTOMOBILES US$ 175,000 Tata Engineering & Locomotive Company
Ltd., 1% due 7/31/2008 (Convertible
Bonds)(f)............................. 313,688 0.2
------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS
75,000 Gujarat Ambuja Cements Ltd., 1% due
1/30/2006 (Convertible Bonds)......... 98,625 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN INDIA 412,313 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
JAPAN COMMERCIAL BANKS Y 8,000,000 The Bank of Fukuoka, Ltd., 1.10% due
9/28/2007 (Convertible Bonds)......... 87,617 0.0
34,000,000 Bank of Kyoto, 1.90% due 9/30/2009
(Convertible Bonds)................... 365,645 0.2
14,000,000 Bank of Yokohama Limited, 0%* due
9/30/2004 (Convertible Bonds)......... 152,300 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN JAPAN 605,562 0.3
- ---------------------------------------------------------------------------------------------------------------------------------
LUXEMBOURG INDUSTRIAL Tyco International Group SA:
CONGLOMERATES
US$ 160,000 5.875% due 11/01/2004................. 164,400 0.1
E 75,000 4.375% due 11/19/2004................. 95,547 0.0
US$ 142,000 2.75% due 1/15/2018 (Convertible
Bonds)(f)............................. 181,228 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN
LUXEMBOURG 441,175 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
MEXICO OIL & GAS L 120,000 Petroleos Mexicanos, 14.50% due
3/31/2006............................. 243,819 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN MEXICO 243,819 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
NETHERLANDS ELECTRICAL EQUIPMENT E 550,000 Infineon Technology Holdings, 4.25% due
2/06/2007 (Convertible Bonds)......... 657,460 0.3
------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS
350,000 Royal Numico NV, 4.25% due 6/26/2005
(Regulation S) (Convertible Bonds).... 439,265 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
NETHERLANDS 1,096,725 0.5
- ---------------------------------------------------------------------------------------------------------------------------------
SWEDEN FOREIGN GOVERNMENT SEK 2,525,000 Swedish Government Index Linked Notes,
OBLIGATIONS 4% due 12/01/2008..................... 428,934 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN SWEDEN 428,934 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
SWITZERLAND INSURANCE CHF 20,000 Swiss Life Cayman Finance Ltd., 1% due
12/30/2004 (Convertible Bonds)........ 16,956 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN
SWITZERLAND 16,956 0.0
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM DIVERSIFIED FINANCIAL US$ 125,000 Swiss Life Finance, 2% due 5/20/2005
SERVICES (Convertible Bonds)................... 136,563 0.1
------------------------------------------------------------------------------------------------------------
Colt Telecom Group PLC:
DIVERSIFIED
TELECOMMUNICATION
SERVICES
DM 1,025,000 2% due 8/06/2005...................... 717,222 0.3
E 500,000 2% due 3/29/2006 (Regulation S)....... 681,129 0.3
100,000 2% due 12/16/2006 (Convertible
Bonds)................................ 137,487 0.1
175,000 2% due 4/03/2007 (Convertible Bonds).. 238,395 0.1
------------ -----
1,774,233 0.8
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
UNITED KINGDOM 1,910,796 0.9
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
55
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES+++ AMOUNT FIXED INCOME SECURITIES VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES AEROSPACE & DEFENSE US$ 90,000 GenCorp Inc., 5.75% due 4/15/2007
(Convertible Bonds)................... $ 90,113 0.0%
------------------------------------------------------------------------------------------------------------
AIRLINES
160,607 Northwest Airlines, Inc., 9.485% due
4/01/2015............................. 137,847 0.1
------------------------------------------------------------------------------------------------------------
COMMUNICATIONS
EQUIPMENT
75,000 Avaya Inc., 11.125% due 4/01/2009....... 87,750 0.0
200,000 Corning Glass, 7% due 3/15/2007......... 200,000 0.1
Lucent Technologies Inc. (Convertible
Bonds):
540,000 8% due 8/01/2031...................... 578,475 0.3
200,000 8% due 8/01/2031(f)................... 214,250 0.1
Metromedia Fiber Network:
700,000 11% due 9/30/2006(d).................. 693,000 0.4
500,000 +10% due 12/15/2009................... 30,000 0.0
E 300,000 +10% due 12/15/2009................... 22,704 0.0
------------ -----
1,826,179 0.9
------------------------------------------------------------------------------------------------------------
CONSTRUCTION &
ENGINEERING
Foster Wheeler Ltd.:
US$ 885,000 6.75% due 11/15/2005.................. 654,900 0.3
350,000 6.50% due 6/01/2007 (Convertible
Bonds)(f)............................. 140,000 0.1
1,125,000 6.50% due 6/01/2007 (Convertible
Bonds)................................ 450,000 0.2
100,000 McDermott Inc., 7.84% due 4/04/2005..... 98,000 0.0
The Shaw Group Inc.:
35,000 10.75% due 3/15/2010(f)............... 37,100 0.0
850,000 0%* due 5/01/2021 (Convertible
Bonds)................................ 569,500 0.3
------------ -----
1,949,500 0.9
------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING
240,000 Anchor Glass Container, 11% due
2/15/2013............................. 278,400 0.1
240,000 Crown Cork & Seal Company, Inc., 7.50%
due 12/15/2096........................ 188,100 0.1
------------ -----
466,500 0.2
------------------------------------------------------------------------------------------------------------
DIVERSIFIED
TELECOMMUNICATION
SERVICES
300,000 Level 3 Communications Inc., 9.125% due
5/01/2008............................. 273,000 0.2
100,000 Qwest Corporation, 5.65% due
11/01/2004............................ 99,500 0.1
TSI Communications Hldg LLC, Term B:
5,114 5.62% due 12/31/2006.................. 5,120 0.0
170,454 5.67% due 12/31/2006.................. 170,668 0.1
8,523 5.68% due 12/31/2006.................. 8,533 0.0
155,397 5.70% due 12/31/2006.................. 155,592 0.1
29,162 5.74% due 12/31/2006.................. 29,198 0.0
Wiltel Communications LLC, Term Loan:
96,774 5.687% due 9/08/2006.................. 92,843 0.0
76,923 B, 5.687% due 9/08/2006............... 73,798 0.0
+WorldCom, Inc.:
90,000 7.50% due 8/20/2004................... 72,450 0.0
100,000 6.95% due 8/15/2006................... 80,500 0.0
490,000 8.25% due 1/20/2023................... 394,450 0.2
61,000 7.75% due 3/15/2024................... 49,105 0.0
220,000 7.75% due 3/23/2025................... 177,100 0.1
65,000 7.125% due 6/15/2027.................. 52,325 0.0
------------ -----
1,734,182 0.8
------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS
1,900,000 Solectron Corporation, 0%* due
11/20/2020 (Convertible Bonds)........ 1,078,250 0.5
------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT &
SERVICE
225,000 J. Ray McDermott, SA, 11% due
12/15/2013(f)......................... 236,250 0.1
------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS
300,000 Burns, Philp & Company Capital, 10.75%
due 2/15/2011(f)...................... 327,000 0.2
------------------------------------------------------------------------------------------------------------
INDUSTRIAL
CONGLOMERATES
100,000 Manugistics Group Inc., 5% due
11/01/2007 (Convertible Bonds)........ 92,125 0.0
------------------------------------------------------------------------------------------------------------
</Table>
56
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES+++ AMOUNT FIXED INCOME SECURITIES VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED STATES INSURANCE US$ 200,000 Crum & Forster Holding Corp., 10.375%
(CONCLUDED) due 6/15/2013(f)...................... $ 222,250 0.1%
------------------------------------------------------------------------------------------------------------
MEDIA
119,740 Avalon Cable LLC, 11.875% due
12/01/2008............................ 126,326 0.1
210,000 +Olympus Communications LP/Capital
Corp., 10.625% due 11/15/2006......... 223,125 0.1
------------ -----
349,451 0.2
------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES &
UNREGULATED POWER
L 84,000 The AES Corporation, 8.375% due
3/01/2011 149,621 0.1
US$ 275,000 Calpine Corporation:
7.625% due 4/15/2006.................. 243,375 0.1
100,000 7.875% due 4/01/2008.................. 78,000 0.0
150,000 8.75% due 7/15/2013(f)................ 146,250 0.1
200,000 Gemstone Investors Limited, 7.71% due
10/31/2004(f)......................... 202,000 0.1
------------ -----
819,246 0.4
------------------------------------------------------------------------------------------------------------
OIL & GAS
100,000 CITGO Petroleum Corporation, 11.375% due
2/01/2011............................. 116,000 0.1
------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS
200,000 Abgenix Inc., 3.50% due 3/15/2007
(Convertible Bonds)................... 185,750 0.1
100,000 ICN Pharmaceuticals Inc., 6.50% due
7/15/2008 (Convertible Bonds)......... 105,625 0.0
------------ -----
291,375 0.1
------------------------------------------------------------------------------------------------------------
REAL ESTATE
500,000 Marco Polo Investment Holdings Limited,
6.25% due 8/29/2007................... 510,000 0.3
------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS &
SEMICONDUCTOR
EQUIPMENT
110,000 Advanced Micro Devices Inc., 4.50% due
12/01/2007 (Convertible Bonds)........ 243,100 0.1
400,000 Hynix Semiconductor America, 8.25% due
5/15/2004............................. 388,000 0.2
250,000 LSI Logic Corporation, 4% due 11/01/2006
(Convertible Bonds)................... 244,375 0.1
40,000 Micron Technology, Inc., 2.50% due
2/01/2010 (Convertible Bonds)(f)...... 52,900 0.1
------------ -----
928,375 0.5
------------------------------------------------------------------------------------------------------------
SOFTWARE
125,000 Computer Associates International, Inc.,
5% due 3/15/2007 (Convertible
Bonds)(f)............................. 161,250 0.1
------------------------------------------------------------------------------------------------------------
WIRELESS
TELECOMMUNICATION
SERVICES
350,000 Nextel Communications, 5.25% due
1/15/2010 (Convertible Bonds)......... 355,250 0.2
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
UNITED STATES 11,691,143 5.7
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FIXED INCOME
SECURITIES (COST--$33,952,492) 42,339,544 20.5
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA FOREIGN COMMERCIAL A$ 1,200,000 Spinnaker Corporation, 5.35% due
PAPER** 1/09/2004............................. 903,031 0.4
------------------------------------------------------------------------------------------------------------
TIME DEPOSITS
1,291,414 Australian Time Deposit, 5.33% due
1/16/2004............................. 973,016 0.5
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES IN AUSTRALIA 1,876,047 0.9
- ---------------------------------------------------------------------------------------------------------------------------------
SWEDEN TIME DEPOSITS SEK 1,753,651 Swedish Time Deposit, 3.75% due
1/09/2004............................. 243,722 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES IN SWEDEN 243,722 0.1
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
57
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE PERCENT OF
COUNTRY INDUSTRIES++ AMOUNT SHORT-TERM SECURITIES VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM FOREIGN COMMERCIAL L 1,000,000 GE Capital UK Funding, 3.78% due
PAPER** 1/09/2004............................. $ 1,788,579 0.9%
------------------------------------------------------------------------------------------------------------
FOREIGN TIME DEPOSITS
680,221 United Kingdom Time Deposit, 3.80% due
1/16/2004............................. 1,217,698 0.6
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES IN THE
UNITED KINGDOM 3,006,277 1.5
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
BENEFICIAL INTEREST/
SHARES HELD
- ---------------------------------------------------------------------------------------------------------------------------
UNITED STATES US$33,305,543 Merrill Lynch Liquidity Series, LLC Cash
Sweep Series I(b)..................... 33,305,543
US$ 139,124 Merrill Lynch Liquidity Series, LLC
Money Market Series(b)(e)............. 139,124
46,376 Merrill Lynch Premier Institutional
Fund(b)(e)............................ 46,376
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES IN THE
UNITED STATES 33,491,043
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES (COST--$38,487,885) 38,617,089
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$169,377,878) 198,161,584
- ---------------------------------------------------------------------------------------------------------------------------
<Caption>
NUMBER OF
OPTIONS CONTRACTS CALL OPTIONS WRITTEN
- ----------------------------
Advanced Micro Devices, Inc.:
50 expiring April 2004 at USD 14, Broker
Citigroup Global Markets.............. (11,250)
30 expiring April 2004 at USD 18, Broker
Citigroup Global Markets.............. (2,550)
20 expiring April 2004 at USD 18, Broker
UBS Warburg Dillon Reed............... (1,700)
Andrx Group:
52 expiring March 2004 at USD 20, Broker
Morgan Stanley........................ (21,840)
22 expiring June 2004 at USD 25, Broker
UBS Warburg Dillon Reed............... (5,720)
52 Circuit City Stores--Circuit City Group:
expiring January 2004 at USD 7.50,
Broker Deutsche Bank A.G.............. (14,040)
Knight Trading Group, Inc.:
52 expiring April 2004 at USD 12.50,
Broker Deutsche Bank A.G.............. (14,820)
50 expiring April 2004 at USD 15, Broker
Citigroup Global Markets.............. (6,500)
Lattice Semiconductor Corporation:
78 expiring June 2004 at USD 7.50, Broker
Morgan Stanley........................ (23,400)
51 expiring June 2004 at USD 10, Broker
Morgan Stanley........................ (7,395)
25 QUALCOMM Incorporated:
expiring April 2004 at USD 45, Broker
Goldman Sachs......................... (25,000)
40 The Shaw Group Inc.:
expiring April 2004 at USD 12.50,
Broker Credit Suisse First Boston..... (9,400)
Tyson Foods, Inc. (Class A):
100 expiring April 2004 at USD 15, Broker
Deutsche Bank A.G..................... (2,500)
23 expiring April 2004 at USD 15, Broker
Citigroup Global Markets.............. (575)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL OPTIONS WRITTEN (PREMIUMS
RECEIVED--$104,444) (146,690)
- ---------------------------------------------------------------------------------------------------------------------------
<Caption>
UNITED STATES
16.1
0.1
0.0
- ---------------------------------------
16.2
- --------------------------------------------------
18.7
- -------------------------------------------------------------
95.8
- ------------------------------------------------------------------------
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
(0.1)
0.0
0.0
0.0
- -----------------------------------------------------------------------------------
(0.1)
- ----------------------------------------------------------------------------------------------
</Table>
58
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, NET OF OPTIONS
WRITTEN (COST--$169,273,434)............ $198,014,894 95.7%
VARIATION MARGIN ON FINANCIAL FUTURES
CONTRACTS****........................... 3,610 0.0
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS***........... (208,788) (0.1)
OTHER ASSETS LESS LIABILITIES........... 9,128,809 4.4
------------ -----
NET ASSETS.............................. $206,938,525 100.0%
============ =====
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
++ For Portfolio compliance purposes, "Industries" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio management.
This definition may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease. These industry
classifications are unaudited.
(a) American Depositary Receipts (ADR).
(b) Investments in companies considered to be an affiliate of the Portfolio
(such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------
INTEREST/DIVIDEND
AFFILIATE NET ACTIVITY INCOME
- ----------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 33,305,543 $ 38,623
Merrill Lynch Liquidity Series, LLC Cash Sweep Series II $(21,876,390) $237,630
Merrill Lynch Liquidity Series, LLC Money Market Series $ (690) $ 958
Merrill Lynch Premier Institutional Fund (77,611) $ 622
- ----------------------------------------------------------------------------------------------
</Table>
(c) All or a portion of security held as collateral in connection with open
financial futures contracts.
(d) Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was $693,000, representing 0.3% of net assets.
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------
ISSUE ACQUISITION DATES VALUE
- ------------------------------------------------------------------------------------------------
Metromedia Fiber Network, 11% due 9/30/2006 10/01/2001 $ 693,000
- ------------------------------------------------------------------------------------------------
TOTAL $ 693,000
==========
- ------------------------------------------------------------------------------------------------
</Table>
(e) Security was purchased with the cash proceeds from securities loans.
(f) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(g) 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.
* Represents a zero coupon or step bond; the interest rate on a step bond
represents the fixed rate of interest that will commence its accrual on a
predetermined date until maturity.
