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 811-03091
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: Robert C. Doll, Jr., Chief Executive
Officer, 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: 12/31/04
Date of reporting period: 01/01/04 - 12/31/04
Item 1 - Report to Stockholders
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MERRILL LYNCH SERIES FUND, INC.
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ANNUAL REPORT
DECEMBER 31, 2004
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 2004
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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, excluding the Money Reserves Portfolio, can be found in the tables on
pages 13-17 of this report to shareholders.
MERRILL LYNCH BALANCED CAPITAL STRATEGY PORTFOLIO
For the 12-month period ended December 31, 2004, Balanced Capital Strategy
Portfolio had a total return of +8.64%. The equity benchmark, the Standard &
Poor's 500 (S&P 500) Index, returned +10.88%, while the fixed income benchmark,
the Lehman Brothers Aggregate Bond Index, returned +4.34% for the same period.
While stock prices staged a strong advance, the past year was really a tale of
two markets. For the first nine months of the year, the market gained only 1.51%
amid concerns over the prospects for rising interest rates, slowing economic
growth in the United States and China, weakening consumer spending trends,
continued escalation in oil prices and election-related uncertainties. These
factors were mitigated by continued strong growth in corporate profits, benign
inflation and a measured pace of policy adjustment by the Federal Reserve Board
(the Fed), resulting in substantial month-to-month volatility but a diminimus
net gain. In the fourth quarter, however, the U.S. stock market staged a
powerful advance, with the S&P 500 Index delivering a better than 9% total
return. The resolution of election uncertainties, moderating oil prices,
continued strong economic growth and indications of another robust quarter for
corporate earnings drove prices higher with all indexes, styles and market
capitalization categories participating.
For the full year, the value style of investing strongly outpaced the growth
style, with the S&P 500 Barra Value Index gaining 15.70% while the S&P 500 Barra
Growth Index returned a more modest +6.13%, largely a function of relative
weakness in the technology sector. The fixed income market provided respectable
results for the year. Moderate economic growth, strong foreign buying interest
and continued low inflation despite high oil prices benefited this asset class.
Fixed income investors were particularly rewarded for incurring risk, as
reflected in the +11.95% return of the Credit Suisse First Boston High Yield
Index for the year.
The Portfolio's asset allocation proved favorable, and equities matched the
benchmark return while bonds outperformed the market average. Within the equity
portfolio, the most favorable contribution to performance came from our
underweight position and good stock selection in the health care sector, the
weakest market segment of 2004. Shares of Aetna, Inc. rose almost 85% for the
year and we avoided the near 30% decline in shares of Merck & Co., Inc. Our
overweight position and good stock selection in the energy sector, the strongest
market sector of 2004, also contributed positively to performance, led by strong
gains in Devon Energy Corp. and EnCana Corp. Finally, our overweight position
and good stock selection in the industrials sector, led by better than 30%
returns in Masco Corp., Tyco International Ltd. and Raytheon Co., also proved
beneficial. These factors were almost exactly offset by poor stock selection in
the consumer discretionary sector, where weakness in media holdings Clear
Channel Communications, Inc., Viacom, Inc. and The Interpublic Group of
Companies, Inc., and our avoidance of eBay, proved detrimental. Poor stock
selection in the financials sector also detracted from results, led by weakness
in Mellon Financial Corp. and Fannie Mae and by our avoidance of Bank of
America. Finally, our zero weighting in the utilities sector had a negative
effect for the year.
Within the fixed income portfolio, we continued to concentrate our holdings in
those areas of the market with a lower correlation to U.S. Treasury issues,
thereby reducing interest rate volatility while also achieving higher total
returns. Spread sectors in which we maintained an overweight position included
both investment grade and high yield corporate bonds and commercial
mortgage-backed securities.
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In terms of portfolio activity, we continued to adjust our holdings during the
past 12 months in response to ongoing stock market volatility. Within the equity
portfolio, we began to increase our health care exposure, introducing new
positions in pharmaceutical manufacturer GlaxoSmithKline Plc, drug distributor
AmerisourceBergen Corporation (ABC) and medical device company Boston Scientific
Corp. Our underweight position in this sector has proven beneficial and we now
find several interesting values emerging in this group. Glaxo is among the
cheapest of the global pharmaceutical companies, selling at a low multiple of
earnings and offering a near 5% dividend yield. The company is financially
strong, generates substantial free cash flow, is actively repurchasing shares
and offers superior growth prospects in 2005 and beyond as patent expiry
pressures abate. Shares of ABC declined sharply after the company lost a large
government contract, affording us an attractive opportunity to buy the stock.
ABC should benefit from increased drug consumption and the Medicare drug
benefit. Boston Scientific shares dropped after the company recalled certain
lots of its drug-eluding stent product, leading to concern over the
sustainability of the company's competitive position and earnings growth
prospects. This afforded us the opportunity to invest in a highly profitable,
highly cash generative company at the very low end of its historical valuation
range.
We also increased our investment position in the technology sector, introducing
Citrix Systems, Inc. and Intel Corp. to the portfolio, as we believe positive
indications of improved corporate capital spending bode well for companies in
this sector. We increased our holdings in both Burlington Northern Santa Fe
Corp. and CSX Corp. We reconfigured our energy holdings, selling both Anadarko
Petroleum Corp. and Royal Dutch Shell, increasing our existing position in Devon
Energy and introducing Total SA to the portfolio. We were underwhelmed with the
initiatives articulated by Anadarko's new management team and disturbed by the
negative oil reserve revisions at Royal Dutch Shell, prompting us to eliminate
these holdings. Total, by contrast, has consistently delivered superior growth,
returns and free cash flow, while selling at a discount to its global oil peers.
We reduced positions in a number of economically sensitive company investments
such as Weyerhaeuser Co., Limited Brands, Inc. and Tyco International, and we
eliminated Nucor, ITT Industries, Inc. and Carnival Corporation from the
portfolio, as these stocks have performed well in response to favorable economic
developments. We eliminated insurance stock XL Limited from the portfolio as
evidence of weakening commercial insurance prices has raised the earnings risk
profile for companies in this sector. We sold our two HMO holdings, Aetna and
Cigna Corp., as each reached our target price. We also eliminated Pfizer, Inc.
from the portfolio subsequent to the negative cardiovascular findings associated
with its Celebrex drug.
Within the fixed income portfolio, we maintained our overweight position in the
corporate sector, emphasizing BBB and high yield market segments while shifting
our focus more toward individual security selection. We also found good value in
crossover credits, which carry both investment grade and non-investment grade
ratings from the various rating agencies. Finally, based on our expectation for
higher interest rates, we ended the period with a relatively short duration in
an effort to moderate the portfolio's sensitivity to interest rate movements and
protect its underlying net asset value.
At period-end, our asset allocation position showed 66.3% of net assets invested
in equities and 33.7% in fixed income securities, including short-term
securities. This compares to 63.8% in equities and 36.2% in fixed income
securities, which includes short-term investments, at the end of December 2003.
We continue to anticipate a reasonably constructive environment for equities as
we move through the early part of 2005, driven by steady economic growth,
improved corporate and consumer confidence, and double-digit corporate earnings
gains. We are increasingly concerned, however, that relatively high stock market
valuation levels already reflect many of these favorable developments,
increasing the risk of disappointment and a stock market correction. We also are
concerned about the paucity of new investment ideas that meet both our quality
and valuation criteria, encouraging an even greater sensitivity to downside risk
in the application of our risk/reward analysis. We might also consider reducing
the magnitude of our overweight position in equities if not for our
long-standing view that profit-making opportunities in the fixed income market
will be severely limited in 2005 as the Fed continues to reverse its
accommodative monetary policy position by increasing short-term interest rates.
Finally, we expect continued volatility as economic and political events affect
short-term investor sentiment and will look to be opportunistic to take full
advantage of the Portfolio's flexibility.
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MERRILL LYNCH CORE BOND STRATEGY PORTFOLIO
For the 12-month period ended December 31, 2004, Core Bond Strategy Portfolio
had a total return of +4.48%, outpacing the +4.34% return of the benchmark
Lehman Brothers Aggregate Bond Index.
As the year began, the prospects for economic growth were relatively optimistic.
With the exception of the employment sector, the leading economic indicators
were strong. Gross domestic product (GDP) grew at an annualized rate of 4.5% in
the first quarter of 2004. In April, the employment picture began to brighten
with the first in a series of surprisingly robust payroll reports. Along with
the economic optimism came fears of inflation. In response, the Federal Reserve
Board (the Fed) began raising interest rates with a 25 basis point (.25%) hike
in June. Despite the Fed's apparent confidence in the economy, investors
remained cautious in the face of election uncertainties, high oil prices and
continued upheaval in Iraq. GDP grew 3.3% in the second quarter before
reaccelerating to 4% in the third quarter and an estimated 3.5%-4% in the fourth
quarter. The Fed continued to raise interest rates at a measured pace with 25
basis point hikes in August, September, November and December, bringing the
federal funds rate to 2.25% by period-end.
Against this backdrop, yields were volatile as investors sought to interpret
economic data and anticipate Fed moves. Although 10-year Treasury note yields
did not change dramatically over the year, we saw a considerable amount of
volatility. For example, the 10-year Treasury yield stood at 4.27% on December
31, 2003, hit a low of 3.70% in March and then a high of 4.87% in June before
retracing to 4.24% by December 31, 2004.
In general, investors continued to be rewarded for taking on risk, as
illustrated by the performance of the Credit Suisse First Boston High Yield
Index, which provided a 12-month return of +11.95% as of December 31, 2004.
During the year, spreads to U.S. Treasury issues tightened across most
non-Treasury asset classes. Spreads on high yield securities, for example,
tightened by approximately 100 basis points, while spreads on lower-quality
investment grade corporate bonds, such as BBB-rated issues, tightened by 20
basis points. We maintained a 15% overweight to spread sectors throughout the
year. This included above-average exposure to both investment grade and high
yield corporate bonds as well as commercial mortgage-backed securities (CMBS).
This above-average exposure to spread sectors and higher-beta credits ultimately
benefited the Portfolio's performance. By maintaining our focus on those areas
of the market with a low correlation to Treasury issues, we were able to avoid a
great deal of interest rate volatility while also achieving more attractive
total returns. Modestly offsetting the positive contribution from our focus on
spread sectors was the Portfolio's duration profile. We had maintained a neutral
duration profile until February 2004, after which we shortened duration relative
to the benchmark in anticipation of rising interest rates. Given the likely
prospects for economic acceleration (and the higher interest rates that usually
accompany economic growth), our goal was to moderate the Portfolio's sensitivity
to interest rate movements, thereby protecting its underlying net asset value.
Considering the volatile yield environment, this strategy proved at times
constructive and at other times detrimental, but had a slightly negative effect
for the year as a whole. Still, we maintained our short duration profile based
on our confidence in the economic recovery and our expectation for rising rates.
In terms of portfolio activity, our strategy was essentially unchanged during
the fiscal year. We maintained an aggressive overweight to the BBB corporate
sector and consistently maintained an overweight of about 5% to investment grade
corporate bonds throughout the year. Within the investment grade universe, we
favored names in the life insurance, auto and media sectors. We added bonds of
Prudential Holdings LLC and Security Benefit Life Insurance Company in life
insurance, General Motors Acceptance Corporation and Ford Motor Credit Co. in
auto, and Clear Channel and News America, Inc. in media.
In September, we sold about 3% of our exposure to CMBS. Spreads had tightened
significantly in this sector, and CMBS were beginning to appear expensive on a
relative basis. Simultaneously, we increased exposure to investment grade
corporate bonds by 7%. We anticipated a grab for yield on the part of investors
at year-end, a phenomenon that we believed could benefit the investment grade
corporate market.
In the high yield space, we increased our overweight from 3% to 4%. We moved
from a broad market exposure to the asset class (via total return swaps and
credit default swaps meant to replicate the exposure of the broad investment
grade credit market) to individual security selection. In our view, the
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"easy money" had been extracted from the high yield market and it appeared that
individual bond selection would become important. Specific names on which we
focused included MGM Mirage, Inc., American Greetings Company and
Abitibi-Consolidated, Inc. We also identified crossover credits as another area
of the credit market that represented value, and added securities from issuers
such as Tyco International Group SA and Continental Airlines, Inc.
After shifting the Portfolio's duration profile from neutral to a small short in
mid February, we consistently remained approximately 5% (one-quarter of a year)
shorter than our benchmark, although at times we were as much as 10% (one-half
year) short. Our decision to shorten duration was based on our belief that
economic growth would remain strong and interest rates would move higher. A
final change also had to do with our view on interest rates. Essentially, we
believe the futures market is pricing in too many interest rate increases over
the next three to five years. As such, we do not believe short-term interest
rates will be significantly higher in the next investment cycle. With that view
in mind, we aggressively sold interest rate caps on three-month LIBOR (the
London InterBank Offered Rate). The caps, which allow us to set a ceiling on
future interest rates, would be unnecessary if interest rates do not increase
materially. For selling them, we received a floating rate LIBOR payment, which
had a positive effect on the Portfolio's total return. At period end, this type
of derivative transaction accounted for 6% of net assets.
As of December 31, 2004, the Portfolio maintained a 15% overweighting to spread
sectors, broken down as follows: 9% overweight in corporates, 2% in CMBS and 4%
in high yield, with the high yield allocation consisting primarily of BB-rated
positions. We believe the economy remains on solid footing, which should
continue to support the high yield and investment grade corporate bond sectors.
In our view, the overall economic environment is still conducive to corporate
profitability, corporate deleveraging and improving free cash flows, all of
which should continue to benefit corporate bonds. Broadly speaking, we would
look to reduce exposure to higher-beta sectors and to spread sectors in general
as spreads (versus 10-year Treasury notes) continue to contract. Nevertheless,
we believe there is still opportunity to extract value out of those sectors that
we find to be inexpensive relative to their underlying fundamentals.
As far as duration is concerned, we start to become interested in adding
interest rate exposure as yields approach the 4.5% area. In fact, we expect
gradually higher interest rates in the months ahead. As for the Fed, we believe
it will continue its measured tightening policy en route to a more "neutral"
federal funds rate of approximately 3%-3.5%, leaning toward the lower end of
this range, by the end of 2005.
MERRILL LYNCH FUNDAMENTAL GROWTH STRATEGY PORTFOLIO
For the 12-month period ended December 31, 2004, Fundamental Growth Strategy
Portfolio had a total return of +7.51%. For the same period, the Portfolio's
benchmark, the Standard & Poor's 500 (S&P 500) Index, returned +10.88% while the
S&P 500 Barra Growth Index returned +6.13%.
Although equity markets finished the year in positive territory, it was not
without some suspense along the way. The stock market performed strongly in the
early months of the year, carrying the momentum from year-end 2003 into 2004.
Specifically, equities gleaned support from favorable economic news,
unprecedented fiscal and monetary policy stimulus, extraordinary corporate
earnings results, strong money flows and attractive valuations. In the second
and third quarters, the market was much more volatile, taking its cues from
election-related uncertainty, violence in Iraq, record-high oil prices, rising
interest rates and a series of soft economic data. With the conclusion of the
election in November, equities took a more definitive turn upward and the S&P
500 Index ended the year with a double-digit 12-month return.
The value style of investing significantly outpaced growth for the year. The S&P
500 Barra Growth Index recorded a one-year return of +6.13% as of December 31,
2004, while the S&P 500 Barra Value Index returned +15.70% for the same period.
In addition, small cap stocks outpaced their large cap counterparts for the
year, as reflected in the +18.33% return of the small cap Russell 2000 Index
versus the +11.40% return of the large cap Russell 1000 Index.
Portfolio performance was particularly strong during the second half of the
fiscal year, with the Portfolio posting a return of +4.16% versus +3.32% for the
S&P 500 Barra Growth Index. This was primarily the result of successful stock
selection in the consumer discretionary and industrials sectors. Individual
stocks that made a meaningful positive contribution to Portfolio returns during
this time were Starbucks Corp., Monster Worldwide Inc., Coach Inc., Rockwell
Automation Inc., Starwood Hotels & Resorts Worldwide, Inc.,
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Marriott International, Inc., Paccar, Inc., Carnival Corp., Eaton Corp., Emerson
Electric Co. and Staples, Inc. Hindering Portfolio performance during the second
half of the year, as well as in the first half, was our exposure to the
information technology (IT) sector. Stock price declines in Intel Corp., Cisco
Systems, Inc. and EMC Corp. were the most significant negative contributors in
the IT sector. In contrast, the Portfolio's IT investments made the most
important positive contribution to investment returns in fiscal year 2003.
We significantly reduced our exposure to the Portfolio's major IT holdings as
the stock prices moved upward in the fourth quarter of 2004. However, we
remained slightly overweight in the IT sector at year-end 2004 in anticipation
of relatively good earnings reports from the major technology companies in
January 2005. At period-end, the Portfolio's two major IT holdings were Intel
Corp. and Microsoft Corp.