** Foreign 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.
*** Forward foreign exchange contracts as of December 31, 2003 were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------
FOREIGN CURRENCY SOLD EXPIRATION DATE UNREALIZED DEPRECIATION
- ----------------------------------------------------------------
E 3,025,000 January 2004 $(162,890)
Y 168,000,000 January 2004 (29,699)
Y 173,000,000 February 2004 (16,199)
- ----------------------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS--NET (US$
COMMITMENT--$6,789,719) $(208,788)
=========
- ----------------------------------------------------------------
</Table>
**** Financial futures contracts purchased as of December 31, 2003 were as
follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------
NUMBER OF EXPIRATION FACE UNREALIZED
CONTRACTS ISSUE EXCHANGE DATE VALUE GAINS
- ------------------------------------------------------------------------------------
15 FTSE LIFFE March 2004 $1,162,717 $ 36,640
46 Nikkei 225 OSAKA March 2004 4,311,007 285,988
15 TOPIX Tokyo March 2004 1,390,377 72,252
- ------------------------------------------------------------------------------------
TOTAL UNREALIZED GAINS--NET $394,880
========
- ------------------------------------------------------------------------------------
</Table>
59
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
Financial futures contracts sold as of December 31, 2003 were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------
NUMBER OF SETTLEMENT FACE UNREALIZED
CONTRACTS ISSUE EXCHANGE DATE VALUE LOSSES
- ----------------------------------------------------------------------------------
24 DJ Euro Stoxx 50 Euronext Paris March 2004 $820,581 $(14,635)
- ----------------------------------------------------------------------------------
TOTAL UNREALIZED LOSSES--NET $(14,635)
=========
- ----------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
60
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2003 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES++ RATINGS+ RATINGS+ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--1.5% B B2 $ 250,000 DRS Technologies, Inc., 6.875% due
11/01/2013(e)......................... $ 256,875
BB- Ba3 750,000 L-3 Communications Corporation, 6.125%
due 7/15/2013......................... 755,625
B+ B2 500,000 Orbital Sciences Corporation, 9% due
7/15/2011............................. 543,750
------------
1,556,250
- ------------------------------------------------------------------------------------------------------------------------------
AIRLINES--2.1% BB B1 750,000 American Airlines, 7.80% due
10/01/2006............................ 677,885
Continental Airlines, Inc.:
BB- B2 1,293,797 7.033% due 6/15/2011.................. 1,113,494
BB+ Ba2 475,469 6.90% due 1/02/2017................... 398,162
------------
2,189,541
- ------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE--3.8% B- B2 250,000 Advanced Accessory Systems, 10.75% due
6/15/2011............................. 275,312
B B3 400,000 Asbury Automotive Group Inc., 8% due
3/15/2014(e).......................... 402,000
BB+ Ba2 500,000 AutoNation Inc., 9% due 8/01/2008....... 573,750
BB Ba3 1,000,000 Dana Corporation, 6.50% due 3/01/2009... 1,061,250
B+ B1 500,000 Dura Operating Corporation, 8.625% due
4/15/2012............................. 532,500
B- B3 250,000 Keystone Automotive Operations, Inc.,
9.75% due 11/01/2013(e)............... 268,750
Metaldyne Corporation:
B Caa1 417,000 11% due 6/15/2012..................... 383,640
B B3 325,000 10% due 11/01/2013(e)................. 328,250
CCC+ B2 125,000 Tenneco Automotive Inc., 10.25% due
7/15/2013............................. 142,188
NR* NR* 150,000 Venture Holdings Trust, 11% due
6/01/2007(c).......................... 3,750
------------
3,971,390
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING--1.7% B+ Ba3 250,000 Entercom Radio, 7.625% due 3/01/2014.... 268,437
B- B3 500,000 Nextmedia Operating Inc., 10.75% due
7/01/2011............................. 567,500
B B2 250,000 Sinclair Broadcasting Group, 8% due
3/15/2012............................. 270,000
Young Broadcasting Inc.(e):
B B2 250,000 8.50% due 12/15/2008.................. 268,750
CCC+ Caa1 400,000 8.75% due 1/15/2014................... 405,000
------------
1,779,687
- ------------------------------------------------------------------------------------------------------------------------------
CABLE--INTERNATIONAL--0.5% C Caa2 500,000 NTL Incorporated, 11.20% due
11/15/2007............................ 505,000
- ------------------------------------------------------------------------------------------------------------------------------
CABLE--US--1.0% CCC- Caa1 110,287 Avalon Cable LLC, 11.875% due
12/01/2008............................ 116,353
CCC- Ca 500,000 Charter Communications Holdings, LLC,
10% due 5/15/2011..................... 435,000
CCC- Caa1 500,000 Charter Communications Holdings II, LLC,
10.25% due 9/15/2010(e)............... 525,000
------------
1,076,353
- ------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--8.4% NR* NR* 500,000 Braskem SA, 12.50% due 11/05/2008(e).... 520,000
CCC+ NR* 250,000 HMP Equity Holdings Corporation, 15.433%
due 5/15/2008(d)...................... 152,500
NR* B3 250,000 Hanna (M.A.) Company, 6.875% due
12/01/2004............................ 246,875
B- B3 900,000 Huntsman International LLC, 9.875% due
3/01/2009............................. 985,500
IMC Global Inc.:
B+ B1 500,000 11.25% due 6/01/2011.................. 550,000
B+ B1 250,000 10.875% due 8/01/2013(e).............. 273,750
B B3 250,000 KRATON Polymers LLC, 8.125% due
1/15/2014(e).......................... 260,000
B B2 250,000 Koppers Industries Inc., 9.875% due
10/15/2013(e)......................... 275,625
BBB- Ba1 250,000 Methanex Corporation, 8.75% due
8/15/2012............................. 278,750
BB- B1 1,000,000 Millennium America Inc., 9.25% due
6/15/2008............................. 1,090,000
</Table>
61
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES++ RATINGS+ RATINGS+ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
CHEMICALS (CONCLUDED) Nalco Company(e):
B B2 $ 250,000 7.75% due 11/15/2011.................. $ 267,500
B Caa1 250,000 8.875% due 11/15/2013................. 265,000
NR* NR* 266,250 Noveon International Inc., 13% due
8/31/2011(a).......................... 283,556
BB- B2 1,000,000 Omnova Solutions Inc., 11.25% due
6/01/2010............................. 1,110,000
BB- B3 1,100,000 Polyone Corporation, 10.625% due
5/15/2010............................. 1,100,000
CCC+ B3 750,000 Rhodia SA, 7.625% due 6/01/2010(e)...... 720,000
B- B3 400,000 Rockwood Specialties Corporation,
10.625% due 5/15/2011(e).............. 446,000
------------
8,825,056
- ------------------------------------------------------------------------------------------------------------------------------
CONSUMER--PRODUCTS--1.3% B B2 275,000 Armkel LLC/Armkel Finance, 9.50% due
8/15/2009............................. 301,812
B B3 250,000 Hines Nurseries, Inc., 10.25% due
10/01/2011(e)......................... 272,500
B- B3 250,000 Rayovac Corporation, 8.50% due
10/01/2013............................ 265,000
B- Caa1 250,000 Simmons Company, 7.875% due 1/15/2014... 251,250
B- B3 250,000 United Industries Corporation, 9.875%
due 4/01/2009......................... 261,875
------------
1,352,437
- ------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED MEDIA--6.7% Dex Media East LLC:
B B2 250,000 9.875% due 11/15/2009................. 286,250
B B3 475,000 12.125% due 11/15/2012................ 584,250
B Caa1 250,000 Dex Media, Inc., 8% due 11/15/2013(e)... 262,500
Dex Media West LLC(e):
B B2 725,000 8.50% due 8/15/2010................... 807,469
B B3 250,000 9.875% due 8/15/2013.................. 290,625
Houghton Mifflin Company:
B B2 250,000 8.25% due 2/01/2011................... 267,500
B B3 250,000 9.875% due 2/01/2013.................. 275,000
B Ba3 750,000 Lamar Media Corporation, 7.25% due
1/01/2013............................. 806,250
BBB- Baa3 500,000 Liberty Media Corporation (Convertible),
0.75% due 3/30/2023................... 590,000
B B2 250,000 PEI Holdings Inc., 11% due 3/15/2010.... 290,000
B B3 1,500,000 Primedia, Inc., 7.625% due 4/01/2008.... 1,515,000
B+ B2 200,000 R.H. Donnelley Financial Corporation I,
10.875% due 12/15/2012(e)............. 237,250
BB B1 375,000 Vivendi Universal SA, 9.25% due
4/15/2010............................. 444,375
B+ B2 321,000 Yell Finance BV, 10.75% due 8/01/2011... 375,570
------------
7,032,039
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY--EXPLORATION & B B2 500,000 El Paso Production Holdings, 7.75% due
PRODUCTION--3.9% 6/01/2013(e).......................... 492,500
CCC- Caa3 2,000,000 Energy Corp. of America, 9.50% due
5/15/2007............................. 1,600,000
B NR* 500,000 Plains Exploration & Production Company,
8.75% due 7/01/2012................... 549,375
B B3 500,000 Range Resources Corporation, 7.375% due
7/15/2013............................. 500,000
BB- Ba3 250,000 Tom Brown Inc., 7.25% due 9/15/2013..... 264,375
Tri-Union Development Corporation(c):
D NR* 205,000 12.50% due 6/01/2006.................. 153,750
D Caa2 15,624 12.50% due 6/01/2006(e)............... 11,718
BB+ Ba2 450,000 Western Oil Sands Inc., 8.375% due
5/01/2012............................. 512,438
------------
4,084,156
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY--OTHER--7.0% BB- B2 1,000,000 AmeriGas/Eagle Financial, 8.875% due
5/20/2011............................. 1,100,000
BB Ba3 750,000 CITGO Petroleum Corporation, 11.375% due
2/01/2011............................. 870,000
BB- B1 168,000 El Paso Energy Partners, 8.50% due
6/01/2011............................. 189,000
B B2 525,000 Ferrellgas Partners LP, 8.75% due
6/15/2012............................. 577,500
B+ B2 250,000 North American Energy Partners, 8.75%
due 12/01/2011(e)..................... 262,500
CCC B3 800,000 Ocean Rig Norway AS, 10.25% due
6/01/2008............................. 752,000
</Table>
62
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES++ RATINGS+ RATINGS+ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY--OTHER (CONCLUDED) BB+ Ba2 $ 500,000 Offshore Logistics, Inc., 6.125% due
6/15/2013............................. $ 490,000
BBB- Ba1 500,000 Plains All American Pipeline, 7.75% due
10/15/2012............................ 576,875
BB- B1 750,000 SESI, LLC, 8.875% due 5/15/2011......... 817,500
B B3 1,000,000 Star Gas Partners, LP, 10.25% due
2/15/2013............................. 1,090,000
B B1 250,000 Suburban Propane Partners, LP, 6.875%
due 12/15/2013(e)..................... 252,500
CCC Caa1 500,000 Trico Marine Services, 8.875% due
5/15/2012............................. 365,000
------------
7,342,875
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & DRUG--0.2% B Ba3 250,000 Couche-Tard US, LP/Couche-Tard Finance
Corp., 7.50% due 12/15/2013(e)........ 261,875
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & TOBACCO--2.5% B B3 250,000 American Seafood Group LLC, 10.125% due
4/15/2010............................. 298,437
NR* NR* 125,588 Archibald Candy Corporation, 10% due
11/01/2007(a)......................... 47,723
NR* NR* 200,000 Commonwealth Brands, Inc., 9.75% due
4/15/2008(e).......................... 220,000
CCC B2 250,000 Doane Pet Care Company, 10.75% due
3/01/2010............................. 258,750
BB- B2 250,000 Dole Foods Company, 8.875% due
3/15/2011............................. 274,375
B- B3 125,000 Domino's Inc., 8.25% due 7/01/2011(e)... 133,906
B- B3 250,000 Merisant Company, 9.50% due
7/15/2013(e).......................... 266,250
BB Ba2 750,000 Smithfield Foods Inc., 8% due
10/15/2009............................ 791,250
B- Caa1 550,000 Tabletop Holdings, Inc., 12.25% due
05/15/2014(d)(e)...................... 302,500
------------
2,593,191
- ------------------------------------------------------------------------------------------------------------------------------
FOREST PRODUCTS--6.8% BB+ Ba1 1,000,000 Abitibi-Consolidated Inc., 7.40% due
4/01/2018............................. 986,024
B- B3 500,000 Ainsworth Lumber Company, 12.50% due
7/15/2007(a).......................... 587,500
BB+ Ba1 1,000,000 Bowater Incorporated, 6.50% due
6/15/2013............................. 970,507
B+ B2 750,000 Caraustar Industries Inc., 9.875% due
4/01/2011............................. 810,000
D NR* 1,000,000 Doman Industries Limited, 8.75% due
3/15/2004(c).......................... 170,000
BB+ Ba2 500,000 Georgia-Pacific Corporation, 8.875% due
2/01/2010............................. 570,000
B B2 750,000 Jefferson Smurfit Corporation, 8.25% due
10/01/2012............................ 813,750
B+ B3 250,000 Millar Western Forest Products Ltd.,
7.75% due 11/15/2013(e)............... 259,375
BB+ Ba2 400,000 Norampac Inc., 6.75% due 6/01/2013...... 417,000
BB Ba2 500,000 Norske Skog Canada Ltd., 8.625% due
6/15/2011(e).......................... 525,000
BB Ba3 1,000,000 Tembec Industries, Inc., 8.625% due
6/30/2009............................. 1,030,000
------------
7,139,156
- ------------------------------------------------------------------------------------------------------------------------------
GAMING--2.4% B+ B1 500,000 Boyd Gaming Corporation, 7.75% due
12/15/2012............................ 535,000
B B2 250,000 Majestic Star Casino LLC, 9.50% due
10/15/2010(e)......................... 256,250
CCC+ Caa1 500,000 Pinnacle Entertainment, Inc., 8.75% due
10/01/2013............................ 508,750
B B2 200,000 Poster Financial Group Inc., 8.75% due
12/01/2011(e)......................... 211,500
B+ B2 250,000 River Rock Entertainment Authority,
9.75% due 11/01/2011(e)............... 268,750
B- B3 750,000 Trump Holdings and Funding, 11.625% due
3/15/2010............................. 718,125
------------
2,498,375
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
63
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES++ RATINGS+ RATINGS+ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--2.0% B B3 $ 150,000 Alaris Medical Inc., 7.25% due
7/01/2011............................. $ 155,250
B+ B2 180,000 Fisher Scientific International Inc.,
8.125% due 5/01/2012.................. 193,050
NR* NR* 500,000 Ivax Corporation (Convertible), 5.50%
due 5/15/2007......................... 518,125
BB- B1 750,000 Tenet Healthcare Corporation, 6.375% due
12/01/2011............................ 720,000
B B3 500,000 Triad Hospitals, Inc., 7% due
11/15/2013(e)......................... 503,750
------------
2,090,175
- ------------------------------------------------------------------------------------------------------------------------------
HOUSING--1.0% B B2 300,000 Building Materials Corporation, 7.75%
due 7/15/2005......................... 306,750
BB- Ba3 500,000 Forest City Enterprises Inc., 7.625% due
6/01/2015............................. 530,625
B- B3 250,000 Norcraft Companies, LP, 9% due
11/01/2011(e)......................... 270,000
------------
1,107,375
- ------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.8% B B2 320,000 DigitalNet Holdings Inc., 9% due
7/15/2010............................. 346,400
CCC+ Caa2 500,000 Viasystems, Inc., 10.50% due
1/15/2011(e).......................... 533,750
------------
880,150
- ------------------------------------------------------------------------------------------------------------------------------
LEISURE--3.6% B- B1 492,000 Felcor Lodging LP, 9% due 6/01/2011..... 533,820
B- B3 275,000 Gaylord Entertainment Company, 8% due
11/15/2013(e)......................... 290,125
B+ Ba3 1,000,000 Host Marriott, LP, 7.125% due
11/01/2013(e)......................... 1,020,000
B+ B1 500,000 Intrawest Corporation, 10.50% due
2/01/2010............................. 552,500
B B2 500,000 John Q. Hammons Hotels, 8.875% due
5/15/2012............................. 551,250
BB- Ba3 500,000 La Quinta Properties, Inc., 8.875% due
3/15/2011............................. 553,125
B B2 250,000 Vail Resorts Inc., 8.75% due
5/15/2009............................. 263,750
------------
3,764,570
- ------------------------------------------------------------------------------------------------------------------------------
MANUFACTURING--6.7% BB- B1 750,000 AgCo Corporation, 8.50% due 3/15/2006... 750,000
CCC Caa2 250,000 Blount Inc., 13% due 8/01/2009.......... 269,375
BB- Ba3 750,000 Case New Holland Inc., 9.25% due
8/01/2011(e).......................... 840,000
B- B3 325,000 FastenTech Inc., 11.50% due
5/01/2011(e).......................... 351,406
B- B3 250,000 Great Lakes Dredge & Dock Corporation,
7.75% due 12/15/2013(e)............... 257,187
B+ B2 500,000 JLG Industries, Inc., 8.25% due
5/01/2008............................. 543,125
B+ B1 250,000 The Manitowoc Co., Inc., 7.125% due
11/01/2013............................ 258,437
B+ B3 500,000 NMHG Holding Company, 10% due
5/15/2009............................. 552,500
B- B3 250,000 Rexnord Corporation, 10.125% due
12/15/2012............................ 273,750
BB+ Ba3 700,000 SPX Corporation, 7.50% due 1/01/2013.... 761,250
B- Caa1 250,000 Sensus Metering Systems Inc., 8.625% due
12/15/2013(e)......................... 256,563
B B3 500,000 Terex Corporation, 7.375% due
1/15/2014(e).......................... 511,250
B B3 650,000 Trimas Corporation, 9.875% due
6/15/2012............................. 677,625
Wolverine Tube, Inc.:
B+ B3 250,000 7.375% due 8/01/2008(e)............... 231,250
B+ B3 500,000 10.50% due 4/01/2009.................. 510,000
------------
7,043,718
- ------------------------------------------------------------------------------------------------------------------------------
METAL--OTHER--0.5% BB Ba3 125,000 Luscar Coal Ltd., 9.75% due
10/15/2011............................ 141,562
BB Ba3 325,000 Massey Energy Company, 6.625% due
11/15/2010(e)......................... 333,125
NR* NR* 200,000 Ormet Corporation, 11% due
8/15/2008(c)(e)....................... 52,000
------------
526,687
- ------------------------------------------------------------------------------------------------------------------------------
PACKAGING--5.8% B+ B2 250,000 Anchor Glass Container, 11% due
2/15/2013............................. 290,000
B- B3 250,000 Berry Plastics, 10.75% due 7/15/2012.... 287,812
Crown Euro Holdings SA:
B+ B1 250,000 9.50% due 3/01/2011................... 283,125
B B2 250,000 10.875% due 3/01/2013................. 294,062
</Table>
64
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES++ RATINGS+ RATINGS+ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
PACKAGING (CONCLUDED) CCC+ Caa2 $ 125,000 Graham Packaging Company, 10.75% due
1/15/2009............................. $ 129,063
B+ B2 500,000 Owens-Brockway Glass Container, 8.25%
due 5/15/2013......................... 536,875
B+ B3 250,000 Owens-Illinois Inc., 8.10% due
5/15/2007............................. 263,438
B+ B3 525,000 Plastipak Holdings Inc., 10.75% due
9/01/2011............................. 584,063
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., 6.75% due
11/15/2013(e)......................... 1,002,500
B- B3 1,000,000 Tekni-Plex, Inc., 12.75% due
6/15/2010............................. 1,090,000
U.S. Can Corporation:
CCC+ B3 250,000 10.875% due 7/15/2010(e).............. 261,563
CCC+ Caa1 150,000 12.375% due 10/01/2010................ 136,875
------------
6,161,876
- ------------------------------------------------------------------------------------------------------------------------------
SERVICES--2.8% Allied Waste North America:
BB- Ba3 500,000 8.875% due 4/01/2008.................. 560,000
B+ B2 500,000 10% due 8/01/2009..................... 540,000
BB- Ba3 250,000 7.875% due 4/15/2013.................. 270,625
NR* NR* 2,260,469 Anthony Crane Rental, LP, 12.625% due
2/01/2004(a)(c)....................... 33,907
B B3 200,000 Casella Waste Systems, Inc., 9.75% due
2/01/2013............................. 224,000
B B1 250,000 Corrections Corporation of America,
7.50% due 5/01/2011................... 262,500
BB- B2 250,000 NationsRent, Inc., 9.50% due
10/15/2010(e)......................... 268,750
B B1 500,000 Wackenhut Corrections Corporation, 8.25%
due 7/15/2013......................... 530,000
B+ B2 250,000 Williams Scotsman, Inc., 10% due
8/15/2008............................. 274,063
------------
2,963,845
- ------------------------------------------------------------------------------------------------------------------------------
SPECIAL SITUATIONS--2.7% NR* B3 2,750,000 Dow Jones TRAC-X North America High
Yield Series 2 March 2009 Trust 3, 8%
due 3/25/2009(e)...................... 2,870,313
- ------------------------------------------------------------------------------------------------------------------------------
STEEL--1.9% B+ B1 400,000 CSN Islands VIII Corp., 9.75% due
12/16/2013(e)......................... 410,000
B+ B2 500,000 Gerdau Ameristeel Corporation, 10.375%
due 7/15/2011(e)...................... 552,500
BB+ Ba3 250,000 IPSCO, Inc., 8.75% due 6/01/2013........ 276,250
B B3 250,000 UCAR Finance Inc., 10.25% due
2/15/2012............................. 287,500
BB- B1 400,000 United States Steel Corporation, 9.75%
due 5/15/2010......................... 450,000
------------
1,976,250
- ------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS--2.1%.... B- B3 250,000 Cincinnati Bell Inc., 8.375% due
1/15/2014(e)............................ 268,750
BB+ B1 250,000 Eircom Funding plc, 8.25% due
8/15/2013............................. 276,875
B B3 250,000 FairPoint Communications, Inc., 11.875%
due 3/01/2010......................... 291,250
Intelsat, Ltd.(e):
BBB+ Baa3 250,000 5.25% due 11/01/2008.................. 257,265
BBB+ Baa3 100,000 6.50% due 11/01/2013.................. 104,339
B- Ba3 500,000 Qwest Corporation, 7.20% due
11/01/2004............................ 511,250
NR* Baa3 500,000 Tele Norte Leste Participacoes SA, 8%
due 12/18/2013(e)..................... 491,250
------------
2,200,979
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION--1.4% NR* NR* 1,500,000 American Commercial LLC, 11.25% due
1/01/2008(c).......................... 165,000
B+ B1 250,000 OMI Corporation, 7.625% due
12/01/2013(e)......................... 252,188
BB+ Ba1 1,000,000 Overseas Shipholding Group, Inc., 8.25%
due 3/15/2013......................... 1,071,250
------------
1,488,438
- ------------------------------------------------------------------------------------------------------------------------------
UTILITY--8.1% The AES Corporation:
B- B3 94,000 8.75% due 6/15/2008................... 100,815
B- B3 206,000 8.875% due 2/15/2011.................. 224,540
B+ B2 500,000 8.75% due 5/15/2013(e)................ 558,750
</Table>
65
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
S&P MOODY'S FACE
INDUSTRIES++ RATINGS+ RATINGS+ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
UTILITY (CONCLUDED) NR* NR* $ 250,000 CIA Saneamento Basico, 10% due
7/28/2005(b)(e)....................... $ 266,250
NR* B3 500,000 CMS Energy Corporation, 7.75% due
8/01/2010(e).......................... 525,625
CCC+ Caa1 1,250,000 Calpine Corporation, 8.625% due
8/15/2010............................. 975,000
BB Ba1 915,000 ESI Tractebel Acquisition Corp., 7.99%
due 12/30/2011........................ 965,325
B B2 1,000,000 Edison Mission Energy, 10% due
8/15/2008............................. 1,037,500
BB- Ba2 250,000 MSW Energy Finance Co. II, Inc., 7.375%
due 9/01/2010(e)...................... 261,250
B+ B2 350,000 NRG Energy, Inc., 8% due
12/15/2013(e)......................... 367,937
BB Ba2 1,000,000 Nevada Power Company, 9% due
8/15/2013(e).......................... 1,106,250
B+ B1 250,000 Northwest Pipeline Corporation, 8.125%
due 3/01/2010......................... 277,500
BB- Ba2 500,000 SEMCO Energy, Inc., 7.75% due
5/15/2013(e).......................... 525,625
B B1 250,000 Southern Natural Gas, 8.875% due
3/15/2010............................. 281,250
B+ B1 500,000 Transcontinental Gas Pipeline
Corporation, 7% due 8/15/2011......... 532,500
B+ B3 500,000 The Williams Companies, Inc., 8.625% due
6/01/2010............................. 561,250
------------
8,567,367
- ------------------------------------------------------------------------------------------------------------------------------
WIRELESS--3.5% CCC Caa1 150,000 American Tower Corporation, 9.375% due
2/01/2009............................. 159,750
CCC B3 425,000 American Towers, Inc., 7.25% due
12/01/2011(e)......................... 432,437
CCC Caa1 275,000 Centennial Communications Corp., 10.125%
due 6/15/2013......................... 301,812
B- B3 900,000 Millicom International Cellular SA, 10%
due 12/01/2013(e)..................... 949,500
NR* NR* 710,368 NII Holdings Inc., 13% due
11/01/2009(d)(e)...................... 724,575
CC Caa2 275,000 SBA Communications Corporation, 10.25%
due 2/01/2009......................... 270,188
NR* NR* 375,000 SBA Telecommunications Inc./SBA
Communications Corp., 9.75% due
12/15/2011(d)(e)...................... 264,375
CCC Caa1 500,000 Western Wireless Corporation, 9.25% due
7/15/2013............................. 527,500
------------
3,630,137
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CORPORATE BONDS
(COST--$95,881,216)--92.9% 97,479,261
- ------------------------------------------------------------------------------------------------------------------------------
SHARES
HELD COMMON STOCKS AND OTHER EQUITY INTEREST
- ------------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.2% 708,795 US Airways (Certificate of Beneficial
Interest Trust)....................... 212,639
- ------------------------------------------------------------------------------------------------------------------------------
CABLE--INTERNATIONAL--0.4% 5,500 NTL Incorporated(c)..................... 383,625
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY--EXPLORATION & PRODUCTION--0.1% 7,839 Southwest Royalties Inc.(c)............. 99,238
147 Tri-Union Development Corporation(c).... 0
250 Tribo Petroleum Corporation (Class
A)(c)................................. 3
------------
99,241
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & TOBACCO--0.0% 649 Archibald Candy Corporation(c).......... 6
- ------------------------------------------------------------------------------------------------------------------------------
STEEL--0.0% 2,000,000 LTC Wheeling-Pittsburgh
Corporation(c)........................ 20
39 Wheeling-Pittsburgh Corporation(c)...... 952
------------
972
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
AND OTHER EQUITY INTEREST
(COST--$1,227,951)--0.5% 696,483
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
66
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2003 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
SHARES
INDUSTRIES++ HELD PREFERRED STOCKS VALUE
- -------------------------------------------------------------------------------------------------------------------------
CABLE--INTERNATIONAL--0.0% 9 NTL Europe, Inc. (Preferred)............ $ 72
- -------------------------------------------------------------------------------------------------------------------------
CABLE--U.S.--1.6% 16,379 CSC Holdings Inc.(a).................... 1,719,795
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED STOCKS
(COST--$1,102,137)--1.6% 1,719,867
- -------------------------------------------------------------------------------------------------------------------------
FACE
AMOUNT TRUST PREFERRED
- -------------------------------------------------------------------------------------------------------------------------
UTILITY--0.4% $ 450,000 Citizens Utilities Trust (5%
Convertible), due 1/15/2036........... 458,144
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN TRUST PREFERRED
(COST--$453,030)--0.4% 458,144
- -------------------------------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST SHORT-TERM SECURITIES
- -------------------------------------------------------------------------------------------------------------------------
$ 2,963,537 Merrill Lynch Liquidity Series, LLC Cash
Sweep Series I(f)..................... 2,963,537
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES
(COST--$2,963,537)--2.8% 2,963,537
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$101,627,871)--98.2%............. 103,317,292
OTHER ASSETS LESS LIABILITIES--1.8%..... 1,888,708
-------------
NET ASSETS--100.0%...................... $ 105,206,000
=============
- -------------------------------------------------------------------------------------------------------------------------
</Table>
* Not Rated.