In the health care sector, we continued to avoid investments in the major U.S.
pharmaceutical companies, an area we have steered away from for fundamental
reasons since the second quarter of 2001. This strategy proved beneficial.
Nevertheless, Portfolio performance was hurt in the second half of 2004 by the
stock price decline of other health care names, including Boston Scientific
Corp., Gilead Sciences, Inc., Alcon, Inc., Medtronic, Inc. and Forest
Laboratories, Inc. We continue to hold these investments because we believe the
long-run investment fundamentals are excellent and the companies provide
value-added products and services.
The Portfolio had no exposure to insurance brokers and the major property and
casualty insurance companies during all of 2004. This fact contributed
positively to the Portfolio's relative results over the past six months as New
York Attorney General Eliot Spitzer disclosed his findings of unfair and illegal
business practices in the insurance industry.
The Portfolio's largest positions at year-end 2004 were General Electric Co.,
Microsoft, 3M Co., Schlumberger Ltd. and Intel Corp. The Portfolio was
overweight relative to the S&P 500 Barra Growth Index in the energy,
industrials, materials, consumer discretionary and IT sectors. We anticipate a
slower rate of real growth for the U.S. economy in 2005. However, capital
spending is expected to be relatively strong, supporting revenue and earnings
growth in these sectors. Also, assuming China continues to enjoy a real rate of
economic growth above that of most other developed and developing economies, we
might expect continued upward pressure on the prices of energy products and
basic materials. This is because China's expansion will continue to increase the
demand for commodities and materials, thereby supporting our investment thesis
regarding the energy, industrials and materials sectors.
MERRILL LYNCH GLOBAL ALLOCATION STRATEGY PORTFOLIO
For the 12-month period ended December 31, 2004, Global Allocation Strategy
Portfolio had a total return of +14.69%. Fund results were generally competitive
with the +16.06% return of its broad-based, all-equity benchmark, the Financial
Times Stock Exchange (FTSE) World Index. The Portfolio outpaced the +11.58%
return of its Reference Portfolio for the 12-month period. Since the Portfolio
invests in a combination of equities and bonds, the Reference Portfolio provides
a truer representation of the Portfolio's composition and, therefore, a more
comparable means for measurement. Returns for each component of the Reference
Portfolio for the 12 months ended December 31, 2004, were as follows: the
Standard & Poor's 500 (S&P 500) Index returned +10.88%; the FTSE World Index
(ex-U.S.) returned +21.75%; the Merrill Lynch Treasury GA05 Index returned
+2.40%; and the Citigroup (Non-U.S. Dollar) World Government Bond Index returned
+12.14%.
The Portfolio outperformed its comparable Lipper category of Global Core Funds,
which posted an average return of +9.02% for the 12-month period ended December
31, 2004. (Funds in this Lipper category invest at least 75% of their equity
assets in companies inside and outside the United States. Core funds typically
have an average price-to-cash flow ratio, price-to-book ratio and three-year
sales-per-share growth value comparable to the S&P/Citigroup World Broad Market
Index.)
The Portfolio's results were achieved in an environment that saw global equity
markets rise, aided by evidence of improving economic and earnings news in the
United States during the first quarter of the year. During this time, the U.S.
dollar continued to weaken and U.S. bond yields declined as inflation remained
low and investors awaited evidence of meaningful employment growth. The
subsequent nine months saw increasing volatility in equity, bond and currency
markets, with a general reversal of many of the earlier trends. These changes
reflected investor reaction to many factors, including higher oil prices,
uncertainty
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surrounding the November U.S. presidential election, geopolitical worries and
the outlook for the Federal Reserve Board to raise short-term interest rates as
employment data improved. U.S. dollar returns from international markets were
often buoyed by the additional impact of the weakening U.S. dollar. During this
same period, the U.S. bond market proved volatile, with the 10-year bond yield
ranging between 3.7% and 4.9%, before closing at 4.2% on December 31, 2004.
Toward the latter part of the 12-month period, global equity markets, most
markedly those outside the United States, enjoyed renewed rallies. Coupled with
declining oil prices and continued weakening of the U.S. dollar, these rallies
propelled markets above the peak levels reached in 2004.
The Portfolio's performance during the year reflected an asset allocation
strategy that included a relatively modest overweight position in equities at
the beginning of the period, and a significant underweight in fixed income,
particularly high-quality, long-term U.S. government bonds. During the 12-month
period, the Portfolio benefited from the overall broad-based appreciation in
global equity markets, notably in the United States and Asia, as well as
overweight positions in both the energy and materials sectors as the price of
oil increased sharply and growth in Asia, notably in China, fueled an increase
in demand for raw materials. During the Portfolio's fiscal year, effective stock
selection in the consumer staples, industrials, and telecommunications services
sectors contributed to its outperformance of the Reference Portfolio, as did the
Portfolio's overweight position in international equities.
The makeup of the fixed income portion of the portfolio also aided performance.
Although we were underweight in fixed income as a whole, the Portfolio continued
to benefit from the positioning of its fixed income component. This included
significant exposure to high yield securities, including U.S. corporate bonds
and convertibles; emerging market debt; and Australian, Canadian and Swedish
sovereign debt--all of which we favored over U.S. Treasury issues.
In terms of portfolio activity during the period, we continued to focus on
attractively valued stocks, particularly in the United States and Asia. Our
strategy included increasing the quality of the equity portion of the portfolio
and taking profits in those stocks that outperformed, notably in the financials,
information technology and energy sectors during the first half of the fiscal
year, and in the materials, energy and industrials sectors in the second half.
We began the period with an equity weighting of 59% of net assets, slightly
underweight relative to the Reference Portfolio's 60% allocation. As of December
31, 2004, the Portfolio's equity allocation stood at 56.9% of net assets,
reflecting both a reduction in our U.S. equity exposure toward the latter part
of the 12-month period (as corporate earnings growth rates started to slow and
the sustainability of consumer spending became questionable) and a slight
reduction in our allocation to European equity holdings as we took profits in
securities that outperformed.
The Portfolio was significantly underweight in fixed income securities for the
duration of the 12-month period. At the start of the year, approximately 21% of
net assets was invested in bonds worldwide compared to the Reference Portfolio's
fixed income allocation of 40%. While exposure to U.S.-denominated corporate
bonds decreased due to profit-taking as markets appreciated, this was partially
offset by an increase in the allocation to Japanese yen-denominated bonds and
U.S. Treasury issues. (Please note that the Portfolio's U.S. fixed income
exposure includes bonds of non-U.S. issuers denominated in U.S. dollars.)
Approximately 3.6% of the Portfolio's net assets was invested in convertible
securities as of December 31, 2004, compared to 4.4% at December 31, 2003. These
securities are reported as a portion of the Portfolio's fixed income securities,
although some of these securities may tend to perform similar to equities. Given
the changes outlined above, primarily the decrease in equity exposure, the
Portfolio's cash holdings increased from 20% of net assets to 24.1% over the
past 12 months. Cash is actively managed and, as such, allocations to cash are
an integral part of the Portfolio's investment strategy. Currently, cash is
considered zero-duration fixed income, and includes 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 slightly
underweight in equities (56.9%), significantly underweight in fixed income
securities (19%), and overweight in cash reserves (24.1%). The investment team
continues to look for undervalued companies that are expected to generate
above-average rates of return.
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Within the equity segment, the Portfolio ended the period underweight in U.S.
and European stocks and overweight in Asian stocks. In terms of sector
allocations, the Portfolio was overweight in the energy, materials and
telecommunications industries and underweight in consumer discretionary,
financials, health care, industrials, technology, consumer staples and
utilities. At December 31, 2004, the Portfolio had little exposure to long-term,
high-grade fixed income securities in the United States, as we find the current
yield on these instruments to be unattractive relative to the associated risk of
higher interest rates.
As for currency exposure, we ended the period with an underweight in the euro,
the Japanese yen and the U.S. dollar. We have small overweight positions in
several Asian currencies.
At the close of the period, the Portfolio's equity allocation--although
underweight relative to our Reference Portfolio--was still higher than during
most of the Portfolio's history. For that reason, we expect the Portfolio may
exhibit a somewhat higher beta versus 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 in most market conditions.
MERRILL LYNCH HIGH YIELD PORTFOLIO
For the 12-month period ended December 31, 2004, High Yield Portfolio had a
total return of +12.11%, compared to the +11.95% return for the unmanaged Credit
Suisse First Boston (CSFB) High Yield Index. The Portfolio's performance
outpaced the +9.89% average return of the Lipper High Current Yield Funds
category for the same period. (Funds in this Lipper category aim for high
relative current yield from fixed income securities. There are no quality or
maturity restrictions and the funds tend to invest in lower-grade debt issues.)
Portfolio performance benefited from good security selection, which more than
outweighed adverse sector allocation. In particular, our focus on secured
airline paper (Enhanced Equipment Trust Certificates) proved beneficial, as
these instruments held up well in the downdraft that befell the industry. Solid
security selection in the transportation and wireless sectors also bolstered
returns, as did our overweight positions in chemicals, steel and manufacturing,
as all three sectors benefited from the expanding economy. An underweight
position in U.S. cable also proved beneficial. On the downside, our overweight
positions in airlines and packaging hindered performance. The airline industry
was plagued by high fuel costs, intense price competition, overcapacity and
bankrupt competitors. In packaging, sharply higher resin costs squeezed margins
at many of the rigid plastic and film packaging producers. Finally, the
Portfolio's average cash position of about 5.4% also hampered returns.
At the individual security level, the top contributor to performance for the
year was a bond of Energy Corp. of America, a small, privately held exploration
and production firm. The bond, a major Portfolio holding, was aided by lofty
hydrocarbon prices and rallied from somewhat distressed levels. In contrast, a
subordinated bond of Tekni-Plex, a plastic packaging manufacturer, fell
following a poor earnings report. The company was hurt by the sharp rise in
resin costs, but with the recent easing of oil prices, we believe margins will
recover in the first half of 2005.
Many of the positive factors that provided a strong tailwind to the high yield
market in 2003--rising equity and stable U.S. Treasury markets, healthy economic
conditions and low default rates--continued into 2004. The one notable exception
was the flow to high yield mutual funds, which was decidedly negative in 2004.
However, the role of mutual funds has diminished in recent years, as new buyers
in the form of pension funds, insurance companies and hedge funds have stepped
in. As a result, heavy new-issue volume of approximately $143 billion was
readily absorbed. This year's volume exceeded the previous peak of $141 billion
in 1998. Importantly, the majority of proceeds from new issuance in 2004 were
used for refinancing existing debt. An interesting development in 2004 was the
amount of floating rate note issuance--a record $12 billion. Floaters offer
protection from rising interest rates, a risk that concerned many market
participants.
As was the case in 2003, risk-taking was rewarded in 2004, with the lowest tier
of the credit spectrum (CCC-rated and defaulted securities) registering a total
return of more than 19%. In contrast, the 10-year Treasury note returned just
+4.65%. The spread of the CSFB High Yield Index over U.S. Treasury securities
ended the year at 346 basis points (3.46%), down from 486 basis points at
year-end 2003. The
7
spread is now at its narrowest level since June 1997, and the Index's
yield-to-worst of 6.99% at December 31, 2004, was the all-time low for a
month-end.
The year started off strong, as healthy equity and U.S. Treasury markets
provided a favorable backdrop for the high yield market. The picture changed in
the second quarter, as a sharp sell-off in the Treasury market and heavy mutual
fund outflows resulted in negative returns in April and May. However, each of
the last seven months of the year registered a positive return, as high yield
fund flows turned positive. The default rate also showed a fairly steady
improvement during the period. As measured by Moody's Investors Service, the
trailing 12-month global high yield default rate (on a percentage of issuers
basis) ended the year at 2.16%, down from 5.25% for the 12 months ended December
2003. It is also worth noting that monthly returns in 2004 were generally less
volatile than in prior years.
We were active in the new-issue market, where competition for new-issue
allocations was fierce, despite the near-record volume of issuance. Larger
purchases during the year included bonds issued by Solo Cup (a privately held
producer of disposable food service products), Pliant Corp. (a privately held
manufacturer of flexible film and packaging products), CSC Holdings (parent of a
large cable system operator), and Wynn Las Vegas (developer of a casino and
hotel in Las Vegas). In the secondary market, we established a new position in
Vought Aircraft Industries (a privately held manufacturer of structural
assemblies) at a discount to par. We also purchased an unsecured bond of Delta
Airlines at a deep discount. The latter security has climbed sharply, reflecting
significant wage concessions from the pilots' union as well as an easing of fuel
costs.
On the sell side, we liquidated several positions for relative value
reasons--specifically, Abitibi-Consolidated Inc., AmeriGas Partners, Bowater
Inc., Citgo Petroleum Corp., and Silgan Holdings. We also pared our emerging
markets exposure by selling our entire positions in three Brazilian corporates,
all at material premiums to par.
Since the beginning of the year, the Portfolio's industry weightings shifted in
several sectors. Most notably, the chemicals sector was trimmed from a heavy
overweight to a market weight. The sector had an excellent run, so we made a
number of sales in the fourth quarter, including the bonds of Nalco, Omnova
Solutions and Rhodia. The other significant change was in services, where we
increased our position from a market weight to overweight during the course of
the year. We purchased several new issues in this sector, the largest being
United Rentals (a leading equipment rental concern) and Allied Waste. We also
modestly increased our weighting in manufacturing, as several attractively
priced new issues were added to the Portfolio. These included Mueller Group
(maker of forged, machined and cast products, including fire hydrants), Superior
Essex (manufacturer of cable and wire products) and Trinity Industries
(manufacturer of freight and tank railcars, tank barges and construction
products).
At year-end, the Portfolio's heaviest overweights relative to the CSFB High
Yield Index were in manufacturing, packaging and diversified media. Our
overweight in manufacturing reflected our view that the industrial sector of the
economy would show good growth throughout the year. We favored packaging for its
stable end markets--food and beverage and household products. While plastic
packaging credits have had to struggle with sharply higher resin costs, we
believe catch-up price hikes to their customers, as well as stabilization of
resin prices, should restore profit margins in the first half of 2005. Our
diversified media play reflected the stability of this sector and the strong
free cash flow characteristics of many of the credits, particularly the Yellow
Pages publishers. We remain comfortable with these overweights and expect to
maintain them in early 2005. Our most significant underweights at period-end
were in utilities, health care and U.S. cable. We believe the independent power
portion of the utilities sector remains plagued by overcapacity and poor spark
spreads, while health care offers little in the way of relative value. The same
can be said for U.S. cable. Finally, given our concerns about a backup in
interest rates, we have effectively established a small short position in the
U.S. Treasury market.
At December 31, 2004, the Portfolio's average credit-quality rating, as measured
by Standard & Poor's, was B. This is comparable to the average rating of the
Portfolio's benchmark. The Portfolio's cash position was approximately 3% at
year-end. With spreads at record tight levels and much of the universe trading
well over par, absolute returns for 2005 are likely to be modest. However, given
the asset class's historically low correlation with Treasury issues, a continued
economic expansion and a low default rate, we believe the high yield market
should offer attractive returns relative to other fixed income alternatives in
2005.
8
MERRILL LYNCH INTERMEDIATE GOVERNMENT BOND PORTFOLIO
For the 12-month period ended December 31, 2004, Intermediate Government Bond
Portfolio had a total return of +4.15%, in line with its benchmark, the
Citigroup Government/Mortgage Index, which returned +4.13 for the same period.
In 2004, U.S. economic growth continued to exhibit modest strength as real gross
domestic product (GDP) grew at an annualized rate of 3.9% over the first three
quarters of the year, compared to 4.4% for all of 2003. Corporate spending and
new job creation were the primary drivers of growth in 2004, as non-residential
spending grew at a 9.8% pace over the first three quarters and non-farm payrolls
expanded by an annualized 2.2 million over the first 11 months of the year.
Although broad measures of inflation generally remain tempered, core inflation
did rise in 2004 as the core consumer price index (CPI) moved from a 40-year low
of 1.1% in December 2003 to 2.2% in November 2004. Consequently, the Federal
Reserve Board (the Fed), following its primary goal of seeking long-term price
stability, began raising interest rates in the middle of the year. Ultimately,
the Fed raised its federal funds target five times from a 46-year low of 1% to
2.25% by year-end.
Interest rates at the short end of the U.S. Treasury yield curve reacted
accordingly as yields of three-month Treasury bills to two-year Treasury notes
rose 125-150 basis points (1.25%-1.50%). Surprisingly, longer-term Treasury
yields declined with the yield of the 10-year Treasury note falling from a high
of 4.87% in June to 4.24% by year-end. We think several factors contributed to
the decline in long-term yields. First, by raising the federal funds rate five
times, the Fed established credibility with the investment community as an
inflation fighter. Second, the budget outlook for the U.S. government is widely
expected to improve in 2005, as the deficit is likely to fall in both absolute
terms and as a percentage of GDP. Finally, demand for longer U.S. Treasury
securities on the part of foreign institutional investors and central banks rose
substantially in 2004.