+ Ratings of issues shown are unaudited.
++ For Portfolio compliance purposes, "Industries" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio management.
This definition may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease. These industry
classifications are unaudited.
(a) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(b) Subject to principal paydowns.
(c) Non-income producing security.
(d) Represents a zero coupon or step bond; the interest rate shown reflects the
effective yield at the time of purchase by the Portfolio.
(e) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(f) Investments in companies considered to be an affiliate of the Portfolio
(such companies are defined as "Affiliated Companies" in Section 2(a)(3) of
the Investment Company Act of 1940) are as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------
NET
AFFILIATE ACTIVITY INTEREST INCOME
- ------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 2,963,537 $ 4,040
Merrill Lynch Liquidity Series, LLC Cash Sweep Series II $(4,921,275) $75,138
- ------------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
67
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT ISSUE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS
- ---------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE $ 2,340,000 Ace Securities Corp., Series 2003-OP1, Class A2, 1.51% due
OBLIGATIONS+--64.6% 12/25/2033(a)............................................. $ 2,340,366
40,820,000 CS First Boston Mortgage Securities Corp., Series 2003-CPN1,
Class ASP, 1.584% due 3/15/2035(c)........................ 2,806,906
6,400,000 Countrywide Home Loans, Series 2003-10, Class A6, 1.469% due
5/25/2033(a).............................................. 6,392,000
Fannie Mae:
2,400,000 2003-27 FP, 1.419% due 6/25/2028(a)....................... 2,408,975
4,209,323 2003-33 LF, 1.491% due 7/25/2017(a)....................... 4,118,840
5,551,822 2003-34 FS, 1.541% due 1/25/2032(a)....................... 5,416,126
3,000,000 2003-41 YF, 1.441% due 6/25/2028(a)....................... 3,002,595
3,667,647 2003-48 HA, 3.50% due 11/25/2017.......................... 3,632,200
46,749,177 ACES 2002-M1 X, 1.201% due 5/25/2032(a)(c)................ 1,979,902
19,030,911 ACES 2002-M2 N, 1.532% due 8/25/2012(a)(c)................ 1,873,797
23,260,604 ACES 2003-M1 X, 1.099% due 2/25/2033(a)(c)................ 1,202,236
56,053,487 Grantor Trust 2003-T1 IO, 0.546% due 11/25/2012(c)........ 2,113,867
4,634,651 Whole Loan 2003-W16 AF1, 1.231% due 2/25/2023(a).......... 4,634,786
3,090,492 Whole Loan 2002-W11 AV1, 1.311% due 11/25/2032(a)......... 3,086,849
Freddie Mac:
6,000,000 2564 OF, 1.42% due 2/15/2026(a)........................... 5,955,800
5,593,444 2594 DF, 1.42% due 12/15/2027(a).......................... 5,546,740
6,073,681 2614 EF, 1.563% due 12/15/2017(a)......................... 6,084,172
2,000,000 GMAC Mortgage Corporation Loan Trust, Series 2003-GH2, Class
A1, 1.349% due 7/25/2012(a)............................... 2,000,000
3,950,000 GS Mortgage Securities Corporation II, Series 2003-FL6A,
Class A1, 1.32% due 11/15/2015(a)......................... 3,950,617
Greenwich Capital Commercial Funding Corporation:
13,126,589 Series 2002-C1, Class XP, 2.059% due 1/11/2035(c)......... 1,276,546
1,959,851 Series 2003-FL1, Class A, 1.44% due 1/05/2006(a).......... 1,959,394
Government National Mortgage Association:
3,849,000 2001-44 C, 6.38% due 1/16/2025............................ 4,283,537
3,300,000 2002-83 B, 4.695% due 12/16/2024.......................... 3,386,347
3,000,000 2002-83 C, 5.25% due 9/16/2027............................ 3,094,415
29,821,045 2002-83 IO, 1.574% due 10/16/2042(c)...................... 1,944,964
2,400,000 2002-94 D, 5.045% due 11/16/2028.......................... 2,441,406
37,333,782 2002-94 XB, 2.349% due 11/16/2007(c)...................... 1,600,141
3,054,415 2003-17 C, 4.825% due 7/16/2031........................... 2,969,234
40,191,719 2003-17 IO, 1.24% due 3/16/2043(c)........................ 2,604,966
2,664,553 2003-49 C, 4.485% due 10/16/2033.......................... 2,470,573
55,573,706 2003-59 XB, 2.364% due 7/16/2010(c)....................... 3,872,582
4,351,017 2003-64 A, 3.089% due 4/16/2024........................... 4,338,264
4,500,000 2003-73 C, 4.947% due 5/16/2033........................... 4,443,217
2,400,000 2003-88 CA, 4.746% due 1/16/2030.......................... 2,430,653
6,750,000 2003-108 C, 4.919% due 2/16/2034.......................... 6,843,825
4,600,000 2003-109 D, 5.252% due 1/16/2034.......................... 4,575,563
22,053,481 2003-109 IO, 1.098% due 11/16/2043(c)..................... 1,357,667
1,077,848 Lehman Brothers Floating Rate Commercial, 2002-LLFA-A, 1.45%
due 6/14/2017(a).......................................... 1,077,847
2,000,000 Morgan Stanley ABS Capital I, Series 2004-NC1, Class A3,
1.33% due 11/25/2033(a)(f)................................ 2,000,000
62,503 Residential Asset Securities Corporation, Series 2002-KS5,
Class AIB2, 2.47% due 8/25/2022........................... 62,446
2,400,000 Wachovia Bank Commercial Mortgage Trust, Series 2003-WHL2,
Class A3, 1.44% due 6/15/2013(a).......................... 2,399,197
1,470,438 Washington Mutual, 2002-AR19-A8, 4.56% due 2/25/2033........ 1,492,601
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS 131,472,159
- ---------------------------------------------------------------------------------------------------------------------------
FREDDIE MAC--3.9% Freddie Mac:
4,500,000 5.75% due 4/29/2009....................................... 4,561,209
3,400,000 6% due 5/25/2012.......................................... 3,457,093
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FREDDIE MAC 8,018,302
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
68
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 2003 (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT ISSUE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED Fannie Mae:
SECURITIES+--24.9% $ 1,850,000 3.94% due 11/01/2008(e)................................... $ 1,860,268
883,680 6% due 4/01/2017.......................................... 927,974
1,061,397 5.50% due 12/01/2017...................................... 1,101,063
591,459 4.50% due 9/01/2018....................................... 592,817
3,837,006 5% due 1/15/2019.......................................... 3,912,549
201,359 7% due 3/01/2029.......................................... 213,373
272,828 7% due 5/01/2029.......................................... 289,199
679,372 7% due 6/01/2029.......................................... 719,908
75,642 7% due 7/01/2029.......................................... 80,156
127,343 7% due 8/01/2029.......................................... 134,941
182,141 7% due 9/01/2029.......................................... 193,009
146,639 7% due 11/01/2029......................................... 155,389
118,700 8% due 4/01/2030.......................................... 128,334
62,396 7.50% due 6/01/2030....................................... 66,680
567,405 7.50% due 12/01/2030...................................... 606,361
9,161 8% due 7/01/2030.......................................... 9,905
75,918 7.50% due 9/01/2030....................................... 81,130
46,064 8% due 2/01/2031.......................................... 49,811
894,039 7.50% due 4/01/2031....................................... 955,419
424,650 7% due 7/01/2031.......................................... 449,621
584,560 7% due 9/01/2031.......................................... 618,933
189,909 6.50% due 1/01/2032....................................... 198,624
916,241 7% due 2/01/2032.......................................... 970,211
3,804,846 6.50% due 7/01/2032....................................... 3,979,827
215,963 6.50% due 9/01/2032....................................... 225,895
1,582,710 6.50% due 10/01/2032...................................... 1,655,496
747,176 8% due 10/01/2032......................................... 808,664
2,332,516 5.50% due 7/01/2033....................................... 2,364,074
229,395 6.50% due 3/01/2033....................................... 239,921
Freddie Mac--Gold Program:
1,069,739 6.50% due 3/01/2016....................................... 1,133,064
2,170,059 6% due 4/01/2017.......................................... 2,277,115
1,610,583 5.50% due 6/01/2017....................................... 1,670,536
2,000,600 5% due 1/15/2019.......................................... 2,037,487
16,672 8% due 3/01/2030.......................................... 17,983
66,988 8% due 8/01/2030.......................................... 72,253
56,607 8% due 12/01/2030......................................... 61,057
64,508 8% due 6/01/2031.......................................... 69,578
467,907 7% due 4/01/2032.......................................... 495,077
1,997,990 5.50% due 11/01/2033...................................... 2,023,149
3,150,000 5.50% due 1/15/2034....................................... 3,187,406
10,198,900 6% due 1/15/2034.......................................... 10,536,739
Government National Mortgage Association:
1,505,816 6.50% due 1/15/2029....................................... 1,589,246
1,264,576 6.50% due 2/15/2029....................................... 1,334,639
75,745 6.50% due 4/15/2029....................................... 79,942
152,604 6.50% due 6/15/2029....................................... 161,059
292,624 6.50% due 8/15/2029....................................... 308,837
44,703 6.50% due 3/15/2030....................................... 47,179
34,556 6% due 2/15/2033.......................................... 35,945
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 50,727,843
- ---------------------------------------------------------------------------------------------------------------------------
SMALL BUSINESS 1,845,625 Small Business Administration Participation Certificates,
ADMINISTRATION--0.9% Series 2003- 20F, Class 1, 4.07% due 6/01/2023............ 1,740,272
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SMALL BUSINESS ADMINISTRATION 1,740,272
- ---------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS & U.S. Treasury Bonds:
NOTES--10.0% 1,100,000 8.125% due 8/15/2019...................................... 1,485,859
4,820,000 7.25% due 8/15/2022....................................... 6,083,177
2,310,000 6.25% due 8/15/2023....................................... 2,632,950
U.S. Treasury Notes:
1,800,000 2% due 11/30/2004......................................... 1,812,866
4,960,000 1.625% due 3/31/2005...................................... 4,977,052
3,040,000 6.875% due 5/15/2006...................................... 3,379,507
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY BONDS & NOTES 20,371,411
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
69
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 2003 (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT ISSUE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY INFLATION $ 1,976,901 U.S. Treasury Inflation Indexed Bonds,
INDEXED BONDS--1.1% 3.50% due 1/15/2011....................................... $ 2,221,814
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY INFLATION INDEXED BONDS 2,221,814
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(COST--$213,669,620)--105.4% 214,551,801
- ---------------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--3.2% 6,500,000 Morgan Stanley & Co., Inc., purchased on 12/31/2003 to yield
0.95% to 1/02/2004, repurchase price $6,517,735,
collateralized by FNMA 3.25% due 11/01/2033............... 6,500,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$6,500,000)--3.2% 6,500,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$220,169,620)--108.6% 221,051,801
- ---------------------------------------------------------------------------------------------------------------------------
NUMBER OF
OPTIONS WRITTEN CONTRACTS++ ISSUE
- ---------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN--0.0% 2 Swaption, expiring March 2004 at 2.50%, Broker Lehman
Brothers Special Finance(d)............................... (9,563)
- ---------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS WRITTEN--0.0% 2 Swaption, expiring March 2004 at 2.50%, Broker Lehman
Brothers Special Finance(d)............................... (5,355)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL OPTIONS WRITTEN (PREMIUMS RECEIVED--$17,170)--0.0% (14,918)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN
(COST--$220,152,450)--108.6%................................ 221,036,883
UNREALIZED DEPRECIATION ON SWAPS--NET*--(0.1)%.............. (192,809)
LIABILITIES IN EXCESS OF OTHER ASSETS(B)--(8.5)%............ (17,348,950)
------------
NET ASSETS--100.0%.......................................... $203,495,124
============
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
(a) Floating rate note.
(b) Investments in companies considered to be an affiliate of the Portfolio
(such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------
NET DIVIDEND/INTEREST
AFFILIATE ACTIVITY INCOME
- -------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Money Market Series -- $6,454
Merrill Lynch Premier Institutional Fund -- $5,270
- -------------------------------------------------------------------------------------------------------
</Table>
(c) Securities which receive some or all of the interest portion of the
underlying collateral and little or no principal. Interest only securities have
either a nominal or a notional amount of principal.
(d) This European style swaption, which can be exercised only at the expiration
date, represents a standby commitment whereby the Portfolio is only obligated to
enter into a predetermined interest rate swap contract upon exercise of the
swaption.
(e) Represents balloon mortgages that amortize on a 30-year schedule and have
7-year original maturities.
(f) The interest rate will become effective on January 29, 2004.
+ Mortgage-Backed Securities are subject to principal paydowns as a result of
prepayments or refinancing of the underlying mortgage instruments. As a result,
the average life may be substantially less than the original maturity.
++ One contract represents a notional amount of $1,000,000.
* Swap contracts entered into as of December 31, 2003 were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED APPRECIATION
AMOUNT (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------------
Pay 3.50% on TIPS adjusted principal and receive a fixed
rate of 4.17%.
Broker, Morgan Stanley Capital Services Inc.
Expires January 2011 $ 2,225,000 $ 12,648
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .25%
Broker, JP Morgan Chase Bank
Expires January 2004 12,000,000 --
Receive a variable return equal to Lehman Brothers CMBS AAA
8.5% Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .55%
Broker, UBS Warburg
Expires January 2004 14,000,000 --
</Table>
70
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 2002 (Concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION
AMOUNT (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------------
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .30%
Broker, JP Morgan Chase Bank
Expires April 2004 $ 8,000,000 $ --
Receive a variable return equal to JP Morgan U.S. Agency
Mortgage Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .17%
Broker, JP Morgan Chase Bank
Expires February 2004 4,000,000 --
Receive a variable return equal to Lehman Brothers U.S.
Treasury Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .20%
Broker, Lehman Brothers Special Finance
Expires December 2004 12,000,000 --
Receive a variable return equal to Lehman Brothers U.S.