Our investment strategy in 2004 focused on two general themes. First, we reduced
the Portfolio's holdings of U.S. government agency debentures to 0% and
significantly increased its holdings of structured mortgage-backed securities
(MBS). We concentrated our purchases in the commercial real estate sector, in
particular Government National Mortgage Association (GNMA) project loans, where
we were able to receive an incremental yield spread over agency debentures. In
addition, we felt the GNMA project loan sector offered better opportunities for
narrowing yield spreads, and thus, upside total return potential, all while
significantly reducing the prepayment and extension risk that exists in the
residential MBS market. Furthermore, we were able to avoid the yield spread
volatility that occurred within the agency debenture market following the
announcement of Fannie Mae's accounting irregularities and earnings restatement.
At the close of the period, the Portfolio held 38% of its assets in GNMA project
loans.
Second, in anticipation of the Fed raising interest rates, we reduced the
Portfolio's duration exposure relative to its benchmark and, in particular, its
duration exposure to the front end of the U.S. Treasury yield curve. Admittedly,
this provided mixed results. While underweighting the Portfolio's yield curve
exposure at the front end helped it avoid much of the negative impact of rising
short-term interest rates, its overall duration underweight created a slight
drag on total return performance as long-term interest rates moved decidedly
lower from mid-year on. At the close of the year, the Portfolio's duration stood
at 3.48 years compared to 3.91 years for the Citigroup Government/Mortgage
Index.
Looking ahead, we intend to maintain our current sector allocations in the
near-term, as we believe the investment environment is conducive to continued
low interest rate volatility. Nonetheless, at some point, we believe a
significantly flatter U.S. Treasury yield curve or some sort of fiscal impetus,
such as a major Social Security and/or tax overhaul, could cause interest rate
volatility to rise and an upward readjustment of yield spreads within the spread
product sector. As this situation unfolds, we will likely begin to shift some of
our spread product assets back to U.S. Treasury securities.
MERRILL LYNCH LARGE CAP CORE STRATEGY PORTFOLIO
For the 12-month period ended December 31, 2004, Large Cap Core Strategy
Portfolio had a total return of +17.15%, well ahead of the +11.40% return of the
benchmark Russell 1000 Index.
9
The Portfolio invests primarily in a diversified portfolio of large cap
companies selected from securities found in the Russell 1000 Index. The
Portfolio's outperformance during the year is attributed to stock selection in
the health care (especially managed care), consumer discretionary (especially
retail), industrials (especially transportation) and utilities sectors. At the
individual stock level, the largest positive contributors to performance
included Autodesk, Inc. (in the information technology sector), TXU Corp.
(utilities), Sprint Corp. (PCS Group) (telecommunications services), Cummins,
Inc. (industrials), Norfolk Southern Corp. (industrials), Pacificare Health
Systems, Inc. (health care), American Eagle Outfitters (consumer discretionary)
and Urban Outfitters, Inc. (consumer discretionary). The Portfolio's underweight
position in information technology stock Intel Corp. also benefited relative
results.
Partially offsetting these positive contributions were declines in several
portfolio holdings, including Foundry Networks, Inc., Atmel Corp., Fairchild
Semiconductor Corporation, Cypress Semiconductor Corporation and Amkor
Technology, Inc., all in information technology (primarily semiconductors).
Because the Portfolio invests in large-capitalization stocks that represent a
significant part of the U.S. stock market, its portfolio was influenced by the
same economic and market events that affected the broader stock market during
the past year.
Although equity markets finished the year in positive territory, it was not
without some suspense along the way. The stock market performed strongly in the
early months of the year, carrying the momentum from year-end 2003 into 2004.
Specifically, equities gleaned support from favorable economic news,
unprecedented fiscal and monetary policy stimulus, extraordinary corporate
earnings results, strong money flows and attractive valuations. In the second
and third quarters, the market was much more volatile, taking its cues from
election-related uncertainty, violence in Iraq, record-high oil prices, rising
interest rates and a series of soft economic data. With the conclusion of the
election in November, equities took a more definitive turn upward and the
Standard & Poor's 500 (S&P 500) Index ended the year with a 12-month return of
+10.88%.
The value style of investing significantly outpaced growth for the year. The S&P
500 Barra Growth Index recorded a one-year return of +6.13% as of December 31,
2004, while the S&P 500 Barra Value Index returned +15.70% for the same period.
In addition, small cap stocks outpaced their large cap counterparts for the
year, as reflected in the +18.33% return of the small cap Russell 2000 Index
versus the +11.40% return of the large cap Russell 1000 Index. Also during the
year, we witnessed a gradual transition from higher-beta to lower-beta stocks,
pointing toward increased investor caution. Looking ahead, we believe good stock
picking is going to be more a matter of evaluating underlying company
fundamentals, with no clear winners in terms of sector, style or market cap
size.
In terms of portfolio activity, we maintained a procyclical bias for the
majority of the fiscal year, investing in those companies and sectors that we
believed could benefit from a burgeoning U.S. economy. For the most part,
portfolio activity involved fine-tuning our exposures based on our fundamental
research, including the use of both qualitative and quantitative screens.
Although we continue to believe the U.S. economy is on relatively solid footing,
we moderated our cyclical focus to some extent as investors grew somewhat more
cautious. This involved some shifting in sector allocations as well as an
increased emphasis on larger-capitalization companies, which tend to perform
better in the latter stages of an economic recovery.
From a sector perspective, we increased our exposure relative to the Russell
1000 Index in energy, materials and consumer staples. At the same time, we
modestly reduced our overweight positions in information technology and consumer
discretionary, reflecting the moderation of our procyclical theme.
In terms of individual stocks, we continued to search for companies with what we
viewed as good earnings momentum and compelling valuations. The largest
purchases during the year included Johnson & Johnson, The Home Depot, Inc.,
Prudential Financial, Inc., Pfizer, Inc., ChevronTexaco Corp., Hewlett-Packard
Co., Lucent Technologies, Inc. and ConocoPhillips. Among the largest sales were
Lehman Brothers Holdings, Inc., Citigroup Inc., QUALCOMM Inc., Sprint Corp. (PCS
Group), Cisco Systems, Inc., Avaya, Inc. and Countrywide Credit Industries, Inc.
At year-end, we maintained our focus on cyclical stocks in anticipation of
reasonably strong economic and earnings growth, at least in the near term.
Accordingly, the Portfolio's largest overweights at December 31, 2004, were in
the consumer discretionary, information technology, energy and materials
sectors. The Portfolio's largest underweights were in telecommunications
services, an industry faced with numerous
10
fundamental challenges; consumer staples, traditionally a defensive sector; and
financial services, an area that tends to underperform in a rising interest rate
environment.
Some observers have come to question the vitality of economic growth in recent
months, citing negligible inflation, slowing consumer spending and high oil
prices. However, we continue to believe that the foundations of the economy are
reasonably strong and corporate balance sheets are in good shape. Still, we
expect 2005 to be a more challenging year for the stock market. With that in
mind, we remain committed to our search for companies exhibiting good earnings
momentum, earnings surprise and favorable valuation characteristics, and which
we believe are positioned to deliver strong performance over the long term.
MERRILL LYNCH MONEY RESERVE PORTFOLIO
For the 12-month period ended December 31, 2004, Money Reserve Portfolio had a
net annualized yield of 1.09%. For the six-month period ended December 31, 2004,
Money Reserve Portfolio had a net annualized yield of 1.39%. As of December 31,
2004, the Portfolio had a seven-day yield of 1.87%. The average portfolio
maturity was 54 days at December 31, 2004, compared to 61 days at June 30, 2004.
During the past 12 months, the portfolio maintained an average life ranging from
a low of 47 days to a high of 72 days.
In 2004, economic growth in the United States was quite healthy. A very
accommodative monetary and fiscal policy at the beginning of the year helped to
foster the expansion that now appears to be broad-based and self-sustaining. The
year was also notable for an aggressive monetary policy set in place at the June
Federal Open Market Committee (FOMC) meeting, which resulted in the Federal
Reserve Board (the Fed) increasing the federal funds rate five times--a total of
125 basis points (1.25%)--to 2.25%. The change in policy was primarily prompted
by three consecutive months of robust payroll data for March, April and May. The
employment sector of the economy had lagged considerably in the recovery, but
now showed clear signs that adequate job creation was underway. Increased
inflation expectations resulting from higher food and energy prices were also a
factor in tightening monetary policy. While the economy slowed somewhat
approaching the end of the year, the Fed seemed apt to remain on track in
continuing to raise short-term interest rates into 2005.
Entering the new year, the Fed remains quite upbeat on the overall economy.
Minutes from the December 14, 2004 FOMC meeting released during the first week
of January showed an increased confidence in the sustainability of the recovery,
increased fears about the upside inflation risks, and increased worries that
current monetary policy remains too accommodative. This basically translates
into further tightening of monetary policy as the Fed seeks a more neutral level
for interest rates.
In terms of portfolio activity, early in the year, we believed the Fed would
leave short-term interest rates unchanged as long as the employment situation
was weak and inflation remained low. With that in mind, we added some
longer-dated callable U.S. agency securities to the portfolio in order to
enhance yield. Yield spreads on callable agency securities relative to straight
bullet issues were wide, as interest rate volatility remained at the higher end
of the historical range. We continued to position the Portfolio in a barbelled
manner through April.
We shifted our investment strategy toward a more conservative one after the May
FOMC meeting, when it appeared the Fed was moving toward a more restrictive
monetary policy. The balance of our investments from a risk/reward standpoint
has been in the shorter sector of the yield curve. Our strategy was to place
maturities around the upcoming FOMC meetings, as it seemed clear that the Fed
would tighten at each one. Going forward, our focus remains on structuring the
portfolio to take advantage of future interest rate hikes as quickly as
possible.
11
The Portfolio's composition, as a percent of net assets, at the end of December
and as of our last report to shareholders is detailed below:
<Table>
<Caption>
- --------------------------------------------------------------------------------
12/31/04 6/30/04
- --------------------------------------------------------------------------------
Certificates of Deposit--Yankee............................. 2.0% 1.9%
Commercial Paper............................................ 44.9 50.5
Funding Agreements.......................................... 9.4 8.6
Government Agency Notes..................................... -- 11.5
Medium-Term Notes........................................... 11.2 9.8
Repurchase Agreements....................................... 5.3 3.8
U.S. Government, Agency and Instrumentality
Obligations--Discount..................................... -- 0.1
U.S. Government, Agency and Instrumentality Obligations--
Non-Discount.............................................. 27.1 13.7
Other Assets Less Liabilities............................... 0.1 0.1
----- -----
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 future investment needs.
Sincerely,
/s/ Robert C. Doll, Jr.
Robert C. Doll, Jr.
President and Chief Investment Officer
Merrill Lynch Investment Managers
January 26, 2005
12
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 2004
- --------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS*
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------
6-MONTH 12-MONTH
TOTAL TOTAL STANDARDIZED
AS OF DECEMBER 31, 2004 RETURN RETURN 30-DAY YIELD
- -------------------------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO + 5.98% + 8.64% --
- -------------------------------------------------------------------------------------------------
CORE BOND STRATEGY PORTFOLIO + 4.34 + 4.48 3.13%
- -------------------------------------------------------------------------------------------------
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO + 4.16 + 7.51 --
- -------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO +10.85 +14.69 --
- -------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 9.30 +12.11 6.96
- -------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 3.75 + 4.15 2.96
- -------------------------------------------------------------------------------------------------
LARGE CAP CORE STRATEGY PORTFOLIO +11.25 +17.15 --
- -------------------------------------------------------------------------------------------------
</Table>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
<Table>
<Caption>
- ---------------------------------------------------------------------------------------------------
ONE FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED
12/31/04 12/31/04 12/31/04
- ---------------------------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO + 8.64% +0.35% + 8.06%
- ---------------------------------------------------------------------------------------------------
CORE BOND STRATEGY PORTFOLIO + 4.48 +7.33 + 7.36
- ---------------------------------------------------------------------------------------------------
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO + 7.51 -5.52 +12.08
- ---------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO +14.69 +3.43 + 8.24
- ---------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +12.11 +5.37 + 6.62
- ---------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 4.15 +6.90 + 7.10
- ---------------------------------------------------------------------------------------------------
LARGE CAP CORE STRATEGY PORTFOLIO +17.15 +0.47 +10.37
- ---------------------------------------------------------------------------------------------------
</Table>
* Cumulative and average annual 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.
13
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment
- --------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO
<Table>
<Caption>
MERRILL LYNCH U. S.
BALANCED CAPITAL LEHMAN AGGREGATE DOMESTIC MASTER
STRATEGY PORTFOLIO+ S&P 500(R) INDEX++ BOND INDEX+++ BOND INDEX++++
------------------- ------------------ ---------------- -------------------
12/94 10000 10000 10000 10000
12/95 11755 13758 11847 11852
12/96 13438 16917 12278 12277
12/97 16014 22561 13463 13463
12/98 17747 29008 14632 14657
12/99 21334 35112 14512 14517
12/00 20285 31915 16199 16219
12/01 18915 28122 17567 17569
12/02 16476 21907 19369 19398
12/03 19982 28190 20164 20197
12/04 21710 31258 21038 21074
</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.
S&P 500 is a registered trademark of the McGraw-Hill Companies.
Past performance is not predictive of future results.
14
- --------------------------------------------------------------------------------
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++
----------------------------- -------------------------
12/94 10000.00 10000.00
12/95 12066.00 11847.00
12/96 12400.00 12278.00
12/97 13491.00 13463.00
12/98 14631.00 14632.00
12/99 14288.00 14512.00
12/00 15655.00 16199.00
12/01 16881.00 17567.00
12/02 18560.00 19369.00
12/03 19480.00 20164.00
12/04 20353.00 21038.00
</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+ S&P 500 INDEX++
--------------------------- ---------------
12/94 10000 10000
12/95 13535 13758
12/96 16183 16917
12/97 21646 22561
12/98 29911 29008
12/99 41572 35112
12/00 38919 31915
12/01 31597 28122
12/02 22601 21907
12/03 29105 28190
12/04 31290 31258
</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.
15
- --------------------------------------------------------------------------------
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++
------------------- ---------------------- ------------------
12/94 10000.00 10000.00 10000.00
12/95 11044.00 12301.00 11961.00
12/96 12566.00 13636.00 13541.00
12/97 14039.00 15399.00 15625.00
12/98 15371.00 18460.00 19225.00
12/99 18655.00 20909.00 24223.00
12/00 16897.00 20002.00 21540.00
12/01 15473.00 18444.00 18063.00
12/02 14233.00 17379.00 14619.00
12/03 19291.00 21416.00 19577.00
12/04 22077.00 23895.00 22720.00
</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
2,000 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% of the FTSE World Index
(Ex-U.S.) Equities, 24% of the Merrill Lynch Treasury Index GA05, and 16% of
the 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++
--------------------- -------------------------------
12/94 10000.00 10000.00
12/95 11712.00 11738.00
12/96 13155.00 13196.00
12/97 14567.00 14862.00
12/98 13811.00 14949.00
12/99 14619.00 15439.00
12/00 13867.00 14634.00
12/01 14103.00 15484.00
12/02 13614.00 15964.00
12/03 16936.00 20424.00
12/04 18986.00 22865.00
</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.
16
- --------------------------------------------------------------------------------
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
PORTFOLIO+ INDEX++
---------------------------- -----------------------------
12/94 10000.00 10000.00
12/95 11887.00 11783.00
12/96 12197.00 12217.00
12/97 13224.00 13378.00
12/98 14407.00 14549.00
12/99 14227.00 14463.00
12/00 15882.00 16247.00
12/01 16984.00 17497.00
12/02 18649.00 19281.00
12/03 19072.00 19812.00
12/04 19863.00 20631.00
</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(R) INDEX++
----------------------- -----------------------
12/94 10000.00 10000.00
12/95 12073.00 13777.00
12/96 14069.00 16869.00
12/97 17230.00 22411.00
12/98 19911.00 28467.00
12/99 26209.00 34420.00
12/00 23623.00 31739.00
12/01 21268.00 27788.00
12/02 17282.00 21771.00
12/03 22902.00 28279.00
12/04 26829.00 31504.00
</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 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.
Russell 1000 is a registered trademark of the Frank Russell Company.
Past performance is not predictive of future results.