Treasury Index Total Return and pay floating rate based on
1-month USD LIBOR, minus .20%
Broker, Lehman Brothers Special Finance
Expires August 2004 10,500,000 --
Receive a variable return equal to 3-month USD LIBOR and pay
fixed of 5.15%
Broker, UBS Warburg
Expires September 2013 4,500,000 (193,779)
Receive a variable return based on 3-month USD LIBOR, plus
..50% which is capped at a fixed coupon of 8% and callable
quarterly beginning March 29, 2004 and pay floating rate
based on 3-month USD LIBOR
Broker, JP Morgan Chase Bank
Expires September 2009 5,000,000 (11,678)
---------
$(192,809)
=========
- ----------------------------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
71
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Large Cap Core Strategy Portfolio
Schedule of Investments as of December 31, 2003 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
AIR FREIGHT & 44,000 +J.B. Hunt Transport Services, Inc. ....................... $ 1,188,440 0.5%
LOGISTICS
- ----------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS 45,000 Lear Corporation........................................... 2,759,850 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
BEVERAGES 76,000 +Constellation Brands, Inc. (Class A)...................... 2,502,680 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY 35,000 +Genentech, Inc. .......................................... 3,274,950 1.3
42,000 +Invitrogen Corporation.................................... 2,940,000 1.1
------------ -----
6,214,950 2.4
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS 121,000 J.P. Morgan Chase & Co. ................................... 4,444,330 1.7
25,000 Legg Mason, Inc. .......................................... 1,929,500 0.7
40,000 Lehman Brothers Holdings, Inc. ............................ 3,088,800 1.2
------------ -----
9,462,630 3.6
- ----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS 4,000 Bank of America Corporation................................ 321,720 0.1
13,000 Zions Bancorporation....................................... 797,290 0.3
------------ -----
1,119,010 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & 52,000 +Career Education Corporation.............................. 2,083,640 0.8
SUPPLIES
147,000 +Cendant Corporation....................................... 3,273,690 1.3
41,000 +Corinthian Colleges, Inc. ................................ 2,277,960 0.9
51,000 H&R Block, Inc. ........................................... 2,823,870 1.1
------------ -----
10,459,160 4.1
- ----------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 76,000 Adtran, Inc. .............................................. 2,356,000 0.9
EQUIPMENT
283,000 +Cisco Systems, Inc. ...................................... 6,874,070 2.7
89,000 +Emulex Corporation........................................ 2,374,520 0.9
109,000 +Foundry Networks, Inc. ................................... 2,982,240 1.2
247,000 Motorola, Inc. ............................................ 3,475,290 1.4
96,000 Scientific-Atlanta, Inc. .................................. 2,620,800 1.0
67,000 +UTStarcom, Inc. .......................................... 2,483,690 1.0
------------ -----
23,166,610 9.1
- ----------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & 121,000 +Dell Inc. ................................................ 4,109,160 1.6
PERIPHERALS
12,000 International Business Machines Corporation................ 1,112,160 0.4
43,000 +SanDisk Corporation....................................... 2,629,020 1.0
38,000 +Storage Technology Corporation............................ 978,500 0.4
246,000 +Western Digital Corporation............................... 2,900,340 1.1
------------ -----
11,729,180 4.5
- ----------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE 50,000 Capital One Financial Corporation.......................... 3,064,500 1.2
127,000 MBNA Corporation........................................... 3,155,950 1.2
------------ -----
6,220,450 2.4
- ----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 182,000 Citigroup Inc. ............................................ 8,834,280 3.4
SERVICES
- ----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 180,000 Sprint Corporation......................................... 2,955,600 1.1
TELECOMMUNICATION
SERVICES
- ----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES 128,000 Edison International....................................... 2,807,040 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 76,000 Rockwell International Corporation......................... 2,705,600 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 56,000 +Sanmina--SCI Corporation.................................. 706,160 0.3
INSTRUMENTS
29,000 +Waters Corporation........................................ 961,640 0.4
------------ -----
1,667,800 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES 78,000 CVS Corporation............................................ 2,817,360 1.1
RETAILING
16,000 Wal-Mart Stores, Inc. ..................................... 848,800 0.3
------------ -----
3,666,160 1.4
- ----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT 52,000 Bausch & Lomb Incorporated................................. 2,698,800 1.0
& SUPPLIES
18,000 Beckman Coulter Inc. ...................................... 914,940 0.4
------------ -----
3,613,740 1.4
- ----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE 21,000 +Anthem, Inc. ............................................. 1,575,000 0.6
PROVIDERS & SERVICES
66,000 +DaVita, Inc. ............................................. 2,574,000 1.0
94,000 +Humana Inc. .............................................. 2,147,900 0.8
25,000 Omnicare, Inc. ............................................ 1,009,750 0.4
</Table>
72
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Large Cap Core Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE 60,000 Oxford Health Plans, Inc. ................................. $ 2,610,000 1.0%
PROVIDERS & SERVICES
(CONCLUDED)
40,000 +PacifiCare Health Systems, Inc. .......................... 2,704,000 1.1
------------ -----
12,620,650 4.9
- ----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 65,000 Applebee's International, Inc. ............................ 2,552,550 1.0
LEISURE
32,000 GTECH Holdings Corporation................................. 1,583,680 0.6
77,000 International Game Technology.............................. 2,748,900 1.1
------------ -----
6,885,130 2.7
- ----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES 24,000 Centex Corporation......................................... 2,583,600 1.0
61,000 D.R. Horton, Inc. ......................................... 2,638,860 1.0
39,000 Fortune Brands, Inc. ...................................... 2,788,110 1.1
4,000 +Hovnanian Enterprises, Inc. (Class A)..................... 348,240 0.1
35,000 KB HOME.................................................... 2,538,200 1.0
27,000 Lennar Corporation (Class A)............................... 2,592,000 1.0
5,000 +NVR, Inc. ................................................ 2,330,000 0.9
28,000 Pulte Corporation.......................................... 2,621,360 1.0
31,000 The Ryland Group, Inc. .................................... 2,747,840 1.1
22,000 +Toll Brothers, Inc. ...................................... 874,720 0.3
------------ -----
22,062,930 8.5
- ----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 6,000 The Procter & Gamble Company............................... 599,280 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
IT SERVICES 92,000 +CheckFree Corp. .......................................... 2,543,800 1.0
56,000 +Cognizant Technology Solutions Corporation................ 2,555,840 1.0
61,000 +Computer Sciences Corporation............................. 2,698,030 1.0
------------ -----
7,797,670 3.0
- ----------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 167,000 General Electric Company................................... 5,173,660 2.0
CONGLOMERATES
47,000 Textron, Inc. ............................................. 2,681,820 1.1
------------ -----
7,855,480 3.1
- ----------------------------------------------------------------------------------------------------------------------------------
INSURANCE 16,000 American International Group, Inc. ........................ 1,060,480 0.4
13,000 The Hartford Financial Services Group, Inc. ............... 767,390 0.3
13,000 Lincoln National Corporation............................... 524,810 0.2
47,000 MBIA, Inc. ................................................ 2,783,810 1.1
------------ -----
5,136,490 2.0
- ----------------------------------------------------------------------------------------------------------------------------------
MACHINERY 51,000 Cummins Engine Company, Inc. .............................. 2,495,940 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING 59,000 Freeport-McMoRan Copper & Gold, Inc. (Class B)............. 2,485,670 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & 498,000 +Calpine Corporation....................................... 2,395,380 0.9
UNREGULATED POWER
597,000 +Dynegy Inc. (Class A)..................................... 2,555,160 1.0
285,000 The Williams Companies, Inc. .............................. 2,798,700 1.1
------------ -----
7,749,240 3.0
- ----------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL 117,000 Dollar General Corporation................................. 2,455,830 1.0
58,000 Federated Department Stores, Inc. ......................... 2,733,540 1.1
23,000 The May Department Stores Company.......................... 668,610 0.3
79,000 Nordstrom, Inc. ........................................... 2,709,700 1.1
63,000 Sears, Roebuck & Co. ...................................... 2,865,870 1.1
------------ -----
11,433,550 4.6
- ----------------------------------------------------------------------------------------------------------------------------------
OIL & GAS 99,000 Exxon Mobil Corporation.................................... 4,059,000 1.6
- ----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 92,000 Georgia-Pacific Group...................................... 2,821,640 1.1
PRODUCTS
- ----------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 22,000 Johnson & Johnson.......................................... 1,136,520 0.4
105,000 Mylan Laboratories, Inc. .................................. 2,652,300 1.0
120,000 Pfizer, Inc. .............................................. 4,239,600 1.6
------------ -----
8,028,420 3.0
- ----------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 147,000 +Amkor Technology, Inc. ................................... 2,676,870 1.0
SEMICONDUCTOR
EQUIPMENT
447,000 +Atmel Corporation......................................... 2,686,470 1.1
128,000 +Cypress Semiconductor Corporation......................... 2,734,080 1.1
109,000 +Fairchild Semiconductor Corporation....................... 2,721,730 1.1
133,000 Intel Corporation.......................................... 4,282,600 1.7
12,000 +International Rectifier Corp. ............................ 592,920 0.2
62,000 +National Semiconductor Corporation........................ 2,443,420 1.0
------------ -----
18,138,090 7.2
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
73
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Large Cap Core Strategy Portfolio
Schedule of Investments as of December 31, 2003 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES PERCENT OF
INDUSTRIES++ HELD COMMON STOCKS VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
SOFTWARE 121,000 Microsoft Corporation...................................... $ 3,332,340 1.3%
227,000 +Novell, Inc. ............................................. 2,388,040 0.9
78,000 +VERITAS Software Corporation.............................. 2,898,480 1.1
------------ -----
8,618,860 3.3
- ----------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL 139,000 +AutoNation, Inc. ......................................... 2,553,430 1.0
10,000 Best Buy Co., Inc. ........................................ 522,400 0.2
135,000 The Gap, Inc. ............................................. 3,133,350 1.2
104,000 +Staples, Inc. ............................................ 2,839,200 1.1
------------ -----
9,048,380 3.5
- ----------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & 69,000 +Coach, Inc. .............................................. 2,604,750 1.0
LUXURY GOODS
30,000 +Columbia Sportswear Company............................... 1,635,000 0.6
------------ -----
4,239,750 1.6
- ----------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 36,000 Countrywide Financial Corp. ............................... 2,730,600 1.1
FINANCE
75,000 New York Community Bancorp, Inc. .......................... 2,853,750 1.1
------------ -----
5,584,350 2.2
- ----------------------------------------------------------------------------------------------------------------------------------
WIRELESS 319,000 +AT&T Wireless Services Inc. .............................. 2,548,810 1.0
TELECOMMUNICATION
SERVICES
118,000 +Nextel Communications, Inc. (Class A)..................... 3,311,080 1.3
516,000 +Sprint Corp. (PCS Group).................................. 2,899,920 1.1
------------ -----
8,759,810 3.4
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST--$216,210,937) 257,493,510 100.2
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
BENEFICIAL INTEREST/
SHARES HELD SHORT-TERM SECURITIES
- -----------------------------------------------------------------------------------------------------------------------------------
7,417,412 Merrill Lynch Liquidity Series, LLC Money Market 7,417,412 2.9%
Series(a)(b)..........................................
2,472,470 Merrill Lynch Premier Institutional Fund(a)(b).......... 2,472,470 1.0
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$9,889,882) 9,889,882 3.9
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$226,100,819).................. 267,383,392 104.1
LIABILITIES IN EXCESS OF OTHER ASSETS................... (10,458,437) (4.1)
------------ -----
NET ASSETS.............................................. $256,924,955 100.0%
============ =====
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
++ For Portfolio compliance purposes, "Industries" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio management.
This definition may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease. These industry
classifications are unaudited.
(a) Investments in companies considered to be an affiliate of the Portfolio
(such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------
NET INTEREST/DIVIDEND
AFFILIATE ACTIVITY INCOME
- ----------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series II $ (898,477) $ 1,732
Merrill Lynch Liquidity Series, LLC Money Market Series $(4,950,086) $11,826
Merrill Lynch Premier Institutional Fund (8,494,960) $ 6,888
- ----------------------------------------------------------------------------------------------------
</Table>
(b) Security was purchased with the cash proceeds from securities loans.
See Notes to Financial Statements.
74
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 2003 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE INTEREST MATURITY
AMOUNT ISSUE RATE* DATE VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT-- $ 7,000,000 Canadian Imperial Bank of Commerce+........ 1.183% 1/14/2005 $ 7,000,000
YANKEE--1.7%
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT--YANKEE
(COST--$7,000,000) 7,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER--39.0% 6,505,000 CC (USA) Inc. (Centauri)................... 1.11 2/10/2004 6,497,178
5,000,000 Compass Securitization LLC................. 1.10 2/25/2004 4,991,828
2,750,000 Danske Corp. .............................. 1.10 2/17/2004 2,746,172
17,800,000 Den Norske Bank ASA........................ 1.10 2/13/2004 17,777,218
8,040,000 Eureka Securitization Inc. ................ 1.10 2/10/2004 8,030,332
6,785,000 Fleet Funding Corporation.................. 1.10 3/01/2004 6,772,801
8,000,000 HBOS Treasury Services PLC................. 1.10 2/24/2004 7,987,162
10,000,000 ING (U.S.) Funding LLC..................... 1.06 3/29/2004 9,973,790
15,286,000 International Lease Finance Corp. ......... 1.06 1/09/2004 15,282,812
5,135,000 Jupiter Securitization Corp. .............. 1.07 2/05/2004 5,129,811
3,175,000 Kitty Hawk Funding Corp. .................. 1.10 3/19/2004 3,167,571
5,000,000 Morgan Stanley............................. 1.08 2/13/2004 4,993,700
11,075,000 PB Finance (Delaware) Inc. ................ 1.13 1/16/2004 11,070,177
8,000,000 PB Finance (Delaware) Inc. ................ 1.11 3/12/2004 7,982,968
12,698,000 Preferred Receivables Funding Corp. ....... 1.08 1/21/2004 12,690,762
1,657,000 Santander Central Hispano Finance
(Delaware), Inc. ........................ 1.09 2/02/2004 1,655,445
5,000,000 Sigma Finance Inc. ........................ 1.10 3/01/2004 4,991,010
15,000,000 Westpac Capital Corp. ..................... 1.067 1/05/2004 14,998,663
10,000,000 Windmill Funding Corp. .................... 1.08 2/06/2004 9,989,500
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST--$156,729,337) 156,728,900
- ------------------------------------------------------------------------------------------------------------------------------------
CORPORATE NOTES--1.3% 5,000,000 National City Bank of Ohio+................ 1.10 2/26/2004 5,000,756
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST--$5,000,756) 5,000,756
- ------------------------------------------------------------------------------------------------------------------------------------
FUNDING AGREEMENTS--9.3% 3,000,000 General Electric Life and Annuity Assurance
Co.+..................................... 1.22 10/01/2004 3,000,000
9,000,000 Jackson National Life Insurance Co.+....... 1.25 5/03/2004 9,000,000
5,000,000 Monumental Life Insurance Company+......... 1.315 8/13/2004 5,000,000
10,500,000 Monumental Life Insurance Company+......... 1.33 11/22/2004 10,500,000
5,000,000 New York Life Insurance Company+........... 1.194 5/28/2004 5,000,000
5,000,000 The Travelers Insurance Company+........... 1.23 3/01/2004 5,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS
(COST--$37,500,000) 37,500,000
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY 1,950,000 Fannie Mae................................. 1.50 9/27/2004 1,950,608
NOTES--10.2%
1,950,000 Fannie Mae................................. 1.875 9/15/2005 1,954,612
1,000,000 Fannie Mae................................. 2.50 11/20/2005 1,002,187
1,500,000 Federal Home Loan Bank..................... 3.375 6/15/2004 1,515,027
3,700,000 Federal Home Loan Bank..................... 2.00 11/15/2004 3,723,125
1,500,000 Federal Home Loan Bank..................... 1.875 2/15/2005 1,507,425
1,500,000 Federal Home Loan Bank..................... 4.375 2/15/2005 1,548,912
10,025,000 Federal Home Loan Bank..................... 1.625 4/15/2005 10,048,870
1,600,000 Federal Home Loan Bank..................... 1.42 6/30/2005 1,594,000
1,660,000 Federal Home Loan Bank..................... 2.15 10/14/2005 1,664,150
2,600,000 Freddie Mac................................ 3.25 1/15/2004 2,601,883
1,400,000 Freddie Mac................................ 3.75 4/15/2004 1,410,504
1,650,000 Freddie Mac................................ 1.50 11/30/2004 1,650,688
1,650,000 Freddie Mac................................ 3.875 2/15/2005 1,694,819
2,000,000 Freddie Mac................................ 4.25 6/15/2005 2,075,998
1,000,000 Freddie Mac................................ 2.29 10/28/2005 1,003,601
1,000,000 Freddie Mac................................ 2.29 10/28/2005 1,007,221
1,000,000 Freddie Mac................................ 2.41 11/04/2005 1,007,212
2,000,000 Student Loan Marketing Association......... 3.375 7/15/2004 2,023,390
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL GOVERNMENT AGENCY NOTE--
(COST--$40,879,257) 40,984,232
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM NOTES--12.1% 9,000,000 CC (USA) Inc. (Centauri)+.................. 1.08 2/20/2004 9,000,000
7,000,000 General Electric Capital Corp.+............ 1.23 1/14/2005 7,000,000
1,200,000 Goldman Sachs Group, Inc.+................. 1.40 1/11/2005 1,200,000
2,000,000 Household Finance Corporation+............. 1.171 8/18/2004 2,000,518
1,750,000 Metropolitan Life Insurance Company+....... 1.173 1/14/2005 1,750,000
</Table>
75
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 2003 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE INTEREST MATURITY
AMOUNT ISSUE RATE* DATE VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM NOTES $ 1,550,000 Morgan Stanley Dean Witter & Co.+.......... 1.151% 1/26/2005 $ 1,550,000
(CONCLUDED)
7,500,000 Morgan Stanley Group, Inc.+................ 1.283 1/14/2005 7,500,000
1,700,000 Northern Rock PLC+......................... 1.27 3/18/2004 1,700,000
1,000,000 Northern Rock PLC+......................... 1.25 5/19/2004 1,000,000
2,000,000 Northern Rock PLC+......................... 1.181 12/09/2004 1,999,626
7,000,000 Sigma Finance Corporation+................. 1.08 2/25/2004 7,000,000
7,000,000 Sigma Finance Corporation+................. 1.07 9/22/2004 6,999,489
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST--$48,699,243) 48,699,633
- ------------------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, AGENCY & 5,700,000 Fannie Mae+................................ 1.141 1/14/2004 5,700,000
INSTRUMENTALITY
OBLIGATIONS--
NON-DISCOUNT--22.1%
9,000,000 Fannie Mae+................................ 1.006 5/27/2004 8,998,373
10,000,000 Fannie Mae+................................ 1.00 10/28/2004 9,997,534
9,750,000 Fannie Mae+................................ 1.05 1/18/2005 9,745,817
9,800,000 Fannie Mae+................................ 1.098 3/16/2005 9,798,158
500,000 Fannie Mae................................. 7.00 7/15/2005 540,159
3,400,000 Federal Farm Credit Bank+.................. 1.02 2/28/2005 3,399,606
5,000,000 Federal Farm Credit Bank+.................. 1.069 2/21/2006 4,997,862
2,600,000 Federal Home Loan Bank+.................... 0.975 1/02/2004 2,600,000
8,000,000 Federal Home Loan Bank+.................... 1.053 1/06/2004 7,999,967
2,900,000 Federal Home Loan Bank+.................... 1.01 8/19/2004 2,899,634
1,400,000 Federal Home Loan Bank+.................... 1.42 1/21/2005 1,400,042
9,750,000 Federal Home Loan Bank+.................... 1.065 3/30/2005 9,747,368
9,850,000 Student Loan Marketing Association+........ 1.121 2/12/2004 9,849,782
900,000 US Treasury Notes.......................... 2.125 8/31/2004 906,152
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY &
INSTRUMENTALITY OBLIGATIONS--NON-DISCOUNT
(COST--$88,576,902) 88,580,454
- ------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--4.2% 16,775,000 UBS Warburg Corp. LLC, purchased on
12/31/2003 to yield 0.99% to
1/02/2004, repurchase price $16,775,755
collateralized by FNMA, 0% due 6/01/2017,
Resolution Funding Strip, 0% due
7/15/2026 to 4/15/2030, RFCSP Strip
Principal, 0% due 7/15/2020 to 4/15/2030
and Tennessee Valley Authority, 4.70% due
4/15/2033................................ 16,775,000
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(COST--$16,775,000) 16,775,000
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$401,160,495)--99.9%................ 401,268,975
OTHER ASSETS LESS LIABILITIES--0.1%........ 469,355
------------
NET ASSETS--100.0%......................... $401,738,330
============
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
* Commercial Paper and certain U.S. 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 upon
appropriate indexes. The interest rates shown are the rates in effect at
December 31, 2003.
+ Variable rate notes.
See Notes to Financial Statements.
76
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- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of December 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
BALANCED
CAPITAL CORE BOND
STRATEGY STRATEGY
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------
ASSETS:
Investments, at value*+++................................... $1,055,350,952 $156,342,328
Unrealized appreciation on swaps............................ 8,078 10,630
Cash........................................................ 23,797 33,111
Foreign cash++++............................................ 624 --
Receivable for securities sold.............................. 754,702 173,057
Interest receivable......................................... 2,609,116 1,326,558
Dividends receivable........................................ 807,981 3,011
Receivable for paydowns..................................... -- --
Receivable for capital shares sold.......................... -- 3,447
Receivable for variation margin............................. 32,968 --
Receivable for securities lending--net...................... 5,833 --
Receivable for swaps........................................ 468,348 290,195
Swaps premium paid.......................................... 72,151 --
Prepaid expenses and other assets........................... 6,252 1,044
-------------- ------------
Total assets.............................................. 1,060,140,802 158,183,381
-------------- ------------
LIABILITIES:
Collateral on securities loaned, at value................... 55,185,450 --
Unrealized depreciation on swaps............................ 2,088 9,846
Call options written, at value++............................ -- --
Unrealized depreciation on forward foreign exchange
contracts................................................. 65,048 28,464
Payable for securities purchased............................ 42,060,455 21,131,296
Payable for custodian bank.................................. -- --
Payable for capital shares redeemed......................... 205,859 235,437
Payable for variation margin................................ -- 7,187
Payable for forward foreign exchange contracts.............. -- --
Payable for swaps........................................... -- --
Payable to investment adviser............................... 43,733 6,288
Payable for other affiliates................................ 10,170 2,303
Deferred foreign capital gain tax........................... -- --
Accrued expenses and other liabilities...................... 48,687 64,071
-------------- ------------
Total liabilities......................................... 97,621,490 21,484,892
-------------- ------------
NET ASSETS.................................................. $ 962,519,312 $136,698,489
============== ============
NET ASSETS CONSIST OF:
Common Stock, $.10 par value+............................... $ 7,332,618 $ 1,152,187
Paid-in capital in excess of par............................ 1,067,238,846 131,970,561
-------------- ------------
Undistributed (accumulated) investment (loss) income--net... (211,691) 905,864
Undistributed (accumulated) realized capital gains (losses)
on investments and foreign currency transactions--net..... (161,172,306) 137,113
Unrealized appreciation on investments and foreign currency
transactions--net......................................... 49,331,845 2,532,764
-------------- ------------
Total accumulated earnings (losses)--net.................... (112,052,152) 3,575,741
-------------- ------------
NET ASSETS.................................................. $ 962,519,312 $136,698,489
============== ============
Capital shares outstanding.................................. 73,326,176 11,521,871
============== ============
Net asset value, offering and redemption price per share.... $ 13.13 $ 11.86
============== ============
*Identified cost............................................ $1,006,068,190 $153,715,343
============== ============
+Authorized shares.......................................... 300,000,000 100,000,000
============== ============
++ Premiums received........................................ -- --
============== ============
+++Securities loaned........................................ $ 52,756,731 --
============== ============
++++Cost.................................................... $ 641 --
============== ============
</Table>
See Notes to Financial Statements.
78
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDAMENTAL GLOBAL INTERMEDIATE
GROWTH ALLOCATION HIGH GOVERNMENT LARGE CAP MONEY
STRATEGY STRATEGY YIELD BOND CORE STRATEGY RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------
$ 331,290,032 $198,161,584 $103,317,292 $221,051,801 $267,383,392 $ 401,268,975
-- -- -- 12,648 -- --
-- 71,079 43,125 3,192,523 -- 35,908
-- 909,634 -- -- -- --
293,041 7,672,280 -- -- 444,684 --
9,043 977,214 1,755,256 864,956 256 461,626
267,887 227,515 45,531 -- 141,413 --
-- -- 8,839 131,983 -- --
3,405 110,908 -- 146,906 3,395 47,988
-- 3,610 -- -- -- --
2,715 -- -- 184 1,464 --
-- -- -- 342,161 -- --
-- -- -- -- -- --
1,862 1,027 71,662 1,646 1,495 4,087
------------- ------------ ------------ ------------ ------------ --------------
331,867,985 208,134,851 105,241,705 225,744,808 267,976,099 401,818,584
------------- ------------ ------------ ------------ ------------ --------------
20,183,150 185,500 -- -- 9,889,882 --
-- -- -- 205,457 -- --
-- 146,690 -- 14,918 -- --
-- 208,788 -- -- -- --
2,960,385 134,794 -- 21,525,015 217,731 --
-- -- -- -- 541,995 --
443,397 500 16,762 471,763 370,706 39,383
-- -- -- -- -- --
-- 22,944 -- -- -- --
-- -- -- -- -- --
14,001 8,376 4,815 9,322 11,696 14,741
3,796 2,760 1,787 3,183 3,380 5,504
-- 411,142 -- -- -- --
18,211 74,832 12,341 20,026 15,754 20,626
------------- ------------ ------------ ------------ ------------ --------------
23,622,940 1,196,326 35,705 22,249,684 11,051,144 80,254
------------- ------------ ------------ ------------ ------------ --------------
$ 308,245,045 $206,938,525 $105,206,000 $203,495,124 $256,924,955 $ 401,738,330
============= ============ ============ ============ ============ ==============
$ 1,547,262 $ 1,493,853 $ 1,789,389 $ 1,791,087 $ 1,402,867 $ 40,162,985
445,679,563 202,767,280 141,394,730 200,570,633 282,317,906 361,466,865
------------- ------------ ------------ ------------ ------------ --------------
(12,508) (1,363,692) 736,290 215,734 (26,176) --
(184,718,873) (24,544,776) (40,403,830) 226,013 (68,052,215) --
45,749,601 28,585,860 1,689,421 691,657 41,282,573 108,480
------------- ------------ ------------ ------------ ------------ --------------
(138,981,780) 2,677,392 (37,978,119) 1,133,404 (26,795,818) 108,480
------------- ------------ ------------ ------------ ------------ --------------
$ 308,245,045 $206,938,525 $105,206,000 $203,495,124 $256,924,955 $ 401,738,330
============= ============ ============ ============ ============ ==============
15,472,618 14,938,530 17,893,888 17,910,875 14,028,668 401,629,850
============= ============ ============ ============ ============ ==============
$ 19.92 $ 13.85 $ 5.88 $ 11.36 $ 18.31 $ 1.00
============= ============ ============ ============ ============ ==============
$ 285,540,422 $169,377,878 $101,627,871 $220,169,620 $226,100,819 $ 401,160,495
============= ============ ============ ============ ============ ==============
100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000
============= ============ ============ ============ ============ ==============
-- $ 104,444 -- $ 17,170 -- --
============= ============ ============ ============ ============ ==============
$ 19,868,768 $ 181,300 -- -- $ 9,315,856 --
============= ============ ============ ============ ============ ==============
-- $ 897,910 -- -- -- --
============= ============ ============ ============ ============ ==============
</Table>
79
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Year Ended December 31, 2003
- --------------------------------------------------------------------------------
<Table>
<Caption>
BALANCED CORE
CAPITAL BOND
STRATEGY STRATEGY
PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest.................................................... $ 13,177,260 $ 5,896,430
Dividends*.................................................. 10,375,937 3,011
Securities lending--net..................................... 154,387 2,582
Other income................................................ -- --
------------ -----------
Total income.............................................. 23,707,584 5,902,023
------------ -----------
EXPENSES:
Investment advisory fees.................................... 3,007,531 485,319
Accounting services......................................... 300,123 48,828
Professional fees........................................... 83,785 25,906
Custodian fees.............................................. 53,755 29,169
Printing and shareholder reports............................ 54,640 9,009
Directors' fees and expenses................................ 38,204 6,600
Pricing services............................................ 36,671 31,417
Transfer agent fees......................................... 5,000 5,000
Interest expense............................................ -- --
Other....................................................... 36,316 19,806
------------ -----------
Total expenses before waiver................................ 3,616,025 661,054
Waiver of expenses.......................................... -- --
------------ -----------
Total expenses after waiver................................. 3,616,025 661,054
------------ -----------
Investment income--net...................................... 20,091,559 5,240,969
------------ -----------
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS & FOREIGN
CURRENCY TRANSACTIONS--NET:
Realized gain (loss) on investments--net.................... (22,291,337) 4,462,323
Realized gain (loss) on foreign currency
transactions--net......................................... 4,952 (7,600)
Increase from payments by affiliates for realized losses on
the disposal of investments related to a revised capital
share transaction......................................... -- --
Change in unrealized appreciation/depreciation on
investments--net.......................................... 176,672,607 (2,561,058)
Change in unrealized appreciation/depreciation on foreign
currency transactions--net................................ (68,648) (28,253)
------------ -----------
Total realized and unrealized gain (loss) on investments and
foreign currency transactions--net........................ 154,317,574 1,865,412
------------ -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $174,409,133 $ 7,106,381
============ ===========
*Net of foreign withholding tax............................. $ 118,701 --
============ ===========
**Net of $411,142 deferred foreign capital gain tax.
</Table>
See Notes to Financial Statements.
80
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDAMENTAL GLOBAL INTERMEDIATE
GROWTH ALLOCATION HIGH GOVERNMENT LARGE CAP MONEY
STRATEGY STRATEGY YIELD BOND CORE STRATEGY RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------
$ 126,267 $ 2,799,925 $ 7,623,261 $ 8,551,354 $ 1,732 $5,705,840
2,214,951 1,752,202 -- -- 2,076,626 --
27,934 1,580 -- 11,724 18,714 --
-- -- 29,288 -- -- --
------------ ----------- ----------- ----------- ----------- ----------
2,369,152 4,553,707 7,652,549 8,563,078 2,097,072 5,705,840
------------ ----------- ----------- ----------- ----------- ----------
926,047 524,847 315,992 757,775 749,023 1,485,193
91,791 52,094 30,957 76,612 74,113 150,465
30,988 31,340 18,161 27,352 26,940 49,566
23,341 81,847 12,467 35,348 30,961 22,146
16,413 9,107 5,775 14,335 13,212 27,498
11,844 6,562 4,076 10,353 9,476 19,882
5,205 15,331 19,381 16,449 878 2,657
5,000 5,000 5,000 5,000 5,000 5,000
-- -- -- 224 -- --
14,655 15,240 7,487 18,287 11,163 12,378
------------ ----------- ----------- ----------- ----------- ----------
1,125,284 741,368 419,296 961,735 920,766 1,774,785
-- (10,589) -- -- -- --
------------ ----------- ----------- ----------- ----------- ----------
1,125,284 730,779 419,296 961,735 920,766 1,774,785
------------ ----------- ----------- ----------- ----------- ----------
1,243,868 3,822,928 7,233,253 7,601,343 1,176,306 3,931,055
------------ ----------- ----------- ----------- ----------- ----------
(30,049,499) 2,499,057 (7,486,521) 4,726,085 17,557,996 19,805
(13,188) 1,314,090 -- -- -- --
-- -- 88,958 -- -- --
99,908,908 41,765,833** 20,966,855 (7,317,104) 45,600,292 (130,279)
(9) (73,191) -- 33 -- --
------------ ----------- ----------- ----------- ----------- ----------
69,846,212 45,510,440 13,569,292 (2,590,986) 63,158,288 (110,474)
------------ ----------- ----------- ----------- ----------- ----------
$ 71,090,080 $49,333,368 $20,802,545 $ 5,010,357 $64,334,594 $3,820,581
============ =========== =========== =========== =========== ==========
$ 6,562 $ 93,142 -- -- -- --
============ =========== =========== =========== =========== ==========
</Table>
81
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<Table>
<Caption>
BALANCED CORE BOND
CAPITAL STRATEGY PORTFOLIO STRATEGY PORTFOLIO
-------------------------------- ------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31,
-------------------------------- ------------------------------
INCREASE (DECREASE) IN NET ASSETS: 2003 2002 2003 2002
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net................................. $ 20,091,559 $ 28,636,193 $ 5,240,969 $ 6,554,332
Realized gain (loss) on investments and foreign
currency transactions--net........................... (22,286,385) (80,024,142) 4,454,723 1,266,297
Change in unrealized appreciation/depreciation on
investments--net..................................... 176,672,607 (86,996,174) (2,561,058) 5,258,960
Change in unrealized appreciation/depreciation on
foreign currency transactions--net................... (68,648) 35,678 (28,253) --
------------ -------------- ------------ ------------
Net increase (decrease) in net assets resulting from
operations........................................... 174,409,133 (138,348,445) 7,106,381 13,079,589
------------ -------------- ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS:
Investment income--net................................. (21,275,068) (28,774,932) (5,527,626) (6,635,686)
Realized gain on investments--net...................... -- -- (1,733,302) --
------------ -------------- ------------ ------------
Net decrease in net assets resulting from dividends and
distributions to shareholders........................ (21,275,068) (28,774,932) (7,260,928) (6,635,686)
------------ -------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net assets derived from
capital share transactions........................... (71,372,317) (98,914,005) (8,647,005) 8,954,416
------------ -------------- ------------ ------------
NET ASSETS:
Total increase (decrease) in net assets................ 81,761,748 (266,037,382) (8,801,552) 15,398,319
Beginning of year...................................... 880,757,564 1,146,794,946 145,500,041 130,101,722
------------ -------------- ------------ ------------
End of year*........................................... $962,519,312 $ 880,757,564 $136,698,489 $145,500,041
============ ============== ============ ============
* Undistributed (accumulated) investment income
(loss)--net.......................................... $ (211,691) $ (59,651) $ 905,864 $ 627,632
============ ============== ============ ============
</Table>
See Notes to Financial Statements.
82
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDAMENTAL GROWTH GLOBAL ALLOCATION HIGH YIELD INTERMEDIATE GOVERNMENT
STRATEGY PORTFOLIO STRATEGY PORTFOLIO PORTFOLIO BOND PORTFOLIO
------------------------------- --------------------------- --------------------------- ---------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
------------------------------- --------------------------- --------------------------- ---------------------------
2003 2002 2003 2002 2003 2002 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------
$ 1,243,868 $ 1,299,450 $ 3,822,928 $ 4,528,073 $ 7,233,253 $ 7,470,024 $ 7,601,343 $ 10,200,793
(30,062,687) (68,128,223) 3,817,798 (11,558,406) (7,397,563) (12,054,688) 4,726,085 5,608,564
99,908,908 (49,298,010) 41,765,833 (5,203,032) 20,966,855 3,540,622 (7,317,104) 5,272,637
(9) 721 (73,191) (704,341) -- -- 33 --
--------------- ------------- ------------ ------------ ------------ ------------ ------------ ------------
71,090,080 (116,126,062) 49,333,368 (12,937,706) 20,802,545 (1,044,042) 5,010,357 21,081,994
--------------- ------------- ------------ ------------ ------------ ------------ ------------ ------------
(1,230,011) (1,299,524) (5,972,495) (5,751,926) (7,274,168) (7,729,182) (7,714,886) (10,242,529)
-- -- -- -- -- -- (3,139,042) --
--------------- ------------- ------------ ------------ ------------ ------------ ------------ ------------
(1,230,011) (1,299,524) (5,972,495) (5,751,926) (7,274,168) (7,729,182) (10,853,928) (10,242,529)
--------------- ------------- ------------ ------------ ------------ ------------ ------------ ------------
(24,671,141) (36,876,002) 25,700,301 (10,008,238) 5,490,032 18,155,291 (30,469,161) 3,310,570
--------------- ------------- ------------ ------------ ------------ ------------ ------------ ------------
45,188,928 (154,301,588) 69,061,174 (28,697,870) 19,018,409 9,382,067 (36,312,732) 14,150,035
263,056,117 417,357,705 137,877,351 166,575,221 86,187,591 76,805,524 239,807,856 225,657,821
--------------- ------------- ------------ ------------ ------------ ------------ ------------ ------------
$ 308,245,045 $ 263,056,117 $206,938,525 $137,877,351 $105,206,000 $ 86,187,591 $203,495,124 $239,807,856
=============== ============= ============ ============ ============ ============ ============ ============
$ (12,508) $ (13,177) $ (1,363,692) $ (523,268) $ 736,290 $ 624,786 $ 215,734 $ 897,373
=============== ============= ============ ============ ============ ============ ============ ============
</Table>
83
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LARGE CAP CORE MONEY
STRATEGY PORTFOLIO RESERVE PORTFOLIO
------------------------------ ------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31,
------------------------------ ------------------------------
INCREASE (DECREASE) IN NET ASSETS: 2003 2002 2003 2002
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net................................... $ 1,176,306 $ 1,982,540 $ 3,931,055 $ 8,166,947
Realized gain (loss) on investments and foreign currency
transactions--net...................................... 17,557,996 (26,021,718) 19,805 18,377
Change in unrealized appreciation/depreciation on
investments--net....................................... 45,600,292 (25,844,549) (130,279) (504,716)
Change in unrealized depreciation on foreign currency
transactions--net...................................... -- 121 -- --
------------ ------------ ------------ ------------
Net increase (decrease) in net assets resulting from
operations............................................. 64,334,594 (49,883,606) 3,820,581 7,680,608
------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS:
Investment income--net................................... (1,175,000) (2,010,012) (3,931,055) (8,166,947)
Realized gain on investments--net........................ -- -- (19,805) (18,377)
------------ ------------ ------------ ------------
Net decrease in net assets resulting from dividends and
distributions to shareholders.......................... (1,175,000) (2,010,012) (3,950,860) (8,185,324)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from capital share
transactions........................................... (12,594,903) (29,040,607) (64,117,033) (43,496,095)
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net assets.................. 50,564,691 (80,934,225) (64,247,312) (44,000,811)
Beginning of year........................................ 206,360,264 287,294,489 465,985,642 509,986,453
------------ ------------ ------------ ------------
End of year*............................................. $256,924,955 $206,360,264 $401,738,330 $465,985,642
============ ============ ============ ============
* Undistributed (accumulated) investment income
(loss)--net............................................ $ (26,176) $ (27,472) -- --
============ ============ ============ ============
</Table>
See Notes to Financial Statements.
84
(This page intentionally left blank)
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<Table>
<Caption>
BALANCED CAPITAL STRATEGY PORTFOLIO
----------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
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................... $ 11.07 $ 13.14 $ 14.44 $ 18.19 $ 18.17
-------- -------- ---------- ---------- ----------
Investment income--net............................... .27* .35* .35* .43* .35*
Realized and unrealized gain (loss) on investments
and foreign currency transactions--net............. 2.09 (2.05) (1.33) (1.31) 2.99
-------- -------- ---------- ---------- ----------
Total from investment operations..................... 2.36 (1.70) (.98) (.88) 3.34
-------- -------- ---------- ---------- ----------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net............................... (.30) (.37) (.32) (.43) (.70)
In excess of investment income--net.................. -- -- -- (.16) (.06)
Realized gain on investments--net.................... -- -- -- (2.04) (2.56)
In excess of realized gain on investments--net....... -- -- -- (.24) --
-------- -------- ---------- ---------- ----------
Total dividends and distributions.................... (.30) (.37) (.32) (2.87) (3.32)
-------- -------- ---------- ---------- ----------
Net asset value, end of year......................... $ 13.13 $ 11.07 $ 13.14 $ 14.44 $ 18.19
======== ======== ========== ========== ==========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share................... 21.29% (12.89%) (6.76%) (4.92%) 20.21%
======== ======== ========== ========== ==========
RATIOS TO AVERAGE NET ASSETS:
Expenses, excluding reorganization costs............. .40% .40% .40% .38% .39%
======== ======== ========== ========== ==========
Expenses............................................. .40% .40% .40% .38% .39%
======== ======== ========== ========== ==========
Investment income--net............................... 2.24% 2.81% 2.57% 2.39% 2.00%
======== ======== ========== ========== ==========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)............... $962,519 $880,758 $1,146,795 $1,246,623 $1,442,018
======== ======== ========== ========== ==========
Portfolio turnover................................... 104.78% 35.46% 154.91% 103.15% 106.04%
======== ======== ========== ========== ==========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
86
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
CORE BOND STRATEGY PORTFOLIO FUNDAMENTAL GROWTH STRATEGY PORTFOLIO
---------------------------------------------------- ----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------- ----------------------------------------------------
2003 2002 2001 2000 1999 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------
$ 11.89 $ 11.35 $ 11.13 $ 10.83 $ 11.91 $ 15.53 $ 21.82 $ 27.03 $ 38.03 $ 36.70
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
.43* .55* .62* .75* .74* .08* .07* .12* .19 .31
.14 .54 .23 .24 (1.02) 4.39 (6.28) (5.20) (2.49) 12.06
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
.57 1.09 .85 .99 (.28) 4.47 (6.21) (5.08) (2.30) 12.37
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
(.45) (.55) (.63) (.69) (.80) (.08) (.08) (.13) (.19) (.49)
-- -- -- -- -- -- -- -- -- --
(.15) -- -- -- -- -- -- -- (8.46) (10.55)
-- -- -- -- -- -- -- -- (.05) --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
(.60) (.55) (.63) (.69) (.80) (.08) (.08) (.13) (8.70) (11.04)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
$ 11.86 $ 11.89 $ 11.35 $ 11.13 $ 10.83 $ 19.92 $ 15.53 $ 21.82 $ 27.03 $ 38.03
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
4.95% 9.95% 7.83% 9.57% (2.35%) 28.78% (28.47%) (18.81%) (6.38%) 38.99%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
.46% .43% .44% .41% .39% .41% .41% .40% .38% .37%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
.46% .43% .44% .41% .39% .41% .41% .40% .38% .37%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
3.62% 4.73% 5.42% 6.94% 6.54% .45% .38% .52% .48% .86%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
$136,698 $145,500 $130,102 $118,088 $120,007 $308,245 $263,056 $417,358 $582,265 $623,403
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
272.48% 269.83% 283.16% 109.60% 110.90% 103.59% 98.84% 116.05% 105.19% 90.44%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
</Table>
87
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
GLOBAL ALLOCATION STRATEGY PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year......................... $ 10.55 $ 11.97 $ 13.33 $ 17.17 $ 16.00
-------- -------- -------- -------- --------
Investment income--net*.................................... .29 .34 .34 .38 .30
Realized and unrealized gain (loss) on investments and
foreign currency transactions--net....................... 3.42 (1.30) (1.46) (1.99) 3.02
-------- -------- -------- -------- --------
Total from investment operations........................... 3.71 (.96) (1.12) (1.61) 3.32
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.41) (.46) (.24) (.40) (.32)
In excess of investment income--net........................ -- -- -- (.01) (.21)
Realized gain on investments--net.......................... -- -- -- (1.23) (1.62)
In excess of realized gain on investments--net............. -- -- -- (.59) --
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.41) (.46) (.24) (2.23) (2.15)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 13.85 $ 10.55 $ 11.97 $ 13.33 $ 17.17
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 35.54% (8.01%) (8.43%) (9.42%) 21.36%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of waiver.................................... .47% .48% .45% .46% .42%
======== ======== ======== ======== ========
Expenses................................................... .47% .48% .45% .46% .42%
======== ======== ======== ======== ========
Investment income--net..................................... 2.44% 2.99% 2.75% 2.31% 1.84%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $206,939 $137,877 $166,575 $200,858 $241,699
======== ======== ======== ======== ========
Portfolio turnover......................................... 47.25% 53.57% 110.57% 121.89% 106.83%
======== ======== ======== ======== ========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
++ Merrill Lynch Life Insurance Company (an indirect, wholly-owned subsidiary of
Merrill Lynch & Co., Inc.) fully reimbursed the Portfolio for a loss on a
security transaction related to a revised capital share transaction, which
had no impact on total investment return.