17
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Disclosure of Expenses
- --------------------------------------------------------------------------------
Shareholders of each Portfolio may incur the following charges: (a) expenses
related to transactions, including sales charges, redemption fees and exchange
fees; and (b) operating expenses including advisory fees, distribution fees
including 12(b)-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on July 1, 2004 and held
through December 31, 2004) is intended to assist shareholders both in
calculating expenses based on an investment in each Portfolio and in comparing
these expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on each Portfolio's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders ongoing
costs only and do not reflect any transactional expenses, such as sales charges,
redemption fees or exchange fees. Therefore, the second table is useful in
comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
<Table>
<Caption>
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES PAID
BEGINNING ENDING ACCOUNT DURING THE PERIOD* ANNUALIZED
ACCOUNT VALUE VALUE JULY 1, 2004 TO EXPENSE
ACTUAL JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004 RATIO
- --------------------------------------------------------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO $1,000 $1,059.80 $2.06 .40%
- --------------------------------------------------------------------------------------------------------------------------------
CORE BOND STRATEGY PORTFOLIO $1,000 $1,043.40 $2.36 .46%
- --------------------------------------------------------------------------------------------------------------------------------
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO $1,000 $1,041.60 $2.10 .41%
- --------------------------------------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO $1,000 $1,108.50 $2.49 .47%
- --------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO $1,000 $1,093.00 $2.58 .49%
- --------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO $1,000 $1,037.50 $2.04 .40%
- --------------------------------------------------------------------------------------------------------------------------------
LARGE CAP CORE STRATEGY PORTFOLIO $1,000 $1,112.50 $2.18 .41%
- --------------------------------------------------------------------------------------------------------------------------------
MONEY RESERVE PORTFOLIO $1,000 $1,007.00 $2.03 .40%
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)**
- --------------------------------------------------------------------------------------------------------------------------------
BALANCED CAPITAL STRATEGY PORTFOLIO $1,000 $1,023.13 $2.03 .40%
- --------------------------------------------------------------------------------------------------------------------------------
CORE BOND STRATEGY PORTFOLIO $1,000 $1,022.82 $2.34 .46%
- --------------------------------------------------------------------------------------------------------------------------------
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO $1,000 $1,023.08 $2.08 .41%
- --------------------------------------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO $1,000 $1,022.77 $2.39 .47%
- --------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO $1,000 $1,022.67 $2.49 .49%
- --------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO $1,000 $1,023.13 $2.03 .40%
- --------------------------------------------------------------------------------------------------------------------------------
LARGE CAP CORE STRATEGY PORTFOLIO $1,000 $1,023.08 $2.08 .41%
- --------------------------------------------------------------------------------------------------------------------------------
MONEY RESERVE PORTFOLIO $1,000 $1,023.25 $2.05 .40%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Expenses for each Portfolio are equal to the annualized expense ratio,
multiplied by the average account value over the period, multiplied by 184/366
for Balanced Capital Strategy Portfolio, Core Bond Strategy Portfolio,
Fundamental Growth Strategy Portfolio, High Yield Portfolio, Intermediate
Government Bond Portfolio and Large Cap Core Strategy Portfolio and 185/366 for
Money Reserve Portfolio (to reflect the one-half year period shown).
** Hypothetical 5% annual return before expenses is calculated by pro-rating the
number of days in the most recent fiscal half-year divided by 366.
18
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
INDUSTRY@ HELD COMMON STOCKS VALUE
- -----------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--3.9% 300,000 Honeywell International, Inc. .............................. $ 10,623,000
50,000 Northrop Grumman Corp. ..................................... 2,718,000
225,000 Raytheon Co. ............................................... 8,736,750
135,000 United Technologies Corp. .................................. 13,952,250
------------
36,030,000
- -----------------------------------------------------------------------------------------------------------------------------
BEVERAGES--1.1% 200,000 Anheuser-Busch Cos., Inc. .................................. 10,146,000
- -----------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--1.2% 300,000 Masco Corp. ................................................ 10,959,000
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--2.7% 175,000 Janus Capital Group, Inc. .................................. 2,941,750
350,000 Mellon Financial Corp. ..................................... 10,888,500
200,000 Morgan Stanley.............................................. 11,104,000
------------
24,934,250
- -----------------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.1% 200,000 EI Du Pont de Nemours & Co. ................................ 9,810,000
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--2.3% 125,000 PNC Financial Services Group, Inc. ......................... 7,180,000
225,000 Wells Fargo & Co. .......................................... 13,983,750
------------
21,163,750
- -----------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 500,000 +CommScope, Inc. ........................................... 9,450,000
EQUIPMENT--1.0%
- -----------------------------------------------------------------------------------------------------------------------------
COMPUTERS & 300,000 Hewlett-Packard Co. ........................................ 6,291,000
PERIPHERALS--2.3%
145,000 International Business Machines Corp. ...................... 14,294,100
------------
20,585,100
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 270,000 Citigroup, Inc. ............................................ 13,008,600
SERVICES--2.3%
205,000 JPMorgan Chase & Co. ....................................... 7,997,050
------------
21,005,650
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 275,000 Verizon Communications, Inc. ............................... 11,140,250
TELECOMMUNICATION
SERVICES--1.2%
- -----------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 100,000 +Agilent Technologies, Inc. ................................ 2,410,000
INSTRUMENTS--0.3%
- -----------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 150,000 GlobalSantaFe Corp. ........................................ 4,966,500
SERVICES--1.7%
75,000 Schlumberger Ltd. .......................................... 5,021,250
100,000 +Weatherford International Ltd. ............................ 5,130,000
------------
15,117,750
- -----------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--3.2% 125,000 General Mills, Inc. ........................................ 6,213,750
50,000 Nestle SA Registered Shares................................. 13,081,523
150,000 Unilever NV(a).............................................. 10,006,500
------------
29,301,773
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & 300,000 Baxter International, Inc. ................................. 10,362,000
SUPPLIES--1.7%
150,000 +Boston Scientific Corp. ................................... 5,332,500
------------
15,694,500
- -----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & 125,000 AmerisourceBergen Corp. .................................... 7,335,000
SERVICES--1.7%
200,000 HCA, Inc. .................................................. 7,992,000
------------
15,327,000
- -----------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 325,000 McDonald's Corp. ........................................... 10,419,500
LEISURE--1.1%
- -----------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--1.4% 200,000 Kimberly-Clark Corp. ....................................... 13,162,000
- -----------------------------------------------------------------------------------------------------------------------------
IT SERVICES--1.2% 300,000 +Accenture Ltd. Class A..................................... 8,100,000
50,000 +Computer Sciences Corp. ................................... 2,818,500
------------
10,918,500
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 350,000 General Electric Co. ....................................... 12,775,000
CONGLOMERATES--2.9%
375,000 Tyco International Ltd. .................................... 13,402,500
------------
26,177,500
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
19
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
INDUSTRY@ HELD COMMON STOCKS VALUE
- -----------------------------------------------------------------------------------------------------------------------------
INSURANCE--4.2% 280,000 ACE Ltd. ................................................... $ 11,970,000
175,000 American International Group, Inc. ......................... 11,492,250
275,000 Prudential Financial, Inc. ................................. 15,114,000
------------
38,576,250
- -----------------------------------------------------------------------------------------------------------------------------
MACHINERY--1.4% 300,000 Dover Corp. ................................................ 12,582,000
- -----------------------------------------------------------------------------------------------------------------------------
MEDIA--3.8% 235,000 Clear Channel Communications, Inc. ......................... 7,870,150
150,000 +Comcast Corp. Special Class A.............................. 4,926,000
455,000 +Interpublic Group of Cos., Inc. ........................... 6,097,000
300,000 Viacom, Inc. Class B........................................ 10,917,000
175,000 Walt Disney Co. ............................................ 4,865,000
------------
34,675,150
- -----------------------------------------------------------------------------------------------------------------------------
METALS & MINING--2.1% 205,000 Alcoa, Inc. ................................................ 6,441,100
250,000 United States Steel Corp. .................................. 12,812,500
------------
19,253,600
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS--5.1% 300,000 Devon Energy Corp. ......................................... 11,676,000
150,000 EnCana Corp. ............................................... 8,559,000
175,000 Exxon Mobil Corp. .......................................... 8,970,500
140,000 Murphy Oil Corp. ........................................... 11,263,000
60,000 Total SA(a)................................................. 6,590,400
------------
47,058,900
- -----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 300,000 International Paper Co. .................................... 12,600,000
PRODUCTS--2.5%
150,000 Weyerhaeuser Co. ........................................... 10,083,000
------------
22,683,000
- -----------------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS--0.4% 100,000 Avon Products, Inc. ........................................ 3,870,000
- -----------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--2.8% 175,000 GlaxoSmithKline Plc(a)...................................... 8,293,250
305,000 Schering-Plough Corp. ...................................... 6,368,400
255,000 Wyeth....................................................... 10,860,450
------------
25,522,100
- -----------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--2.0% 150,000 Burlington Northern Santa Fe Corp. ......................... 7,096,500
275,000 CSX Corp. .................................................. 11,022,000
------------
18,118,500
- -----------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 375,000 +Applied Materials, Inc. ................................... 6,412,500
SEMICONDUCTOR
EQUIPMENT--2.0%
300,000 Intel Corp. ................................................ 7,017,000
235,000 Intersil Corp. Class A...................................... 3,933,900
100,000 +Micron Technology, Inc. ................................... 1,235,000
------------
18,598,400
- -----------------------------------------------------------------------------------------------------------------------------
SOFTWARE--2.3% 130,000 +Citrix Systems, Inc. ...................................... 3,188,900
65 Computer Associates International, Inc. .................... 2,019
515,000 Microsoft Corp. ............................................ 13,755,650
375,000 +Siebel Systems, Inc. ...................................... 3,937,500
------------
20,884,069
- -----------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--1.9% 350,000 Limited Brands.............................................. 8,057,000
300,000 +Office Depot, Inc. ........................................ 5,208,000
150,000 TJX Cos., Inc. ............................................. 3,769,500
------------
17,034,500
- -----------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 150,000 Fannie Mae.................................................. 10,681,500
FINANCE--1.2%
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST--$535,038,960)--66.0% 603,290,492
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
20
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PREFERRED SECURITIES
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
FACE
INDUSTRY@ AMOUNT CAPITAL TRUSTS VALUE
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS--0.0% US$ 340,000 Pemex Project Funding Master Trust, 7.375% due 12/15/2014... $ 377,910
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CAPITAL TRUSTS (COST--$358,149)--0.0% 377,910
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
SHARES
HELD PREFERRED STOCKS
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.0% 70 DG Funding Trust(e)......................................... 749,000
- -----------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--0.1% 5,300 +Duquesne Light Co. ........................................ 278,250
- -----------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 20,800 +Fannie Mae................................................. 1,179,100
FINANCE--0.2%
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT IN PREFERRED STOCKS
(COST--$2,192,252)--0.3% 2,206,350
- -----------------------------------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT TRUST PREFERRED
- -----------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.2% US$ 1,680,000 RC Trust I, 7% due 5/15/2006................................ 1,747,932
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN TRUST PREFERRED
(COST--$1,753,343)--0.2% 1,747,932
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED SECURITIES
(COST--$4,303,744)--0.5% 4,332,192
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
CORPORATE BONDS
- ----------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.1% 895,000 Goodrich Corp., 6.60% due 5/15/2009......................... 978,560
10,000 Raytheon Co., 8.30% due 3/01/2010........................... 11,850
------------
990,410
- ----------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.0% 289,968 American Airlines, Inc. Series 2003-1, 3.857% due
1/09/2012................................................. 285,772
- ----------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.1% 695,000 Dana Corp., 5.85% due 1/15/2015(e).......................... 688,050
340,000 WellPoint, Inc., 5% due 12/15/2014(e)....................... 338,930
------------
1,026,980
- ----------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.1%
DaimlerChrysler NA Holding Corp:
350,000 4.75% due 1/15/2008....................................... 357,473
330,000 7.75% due 1/18/2011....................................... 380,526
310,000 Hyundai Motor Manufacturing Alabama LLC, 5.30% due
12/19/2008(e)............................................. 319,375
------------
1,057,374
- ----------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1% 670,000 Cia Brasileira de Bebidas, 8.75% due 9/15/2013.............. 780,550
- ----------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.3% 1,430,000 Abgenix, Inc., 3.50% due 3/15/2007 (Convertible)............ 1,421,063
1,410,000 Amgen, Inc., 4% due 11/18/2009(e)........................... 1,405,626
------------
2,826,689
- ----------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.9% 535,000 The Bear Stearns Cos., Inc., 2.43% due 1/30/2009(c)......... 536,222
725,000 Credit Suisse First Boston USA, Inc., 4.70% due 6/01/2009... 741,826
Goldman Sachs Group, Inc:
1,315,000 5.70% due 9/01/2012....................................... 1,393,925
685,000 5.25% due 10/15/2013...................................... 700,824
Lehman Brothers Holdings, Inc
30,000 4% due 1/22/2008.......................................... 30,207
800,000 3.50% due 8/07/2008....................................... 790,526
255,000 Mellon Funding Corp., 4.875% due 6/15/2007.................. 262,648
Sigma Finance Corp(c):
2,300,000 4.83% due 8/15/2011....................................... 2,300,000
1,100,000 4.38% due 3/31/2014(e).................................... 1,106,838
------------
7,863,016
- ----------------------------------------------------------------------------------------------------------------------------
CHEMICALS--0.1% 725,000 IMC Global, Inc., 10.875% due 8/01/2013..................... 906,250
215,000 Yara International ASA, 5.25% due 12/15/2014(e)............. 216,367
------------
1,122,617
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
21
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY@ AMOUNT CORPORATE BONDS VALUE
- ----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.7% US$ 300,000 Bank One Corp., 8% due 4/29/2027............................ $ 381,536
1,000,000 Bank of America Corp., 4.875% due 9/15/2012................. 1,021,257
620,000 Barclays Bank Plc, 8.55%(e)(g).............................. 754,963
435,000 Corp Andina de Fomento, 6.875% due 3/15/2012................ 488,848
105,000 FirstBank Puerto Rico, 7.625% due 12/20/2005................ 107,260
70,000 FleetBoston Financial Corp., 6.375% due 5/15/2008........... 75,563
540,000 HSBC Bank USA NA, 5.875% due 11/01/2034..................... 546,803
145,000 Hudson United Bancorp, 8.20% due 9/15/2006.................. 154,853
350,000 PNC Bank NA, 5.25% due 1/15/2017............................ 353,068
370,000 PNC Funding Corp., 6.125% due 2/15/2009..................... 395,881
235,000 Popular North America, Inc., 3.875% due 10/01/2008.......... 234,700
Wells Fargo & Co:
475,000 5.125% due 2/15/2007...................................... 491,373
485,000 5% due 11/15/2014......................................... 490,528
520,000 Westpac Banking Corp., 4.625% due 6/01/2018................. 488,979
------------
5,985,612
- ----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & Cendant Corp:
SUPPLIES--0.2% 270,000 6.25% due 1/15/2008....................................... 288,149
730,000 7.375% due 1/15/2013...................................... 844,488
285,000 International Lease Finance Corp., 2.95% due 5/23/2006...... 282,395
------------
1,415,032
- ----------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 615,000 Harris Corp., 6.35% due 2/01/2028........................... 651,006
EQUIPMENT--0.1%
- ----------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.1% 400,000 Capital One Bank, 5.75% due 9/15/2010....................... 424,323
305,000 MBNA Corp., 4.625% due 9/15/2008............................ 309,774
------------
734,097
- ----------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--0.1% 200,000 Rock-Tenn Co., 5.625% due 3/15/2013......................... 202,666
Sealed Air Corp(e):
430,000 5.375% due 4/15/2008...................................... 446,775
295,000 6.95% due 5/15/2009....................................... 322,561
------------
972,002
- ----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 215,000 Brascan Corp., 5.75% due 3/01/2010.......................... 227,482
SERVICES--2.6%
Citigroup, Inc.,
990,000 5.625% due 8/27/2012...................................... 1,054,291
830,000 5.85% due 12/11/2034...................................... 853,790
1,005,000 Deutsche Telekom International Finance BV, 5.25% due
7/22/2013................................................. 1,033,750
Ford Motor Credit Co.:
4,500,000 3.379% due 9/28/2007(c)................................... 4,467,402
615,000 7.375% due 10/28/2009..................................... 663,381
895,000 7.375% due 2/01/2011...................................... 964,587
885,000 7% due 10/01/2013......................................... 938,217