See Notes to Financial Statements.
88
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
HIGH YIELD PORTFOLIO INTERMEDIATE GOVERNMENT BOND PORTFOLIO
------------------------------------------------ ----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------ ----------------------------------------------------
2003 2002 2001 2000 1999 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------
$ 5.12 $ 5.85 $ 6.40 $ 7.45 $ 7.90 $ 11.67 $ 11.12 $ 10.99 $ 10.45 $ 11.32
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
.43 .50 .68 .74 .77 .39 .51 .60 .68 .67
.76 (.71) (.56) (1.10) (.35) (.13) .49 .14 .49 (.81)
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
1.19 (.21) .12 (.36) .42 .26 1.00 .74 1.17 (.14)
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
(.43) (.52) (.67) (.69) (.85) (.39) (.45) (.61) (.63) (.73)
-- -- -- -- (.02) -- -- -- -- --
-- -- -- -- -- (.18) -- -- -- --
-- -- -- -- -- -- -- -- -- --
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
(.43) (.52) (.67) (.69) (.87) (.57) (.45) (.61) (.63) (.73)
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
$ 5.88 $ 5.12 $ 5.85 $ 6.40 $ 7.45 $ 11.36 $ 11.67 $ 11.12 $ 10.99 $ 10.45
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
24.40%++ (3.47%) 1.70% (5.14%) 5.85% 2.26% 9.81% 6.94% 11.64% (1.25%)
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
.44% .47% .46% .42% .39% .43% .42% .42% .39% .38%
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
.44% .47% .46% .42% .39% .43% .42% .42% .39% .38%
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
7.68% 9.33% 10.71% 10.44% 9.98% 3.36% 4.49% 5.42% 6.47% 6.15%
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
$105,206 $86,188 $76,806 $89,488 $99,217 $203,495 $239,808 $225,658 $215,669 $215,964
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
148.84% 90.83% 77.79% 57.39% 57.86% 236.86% 219.81% 125.46% 105.38% 206.20%
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
</Table>
89
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LARGE CAP CORE STRATEGY PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
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......................... $ 13.88 $ 17.25 $ 19.34 $ 29.43 $ 27.03
-------- -------- -------- -------- --------
Investment income--net..................................... .08* .13* .17* .36* .18*
Realized and unrealized gain (loss) on investments and
foreign currency transactions--net....................... 4.43 (3.36) (2.10) (3.17) 7.56
-------- -------- -------- -------- --------
Total from investment operations........................... 4.51 (3.23) (1.93) (2.81) 7.74
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.08) (.14) (.16) (.38) (.41)
In excess of investment income--net........................ -- -- -- (.11) (.02)
Realized gain on investments--net.......................... -- -- -- (5.65) (4.91)
In excess of realized gain on investments--net............. -- -- -- (1.14) --
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.08) (.14) (.16) (7.28) (5.34)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 18.31 $ 13.88 $ 17.25 $ 19.34 $ 29.43
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 32.52% (18.74%) (9.97%) (9.87%) 31.63%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................................... .41% .43% .42% .39% .37%
======== ======== ======== ======== ========
Investment income--net..................................... .53% .80% .96% 1.26% .68%
======== ======== ======== ======== ========
Investment income and realized gain on investments--net.... -- -- -- -- --
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $256,925 $206,360 $287,294 $356,539 $430,380
======== ======== ======== ======== ========
Portfolio turnover......................................... 127.19% 124.16% 178.95% 103.85% 81.60%
======== ======== ======== ======== ========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
++ Amount is less than $.01 per share.
++++ Amount is less than $(.01) per share.
See Notes to Financial Statements.
90
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
MONEY RESERVE PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
2003 2002 2001 2000 1999
- --------------------------------------------------------------------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
.01 .02 .04 .06 .05
--++ --++ --++ --++ --++
-------- -------- -------- -------- --------
.01 .02 .04 .06 .05
-------- -------- -------- -------- --------
(.01) (.02) (.04) (.06) (.05)
-- -- -- -- --
--++++ --++++ --++++ --++++ --++++
-- -- -- -- --
-------- -------- -------- -------- --------
(.01) (.02) (.04) (.06) (.05)
-------- -------- -------- -------- --------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
.89% 1.68% 4.15% 6.19% 5.01%
======== ======== ======== ======== ========
.40% .39% .38% .37% .37%
======== ======== ======== ======== ========
-- -- -- -- --
======== ======== ======== ======== ========
.89% 1.67% 4.08% 6.11% 4.91%
======== ======== ======== ======== ========
$401,738 $465,986 $509,986 $504,076 $567,363
======== ======== ======== ======== ========
-- -- -- -- --
======== ======== ======== ======== ========
</Table>
91
(This page intentionally left blank)
- --------------------------------------------------------------------------------
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 amended, as a diversified, open-end management
investment company, with the exceptions of Balanced Capital Strategy Portfolio
and Global Allocation Strategy Portfolio, which are classified as
non-diversified. The Fund's financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America, 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 ("Monarch") (an insurance company not
affiliated with ML & Co.) for their 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--For the Money Reserve Portfolio, 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 Strategy, Core Bond Strategy, Fundamental Growth Strategy,
Global Allocation Strategy, High Yield, Intermediate Government Bond and Large
Cap Core Strategy: Equity securities that are held by the Fund that are traded
on stock exchanges or the Nasdaq National Market are valued at the last sale
price or official close price on the exchange, as of the close of business on
the day the securities are being valued or, lacking any sales, at the last
available bid price for long positions, and at the last available ask price for
short positions. In cases where equity securities are traded on more than one
exchange, the securities are valued on the exchange designated as the primary
market by or under the authority of the Board of Directors of the Fund. Long
positions traded in the over-the-counter ("OTC") market, Nasdaq Small Cap or
Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Directors of the Fund. Short positions traded in the OTC market are valued at
the last available ask price. Portfolio securities that are traded both in the
OTC market and on a stock exchange are valued according to the broadest and most
representative market.
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 a fair value as determined in
good faith by or under the direction of the Board of Directors of the Fund.
Occasionally, events affecting the values of securities and other assets may
occur between the times at which valuations of such securities are determined
(that is, close of market on which such securities trade) and the close of
business on the New York Stock Exchange ("NYSE"). If events (for example,
company announcement, natural disasters, market volatility) occur during such
periods that are expected to materially affect the value for such securities,
those securities may be valued at their fair market value as determined in good
faith by the Fund's Board of Directors or by the investment adviser using a
pricing service and/or procedures approved by the Board of Directors of the
Fund.
Repurchase agreements are valued at cost plus accrued interest. The Fund employs
pricing services to provide certain securities prices for the Fund. 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, including valuations furnished by the pricing services
retained by the Fund, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed
93
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
by the officers of the Fund under the general supervision of the Fund's Board of
Directors. Such valuations and procedures will be reviewed periodically by the
Board of Directors of the Fund.
Generally, trading in foreign securities, as well as U.S. government securities
and money market instruments, is substantially completed each day at various
times prior to the close of business on the NYSE. The values of such securities
used in computing the net asset value of the Portfolios' shares are determined
as of such times. Foreign currency exchange rates also are generally determined
prior to the close of business on the NYSE. Occasionally, events affecting the
values of such securities and such exchange rates may occur between the times at
which they are determined and the close of business on the NYSE that may not be
reflected in the computation of the Portfolios' net asset value. If events (for
example, a company announcement, market volatility or a natural disaster) occur
during such periods that are expected to materially affect the value of such
securities, those securities may be valued at their fair value as determined in
good faith by the Fund's Board of Directors or by the Investment Adviser using a
pricing service and/or procedures approved by the Fund's Board of Directors.
(b) Repurchase agreements--Certain Portfolios invest in U.S. 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 Portfolio 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 Portfolio may be delayed or limited.
(c) Reverse repurchase agreements--Certain Portfolios may enter into reverse
repurchase agreements. Under reverse repurchase agreements, the Portfolio sells
securities to the counterparty and agrees to repurchase them at a mutually
agreed upon date and price, and may exchange their respective commitments to pay
or receive interest. If the counterparty defaults on its obligation, the
Portfolio's ability to receive interest will be delayed or limited. Furthermore,
if the Portfolio does not have sufficient income to pay its obligation under the
reverse repurchase agreement, the Portfolio would be in default and the
counterparty would be able to terminate the repurchase agreement.
(d) 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.
(e) Security transactions and investment income--Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolios have determined the ex-dividend date.
Interest income is recognized on the accrual basis. The Fund amortizes all
premiums and discounts on debt securities.
(f) Prepaid registration fees--Prepaid registration fees are charged to expense
as the related shares are issued.
(g) Derivative financial instruments--Certain Portfolios may engage in various
portfolio investment strategies both to increase the return of the Fund and to
hedge, or protect, its exposure to interest rate movements and movements in the
securities 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-U.S. 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.
94
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
- - Forward foreign exchange contracts--Balanced Capital Strategy, Global
Allocation Strategy and Large Cap Core Strategy may enter into forward foreign
exchange contracts as a hedge against either specific transactions or portfolio
positions. The contract is marked to market daily and the change in market value
is recorded by the Fund as an unrealized gain or loss. When the contract is
closed, the Fund records a realized gain or loss equal to the difference between
the value at the time it was opened and the value at the time it was closed.
- - Options--Certain Portfolios may 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--Certain Portfolios may purchase or sell financial
futures contracts and options on such futures contracts. 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.
- - Swaps--Certain Portfolios may enter into swap agreements, which are
over-the-counter contracts in which the Fund and a counterparty agree to make
periodic net payments on a specified notional amount. The net payments can be
made for a set period of time or may be triggered by a pre-determined credit
event. The net periodic payments may be based on a fixed or variable interest
rate; the change in market value of a specified security, basket of securities,
or index; or the return generated by a security.
(h) 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 U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
(i) Dividends and distributions--Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(j) Security lending--Certain Portfolios may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Portfolio and any additional required collateral is delivered to the
Portfolio on the next business day. Where the Portfolio receives securities as
collateral for the loaned securities, it collects a fee from the borrower. The
Portfolio typically receives the income on the loaned securities but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. The Portfolio may receive
a flat fee for its loans. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Portfolio may pay reasonable finder's, lending agent,
administra-
95
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
tive and custodial fees in connection with its loans. In the event that the
borrower defaults on its obligation to return borrowed securities because of
insolvency or for any other reason, the Portfolio could experience delays and
costs in gaining access to the collateral. The Portfolio also could suffer a
loss where the value of the collateral falls below the market value of the
borrowed securities, in the event of borrower default or in the event of losses
on investments made with cash collateral.
(k) Expenses--Certain expenses have been allocated to the individual Portfolios
in the Fund on a pro rata basis based on the respective aggregate net asset
value of each Portfolio included in the Fund.
(l) Custodian bank--Large Cap Core Strategy recorded an amount payable to the
custodian bank reflecting an overnight overdraft, which resulted from management
estimates of available cash.
(m) Reclassification--Accounting principles generally accepted in the United
States of America require that certain components of net assets be adjusted to
reflect permanent differences between financial and tax reporting. Accordingly,
the current year's permanent book/tax differences have been reclassified as
follows:
Balanced Capital Strategy Portfolio:
$1,031,469 has been reclassified between accumulated net realized capital losses
and accumulated net investment loss.
Core Bond Strategy Portfolio:
$564,889 has been reclassified between undistributed capital gains and
undistributed net investment income.
Fundamental Growth Strategy Portfolio:
$13,188 has been reclassified between accumulated net investment loss and
accumulated net realized losses.
Global Allocation Strategy Portfolio:
$1,309,143 has been reclassified between accumulated net realized capital losses
and accumulated net investment loss.
High Yield Portfolio:
$152,419 has been reclassified between accumulated net realized capital losses
and undistributed net investment income.
Intermediate Government Bond Portfolio:
$568,096 has been reclassified between undistributed net investment income and
undistributed capital gains.
Large Cap Core Strategy Portfolio:
There were no significant reclassifications in the current year.
These reclassifications have no effect on net assets or net asset values per
share.
Money Reserve Portfolio:
There were no significant reclassifications in the current year.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES:
The Fund has entered into an Investment Advisory Agreement with Merrill Lynch
Investment Managers, L.P. ("MLIM"). The general partner of MLIM 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 Plans with FAM Distributors, Inc. ("FAMD" or the
"Distributor"), which is a wholly-owned subsidiary of Merrill Lynch Group, Inc.
MLIM 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 eight combined Portfolios'
net assets at the following annual rates:
96
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
..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. MLIM
has entered into a Sub-Advisory Agreement with Merrill Lynch Asset Management
U.K. Limited ("MLAM U.K."), an affiliate of MLIM, pursuant to which MLAM U.K.
provides investment advisory services to MLIM with respect to the Fund. There is
no increase in the aggregate fees paid by the Fund for these services.
MLIM, 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, 2003, MLIM earned fees
of $524,847 and waived $10,589 relating to the Global Allocation Strategy
Portfolio.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., or its
affiliates. Pursuant to that order, the Fund also has retained Merrill Lynch
Investment Managers, LLC ("MLIM, LLC"), an affiliate of MLIM, as the securities
lending agent for a fee based on a share of the returns on investment of cash
collateral. MLIM, LLC may, on behalf of the Fund and Portfolios, invest cash
collateral received by the Portfolios for such loans, among other things, in a
private investment company managed by MLIM, LLC or in registered money market
funds advised by MLIM or its affiliates.
As of December 31, 2003, the following Portfolios lent securities to MLPF&S:
<Table>
<Caption>
- ----------------------------------------------------------------------------------
AMOUNT OF LOANED
PORTFOLIOS PORTFOLIO SECURITIES
- ----------------------------------------------------------------------------------
Balanced Capital Strategy Portfolio......................... $8,652,144
Fundamental Growth Strategy Portfolio....................... $2,379,902
Large Cap Core Portfolio.................................... $1,094,852
- ----------------------------------------------------------------------------------
</Table>
For the year ended December 31, 2003, MLIM, LLC received securities lending
agent fees from the following Portfolios:
<Table>
<Caption>
- --------------------------------------------------------------------------------
SECURITIES LENDING
PORTFOLIOS AGENT FEES
- --------------------------------------------------------------------------------
Balanced Capital Strategy Portfolio......................... $ 65,804
Core Bond Strategy Portfolio................................ 1,704
Fundamental Growth Strategy Portfolio....................... 11,625
Global Allocation Strategy Portfolio........................ 637
Intermediate Government Bond Portfolio...................... 4,568
Large Cap Core Strategy Portfolio........................... 7,864
- --------------------------------------------------------------------------------
</Table>
MLPF&S earned commissions on the execution of portfolio security transactions
aggregating $74,930 in the Balanced Capital Strategy Portfolio, $133,986 in the
Fundamental Growth Strategy Portfolio, and $25,997 in the Global Allocation
Strategy Portfolio for the year ended December 31, 2003.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is
the Fund's transfer agent.
For the year ended December 31, 2003, the Fund reimbursed MLIM an aggregate of
$19,257 in Balanced Capital Strategy Portfolio, $3,106 in Core Bond Strategy
Portfolio, $5,823 in Fundamental Growth Strategy Portfolio, $3,303 in Global
Allocation Strategy Portfolio, $2,079 in High Yield Portfolio, $4,993 in
Intermediate Government Bond Portfolio, $4,818 in Large Cap Core Strategy
Portfolio, and $9,767 in Money Reserves Portfolio for certain accounting
services.
Merrill Lynch Life Insurance Company reimbursed High Yield Portfolio $88,958 for
realized losses on the disposal of investments related to a revised capital
share transaction.
Certain officers and/or directors of the Fund are officers and/or directors of
MLIM, FDS, PSI, FAMD, and/or ML & Co.