510,000 Fund American Cos., Inc., 5.875% due 5/15/2013.............. 519,056
2,325,000 General Electric Capital Corp., 6% due 6/15/2012............ 2,534,336
General Motors Acceptance Corp:
5,000,000 3.68% due 9/23/2008(c).................................... 4,872,465
415,000 7.25% due 3/02/2011....................................... 434,489
1,300,000 7% due 2/01/2012.......................................... 1,339,445
505,000 6.875% due 8/28/2012...................................... 515,595
1,575,000 HSBC Finance Corp., 6.50% due 11/15/2008.................... 1,712,934
660,000 JPMorgan Chase & Co., 5.75% due 1/02/2013................... 699,382
OMX Timber Finance Investments LLC(e)
340,000 Series 1, 5.42% due 1/29/2020............................. 338,025
340,000 Series 2, 5.54% due 1/29/2020............................. 338,382
235,000 Principal Life Global Funding I, 3.625% due 4/30/2008(e).... 233,984
------------
23,740,993
- ----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 315,000 BellSouth Corp., 6% due 11/15/2034.......................... 319,193
TELECOMMUNICATION
SERVICES--0.7%
France Telecom SA,
1,860,000 8.50% due 3/01/2011....................................... 2,218,800
260,000 9.25% due 3/01/2031....................................... 352,454
250,000 GTE Corp., 6.84% due 4/15/2018.............................. 276,583
340,000 Royal KPN NV, 8% due 10/01/2010............................. 401,315
</Table>
22
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY@ AMOUNT CORPORATE BONDS VALUE
- ----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED
TELECOMMUNICATION
SERVICES (CONCLUDED)
US$ 185,000 SBC Communications, Inc., 6.15% due 9/15/2034............... $ 190,528
560,000 Sprint Capital Corp., 8.75% due 3/15/2032................... 746,093
515,000 TELUS Corp., 7.50% due 6/01/2007............................ 559,547
765,000 Verizon Global Funding Corp., 7.375% due 9/01/2012.......... 900,241
------------
5,964,754
- ----------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.1% 1,090,000 AEP Texas Central Co. Series D, 5.50% due 2/15/2013......... 1,132,023
650,000 Cincinnati Gas & Electric, 5.70% due 9/15/2012.............. 688,630
Dominion Resources, Inc./VA Series B:
280,000 7.625% due 7/15/2005...................................... 286,648
350,000 2.59% due 5/15/2006(c).................................... 350,737
530,000 Entergy Louisiana, Inc., 5.09% due 11/01/2014............... 528,729
135,000 Exelon Corp., 6.75% due 5/01/2011........................... 151,014
610,000 Exelon Generation Co. LLC, 5.35% due 1/15/2014.............. 625,483
825,000 FPL Group Capital, Inc., 2.85% due 3/30/2005(c)............. 825,580
1,700,000 PPL Capital Funding, 3.36% due 5/18/2006(c)................. 1,701,549
330,000 PSEG Power LLC, 6.95% due 6/01/2012......................... 371,857
600,000 Pepco Holdings, Inc., 4% due 5/15/2010...................... 589,325
405,000 Public Service Co. of New Mexico, 4.40% due 9/15/2008....... 408,386
485,000 SPI Electricity & Gas Australia Holdings Pty Ltd., 6.15% due
11/15/2013(e)............................................. 523,886
Southern California Edison Co.:
95,000 2.353% due 1/13/2006(c)................................... 95,328
555,000 8% due 2/15/2007.......................................... 604,384
Westar Energy, Inc.:
466,000 9.75% due 5/01/2007....................................... 521,551
320,000 6% due 7/01/2014.......................................... 344,017
------------
9,749,127
- ----------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 1,410,000 Celestica Inc., 3.69% due 8/01/2020 (Convertible)(h)........ 779,025
INSTRUMENTS--0.1%
375,000 Jabil Circuit, Inc., 5.875% due 7/15/2010................... 394,733
------------
1,173,758
- ----------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.1% 605,000 Cadbury Schweppes US Finance LLC, 3.875% due 10/01/2008(e).. 602,880
- ----------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT E 1,362,000 Bundesobligation Series 143, 3.50% due 10/10/2008........... 1,892,704
OBLIGATIONS--0.4%
US$ 220,000 Chile Government International Bond, 5.50% due 1/15/2013.... 231,154
Mexico Government International Bond:
650,000 9.875% due 2/01/2010...................................... 798,850
265,000 6.375% due 1/16/2013...................................... 282,225
265,000 5.875% due 1/15/2014...................................... 271,493
------------
3,476,426
- ----------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.0% 450,000 Panhandle Eastern Pipe Line Series B, 2.75% due 3/15/2007... 440,628
- ----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & 665,000 Boston Scientific Corp., 4.25% due 1/12/2011................ 660,320
SUPPLIES--0.1%
- ----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & 382,000 Manor Care, Inc., 7.50% due 6/15/2006....................... 402,589
SERVICES--0.0%
- ----------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 785,000 MGM Mirage, 6% due 10/01/2009............................... 804,625
LEISURE--0.1%
- ----------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.1% 625,000 DR Horton, Inc., 5% due 1/15/2009........................... 629,687
- ----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 30,000 General Electric Co., 5% due 2/01/2013...................... 30,779
CONGLOMERATES--0.2%
330,000 Hutchison Whampoa International 01/11 Ltd., 7% due
2/16/2011(e).............................................. 368,662
1,175,000 Tyco International Group SA, 6.75% due 2/15/2011............ 1,316,926
------------
1,716,367
- ----------------------------------------------------------------------------------------------------------------------------
INSURANCE--0.4% 505,000 AON Corp., 6.70% due 1/15/2007.............................. 527,732
315,000 Montpelier Re Holdings Ltd., 6.125% due 8/15/2013........... 323,986
590,000 NLV Financial Corp., 7.50% due 8/15/2033(e)................. 632,137
225,000 North Front Pass-Through Trust, 5.81% due
12/15/2024(c)(e).......................................... 219,569
160,000 Prudential Financial, Inc., 4.104% due 11/15/2006........... 161,752
</Table>
23
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY@ AMOUNT CORPORATE BONDS VALUE
- ----------------------------------------------------------------------------------------------------------------------------
INSURANCE (CONCLUDED)
US$ 890,000 Prudential Holdings LLC, 8.695% due 12/18/2023(e)........... $ 1,130,166
910,000 Security Benefit Life Insurance, 7.45% due 10/01/2033(e).... 951,662
------------
3,947,004
- ----------------------------------------------------------------------------------------------------------------------------
MEDIA--1.0% 35,000 COX Communications, Inc., 7.125% due 10/01/2012............. 39,230
Clear Channel Communications, Inc.:
650,000 5.75% due 1/15/2013....................................... 671,614
360,000 5.50% due 9/15/2014....................................... 361,391
600,000 Comcast Cable Communications, 6.375% due 1/30/2006.......... 619,765
953,000 Comcast Cable Communications Holdings, Inc., 8.375% due
3/15/2013................................................. 1,175,140
505,000 Comcast Corp., 5.85% due 1/15/2010.......................... 541,343
665,000 Echostar DBS Corp., 5.75% due 10/01/2008.................... 673,312
910,000 Historic TW, Inc., 9.125% due 1/15/2013..................... 1,169,840
280,000 Media General, Inc., 6.95% due 9/01/2006.................... 292,328
News America, Inc.:
150,000 7.30% due 4/30/2028....................................... 171,877
830,000 6.75% due 1/09/2038....................................... 933,348
400,000 Tele-Communications-TCI Group, 9.80% due 2/01/2012.......... 515,597
1,835,000 Time Warner, Inc., 6.875% due 5/01/2012..................... 2,089,801
------------
9,254,586
- ----------------------------------------------------------------------------------------------------------------------------
METALS & MINING--0.1% 945,000 Textron Financial Corp., 2.75% due 6/01/2006................ 933,649
- ----------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & 850,000 Pacific Gas & Electric Co., 6.05% due 3/01/2034............. 882,824
UNREGULATED
POWER--0.2% 330,000 Sempra Energy, 4.75% due 5/15/2009.......................... 336,397
375,000 Southern Power Co. Series B, 6.25% due 7/15/2012............ 409,825
465,000 Vectren Utility Holdings, Inc., 5.25% due 8/01/2013......... 468,919
------------
2,097,965
- ----------------------------------------------------------------------------------------------------------------------------
OIL & GAS--1.2% 315,000 Amerada Hess Corp., 7.125% due 3/15/2033.................... 346,362
202,000 Anadarko Finance Co. Series B, 6.75% due 5/01/2011.......... 227,496
295,000 Colonial Pipeline Co., 7.63% due 4/15/2032(e)............... 379,985
320,000 Consolidated Natural Gas Co., 5% due 12/01/2014............. 320,307
1,325,000 Enterprise Products Operating LP, 5.60% due 10/15/2014(e)... 1,336,753
680,000 Gazprom International SA, 7.201% due 2/01/2020(e)........... 719,100
464,000 Kern River Funding Corp., 4.893% due 4/30/2018(e)........... 472,375
540,000 Kinder Morgan Energy Partners LP, 5.125% due 11/15/2014..... 538,926
215,000 Motiva Enterprises LLC, 5.20% due 9/15/2012(e).............. 221,415
710,000 Occidental Petroleum Corp., 6.75% due 1/15/2012............. 805,971
Pemex Project Funding Master Trust(c)(e)
530,000 3.54% due 1/07/2005....................................... 530,000
1,750,000 3.79% due 6/15/2010....................................... 1,795,500
1,010,000 Tengizchevroil Finance Co. SARL, 6.124% due 11/15/2014(e)... 1,012,525
800,000 Texas Gas Transmission Corp., 4.60% due 6/01/2015........... 763,626
765,000 Ultramar Diamond Shamrock Corp., 6.75% due 10/15/2037....... 877,830
620,000 XTO Energy, Inc., 7.50% due 4/15/2012....................... 725,528
------------
11,073,699
- ----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 65,000 Abitibi-Consolidated, Inc., 8.55% due 8/01/2010............. 70,444
PRODUCTS--0.2%
560,000 Celulosa Arauco y Constitucion SA, 8.625% due 8/15/2010..... 667,050
510,000 Champion International Corp., 6.65% due 12/15/2037.......... 578,577
290,000 Inversiones CMPC SA, 4.875% due 6/18/2013(e)................ 283,282
300,000 Sappi Papier Holding AG, 6.75% due 6/15/2012(e)............. 333,333
------------
1,932,686
- ----------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.1% 10,000 Eli Lilly & Co., 7.125% due 6/01/2025....................... 12,086
920,000 Wyeth, 5.50% due 3/15/2013.................................. 956,177
------------
968,263
- ----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.4% 195,000 Colonial Realty LP, 4.80% due 4/01/2011..................... 191,727
170,000 Developers Diversified Realty Corp., 6.625% due 1/15/2008... 181,152
395,000 HRPT Properties Trust, 5.75% due 2/15/2014.................. 405,676
285,000 Health Care REIT, Inc., 6% due 11/15/2013................... 294,966
415,000 Highwoods Properties, Inc., 7% due 12/01/2006............... 434,337
</Table>
24
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY@ AMOUNT CORPORATE BONDS VALUE
- ----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE US$ 1,010,000 iStar Financial, Inc. Series B, 5.125% due 4/01/2011........ $ 1,020,773
(CONCLUDED)
990,000 Westfield Capital Corp. Ltd./WT Finance Aust Pty Ltd./WEA
Finance LLC, 5.125% due 11/15/2014(e)..................... 985,243
------------
3,513,874
- ----------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.0% 140,000 Norfolk Southern Corp., 7.25% due 2/15/2031................. 167,954
Union Pacific Corp.:
230,000 7.25% due 11/01/2008...................................... 256,579
230,000 5.375% due 5/01/2014...................................... 238,253
------------
662,786
- ----------------------------------------------------------------------------------------------------------------------------
SOFTWARE--0.1% 760,000 Computer Associates International, Inc., 5.625% due
12/01/2014(e)............................................. 768,258
- ----------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 455,000 Countrywide Home Loans, Inc., 5.625% due 7/15/2009.......... 481,991
FINANCE--0.2%
790,000 Sovereign Bank, 5.125% due 3/15/2013........................ 790,882
475,000 Washington Mutual, Inc., 4.20% due 1/15/2010................ 472,891
------------
1,745,764
- ----------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION 110,000 AT&T Wireless Services, Inc., 8.75% due 3/01/2031........... 148,314
SERVICES--0.0%
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CORPORATE BONDS
(COST--$109,676,921)--12.3% 112,120,159
- ----------------------------------------------------------------------------------------------------------------------------
<Caption>
COLLATERALIZED MORTGAGE OBLIGATIONS++
- ----------------------------------------------------------------------------------------------------------------------------
2,050,000 Argent Securities, Inc. Series 2004-W11 Class A3, 2.78% due
11/25/2034(c)............................................. 2,050,036
1,860,000 Bear Stearns Adjustable Rate Mortgage Trust Series 2004-4
Class A4, 3.516% due 6/25/2034(c)......................... 1,807,247
1,135,095 CIT Group Home Equity Loan Trust Series 2003-1 Class A2,
2.35% due 4/20/2027....................................... 1,132,240
Countrywide Asset-Backed Certificates Series 2004-13(c)
750,000 Class AF4, 4.583% due 12/25/2034.......................... 749,925
750,000 Class MF1, 5.071% due 12/25/2034.......................... 749,925
Fannie Mae Guaranteed Pass-Through Certificates:
1,328,000 4.50% due 1/15/2035....................................... 1,283,180
1,325,829 5% due 12/01/2019-1/15/2020............................... 1,347,574
3,000,000 5% due 1/15/2035.......................................... 2,975,625
6,041,000 5.50% due 1/15/2035....................................... 6,131,615
1,200,000 6% due 1/15/2035.......................................... 1,240,500
3,015,330 6.50% due 12/01/2031-7/01/2034............................ 3,164,470
2,220,000 7.125% due 1/15/2030...................................... 2,792,465
1,192,015 7.50% due 9/01/2029-12/01/2031............................ 1,277,433
598,402 Fannie Mae Trust Series 2003-W19 Class 1A1, 2.01% due
11/25/2033................................................ 597,022
Freddie Mac Mortgage Participation Certificates:
4,349,620 5% due 5/01/2019-6/01/2019................................ 4,419,343
3,693,330 5% due 1/15/2035.......................................... 3,666,782
2,507,653 5.50% due 12/01/2017-1/01/2018............................ 2,593,243
7,824,300 5.50% due 9/01/2034-1/15/2035............................. 7,947,439
434,663 6% due 12/01/2017......................................... 455,293
6,702,174 6% due 1/01/2034-5/01/2034................................ 6,926,819
1,020,352 6.50% due 8/01/2016-8/01/2017............................. 1,080,491
3,034,226 7% due 7/01/2031-7/01/2032................................ 3,216,042
First Franklin Mtg. Loan Asset-Backed Certificates(c):
1,192,429 Series 2003-FF5 Class A2, 2.82% due 3/25/2034............. 1,187,426
6,400,000 Series 2004-FF10 Class A2, 2.818% due 11/25/2034.......... 6,400,111
5,500,000 GMAC Commercial Mortgage Securities, Inc. Series 2004-C3
Class AAB, 4.702% due 12/10/2041(c)....................... 5,517,065
675,729 Ginnie Mae MBS Certificates: 7.50% due
6/15/2005-12/15/2026...................................... 726,129
1,500,000 Ginnie Mae Trust Series 2004-6 Class C, 4.66% due
7/16/2033................................................. 1,509,860
1,350,000 Greenwich Capital Commercial Funding Corp. Series 2004-GG1
Class A4, 4.755% due 6/10/2036............................ 1,380,035
3,000,000 MBNA Credit Card Master Note Trust Series 2001-C3 Class C3,
6.55% due 12/15/2008...................................... 3,130,309
</Table>
25
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT COLLATERALIZED MORTGAGE OBLIGATIONS++ VALUE
- ----------------------------------------------------------------------------------------------------------------------------
US$ 1,726,663 Master Asset Securitization Trust Series 2003-10 Class 3A1,
5.50% due 11/25/2033...................................... $ 1,742,765
2,000,989 Morgan Stanley ABS Capital Series 2004-WMC1 Class A3, 2.67%
due 6/25/2034(c).......................................... 2,001,257
862,551 Nationslink Funding Corp Series 1999-2 Class A3, 7.181% due
6/20/2031................................................. 899,890
4,243,896 New Century Home Equity Loan Trust Series 2004-3 Class A3,
2.81% due 11/25/2034(c)................................... 4,242,929
550,000 Structured Asset Investment Loan Trust 2004-8 Class M4,
3.418% due 9/25/2034(c)................................... 551,554
6,400,000 Wells Fargo Home Equity Trust Series 2004-2 Class A32,
2.758% due 2/25/2032(c)................................... 6,400,112
350,000 Whole Auto Loan Trust 2004-1 Class D, 5.60% due 3/15/2011... 355,664
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST--$93,408,622)--10.2% 93,649,815
- ----------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS
- ----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
1,270,000 7.50% due 11/15/2016...................................... 1,622,971
780,000 8.125% due 8/15/2019...................................... 1,064,639
2,710,000 7.25% due 8/15/2022....................................... 3,492,618
560,000 6.25% due 8/15/2023....................................... 655,615
560,000 6.625% due 2/15/2027...................................... 690,265
United States Treasury Inflation Indexed Bonds:
1,524,617 3.875% due 1/15/2009...................................... 1,708,822
1,324,705 3.50% due 1/15/2011....................................... 1,504,540
U.S. Treasury Notes:
7,060,000 7% due 7/15/2006(f)....................................... 7,485,252
780,000 6.50% due 2/15/2010....................................... 883,075
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST--$18,591,944)--2.1% 19,107,797
- ----------------------------------------------------------------------------------------------------------------------------
STATE MUNICIPAL BONDS
- ----------------------------------------------------------------------------------------------------------------------------
TEXAS--0.0% 235,000 Harris County, Texas, Industrial Development Corporation,
Solid Waste Disposal Revenue Bonds (Deer Park Refining
LP), 5.683% due 3/01/2023(c).............................. 237,960
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MUNICIPAL BONDS
(COST--$235,000)--0.0% 237,960
- ----------------------------------------------------------------------------------------------------------------------------
BENEFICIAL
INTEREST SHORT-TERM SECURITIES
- ----------------------------------------------------------------------------------------------------------------------------
US$101,116,127 Merrill Lynch Liquidity Series, LLC Cash Sweep Series
I(b)...................................................... 101,116,127
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM SECURITIES
(COST--$101,116,127)--11.1% 101,116,127
- ----------------------------------------------------------------------------------------------------------------------------
NUMBER OF
CONTRACTS OPTIONS PURCHASED
- ----------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED--0.0% 2+++ London InterBank Offered Rate (LIBOR) Linked Floor, expiring
April 2005 at 1.5%, Broker JP Morgan Chase Bank........... 240
- ----------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS PURCHASED--0.0% 27+++ Swaption, expiring October 2005 at 5.34%, Broker JP Morgan
Chase Bank(d)............................................. 375,770
----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN OPTIONS PURCHASED
(PREMIUMS PAID--$507,300)--0.0% 376,010
----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$862,878,618)--102.2% 934,230,552
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
26
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF
CONTRACTS OPTIONS WRITTEN VALUE
- ----------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS WRITTEN--(0.1%) 24+++ Swaption, expiring October 2005 at 4.84%, Broker JPMorgan
Chase Bank(d)............................................. $ (712,363)
----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN OPTIONS WRITTEN
(PREMIUMS RECEIVED--$810,429)--(0.1%) (712,363)
----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN
(COST--$862,068,189*)--102.1%............................... 933,518,189
LIABILITIES IN EXCESS OF OTHER ASSETS--(2.1%)............... (19,588,402)
------------
NET ASSETS--100.0%.......................................... $913,929,787
============
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
* The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as
follows:
<Table>
Aggregate cost, net of options written...................... $869,177,768
============
Gross unrealized appreciation............................... $102,413,262
Gross unrealized depreciation............................... (38,072,841)
------------
Net unrealized appreciation................................. $ 64,340,421
============
</Table>
+ Non-income producing.
++ 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.
@ For Portfolio compliance purposes, "Industry" 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) Depositary Receipts.
(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) were as follows:
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------
NET INTEREST/DIVIDEND
AFFILIATE ACTIVITY INCOME
- -----------------------------------------------------------------------------------------------
Merrill Lynch Series, LLC Cash Sweep Series I............... $(49,050,034) $1,624,834
Merrill Lynch Series, LLC Money Market Series............... $(35,213,775) $ 9,051
Merrill Lynch Series, LLC Premier Institutional Fund........ (19,971,675) $ 3,930
- -----------------------------------------------------------------------------------------------
</Table>
(c) Floating rate note.
(d) This European-style swaption, which can be exercised only on the expiration
date, represents a standby commitment whereby the writer of the option is
obligated to enter into a predetermined interest rate swap contract upon
exercise of swaption.
(e) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(f) All or a portion of security held as collateral in connection with open
financial futures contracts.
(g) This security is a perpetual bond and has no definite maturity date.
(h) Represents a zero coupon; the interest rate shown reflects the effective
yield at the time of purchase by the Portfolio.
Financial futures contracts purchased as of December 31, 2004 were as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------
NUMBER OF EXPIRATION FACE UNREALIZED APPRECIATION/
CONTRACTS ISSUE DATE VALUE DEPRECIATION
- ------------------------------------------------------------------------------------------
13 Two-Year U.S. Treasury Note March 2005 $2,719,474 $ 5,245
8 Five-Year U.S. Treasury Note March 2005 $ 871,154 5,095
19 Ten-Year U.S. Treasury Note March 2005 $2,132,126 (5,313)
- ------------------------------------------------------------------------------------------
TOTAL UNREALIZED APPRECIATION--NET............................. $ 5,027
=======
- ------------------------------------------------------------------------------------------
</Table>
27
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
Swaps contracts outstanding as of December 31, 2004 were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED APPRECIATION/
AMOUNT DEPRECIATION
- ----------------------------------------------------------------------------------------------------
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .105%
Broker, UBS Warburg
Expires January 2005 $10,000,000 $ --
Receive (pay) a variable return based on the change in the
Lehman Brothers U.S. Treasury Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .20%
Broker, Lehman Brothers Special Finance
Expires March 2005 $12,300,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .105%
Broker, UBS Warburg
Expires February 2005 $10,400,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .125%
Broker, Lehman Brothers Special Finance
Expires February 2005 $ 9,100,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .125%
Broker, Lehman Brothers Special Finance
Expires February 2005 $ 2,850,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .125%
Broker, Lehman Brothers Special Finance
Expires March 2005 $ 8,900,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .12%
Broker, UBS Warburg
Expires April 2005 $ 2,600,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .10%
Broker, UBS Warburg
Expires June 2005 $10,700,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers U.S. Treasury Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .15%
Broker, Lehman Brothers Special Finance
Expires November 2005 $15,100,000 --
Bought credit default protection on Aon Corp. Inc and pay
..37%
Broker, Morgan Stanley Capital Services, Inc.
Expires January 2007 $ 560,000 1,663
Receive a floating rate based on 3-month USD LIBOR, and pay
a fixed rate of 2.8025%
Broker, JPMorgan Chase Bank
Expires January 2007 $ 560,000 6,916
Pay 3.875% on Treasury Inflation Protected Securities (TIPS)
adjusted principal and receive a fixed rate of 3.401%
Broker, JPMorgan Chase Bank
Expires January 2009 $ 1,694,000 (37,389)
</Table>
28
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION/
AMOUNT DEPRECIATION
- ----------------------------------------------------------------------------------------------------
Sold credit default protection on Raytheon Co. and receive
..73%
Broker, JPMorgan Chase Bank
Expires March 2009 $ 325,000 $ (5,024)
Bought credit default protection on Boeing Capital Corp. and
pay .48%
Broker, JPMorgan Chase Bank
Expires March 2009 $ 325,000 (4,254)
Sold credit default protection on JC Penney Company and
receive 1.27%
Broker, JPMorgan Chase Bank
Expires September 2009 $ 670,000 13,654
Bought credit default protection on The May Department
Stores Co. and pay .68%
Broker, JPMorgan Chase Bank
Expires September 2009 $ 670,000 (5,333)
Sold credit default protection on Nextel Communications Inc.
and receive 1.72%
Broker, JPMorgan Chase Bank
Expires September 2009 $ 670,000 33,988
Sold credit default protection on Dow Jones CDX North
America Investment Grade Index Series 2 and receive .60%
Broker, JPMorgan Chase Bank
Expires September 2009 $ 1,365,000 9,693
Sold credit default protection on Dow Jones CDX North
America Investment Grade Index Series 2 and receive .60%
Broker, JPMorgan Chase Bank
Expires September 2009 $ 2,000,000 18,492
Sold credit default protection on Dow Jones CDX North
America Investment Grade Index Series 2 and receive .60%
Broker, UBS Warburg
Expires September 2009 $ 2,000,000 18,724
Sold credit default protection on Dow Jones CDX North
America Investment Grade Series 2 Index and receive 1.15%
Broker, Morgan Stanley Capital Services, Inc.
Expires September 2009 $ 1,650,000 23,192
Sold credit default protection on Dow Jones CDX North
America Investment Grade High Volatility Index Series 2 and
receive .60%
Broker, Morgan Stanley Capital Services, Inc.
Expires September 2009 $ 2,725,000 14,260
Bought credit default protection on Hewlett-Packard Co. and
pay .31%
Broker, Lehman Brothers Special Finance
Expires December 2009 $ 700,000 4,456
Bought credit default protection on Petroleos Mexicanos SA
and pay 1.09%
Broker, Lehman Brothers Special Finance
Expires December 2009 $ 1,420,000 8,760
Sold credit default protection on Computer Associates
International Inc. and receive .83%
Broker, Lehman Brothers Special Finance
Expires December 2009 $ 700,000 8,144
</Table>
29
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NOTIONAL UNREALIZED APPRECIATION/
AMOUNT DEPRECIATION
- ----------------------------------------------------------------------------------------------------
Sold credit default protection on Mexico Government
International Bond and receive .92%
Broker, Lehman Brothers Special Finance
Expires December 2009 $ 1,420,000 $ 8,186
Sold credit default protection on Dow Jones CDX North
America Investment Grade High Volatility Index and receive
1.05%
Broker, HSBC Bank USA
Expires March 2010 $ 2,090,000 10,901
Sold credit default protection on Dow Jones CDX North
America Investment Grade Index Series 3 and receive .50%
Broker, Morgan Stanley Capital Services, Inc.
Expires March 2010 $ 3,485,000 10,573
Receive a floating rate based on 3-month USD LIBOR, plus
..40%, which is capped at a fixed coupon of 7% and pay a
floating rate based on 3-month USD LIBOR
Broker, JPMorgan Chase Bank
Expires August 2010 $ 6,800,000 3,244
Receive a floating rate based on 3-month USD LIBOR, plus
..50%, which is capped at a fixed coupon of 6% until
11/18/2007 and 6.5% through expiration and pay a floating
rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Finance
Expires November 2010 $14,500,000 1,345
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 (46,794)
Sold credit default protection on Dana Corporation and
receive 1.55%
Broker, UBS Warburg
Expires September 2011 $ 345,000 4,974
Sold credit default protection on Dana Corporation and
receive 1.56%
Broker, UBS Warburg
Expires September 2011 $ 680,000 10,184
Pay a fixed rate of 4.84% and receive a floating rate based
on 3-month USD LIBOR
Broker, JPMorgan Chase Bank
Expires November 2015 $ 3,346,000 24,300
- ----------------------------------------------------------------------------------------------------
TOTAL $136,855
========
- ----------------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Capital Strategy Portfolio
Portfolio Information as of December 31, 2004 (unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
TOTAL
ASSET MIX INVESTMENTS
- ---------------------------------------------------------------------------------
Common Stock................................................ 64.6%
Corporate Bonds............................................. 12.0
Collateralized Mortgage Obligations......................... 10.0
U.S. Government Obligations................................. 2.1
Preferred Securities........................................ 0.5
Municipal Bonds............................................. --*
Other**..................................................... 10.8
- ---------------------------------------------------------------------------------
</Table>
* Amount is less than 0.1%.
** Includes portfolio holdings in short-term investments and options.
30
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT ASSET-BACKED SECURITIES+ VALUE
- ------------------------------------------------------------------------------------------------------------------------------
US$ 613,351 ACE Securities Corp. Series 2003-OP1 Class A2, 2.778% due
12/25/2033(b)............................................. $ 614,392
822,787 Aegis Asset-Backed Securities Trust Series 2004-1 Class A,
2.768% due 4/25/2034(b)................................... 821,807
775,000 Bear Stearns Adjustable Rate Mortgage Trust Series 2004-4
Class A4, 3.516% due 6/25/2034(b)......................... 753,020
815,041 CIT Equipment Collateral Series 2003-VT1 Class A3A, 2.54%
due 4/20/2007(b).......................................... 815,736
567,547 CIT Group Home Equity Loan Trust Series 2003-1 Class A2,
2.35% due 4/20/2027....................................... 566,120
California Infrastructure, Series 1997-1:
271,536 PG&E-1, Class A7, 6.42% due 9/25/2008..................... 279,717
171,877 SCE-1, Class A6, 6.38% due 9/25/2008...................... 177,204
204,231 Capital Auto Receivables Asset Trust Series 2003-2 Class B,
2.683% due 1/15/2009(b)................................... 204,618
1,250,000 Capital One Master Trust Series 2000-4 Class C, 3.203% due
8/15/2008(a)(b)........................................... 1,250,000
436,986 Centex Home Equity Series 2003-B Class AV, 2.698% due
6/25/2033(b).............................................. 437,422
Chase Credit Card Master Trust, Class C(b):
800,000 Series 2000-3, 3.103% due 1/15/2008....................... 803,313
1,400,000 Series 2003-1, 3.503% due 4/15/2008....................... 1,410,967
Countrywide Asset-Backed Certificates(b):
500,000 Series 2003-2 Class M1, 3.118% due 6/26/2033.............. 502,772
769,474 Series 2003-BC3 Class A2, 2.728% due 9/25/2033............ 770,136
400,000 Series 2004-5 Class M2, 3.088% due 7/25/2034.............. 400,007
550,000 Series 2004-13 Class AF4, 4.583% due 12/25/2034........... 549,945
550,000 Series 2004-13 Class MF1, 5.071% due 12/25/2034........... 549,945
First Franklin Mtg. Loan Asset Backed Certificates, Class
A2(b):
526,071 Series 2003-FF5, 2.82% due 3/25/2034...................... 523,864
1,150,000 Series 2004-FF10, 2.818% due 11/25/2034................... 1,150,020
187,794 HFC Home Equity Loan Asset-Backed Certificates Series 2002-2
Class A, 2.71% due 4/20/2032(b)........................... 187,840
376,743 Household Automotive Trust Series 2002-3 Class A3A, 2.75%
due 6/18/2007............................................. 376,654
Long Beach Mortgage Loan Trust(b):
272,417 Series 2002-4 Class 2A, 2.878% due 11/26/2032............. 273,256
903,048 Series 2004-1 Class A3, 2.718% due 2/25/2034.............. 903,184
Morgan Stanley ABS Capital(b):
300,000 Series 2003-NC5 Class M2, 4.418% due 4/25/2033............ 305,542
983,103 Series 2004-NC1 Class A2, 2.788% due 12/27/2033........... 985,583
801,334 Series 2004-NC2 Class A2, 2.718% due 12/25/2033........... 800,778
857,567 Series 2004-WMC1 Class A3, 2.67% due 6/25/2034............ 857,682
New Century Home Equity Loan Trust Class A3(b):
1,277,068 Series 2004-2, 2.668% due 4/25/2034....................... 1,277,092
1,446,783 Series 2004-3, 2.81% due 11/25/2034....................... 1,446,453
Option One Mortgage Loan Trust(b):
87,015 Series 2002-4 Class A, 2.678% due 7/25/2032............... 87,081
667,133 Series 2003-4 Class A2, 2.738% due 7/25/2033.............. 668,149
952,322 Residential Asset Securities Corp. Series 2003-KS5 Class
AIIB, 2.708% due 7/25/2033(b)............................. 952,329
388,755 Saxon Asset Securities Trust Series 2002-3 Class AV, 2.818%
due 12/25/2032(b)......................................... 389,308
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(COST--$22,087,757)--16.3% 22,091,936
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
GOVERNMENT & AGENCY OBLIGATIONS
- ------------------------------------------------------------------------------------------------------------------------------
1,070,000 Fannie Mae, 7.125% due 1/15/2030............................ 1,345,918
U.S. Treasury Bonds:
550,000 7.50% due 11/15/2016(c)................................... 702,862
330,000 8.125% due 8/15/2019...................................... 450,424
1,170,000 7.25% due 8/15/2022....................................... 1,507,883
240,000 6.25% due 8/15/2023....................................... 280,978
240,000 6.625% due 2/15/2027...................................... 295,828
</Table>
31
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT GOVERNMENT & AGENCY OBLIGATIONS (CONCLUDED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes:
US$ 3,040,000 7% due 7/15/2006.......................................... $ 3,223,111
340,000 6.50% due 2/15/2010....................................... 384,930
United States Treasury Inflation Indexed Bonds:
791,404 3.875% due 1/15/2009...................................... 887,022
685,413 3.50% due 1/15/2011....................................... 778,425
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL GOVERNMENT & AGENCY OBLIGATIONS
(COST--$9,571,270)--7.3% 9,857,381
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS+
- ------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Guaranteed Pass-Through Certificates:
598,000 4.50% due 1/15/2035....................................... 577,818
1,878,423 5% due 1/15/2020.......................................... 1,907,773
1,000,000 5% due 1/15/2035.......................................... 991,875
2,288,000 5.50% due 1/15/2035....................................... 2,322,320
384,538 6% due 2/01/2017.......................................... 403,199
400,000 6% due 1/15/2035.......................................... 413,500
1,513,945 6.50% due 8/01/2032-3/01/2033............................. 1,589,066
91,619 7% due 2/01/2016.......................................... 97,138
813,655 7% due 2/01/2031-8/01/2032................................ 862,673
481,269 7.50% due 4/01/2029-5/01/2033............................. 515,683
254,451 8% due 9/01/2030-11/01/2032............................... 275,903
264,678 Fannie Mae Trust Series 2003-W19 Class 1A1
2.01% due 11/25/2033...................................... 264,067
Freddie Mac Mortgage Participation Certificates:
310,057 5% due 11/01/2019......................................... 315,027
1,698,691 5% due 1/15/2035.......................................... 1,686,481
956,930 5.50% due 11/01/2017-3/01/2018............................ 989,407
3,414,077 5.50% due 9/01/2034-1/15/2035............................. 3,467,798
105,820 6% due 4/01/2017.......................................... 110,843
2,925,729 6% due 11/01/2033-4/01/2034............................... 3,023,688
327,705 6.50% due 5/01/2016-6/01/2016............................. 347,021
436,620 7% due 1/01/2032-9/01/2032................................ 462,782
134,566 Ginnie Mae MBS Certificates
6.50% due 10/15/2031...................................... 141,781
1,000,000 Ginnie Mae Trust Series 2004-6 Class C
4.66% due 7/16/2033....................................... 1,006,573
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS
(COST--$21,653,539)--16.1% 21,772,416
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
NON-GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES+
- ------------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE 350,000 Ameriquest Mortgage Securities, Inc. Series 2004-R1 Class
OBLIGATIONS--5.6% M2, 2.998% due 2/25/2034(b)............................... 350,513
950,000 Argent Securities, Inc. Series 2004-W11 Class A3, 2.78% due
11/25/2034(b)............................................. 950,017
340,750 Countrywide Home Loan Mortgage Pass-Through Trust Series
2003-R4 Class 1A1A, 2.216% due 7/25/2019.................. 339,985
22,963 Deutsche Mortgage Securities, Inc. Series 2003-1 Class 1A1,
4.50% due 4/25/2033....................................... 22,926
650,000 GE Dealer Floorplan Master Note Trust Series 2004-2 Class B,
2.70% due 7/20/2009(b).................................... 651,598
500,000 Impac Secured Assets CMN Owner Trust Series 2004-3 Class M1,
3.018% due 12/25/2034(b).................................. 501,224
863,332 Mastr Asset Securitization Trust Series 2003-10 Class 3A1,
5.50% due 11/25/2033...................................... 871,382
1,400,000 RMAC Series 2003-NS2A Class A2C, 2.87% due 9/12/2035(b)..... 1,403,938
250,000 Structured Asset Investment Loan Trust 2004-8 Class M4,
3.418% due 9/25/2034(b)................................... 250,706