97
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2003 were as follows:
<Table>
<Caption>
FUNDAMENTAL GLOBAL
BALANCED CORE BOND GROWTH ALLOCATION
CAPITAL STRATEGY STRATEGY STRATEGY STRATEGY HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------
Total Purchases......................... $ 864,696,053 $417,031,284 $275,569,475 $59,315,246 $135,224,173
============== ============ ============ =========== ============
Total Sales............................. $1,007,926,670 $423,017,991 $296,226,428 $68,200,459 $127,805,173
============== ============ ============ =========== ============
<Caption>
INTERMEDIATE LARGE CAP
GOVERNMENT CORE STRATEGY
BOND PORTFOLIO PORTFOLIO
- ---------------------------------------- ------------------------------
Total Purchases......................... $552,922,674 $283,725,721
============ ============
Total Sales............................. $577,245,631 $294,151,674
============ ============
</Table>
As of December 31, 2003, unrealized appreciation/depreciation for Federal income
tax purposes were as follows:
<Table>
<Caption>
BALANCED CORE BOND FUNDAMENTAL GLOBAL ALLOCATION
CAPITAL STRATEGY STRATEGY GROWTH STRATEGY STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
Appreciated securities.................................. $ 85,095,722 $ 2,851,338 $ 46,225,163 $ 34,714,479
Depreciated securities.................................. (41,822,105) (267,762) (1,251,383) (6,897,114)
-------------- ------------ ------------ ------------
Net unrealized appreciation (depreciation).............. $ 43,273,617 $ 2,583,576 $ 44,973,780 $ 27,817,365
============== ============ ============ ============
Cost for Federal income tax purposes, including
options................................................ $1,012,077,335 $153,758,752 $286,316,252 $170,198,082
============== ============ ============ ============
</Table>
Net realized gains (losses) for the year ended December 31, 2003 and net
unrealized gains (losses) as of December 31, 2003 were as follows:
<Table>
<Caption>
BALANCED CAPITAL CORE BOND FUNDAMENTAL GROWTH
STRATEGY PORTFOLIO STRATEGY PORTFOLIO STRATEGY PORTFOLIO
-------------------------- ----------------------- --------------------------
REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS GAINS GAINS REALIZED UNREALIZED
(LOSSES) (LOSSES) (LOSSES) (LOSSES) LOSSES LOSSES
- -------------------------------------------------------------------------------------------------------------------------------
Investments:
Long-term securities....................... $(26,301,257) $49,282,762 $3,714,514 $2,626,985 $(30,049,499) $45,749,610
Short-term securities...................... -- -- 379 -- -- --
Deferred foreign capital gain tax.......... -- -- -- -- -- --
Financial futures contracts................ 2,798,223 77,393 49,608 (66,752) -- --
Options purchased.......................... 32,738 -- 4,352 -- -- --
Swaps...................................... 1,180,345 5,990 654,793 784 -- --
Options written............................ (1,386) -- 38,677 -- -- --
------------ ----------- ---------- ---------- ------------ -----------
Total investments........................... (22,291,337) 49,366,145 4,462,323 2,561,017 (30,049,499) 45,749,610
------------ ----------- ---------- ---------- ------------ -----------
Currency transactions:
Forward foreign exchange contracts......... -- (65,048) -- (28,464) -- --
Foreign currency transactions.............. 4,952 30,748 (7,600) 211 (13,188) (9)
------------ ----------- ---------- ---------- ------------ -----------
Total currency transactions................. 4,952 (34,300) (7,600) (28,253) (13,188) (9)
------------ ----------- ---------- ---------- ------------ -----------
Total....................................... $(22,286,385) $49,331,845 $4,454,723 $2,532,764 $(30,062,687) $45,749,601
============ =========== ========== ========== ============ ===========
<Caption>
GLOBAL ALLOCATION
STRATEGY PORTFOLIO
------------------------
REALIZED UNREALIZED
GAINS GAINS
(LOSSES) (LOSSES)
- -------------------------------------------- ------------------------
Investments:
Long-term securities....................... $ 887,346 $28,783,706
Short-term securities...................... -- --
Deferred foreign capital gain tax.......... -- (411,142)
Financial futures contracts................ 1,180,684 380,245
Options purchased.......................... -- --
Swaps...................................... -- --
Options written............................ 435,678 (42,246)
---------- -----------
Total investments........................... 2,503,708 28,710,563
---------- -----------
Currency transactions:
Forward foreign exchange contracts......... (765,184) (208,788)
Foreign currency transactions.............. 2,079,274 84,369
---------- -----------
Total currency transactions................. 1,314,090 (124,703)
---------- -----------
Total....................................... $3,817,798 $28,585,860
========== ===========
</Table>
98
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INTERMEDIATE LARGE CAP CORE MONEY
HIGH YIELD GOVERNMENT STRATEGY RESERVE
PORTFOLIO BOND PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------
$ 6,949,880 $ 2,198,983 $ 44,411,818 $ 120,471
(5,229,086) (1,302,701) (6,463,062) (11,991)
------------ ------------ ------------ ------------
$ 1,720,794 $ 896,282 $ 37,948,756 $ 108,480
============ ============ ============ ============
$101,596,498 $220,155,519 $229,434,636 $401,160,495
============ ============ ============ ============
</Table>
<Table>
<Caption>
INTERMEDIATE
GOVERNMENT LARGE CAP CORE MONEY RESERVE
HIGH YIELD PORTFOLIO BOND PORTFOLIO STRATEGY PORTFOLIO PORTFOLIO
------------------------ ----------------------- ------------------------- ---------------------
REALIZED
REALIZED UNREALIZED GAINS UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED
LOSSES GAINS (LOSSES) GAINS GAINS GAINS GAINS GAINS
- ----------------------------------------------------------------------------------------------------------
$(7,486,521) $1,689,421 $5,057,086 $882,181 $17,557,996 $41,282,573 $19,805 $108,480
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- 116,846 -- -- -- -- --
-- -- 11,904 -- -- -- -- --
-- -- (494,569) (192,809) -- -- -- --
-- -- 34,818 2,252 -- -- -- --
----------- ---------- ---------- -------- ----------- ----------- ------- --------
(7,486,521) 1,689,421 4,726,085 691,624 17,557,996 41,282,573 19,805 108,480
----------- ---------- ---------- -------- ----------- ----------- ------- --------
-- -- -- -- -- -- -- --
-- -- -- 33 -- -- -- --
----------- ---------- ---------- -------- ----------- ----------- ------- --------
-- -- -- 33 -- -- -- --
----------- ---------- ---------- -------- ----------- ----------- ------- --------
$(7,486,521) $1,689,421 $4,726,085 $691,657 $17,557,996 $41,282,573 $19,805 $108,480
=========== ========== ========== ======== =========== =========== ======= ========
</Table>
99
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
Transactions in options written for the year ended December 31, 2003 for
Balanced Capital Strategy Portfolio, Core Bond Strategy Portfolio, Global
Allocation Strategy Portfolio and Intermediate Government Bond Portfolio are as
follows:
<Table>
<Caption>
INTERMEDIATE
BALANCED CAPITAL CORE BOND GOVERNMENT
STRATEGY PORTFOLIO STRATEGY PORTFOLIO BOND PORTFOLIO
--------------------- --------------------- ---------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED CONTRACTS RECEIVED
- ---------------------------------------------------------------------------------------------------------------------------------
Outstanding put options written, at beginning of year..... -- $ -- -- $ -- -- $ --
Options written........................................... 134 738,648 68 536,493 168 877,090
Options expired........................................... (71) (122,180) (33) (65,370) (121) (60,400)
Options closed............................................ (63) (616,468) (35) (471,123) (45) (808,105)
--- --------- --- --------- ----- ---------
Outstanding put options written, at end of year........... -- -- -- -- 2 $ 8,585
=== ========= === ========= ===== =========
</Table>
<Table>
<Caption>
INTERMEDIATE
BALANCED CAPITAL CORE BOND GLOBAL ALLOCATION GOVERNMENT
STRATEGY PORTFOLIO STRATEGY PORTFOLIO STRATEGY PORTFOLIO BOND PORTFOLIO
--------------------- --------------------- --------------------- ---------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED CONTRACTS RECEIVED CONTRACTS RECEIVED
- ---------------------------------------------------------------------------------------------------------------------------------
Outstanding call options written,
at beginning of year............. -- $ -- -- $ -- 2,339+ $ 389,748 -- $ --
Options written................... 128 621,466 65 476,913 2,018 344,898 149 834,882
Options expired................... (117) (42,465) (56) (24,190) (2,349) (396,941) (132) (39,807)
Options exercised................. -- -- -- -- (635) (115,747) -- --
Options closed.................... (11) (579,001) (9) (452,723) (728) (117,514) (15) (786,490)
---- --------- --- --------- ------ --------- ----- ---------
Outstanding call options written,
at end of year................... -- -- -- -- 645 $ 104,444 2 $ 8,585
==== ========= === ========= ====== ========= ===== =========
</Table>
+ Beginning of year balance has been adjusted by 47 contracts as a result of
corporate action including Microsoft Corporation.
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<Table>
<Caption>
BALANCED CAPITAL CORE BOND FUNDAMENTAL GROWTH
STRATEGY PORTFOLIO STRATEGY PORTFOLIO STRATEGY PORTFOLIO
-------------------------- ------------------------- -------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 2003 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------------------------------------
Shares sold........................... 678,542 $ 8,147,155 1,307,582 $ 15,579,834 774,296 $ 13,226,652
Shares issued resulting from
reorganization....................... -- -- -- -- -- --
Shares issued to shareholders in
reinvestment of dividends and
distributions........................ 1,620,341 21,275,068 610,858 7,260,928 61,841 1,230,011
---------- ------------- ---------- ------------ ---------- ------------
Total issued.......................... 2,298,883 29,422,223 1,918,440 22,840,762 836,137 14,456,663
Shares redeemed....................... (8,523,497) (100,794,540) (2,638,105) (31,487,767) (2,307,438) (39,127,804)
---------- ------------- ---------- ------------ ---------- ------------
Net increase (decrease)............... (6,224,614) $ (71,372,317) (719,665) $ (8,647,005) (1,471,301) $(24,671,141)
========== ============= ========== ============ ========== ============
<Caption>
GLOBAL ALLOCATION
STRATEGY PORTFOLIO
-------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 2003 SHARES AMOUNT
- -------------------------------------- -------------------------
Shares sold........................... 1,620,816 $ 20,452,804
Shares issued resulting from
reorganization....................... 1,251,881 16,447,738
Shares issued to shareholders in
reinvestment of dividends and
distributions........................ 436,733 5,972,495
---------- ------------
Total issued.......................... 3,309,430 42,873,037
Shares redeemed....................... (1,441,024) (17,172,736)
---------- ------------
Net increase (decrease)............... 1,868,406 $ 25,700,301
========== ============
</Table>
<Table>
<Caption>
BALANCED CAPITAL CORE BOND FUNDAMENTAL GROWTH
STRATEGY PORTFOLIO STRATEGY PORTFOLIO STRATEGY PORTFOLIO
--------------------------- ------------------------- -------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 2002 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------------------------------------
Shares sold.......................... 444,050 $ 5,340,057 2,039,787 $ 23,519,080 1,272,153 $ 25,159,814
Shares issued to shareholders in
reinvestment of dividends and
distributions....................... 2,617,008 28,774,932 578,547 6,635,686 83,919 1,299,524
----------- ------------- ---------- ------------ ---------- ------------
Total issued......................... 3,061,058 34,114,989 2,618,334 30,154,766 1,356,072 26,459,338
Shares redeemed...................... (10,781,994) (133,028,994) (1,837,330) (21,200,350) (3,543,773) (63,335,340)
----------- ------------- ---------- ------------ ---------- ------------
Net increase (decrease).............. (7,720,936) $ (98,914,005) 781,004 $ 8,954,416 (2,187,701) $(36,876,002)
=========== ============= ========== ============ ========== ============
<Caption>
GLOBAL ALLOCATION
STRATEGY PORTFOLIO
-------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 2002 SHARES AMOUNT
- ------------------------------------- -------------------------
Shares sold.......................... 705,929 $ 8,002,562
Shares issued to shareholders in
reinvestment of dividends and
distributions....................... 548,299 5,751,926
---------- ------------
Total issued......................... 1,254,228 13,754,488
Shares redeemed...................... (2,096,066) (23,762,726)
---------- ------------
Net increase (decrease).............. (841,838) $(10,008,238)
========== ============
</Table>
100
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
HIGH YIELD INTERMEDIATE GOVERNMENT LARGE CAP MONEY RESERVES
PORTFOLIO BOND PORTFOLIO CORE STRATEGY PORTFOLIO PORTFOLIO
-------------------------- ------------------------- ------------------------- ----------------------------
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------------------
14,538,309 $ 79,466,453 1,437,352 $ 16,660,368 1,099,560 $ 17,243,572 146,472,682 $ 146,472,682
-- -- -- -- -- -- -- --
7,274,168 942,934 10,853,928 64,068 1,175,000 3,950,860 3,950,860
1,342,219
----------- ------------ ---------- ------------ ---------- ------------ ------------ -------------
15,880,528 86,740,621 2,380,286 27,514,296 1,163,628 18,418,572 150,423,542 150,423,542
(14,833,885) (81,250,589) (5,011,972) (57,983,457) (2,004,445) (31,013,475) (214,540,575) (214,540,575)
----------- ------------ ---------- ------------ ---------- ------------ ------------ -------------
1,046,643 $ 5,490,032 (2,631,686) $(30,469,161) (840,817) $(12,594,903) (64,117,033) $ (64,117,033)
=========== ============ ========== ============ ========== ============ ============ =============
</Table>
<Table>
<Caption>
HIGH YIELD INTERMEDIATE GOVERNMENT LARGE CAP MONEY RESERVES
PORTFOLIO BOND PORTFOLIO CORE STRATEGY PORTFOLIO PORTFOLIO
-------------------------- ------------------------- ------------------------- ----------------------------
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------------------
15,724,244 $ 84,200,082 3,556,441 $ 40,501,078 880,626 $ 13,217,369 180,130,120 $ 180,130,120
7,729,182 908,311 10,242,529 145,337 2,010,012 8,185,324 8,185,324
1,446,172
----------- ------------ ---------- ------------ ---------- ------------ ------------ -------------
17,170,416 91,929,264 4,464,752 50,743,607 1,025,963 15,227,381 188,315,444 188,315,444
(13,452,722) (73,773,973) (4,209,513) (47,433,037) (2,809,713) (44,267,988) (231,811,539) (231,811,539)
----------- ------------ ---------- ------------ ---------- ------------ ------------ -------------
3,717,694 $ 18,155,291 255,239 $ 3,310,570 (1,783,750) $(29,040,607) (43,496,095) $ (43,496,095)
=========== ============ ========== ============ ========== ============ ============ =============
</Table>
101
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
5. REVERSE REPURCHASE AGREEMENTS:
For the year ended December 31, 2003, the Intermediate Government Bond
Portfolio's average amount borrowed under reverse repurchase agreements was
approximately $721,000 and daily weighted average interest rate was 0.03%.
6. SHORT-TERM BORROWINGS:
The Fund (excluding the Money Reserve Portfolio), along with certain other funds
managed by MLIM and its affiliates, is a party to a $500,000,000 credit
agreement with Bank One, N.A. and certain other lenders. The Fund may borrow
under the credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The Fund may borrow up to the maximum amount
allowable under the Fund's current prospectus and statement of additional
information, subject to various other legal, regulatory or contractual limits.
The Fund pays a commitment fee of .09% per annum based on the Fund's pro rata
share of the unused portion of the credit agreement. Amounts borrowed under the
credit agreement bear interest at a rate equal to, at each fund's election, the
Federal Funds rate plus .50% or a base rate as determined by Bank One, N.A. On
November 28, 2003, the credit agreement was renewed for one year under the same
terms. The Fund did not borrow under the credit agreement during the year ended
December 31, 2003.
102
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
7. DISTRIBUTIONS TO SHAREHOLDERS:
The Fund paid the following ordinary income dividends on January 2, 2004 to
shareholders of record on December 31, 2003.
<Table>
<Caption>
PER SHARE
PORTFOLIO AMOUNT
- -----------------------------------------------------------------------
Core Bond Strategy.......................................... $.073651
High Yield.................................................. $.053778
Intermediate Government Bond................................ $.028392
- -----------------------------------------------------------------------
</Table>
The Fund paid the following ordinary income dividends on February 2, 2004 to
shareholders of record on January 30, 2004.
<Table>
<Caption>
PER SHARE
PORTFOLIO AMOUNT
- -----------------------------------------------------------------------
Core Bond Strategy.......................................... $.033075
High Yield.................................................. $.024687
Intermediate Government Bond................................ $.027648
- -----------------------------------------------------------------------
</Table>
103
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
The tax character of distributions paid during the fiscal years ended December
31, 2003 and December 31, 2002 was as follows:
<Table>
<Caption>
BALANCED CAPITAL CORE BOND FUNDAMENTAL GROWTH
STRATEGY PORTFOLIO STRATEGY PORTFOLIO STRATEGY PORTFOLIO
------------------------- ----------------------- -----------------------
12/31/2003 12/31/2002 12/31/2003 12/31/2002 12/31/2003 12/31/2002
- ----------------------------------------------------------------------------------------------------------------------
Distributions paid from:
Ordinary income....................... $21,275,068 $28,774,932 $5,705,449 $6,635,686 $1,230,011 $1,299,524
Net long-term capital gains........... -- -- 1,555,479 -- -- --
----------- ----------- ---------- ---------- ---------- ----------
Total taxable distributions........... $21,275,068 $28,774,932 $7,260,928 $6,635,686 $1,230,011 $1,299,524
=========== =========== ========== ========== ========== ==========
<Caption>
GLOBAL ALLOCATION
STRATEGY PORTFOLIO
-----------------------
12/31/2003 12/31/2002
- --------------------------------------- -----------------------
Distributions paid from:
Ordinary income....................... $5,972,495 $5,751,926
Net long-term capital gains........... --
---------- ----------
Total taxable distributions........... $5,972,495 $5,751,926
========== ==========
</Table>
As of December 31, 2003, the components of accumulated earnings (losses) on a
tax basis were as follows:
<Table>
<Caption>
BALANCED CAPITAL CORE BOND FUNDAMENTAL GROWTH GLOBAL ALLOCATION
STRATEGY PORTFOLIO STRATEGY PORTFOLIO STRATEGY PORTFOLIO STRATEGY PORTFOLIO
------------------ ------------------ ------------------ ------------------
Undistributed ordinary income--net............ $ -- $ 979,033 $ -- $ --
Undistributed long-term capital gains--net.... -- 125,393 -- --
------------- ----------- ------------- ------------
Total undistributed earnings--net............. -- 1,104,426 -- --
Capital loss carryforward..................... (155,088,455)(a) -- (183,943,043)(b) (23,714,473)(c)
Unrealized gains (losses)--net................ 43,036,303* 2,471,315* 44,961,263* 26,391,865*
------------- ----------- ------------- ------------
Total accumulated earnings (losses)--net...... $(112,052,152) $ 3,575,741 $(138,981,780) $ 2,677,392
============= =========== ============= ============
</Table>
(a) On December 31, 2003, the Fund had a net capital loss carryforward of
$155,088,455, of which $2,257,152 expires in 2008, $48,702,411 expires in
2009, $80,796,301 expires in 2010 and $23,332,591 expires in 2011. This
amount will be available to offset like amounts of any future taxable
gains.
(b) On December 31, 2003, the Fund had a net capital loss carryforward of
$183,943,043, of which $78,533,293 expires in 2009, $69,532,581 expires in
2010 and $35,877,169 expires in 2011. This amount will be available to
offset like amounts of any future taxable gains.
(c) On December 31, 2003, the Fund had a net capital loss carryforward of
$23,714,473 of which $13,215,372 expires in 2009, $9,479,295 expires in
2010 and $1,019,806 expires in 2011. This amount will be available to
offset like amounts of any future taxable gains.
(d) On December 31, 2003, the Fund had a net capital loss carryforward of
$39,477,084, of which $230,736 expires in 2005, $3,240,218 expires in 2006,
$1,824,536 expires in 2007, $6,196,936 expires in 2008, $8,474,548 expires
in 2009, $10,420,967 expires in 2010 and $9,089,143 expires in 2011. This
amount will be available to offset like amounts of any future taxable
gains.
(e) On December 31, 2003, the Fund had a net capital loss carryforward of
$64,718,398, of which $39,032,748 expires in 2009 and $25,685,650 expires
in 2010. This amount will be available to offset like amounts of any future
taxable gains.
* The difference between book-basis and tax-basis net unrealized gains
(losses) is attributable primarily to the tax deferral of losses on wash
sales, the tax deferral of losses on straddles, the realization for tax
purposes of unrealized gains (losses) on certain futures and forward
foreign currency contracts, the difference between book and tax
amortization methods for premiums and discounts on fixed income securities,
the realization for tax purposes of unrealized gains on investments in
passive foreign investment companies, the deferral of post-October capital
losses for tax purposes, book/tax differences in the accrual of income on
securities in default, book/tax basis adjustments and other book/tax
temporary differences.
8. ACQUISITION OF NATURAL RESOURCES PORTFOLIO OF MERRILL LYNCH SERIES FUND,
INC.:
On November 24, 2003, Global Allocation Strategy Portfolio of the Fund ("Global
Allocation Strategy") acquired all of the net assets of Natural Resources
Portfolio of Merrill Lynch Series Fund, Inc. ("Natural Resources") pursuant to a
plan of reorganization. The acquisition was accomplished by a tax-free exchange
of 1,335,401 shares of common stock of Natural Resources for 1,251,881 shares of
common stock of Global Allocation Strategy. Natural Resources' net assets on
that date of $16,447,738, including $3,233,759 of net unrealized appreciation
and $193,930 of accumulated net realized capital losses, were combined with
those of Global Allocation Strategy. The aggregate net assets immediately after
the acquisition amounted to $189,548,487.