386,197 Structured Asset Securities Corp. Series 2002-9 Class A2,
2.718% due 10/25/2027(b).................................. 386,240
187,553 Washington Mutual Series 2002-AR4 Class A7, 5.502% due
4/26/2032(b).............................................. 187,452
1,500,000 Wells Fargo Home Equity Trust Series 2004-2 Class A32,
2.758% due 2/25/2032(b)................................... 1,500,026
150,000 Whole Auto Loan Trust 2004-1 Class D, 5.60% due 3/15/2011... 152,427
------------
7,568,434
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
32
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE NON-GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES+
AMOUNT (CONCLUDED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL MORTGAGE-BACKED US$ 1,000,000 Banc of America Large Loan Series 2003-BBA2 Class A3, 2.723%
SECURITIES--5.3% due 11/15/2015(b)......................................... $ 1,001,824
Commercial Mortgage Pass-Through Certificates(b):
850,000 Series 2003-FL8 Class A2, 2.603% due 7/15/2015(a)......... 850,924
1,400,000 Series 2003-FL9 Class A3, 2.723% due 11/15/2015........... 1,402,614
Greenwich Capital Commercial Funding Corp.:
841,212 Series 2003-FL1 Class A, 2.72% due 7/05/2018(b)........... 841,573
900,000 Series 2004-GG1 Class A4, 4.755% due 6/10/2036............ 920,023
560,658 Nationslink Funding Corp Series 1999-2 Class A3, 7.181% due
6/20/2031................................................. 584,929
1,600,000 Wachovia Bank Commercial Mortgage Trust Series 2003-WHL2
Class A3, 2.723% due 6/15/2013(b)......................... 1,601,148
------------
7,203,035
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL NON-GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(COST--$14,764,962)--10.9% 14,771,469
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
INDUSTRY++ CORPORATE BONDS
- ------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & 400,000 Goodrich Corp., 6.60% due 5/15/2009......................... 437,345
DEFENSE--0.7% 370,000 Raytheon Co., 8.30% due 3/01/2010........................... 438,447
------------
875,792
- ------------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.4% 142,683 American Airlines, Inc. Series 2003-1, 3.857% due
1/09/2012................................................. 140,618
140,000 Continental Airlines, Inc. Series 2002-1, 6.563% due
8/15/2013................................................. 148,841
Southwest Airlines Co.:
30,000 8% due 3/01/2005.......................................... 30,204
190,000 7.875% due 9/01/2007...................................... 207,990
------------
527,653
- ------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.2% 310,000 Dana Corp., 5.85% due 1/15/2015(a).......................... 306,900
- ------------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--1.5% DaimlerChrysler NA Holding Corp.:
1,500,000 2.96% due 5/24/2006(b).................................... 1,507,369
180,000 4.75% due 1/15/2008....................................... 183,843
200,000 7.75% due 1/18/2011....................................... 230,622
155,000 Hyundai Motor Manufacturing Alabama LLC, 5.30% due
12/19/2008(a)............................................. 159,687
------------
2,081,521
- ------------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.3% 315,000 Cia Brasileira de Bebidas, 8.75% due 9/15/2013.............. 366,975
- ------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--1.0% 650,000 Abgenix, Inc., 3.50% due 3/15/2007.......................... 645,938
645,000 Amgen, Inc., 4% due 11/18/2009(a)........................... 642,999
------------
1,288,937
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--1.7% The Bear Stearns Cos., Inc.:
275,000 2.43% due 1/30/2009(b).................................... 275,628
85,000 5.70% due 11/15/2014...................................... 89,777
220,000 Corp Andina de Fomento, 6.875% due 3/15/2012................ 247,233
320,000 Credit Suisse First Boston USA, Inc., 4.70% due 6/01/2009... 327,426
Goldman Sachs Group, Inc.:
575,000 5.70% due 9/01/2012....................................... 609,511
300,000 5.25% due 10/15/2013...................................... 306,930
345,000 Lehman Brothers Holdings, Inc., 3.50% due 8/07/2008......... 340,915
60,000 Mellon Funding Corp., 6.40% due 5/14/2011................... 66,577
------------
2,263,997
- ------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--0.4% 370,000 IMC Global, Inc., 10.875% due 8/01/2013..................... 462,500
95,000 Yara International ASA, 5.25% due 12/15/2014(a)............. 95,604
------------
558,104
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--2.2% 95,000 Bank One Corp., 8% due 4/29/2027............................ 120,820
400,000 Bank of America Corp., 4.875% due 9/15/2012................. 408,503
290,000 Barclays Bank Plc, 8.55%(a)(e).............................. 353,128
160,000 FirstBank Puerto Rico, 7.625% due 12/20/2005................ 163,444
FleetBoston Financial Corp.:
65,000 3.85% due 2/15/2008....................................... 65,301
75,000 6.375% due 5/15/2008...................................... 80,961
</Table>
33
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY++ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS (CONCLUDED)
HSBC Finance Corp.:
US$ 200,000 6.50% due 11/15/2008...................................... $ 217,515
180,000 5.875% due 2/01/2009...................................... 192,346
105,000 Hudson United Bancorp, 8.20% due 9/15/2006.................. 112,135
PNC Funding Corp.:
185,000 6.125% due 2/15/2009...................................... 197,940
100,000 5.25% due 11/15/2015...................................... 101,316
110,000 Popular North America, Inc., 3.875% due 10/01/2008.......... 109,860
350,000 Sovereign Bank, 5.125% due 3/15/2013........................ 350,391
145,000 US Bancorp, 2.65% due 9/16/2005(b).......................... 145,130
Wells Fargo & Co.:
115,000 5.125% due 2/15/2007...................................... 118,964
210,000 5% due 11/15/2014......................................... 212,394
------------
2,950,148
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & 205,000 Aramark Services, Inc., 6.375% due 2/15/2008................ 219,322
SUPPLIES--0.6% Cendant Corp.:
110,000 6.25% due 1/15/2008....................................... 117,394
330,000 7.375% due 1/15/2013...................................... 381,755
155,000 International Lease Finance Corp., 2.95% due 5/23/2006...... 153,583
------------
872,054
- ------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 230,000 Harris Corp., 6.35% due 2/01/2028........................... 243,466
EQUIPMENT--0.2%
- ------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.6% 210,000 Capital One Bank, 5.75% due 9/15/2010....................... 222,769
MBNA Corp.:
277,000 6.25% due 1/17/2007....................................... 291,469
100,000 5.625% due 11/30/2007..................................... 104,826
135,000 4.625% due 9/15/2008...................................... 137,113
------------
756,177
- ------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & 155,000 Rock-Tenn Co., 5.625% due 3/15/2013......................... 157,066
PACKAGING--0.4% Sealed Air Corp.(a):
125,000 5.375% due 4/15/2008...................................... 129,876
230,000 6.95% due 5/15/2009....................................... 251,488
------------
538,430
- ------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 250,000 American Honda Finance Corp., 2.83% due 10/03/2005(a)(b).... 250,606
SERVICES--6.3% 155,000 Brascan Corp., 5.75% due 3/01/2010.......................... 163,999
Citigroup, Inc.:
430,000 5.625% due 8/27/2012...................................... 457,924
425,000 5.85% due 12/11/2034...................................... 437,182
Ford Motor Credit Co.:
1,150,000 3.379% due 9/28/2007(b)................................... 1,141,669
225,000 7.375% due 10/28/2009..................................... 242,700
385,000 7.375% due 2/01/2011...................................... 414,934
420,000 7% due 10/01/2013......................................... 445,255
General Motors Acceptance Corp.:
1,800,000 3.68% due 9/23/2008(b).................................... 1,754,087
185,000 7.25% due 3/02/2011....................................... 193,688
730,000 7% due 2/01/2012.......................................... 752,150
140,000 6.875% due 8/28/2012...................................... 142,937
290,000 JPMorgan Chase & Co., 5.75% due 1/02/2013................... 307,304
OMX Timber Finance Investments LLC(a)(b):
150,000 Series 1, 5.42% due 1/29/2020............................. 149,129
150,000 Series 2, 5.54% due 1/29/2020............................. 149,286
Sigma Finance Corp.(b):
1,000,000 4.83% due 8/15/2011....................................... 1,000,000
500,000 4.38% due 3/31/2014(a).................................... 503,108
------------
8,505,958
- ------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 140,000 BellSouth Corp., 6% due 11/15/2034.......................... 141,864
TELECOMMUNICATION 477,000 Deutsche Telekom International Finance BV, 5.25% due
SERVICES--1.9% 7/22/2013................................................. 490,646
France Telecom SA:
465,000 8.50% due 3/01/2011....................................... 554,700
100,000 9.25% due 3/01/2031....................................... 135,559
</Table>
34
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY++ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED
TELECOMMUNICATION SERVICES
(CONCLUDED)
US$ 270,000 GTE Corp., 6.84% due 4/15/2018.............................. $ 298,710
200,000 Royal KPN NV, 8% due 10/01/2010............................. 236,068
90,000 SBC Communications, Inc., 6.15% due 9/15/2034............... 92,689
250,000 Sprint Capital Corp., 8.75% due 3/15/2032................... 333,077
235,000 TELUS Corp., 7.50% due 6/01/2007............................ 255,328
75,000 Verizon Global Funding Corp., 7.375% due 9/01/2012.......... 88,259
------------
2,626,900
- ------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--3.4% 490,000 AEP Texas Central Co. Series D, 5.50% due 2/15/2013(a)...... 508,891
220,000 Cincinnati Gas & Electric, 5.70% due 9/15/2012.............. 233,075
240,000 Entergy Louisiana, Inc., 5.09% due 11/01/2014............... 239,424
305,000 Exelon Generation Co. LLC, 5.35% due 1/15/2014.............. 312,741
380,000 FPL Group Capital, Inc., 2.85% due 3/30/2005(b)............. 380,267
750,000 PPL Capital Funding, 3.36% due 5/18/2006(b)................. 750,683
205,000 PSEG Power LLC, 6.95% due 6/01/2012......................... 231,002
Pacific Gas & Electric Co.:
304,000 3.26% due 4/03/2006(b).................................... 304,250
370,000 6.05% due 3/01/2034....................................... 384,288
160,000 Pepco Holdings, Inc., 4% due 5/15/2010...................... 157,153
190,000 Public Service Co. of New Mexico, 4.40% due 9/15/2008....... 191,589
200,000 SPI Electricity & Gas Australia Holdings Pty Ltd., 6.15% due
11/15/2013(a)............................................. 216,036
Southern California Edison Co.:
46,000 2.93% due 1/13/2006(b).................................... 46,159
265,000 8% due 2/15/2007.......................................... 288,580
Westar Energy, Inc.:
235,000 9.75% due 5/01/2007....................................... 263,014
140,000 6% due 7/01/2014.......................................... 150,507
------------
4,657,659
- ------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 570,000 Celestica Inc., 3.691%** due 8/01/2020 (Convertible)........ 314,925
INSTRUMENTS--0.4% 185,000 Jabil Circuit, Inc., 5.875% due 7/15/2010................... 194,735
------------
509,660
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 170,000 Midamerican Energy Holdings Co., 5.875% due 10/01/2012...... 180,139
SERVICES--0.1%
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES 55,000 Supervalu, Inc., 7.50% due 5/15/2012........................ 64,194
RETAILING--0.0%
- ------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.2% 285,000 Cadbury Schweppes US Finance LLC, 3.875% due 10/01/2008(a).. 284,001
- ------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT E 596,000 Bundesobligation Series 143, 3.50% due 10/10/2008(1)........ 828,232
OBLIGATIONS*--1.4% US$ 160,000 Chile Government International Bond, 5.50% due
1/15/2013(1).............................................. 168,112
Mexico Government International Bond(1):
405,000 9.875% due 2/01/2010...................................... 497,745
220,000 6.375% due 1/16/2013...................................... 234,300
115,000 5.875% due 1/15/2014...................................... 117,818
------------
1,846,207
- ------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.4% 300,000 Gazprom International SA, 7.201% due 2/01/2020(a)........... 317,250
195,000 Panhandle Eastern Pipe Line Series B, 2.75% due 3/15/2007... 190,939
------------
508,189
- ------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & 300,000 Boston Scientific Corp., 4.25% due 1/12/2011................ 297,889
SUPPLIES--0.2%
- ------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & 189,000 Manor Care, Inc., 7.50% due 6/15/2006....................... 199,187
SERVICES--0.3% 150,000 WellPoint, Inc., 5% due 12/15/2014(a)....................... 149,528
------------
348,715
- ------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 360,000 MGM Mirage, 6% due 10/01/2009............................... 369,000
LEISURE--0.3%
- ------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD 350,000 American Greetings, 6.10% due 8/01/2028..................... 373,625
DURABLES--0.5% 305,000 DR Horton, Inc., 5% due 1/15/2009........................... 307,287
------------
680,912
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
35
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY++ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL US$ 150,000 Hutchison Whampoa International 01/11 Ltd., 7% due
CONGLOMERATES--0.6% 2/16/2011(a).............................................. $ 167,573
205,000 Textron Financial Corp., 2.75% due 6/01/2006................ 202,538
415,000 Tyco International Group SA, 6.75% due 2/15/2011............ 465,127
------------
835,238
- ------------------------------------------------------------------------------------------------------------------------------
INSURANCE--1.5% 260,000 AON Corp., 6.70% due 1/15/2007.............................. 271,704
225,000 Fund American Cos., Inc., 5.875% due 5/15/2013.............. 228,995
140,000 Montpelier Re Holdings Ltd., 6.125% due 8/15/2013........... 143,994
280,000 NLV Financial Corp., 7.50% due 8/15/2033(a)................. 299,997
100,000 North Front Pass-Through Trust, 5.81% due
12/15/2024(a)(b).......................................... 97,586
70,000 Prudential Financial, Inc., 4.104% due 11/15/2006........... 70,767
355,000 Prudential Holdings LLC, 8.695% due 12/18/2023(a)........... 450,797
420,000 Security Benefit Life Insurance, 7.45% due 10/01/2033(a).... 439,228
------------
2,003,068
- ------------------------------------------------------------------------------------------------------------------------------
MEDIA--3.0% Clear Channel Communications, Inc.:
290,000 5.75% due 1/15/2013....................................... 299,643
155,000 5.50% due 9/15/2014....................................... 155,599
290,000 Comcast Cable Communications Holdings, Inc., 8.375% due
3/15/2013................................................. 357,598
305,000 Echostar DBS Corp., 5.75% due 10/01/2008.................... 308,812
405,000 Historic TW, Inc., 9.125% due 1/15/2013..................... 520,643
360,000 Lenfest Communications, Inc., 10.50% due 6/15/2006.......... 393,873
125,000 Media General, Inc., 6.95% due 9/01/2006.................... 130,504
News America, Inc.:
200,000 7.30% due 4/30/2028....................................... 229,170
120,000 6.75% due 1/09/2038....................................... 134,942
400,000 SportsLine.com, Inc., 5% due 4/01/2006...................... 403,000
215,000 Tele-Communications-TCI Group, 9.80% due 2/01/2012.......... 277,134
690,000 Time Warner, Inc., 6.875% due 5/01/2012..................... 785,811
------------
3,996,729
- ------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & Dominion Resources, Inc./VA, Series B:
UNREGULATED POWER--0.7% 200,000 7.625% due 7/15/2005...................................... 204,748
170,000 2.59% due 5/15/2006(b).................................... 170,358
145,000 Sempra Energy, 4.75% due 5/15/2009.......................... 147,811
210,000 Southern Power Co. Series B, 6.25% due 7/15/2012............ 229,502
225,000 Vectren Utility Holdings, Inc., 5.25% due 8/01/2013......... 226,896
------------
979,315
- ------------------------------------------------------------------------------------------------------------------------------
OIL & GAS--3.3% 140,000 Amerada Hess Corp., 7.125% due 3/15/2033.................... 153,939
145,000 Consolidated Natural Gas Co., 5% due 12/01/2014............. 145,139
590,000 Enterprise Products Operating LP, 5.60% due 10/15/2014(a)... 595,233
232,000 Kern River Funding Corp., 4.893% due 4/30/2018(a)........... 236,188
Kinder Morgan Energy Partners LP:
150,000 5.35% due 8/15/2007....................................... 155,282
245,000 5.125% due 11/15/2014..................................... 244,513
135,000 Motiva Enterprises LLC, 5.20% due 9/15/2012(a).............. 139,028
320,000 Occidental Petroleum Corp., 6.75% due 1/15/2012............. 363,255
Pemex Project Funding Master Trust(a)(b):
230,000 3.54% due 1/7/2005........................................ 230,000
750,000 3.79% due 6/15/2010....................................... 769,500
460,000 Tengizchevroil Finance Co. SARL, 6.124% due 11/15/2014(a)... 461,150