104
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
HIGH YIELD INTERMEDIATE GOVERNMENT LARGE CAP CORE
PORTFOLIO BOND PORTFOLIO STRATEGY PORTFOLIO MONEY RESERVES PORTFOLIO
----------------------- ------------------------- ----------------------- -------------------------
12/31/2003 12/31/2002 12/31/2003 12/31/2002 12/31/2003 12/31/2002 12/31/2003 12/31/2002
- -------------------------------------------------------------------------------------------------------------
$7,274,168 $7,729,182 $ 7,714,886 $10,242,529 $1,175,000 $2,010,012 $3,950,743 $8,185,324
-- -- 3,139,042 -- -- -- 117 --
---------- ---------- ----------- ----------- ---------- ---------- ---------- ----------
$7,274,168 $7,729,182 $10,853,928 $10,242,529 $1,175,000 $2,010,012 $3,950,860 $8,185,324
========== ========== =========== =========== ========== ========== ========== ==========
</Table>
<Table>
<Caption>
INTERMEDIATE GOVERNMENT LARGE CAP CORE
HIGH YIELD PORTFOLIO BOND PORTFOLIO STRATEGY PORTFOLIO MONEY RESERVES PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------
$ 714,567 $ 218,803 $ -- $ --
-- 234,288 -- --
------------ ---------- ------------ --------
714,567 453,091 -- --
(39,477,084)(d) -- (64,718,398)(e) --
784,398* 680,313* 37,922,580* 108,480
------------ ---------- ------------ --------
$(37,978,119) $1,133,404 $(26,795,818) $108,480
============ ========== ============ ========
</Table>
105
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Independent Auditors' Report
- --------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
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 the
Balanced Capital Strategy, Core Bond Strategy, Fundamental Growth Strategy,
Global Allocation Strategy, High Yield, Intermediate Government Bond, Large Cap
Core Strategy, and Money Reserve Portfolios) as of December 31, 2003, and the
related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period then ended.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and 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 as of December 31, 2003, 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, the financial statements and financial highlights referred to
above 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, 2003, the results of their operations for the year then ended,
the changes in their net assets for each of the two years in the period then
ended, and their financial highlights for each of the five years in the period
then ended, in conformity with accounting principles generally accepted in the
United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 20, 2004
106
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
OFFICERS AND DIRECTORS (UNAUDITED)
- --------------------------------------------------------------------------------
INTERESTED DIRECTOR
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX
POSITION(S) HELD PRINCIPAL OCCUPATION(S) OVERSEEN
NAME, ADDRESS & AGE WITH FUND LENGTH OF TIME SERVED DURING PAST 5 YEARS BY DIRECTOR
- ------------------------------------------------------------------------------------------------------------------------------
Terry K. Glenn* President and 1999 to present and President and Chairman of 123 Funds
P.O. Box 9011 Director 1985 to present the Merrill Lynch 160 Portfolios
Princeton, NJ 08543-9011 Investment Managers, L.P.
Age: 63 ("MLIM")/Fund Asset
Management ("FAM")--
Advised Funds since 1999;
Chairman (Americas Region)
of MLIM from 2000 to 2002;
Executive Vice President of
MLIM and FAM (which terms
as used herein include
their corporate
predecessors) from 1983 to
2002; President of FAM
Distributors, Inc. ("FAMD")
from 1986 to 2002 and
Director thereof from 1991
to 2002; Executive Vice
President and Director of
Princeton Services, Inc.
("Princeton Services") from
1993 to 2002; President of
Princeton Administrators,
L.P. from 1989 to 2002;
Director of Financial Data
Services, Inc., since 1985.
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
- ---------------------------- ------------------
OTHER PUBLIC
DIRECTORSHIPS HELD
NAME, ADDRESS & AGE BY DIRECTOR
- ---------------------------- ------------------
Terry K. Glenn* None
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 63
- --------------------------------------------------------------------------------------
</Table>
* Mr. Glenn is a director, trustee or member of an advisory board of certain
other investment companies for which MLIM or FAM acts as investment adviser.
Mr. Glenn is an "interested person" as described in the Investment Company
Act, of the Fund based on his former positions with MLIM, FAM, FAMD, Princeton
Services and Princeton Administrators, L.P. The Director's term is unlimited.
Directors serve until their resignation, removal, or death, or until December
31 of the year in which they turn 72. As Fund President, Mr. Glenn serves at
the pleasure of the Board of Directors.
INDEPENDENT DIRECTORS
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX
POSITION(S) HELD PRINCIPAL OCCUPATION(S) OVERSEEN
NAME, ADDRESS & AGE WITH FUND LENGTH OF TIME SERVED* DURING PAST 5 YEARS BY DIRECTOR
- ----------------------------------------------------------------------------------------------------------------------------
Donald W. Burton Director 2002 to present Manager of The Burton 23 Funds
P.O. Box 9095 Partnership, Limited 36 Portfolios
Princeton, NJ 08543-9095 Partnership since 1979;
Age: 59 Managing General Partner of
the South Atlantic Venture
Funds, Limited Partnerships
and Chairman of South
Atlantic Private Equity
Fund IV, Limited
Partnership since 1983;
Member of the Investment
Advisory Council of the
Florida State Board of
Administration since 2001.
- ----------------------------------------------------------------------------------------------------------------------------
<Caption>
- ---------------------------- ---------------------
OTHER PUBLIC
DIRECTORSHIPS HELD BY
NAME, ADDRESS & AGE DIRECTOR
- ---------------------------- ---------------------
Donald W. Burton ITC DeltaCom, Inc.,
P.O. Box 9095 ITC Financial
Princeton, NJ 08543-9095 Services, Knology,
Age: 59 Inc., PriCare, Inc.,
Symbion, Inc.
- ---------------------------------------------------------------------------------------------------------
</Table>
107
- --------------------------------------------------------------------------------
INDEPENDENT DIRECTORS (UNAUDITED) (CONCLUDED)
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX
POSITION(S) HELD PRINCIPAL OCCUPATION(S) OVERSEEN
NAME, ADDRESS & AGE WITH FUND LENGTH OF TIME SERVED* DURING PAST 5 YEARS BY DIRECTOR
- ----------------------------------------------------------------------------------------------------------------------------
M. Colyer Crum Director 2000 to present James R. Williston 24 Funds
P.O. Box 9095 Professor of Investment 37 Portfolios
Princeton, NJ 08543-9095 Management Emeritus,
Age: 71 Harvard Business School
since 1996; Chairman and
Director of Phaeton
International, Ltd. from
1985 to present; Director
of Cambridge Bancorp since
1969.
- ----------------------------------------------------------------------------------------------------------------------------
Laurie Simon Hodrick Director 2000 to present Professor of Finance and 23 Funds
P.O. Box 9095 Economics, Graduate School 36 Portfolios
Princeton, NJ 08543-9095 of Business, Columbia
Age: 41 University since 1998;
Associate Professor of
Finance and Economics,
Graduate School of
Business, Columbia
University from 1996 to
1998.
- ----------------------------------------------------------------------------------------------------------------------------
David H. Walsh Director 2003 to present Consultant with Putnam 23 Finds
P.O. Box 9095 Investments since 1993 and 36 Portfolios
Princeton, NJ 08543-9095 employed in various
Age: 62 capacities therewith from
1971 to 1992; Director of
the National Audubon
Society since 2000;
Director of the American
Museum of Fly Fishing since
1998.
- ----------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss Director 2000 to present Managing Director of FGW 23 Funds
P.O. Box 9095 Associates since 1997; Vice 36 Portfolios
Princeton, NJ 08543-9095 President, Planning,
Age: 62 Investment and Development
of Warner Lambert Co. from
1979 to 1997; Director of
BTG International, PLC
since 2001; Director of
KIMC Investment, Inc. since
2003; Director of Osmotica
Holdings Corp. AVV since
2003.
<Caption>
- ---------------------------- ---------------------
OTHER PUBLIC
DIRECTORSHIPS HELD BY
NAME, ADDRESS & AGE DIRECTOR
- ---------------------------- ---------------------
M. Colyer Crum Cambridge
P.O. Box 9095 Bancorp
Princeton, NJ 08543-9095
Age: 71
- ----------------------------------------------------------------------------------------------------------------------------
Laurie Simon Hodrick None
P.O. Box 9095
Princeton, NJ 08543-9095
Age: 41
- ----------------------------------------------------------------------------------------------------------------------------
David H. Walsh None
P.O. Box 9095
Princeton, NJ 08543-9095
Age: 62
- ----------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss Watson
P.O. Box 9095 Pharmaceuticals Inc.
Princeton, NJ 08543-9095
Age: 62
</Table>
- --------------------------------------------------------------------------------
* The Director's term is unlimited. Directors serve until their resignation,
removal or death, or until December 31, of the year which they turn 72.
- --------------------------------------------------------------------------------
108
- --------------------------------------------------------------------------------
FUND OFFICERS (UNAUDITED)
<Table>
<Caption>
- --------------------------------------------------------------------------
POSITION(S) HELD
NAME, ADDRESS & AGE WITH FUND LENGTH OF TIME SERVED*
- --------------------------------------------------------------------------
Donald C. Burke Vice President 1993 to present and
P.O. Box 9011 and Treasurer 1999 to present
Princeton, NJ 08543-9011
Age: 43
- --------------------------------------------------------------------------
Robert C. Doll, Jr. Senior Vice 1999 to present
P.O. Box 9011 President
Princeton, NJ 08543-9011
Age: 49
- --------------------------------------------------------------------------
Kevin J. McKenna Senior Vice 1998 to present
P.O. Box 9011 President
Princeton, NJ 08543-9011
Age: 46
- --------------------------------------------------------------------------
B. Daniel Evans Vice President 2002 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 59
- --------------------------------------------------------------------------
Lawrence Fuller Vice President 1998 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 62
- --------------------------------------------------------------------------
Patrick Maldari Vice President 2002 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 41
- --------------------------------------------------------------------------
Robert F. Murray Vice President 1998 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 46
- --------------------------------------------------------------------------
Thomas Musmanno Vice President 2001 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 34
- --------------------------------------------------------------------------
James Pagano Vice President 2002 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 41
- --------------------------------------------------------------------------
Jacqueline Rogers-Ayoub Vice President 1996 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 46
- --------------------------------------------------------------------------
Kurt Schansinger Vice President 2001 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 43
- --------------------------------------------------------------------------
Dennis W. Stattman Vice President 2001 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 52
- --------------------------------------------------------------------------
Frank Viola Vice President 2003 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 39
- --------------------------------------------------------------------------
<Caption>
- -------------------------------- ------------------------------------------------------------
NAME, ADDRESS & AGE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -------------------------------- ------------------------------------------------------------
Donald C. Burke First Vice President of MLIM and FAM since 1997 and
P.O. Box 9011 Treasurer thereof since 1999; Senior Vice President and
Princeton, NJ 08543-9011 Treasurer of Princeton Services since 1999; Vice President
Age: 43 of FAMD since 1999; Director of MLIM Taxation since 1990.
- --------------------------------------------------------------------------
Robert C. Doll, Jr. President of MLIM and member of the Executive Management
P.O. Box 9011 Committee of ML & Co., Inc. since 2001; Global Chief
Princeton, NJ 08543-9011 Investment Officer and Senior Portfolio Manager of MLIM
Age: 49 since 1999; Chief Investment Officer of Equities at
Oppenheimer Funds, Inc. from 1990 to 1999 and Chief
Investment Officer thereof from 1998 to 1999; Executive Vice
President of Oppenheimer Funds, Inc. from 1991 to 1999.
- --------------------------------------------------------------------------
Kevin J. McKenna Managing Director of MLIM since 2000; Director (Global Fixed
P.O. Box 9011 Income) of MLIM from 1997 to 2000.
Princeton, NJ 08543-9011
Age: 46
- --------------------------------------------------------------------------
B. Daniel Evans Director (Global Fixed Income) of MLIM since 2000; Vice
P.O. Box 9011 President of MLIM from 1995 to 2000.
Princeton, NJ 08543-9011
Age: 59
- --------------------------------------------------------------------------
Lawrence Fuller Managing Director of MLIM since 2000; Director (Equities) of
P.O. Box 9011 MLIM from 1997 to 2000.
Princeton, NJ 08543-9011
Age: 62
- --------------------------------------------------------------------------
Patrick Maldari Managing Director of MLIM since 2000; Director (Global Fixed
P.O. Box 9011 Income) of MLIM from 1998 to 2000.
Princeton, NJ 08543-9011
Age: 41
- --------------------------------------------------------------------------
Robert F. Murray Director (Global Fixed Income) of MLIM since 2001; Vice
P.O. Box 9011 President of MLIM from 1997 to 2001.
Princeton, NJ 08543-9011
Age: 46
- --------------------------------------------------------------------------
Thomas Musmanno Vice President of MLIM since 1997.
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 34
- --------------------------------------------------------------------------
James Pagano Vice President of MLIM since 1996.
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 41
- --------------------------------------------------------------------------
Jacqueline Rogers-Ayoub Vice President of MLIM since 1986.
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 46
- --------------------------------------------------------------------------
Kurt Schansinger Managing Director of MLIM since 2000; Director (Equities) of
P.O. Box 9011 MLIM from 1997 to 2000.
Princeton, NJ 08543-9011
Age: 43
- --------------------------------------------------------------------------
Dennis W. Stattman Managing Director of MLIM since 2000; Director (Equities) of
P.O. Box 9011 MLIM from 1997 to 2000.
Princeton, NJ 08543-9011
Age: 52
- --------------------------------------------------------------------------
Frank Viola Managing Director of MLIM and head of the Global Fixed
P.O. Box 9011 Income Structured Asset Team since 2002; Director (Global
Princeton, NJ 08543-9011 Fixed Income) of MLIM from 2000 to 2001 and Vice President
Age: 39 from 1997 to 2000.
- --------------------------------------------------------------------------
</Table>
109
- --------------------------------------------------------------------------------
FUND OFFICERS (UNAUDITED) (CONCLUDED)
<Table>
<Caption>
- --------------------------------------------------------------------------
POSITION(S) HELD
NAME, ADDRESS & AGE WITH FUND LENGTH OF TIME SERVED*
- --------------------------------------------------------------------------
Phillip S. Gillespie Secretary 2003 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 39
- --------------------------------------------------------------------------
* Officers of the Fund serve at the pleasure of the Board of Directors.
- --------------------------------------------------------------------------
<Caption>
- -------------------------------- ------------------------------------------------------------
NAME, ADDRESS & AGE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -------------------------------- ------------------------------------------------------------
Phillip S. Gillespie First Vice President of MLIM since 2001; Director (Legal
P.O. Box 9011 Advisory) from 2000 to 2001; Vice President from 1999 to
Princeton, NJ 08543-9011 2000; Attorney associated with MLIM since 1998; Assistant
Age: 39 General Counsel of Chancellor LGT Asset Management, Inc.,
form 1997 to 1998.
- --------------------------------------------------------------------------
* Officers of the Fund serve at
- --------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors is available in the
Fund's Statement of Additional Information, which can be obtained without charge
by calling 1-800-MER-FUND.
- --------------------------------------------------------------------------------
PRINCIPAL OFFICE OF THE FUND
Box 9011
Princeton, New Jersey 08543-9011
CUSTODIAN
The Bank of New York
100 Church Street
New York, New York 10286
TRANSFER AGENT
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
800-637-3863
110
- --------------------------------------------------------------------------------
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies, which are funded by shares of Merrill Lynch
Series Fund, Inc. This report is not authorized for use as an offer of sale or
solicitation of an offer to buy shares of the Fund or the policies. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or less
than their original cost. Performance information used throughout this report
does not include insurance-related fees and expenses. An investment in Money
Reserve Portfolio is not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other Government agency. Although Money Reserve Portfolio
seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the Portfolio. Statements and other
information herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-MER-FUND (1-800-637-3863); (2)
on www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's
website at http://www/sec.gov.
59828-12/03
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of
the end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board of
directors has determined that (i) the registrant has the following
audit committee financial experts serving on its audit committee and
(ii) each audit committee financial expert is independent: (1) Donald
W. Burton, (2) M. Colyer Crum, (3) Laurie Simon Hodrick, (4) David H.
Walsh and (5) Fred G. Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick and M. Colyer Crum qualify as financial experts pursuant to
Item 3(c)(4) of Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in financial
analysts' training programs. Ms. Hodrick has also worked with several
prominent corporations in connection with the analysis of financial
forecasts and projections and analysis of the financial statements of
those companies, serving on the Financial Advisory Council of one of
these major corporations. She has also served as the Treasurer and
Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a
number of articles in leading economic and financial journals and is
the associate editor of two leading finance journals.
M. Colyer Crum also possesses a thorough understanding of generally
accepted accounting principals, financial statements, and internal
controls and procedures for financial reporting through a combination
of education and experience. Professor Crum was a professor of
investment management at the Harvard Business School for 25 years. The
courses taught by Professor Crum place a heavy emphasis on the analysis
of underlying company financial statements with respect to stock
selection and the analysis of credit risk in making loans. Professor
Crum has also served on a number of boards of directors and has served
on the audit committees, and in some cases chaired the audit committee,
for several major corporations and financial institutions. For two such
organizations, Professor Crum has performed extensive investment
analysis of financial statements in connection with investment
management decisions. From these experiences, he has gained significant
experience with the establishment of reserves and accounting policies,
differences between U.S. GAAP and Canadian GAAP and executive
compensation issues.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - 2003 -- $122,600 2002 -- $132,800
(b) Audit-Related Fees - 2003 -- $17,400 2002 -- $0 The nature of the
services include assurance and related services reasonably related
to the performance of the audit of financial statements not included
in Audit Fees above.
(c) Tax Fees - 2003 -- $61,410 2002 -- $57,500 The nature of the
services include tax compliance, tax advice and tax planning.
(d) All Other Fees - 2003 -- $0 2002 -- $0
(e) (1)The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to
the registrant's affiliated service providers that relate directly
to the operations and the financial reporting of the registrant.
Certain of these non-audit services that the Committee believes are
a) consistent with the SEC's auditor independence rules and b)
routine and recurring services that will not impair the independence
of the independent accountants may be approved by the Committee
without consideration on a specific case-by-case basis ("general
pre-approval"). However, such services will only be deemed
pre-approved provided that any individual project does not exceed
$5,000 attributable to the registrant or $50,000 for the project as
a whole. Any proposed services exceeding the pre-approved cost
levels will require specific pre-approval by the Committee, as will
any other services not subject to general pre-approval (e.g.,
unanticipated but permissible services). The Committee is informed
of each service approved subject to general pre-approval at the next
regularly scheduled in-person board meeting.
(e) (2) 0%
(f) N/A
(g) 2003 -- $18,690,437 2002 -- $17,012,158
(h) The registrant's audit committee has considered that the provision
of non-audit services that were rendered to the registrant's
investment adviser and any entity controlling, controlled by, or
under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved
pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is
compatible with maintaining the principal accountant's independence.
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Reserved
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Reserved
Item 9 - Controls and Procedures
9(a)- The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information relating
to the registrant is made known to us by others particularly during the
period in which this report is being prepared. The registrant's certifying
officers have determined that the registrant's disclosure controls and
procedures are effective based on our evaluation of these controls and
procedures as of a date within 90 days prior to the filing date of this
report.
9(b)- There were no significant changes in the registrant's internal controls
or in other factors that could significantly affect these controls
subsequent to the date of their evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Item 10 - Exhibits attached hereto
10(a) - Not Applicable
10(b) - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
Merrill Lynch Series Fund, Inc.
By: /s/ Terry K. Glenn
------------------
Terry K. Glenn,
President of
Merrill Lynch Series Fund, Inc.
Date: February 23, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in the
capacities and on the dates indicated.
By: /s/ Terry K. Glenn
------------------
Terry K. Glenn,
President of
Merrill Lynch Series Fund, Inc.
Date: February 23, 2004
By: /s/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Financial Officer of
Merrill Lynch Series Fund, Inc.
Date: February 23, 2004