80,000 Texaco Capital, Inc., 8.625% due 6/30/2010.................. 97,402
460,000 Ultramar Diamond Shamrock Corp., 6.75% due 10/15/2037....... 527,845
308,000 XTO Energy, Inc., 7.50% due 4/15/2012....................... 360,423
------------
4,478,897
- ------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 45,000 Abitibi-Consolidated, Inc., 8.55% due 8/01/2010............. 48,769
PRODUCTS--0.9% 275,000 Celulosa Arauco y Constitucion SA, 8.625% due 8/15/2010..... 327,569
480,000 Champion International Corp., 6.65% due 12/15/2037.......... 544,543
155,000 Inversiones CMPC SA, 4.875% due 6/18/2013(a)................ 151,410
150,000 Sappi Papier Holding AG, 6.75% due 6/15/2012(a)............. 166,666
------------
1,238,957
- ------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.3% 415,000 Wyeth, 5.50% due 3/15/2013.................................. 431,319
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
36
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY++ AMOUNT CORPORATE BONDS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--1.3% US$ 85,000 Colonial Realty LP, 4.80% due 4/01/2011..................... $ 83,573
125,000 Developers Diversified Realty Corp., 6.625% due 1/15/2008... 133,200
205,000 HRPT Properties Trust, 5.75% due 2/15/2014.................. 210,540
135,000 Health Care Property Investors, Inc., 6.50% due 2/15/2006... 139,098
135,000 Health Care REIT, Inc., 6% due 11/15/2013................... 139,721
450,000 iStar Financial, Inc. Series B, 5.125% due 4/01/2011........ 454,800
165,000 Nationwide Health Properties, Inc., 6.59% due 7/07/2038..... 173,868
460,000 Westfield Capital Corp. Ltd./WT Finance Aust Pty Ltd./WEA
Finance LLC, 5.125% due 11/15/2014(a)..................... 457,790
------------
1,792,590
- ------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.3% 130,000 Norfolk Southern Corp., 7.25% due 2/15/2031................. 155,957
Union Pacific Corp.:
110,000 7.25% due 11/01/2008...................................... 122,712
100,000 5.375% due 5/01/2014...................................... 103,588
------------
382,257
- ------------------------------------------------------------------------------------------------------------------------------
SOFTWARE--0.3% 340,000 Computer Associates International, Inc., 5.625% due
12/01/2014(a)............................................. 343,694
- ------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 325,000 Countrywide Home Loans, Inc., 5.625% due 7/15/2009.......... 344,280
FINANCE--0.4% 210,000 Washington Mutual, Inc., 4.20% due 1/15/2010................ 209,068
------------
553,348
- ------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION 137,000 AT&T Wireless Services, Inc., 8.75% due 3/01/2031........... 184,719
SERVICES--0.1%
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(COST--$50,341,512)--38.3% 51,729,708
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
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(b).............................. 101,259
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST--$100,000)--0.1% 101,259
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
PREFERRED SECURITIES
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRY++ CAPITAL TRUSTS
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES--ELECTRIC & 125,000 Alabama Power Capital Trust V, 5.50% due 10/01/2042(b)...... 129,867
GAS--0.1%
- ------------------------------------------------------------------------------------------------------------------------------
YANKEE CORPORATES*--0.1% 150,000 Pemex Project Funding Master Trust, 7.375%
due 12/15/2014(2)......................................... 166,725
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CAPITAL TRUSTS
(COST--$282,728)--0.2% 296,592
- ------------------------------------------------------------------------------------------------------------------------------
SHARES
HELD PREFERRED STOCKS
- ------------------------------------------------------------------------------------------------------------------------------
FINANCE--OTHER--0.3% 35 DG Funding Trust(a)......................................... 374,500
- ------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 9,000 +Fannie Mae................................................. 510,188
FINANCE--0.4%
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(COST--$885,751)--0.7% 884,688
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT TRUST PREFERRED
- ------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.6% US$ 785,000 RC Trust I, 7% due 5/15/2006................................ 816,891
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL TRUST PREFERRED
(COST--$819,270)--0.6% 816,891
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED SECURITIES
(COST--$1,987,749)--1.5% 1,998,171
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
37
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT SHORT-TERM INVESTMENTS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER***--1.5% US$ 2,000,000 Clipper Receivables Corporation, 2.34% due 1/19/2005........ $ 1,997,530
- ------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT 9,000,000 Fannie Mae, 2.18% due 1/13/2005............................. 8,992,915
AGENCY OBLIGATIONS***--15.6% 12,100,000 Federal Home Loan Banks, 1% due 1/03/2005................... 12,098,992
------------
21,091,907
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(COST--$23,089,437)--17.1% 23,089,437
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
NUMBER OF
CONTRACTS OPTIONS PURCHASED
- ------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED--0.0% 10@ London InterBank Offered Rate (LIBOR) Linked Floor, expiring
April 2005 at 1.5%, Broker JPMorgan Chase Bank............ 100
- ------------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS PURCHASED--0.1% 12@ Swaption, expiring October 2005 at 5.34%, Broker JPMorgan
Chase Bank(d)............................................. 171,578
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL OPTIONS PURCHASED
(PREMIUMS PAID--$231,060)--0.1% 171,678
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$143,827,286)--107.7% 145,583,455
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
OPTIONS WRITTEN
- ------------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS WRITTEN--(0.3%) 11@ Swaption, expiring October 2005 at 4.84%, Broker JPMorgan
Chase Bank(d)............................................. (327,866)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL OPTIONS WRITTEN (PREMIUMS
RECEIVED--$373,001)--(0.3%)............................... (327,866)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN
(COST--$143,454,285+++)--107.4%............................. 145,255,589
LIABILITIES IN EXCESS OF OTHER ASSETS--(7.4%)............... (10,018,642)
------------
NET ASSETS--100.0%.......................................... $135,236,947
============
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
+Mortgage-Backed & Asset-Backed Obligations are subject to principal paydowns as
a result of the prepayments or refinancings of the underlying instruments. As a
result, the average life may be substantially less than the original maturity.
++For Portfolio compliance purposes, "Industry" 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.
+++The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as
follows:
<Table>
- --------------------------------------------------------------------------
Aggregate cost, net of options written...................... $143,517,449
============
Gross unrealized appreciation............................... $ 2,073,562
Gross unrealized depreciation............................... (335,422)
------------
Net unrealized appreciation................................. $ 1,738,140
============
- --------------------------------------------------------------------------
</Table>
@ One contract represents a notional amount of $1,000,000.
* Corresponding industry groups for foreign securities:
(1) Government Entity.
(2) Financial Institution.
** Represents a zero coupon; the interest rate shown reflects the effective
yield at the time of purchase by the Portfolio.
*** Commercial Paper and certain U.S. government obligations are traded on a
discount basis; the interest rate shown reflects the discount rate paid at the
time of purchase by the Portfolio.
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) Floating rate note.
(c) All or a portion of security held as collateral in connection with open
financial futures contracts.
(d) This European-style swaption, which can be exercised only on the expiration
date, represents a standby commitment whereby the writer of the option is
obligated to enter into a predetermined interest rate swap contract upon
exercise of swaption.
(e) This security is a perpetual bond and has no definite maturity date.
38
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
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) were as follows:
<Table>
<Caption>
DIVIDEND
AFFILIATE NET ACTIVITY INCOME
- --------------------------------------------------------------------------------------
Merrill Lynch Premier Institutional Fund.................... -- $156
- --------------------------------------------------------------------------------------
</Table>
Financial futures contracts purchased as of December 31, 2004 were as follows:
<Table>
<Caption>
- --------------------------------------------------------------------------------------
UNREALIZED
NUMBER OF EXPIRATION FACE APPRECIATION/
CONTRACTS ISSUE DATE VALUE DEPRECIATION
- --------------------------------------------------------------------------------------
5 Five-Year U.S. Treasury Note March 2005 $ 544,472 $3,184
2 Ten-Year U.S. Treasury Note March 2005 $ 224,434 (559)
6 Two-Year U.S. Treasury Note March 2005 $1,255,142 2,421
- --------------------------------------------------------------------------------------
TOTAL UNREALIZED APPRECIATION......................................... $5,046
======
- --------------------------------------------------------------------------------------
</Table>
Swap contracts outstanding as of December 31, 2004 were as follows:
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION/
AMOUNT DEPRECIATION
- ------------------------------------------------------------------------------------------------------
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .105%
Broker, UBS Warburg
Expires January 2005........................................ $3,600,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers U.S. Treasury Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .20%
Broker, Lehman Brothers Special Finance
Expires February 2005....................................... $6,300,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .105%
Broker, UBS Warburg
Expires February 2005....................................... $4,100,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .125%
Broker, Lehman Brothers Special Finance
Expires February 2005....................................... $5,600,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers CMBS Investment Grade Index Total Return and
pay a floating rate based on 1-month USD LIBOR, minus .10%
Broker, Morgan Stanley Capital Services Inc.
Expires March 2005.......................................... $1,600,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .125%
Broker, Lehman Brothers Special Finance
Expires March 2005.......................................... $1,250,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .125%
Broker, Lehman Brothers Special Finance
Expires March 2005.......................................... $5,400,000 --
</Table>
39
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION/
AMOUNT DEPRECIATION
- ------------------------------------------------------------------------------------------------------
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .12%
Broker, UBS Warburg
Expires April 2005.......................................... $1,100,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .10%
Broker, UBS Warburg
Expires June 2005........................................... $3,800,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers U.S. Treasury Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .15%
Broker, Lehman Brothers Special Finance
Expires November 2005....................................... $6,700,000 --
Bought credit default protection on Aon Corp. and pay .37%
interest
Broker, Morgan Stanley Capital Services Inc.
Expires January 2007........................................ $ 285,000 $ 846
Receive a floating rate based on 3-month USD LIBOR, and pay
a fixed rate of 2.8025%
Broker, JPMorgan Chase Bank
Expires January 2007........................................ $ 285,000 3,520
Bought credit default protection on Weyerhauser Co. and pay
..73%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2008...................................... $ 430,000 (8,040)
Bought credit default protection on Tyson Foods, Inc. and
pay 1.36%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2008...................................... $ 430,000 (14,045)
Sold credit default protection on Sprint Corporation and
receive 1.5%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2008...................................... $ 430,000 17,875
Sold credit default protection on Comcast Cable
Communications, Inc. and receive 1.15%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2008...................................... $ 430,000 13,164
Pay 3.875% on Treasury Inflation Protected Securities (TIPS)
adjusted principal and receive a fixed rate of 3.401%
Broker, JPMorgan Chase Bank
Expires January 2009........................................ $ 879,000 (19,396)
Sold credit default protection on Raytheon Co. and receive
..73%
Broker, JPMorgan Chase Bank
Expires March 2009.......................................... $ 160,000 (2,473)
Bought credit default protection on Boeing Capital Corp. and
pay .48%
Broker, JPMorgan Chase Bank
Expires March 2009.......................................... $ 160,000 (2,094)
Sold credit default protection on JC Penney Company and
receive 1.27%
Broker, JPMorgan Chase Bank
Expires September 2009...................................... $ 310,000 6,318
Bought credit default protection on The May Department
Stores Co. and pay .68%
Broker, JPMorgan Chase Bank
Expires September 2009...................................... $ 310,000 (2,467)
</Table>
40
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION/
AMOUNT DEPRECIATION
- ------------------------------------------------------------------------------------------------------
Sold credit default protection on Nextel Communications Inc.
and receive 1.72%
Broker, JPMorgan Chase Bank
Expires September 2009...................................... $ 310,000 $ 15,726
Sold credit default protection on Dow Jones CDX North
America Investment Grade Index Series 2 and receive .60%
Broker, JPMorgan Chase Bank
Expires September 2009...................................... $ 610,000 4,331
Sold credit default protection on Dow Jones CDX North
America Investment Grade Series 2 Index and receive 1.15%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2009...................................... $ 730,000 10,261
Sold credit default protection on Dow Jones CDX North
America Investment Grade Index Series 2 and receive .60%
Broker, Morgan Stanley Capital Services Inc.
Expires September 2009...................................... $1,230,000 6,437
Bought credit default protection on Hewlett-Packard Co. and
pay .31%
Broker, Lehman Brothers Special Finance
Expires December 2009....................................... $ 315,000 2,005
Bought credit default protection on Petroleos Mexicanos SA
and pay 1.09%
Broker, Lehman Brothers Special Finance
Expires December 2009....................................... $ 630,000 3,886
Sold credit default protection on Computer Associates
International Inc. and receive .83%
Broker, Lehman Brothers Special Finance
Expires December 2009....................................... $ 315,000 3,665
Sold credit default protection on Mexico Government
International Bond and receive .92%
Broker, Lehman Brothers Special Finance
Expires December 2009....................................... $ 630,000 3,632
Sold credit default protection on Dow Jones CDX North
America Investment Grade High Volatility Index and receive
1.05%
Broker, HSBC Bank
Expires March 2010.......................................... $ 950,000 4,955
Sold credit default protection on Dow Jones CDX North
America Investment Grade Index Series 3 and receive .50%
Broker, Morgan Stanley Capital Services Inc.
Expires March 2010.......................................... $1,585,000 4,809
Receive a floating rate based on 3-month USD LIBOR, plus
..40%, which is capped at a fixed coupon of 7% and pay a
floating rate based on 3-month USD LIBOR
Broker, JPMorgan Chase Bank
Expires August 2010......................................... $3,000,000 1,431
Receive a floating rate based on 3-month USD LIBOR, plus
..50%, which is capped at a fixed coupon of 6% until
11/18/2007 and 6.5% through expiration and pay a floating
rate based on 3-month USD LIBOR
Broker, Lehman Brothers Special Finance
Expires November 2010....................................... $6,700,000 622
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 (24,200)
Sold credit default protection on Dana Corporation and
receive 1.55%
Broker, UBS Warburg
Expires September 2011...................................... $ 155,000 2,234
</Table>
41
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Core Bond Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
NOTIONAL APPRECIATION/
AMOUNT DEPRECIATION
- ------------------------------------------------------------------------------------------------------
Sold credit default protection on Dana Corporation and
receive 1.56%
Broker, UBS Warburg
Expires September 2011...................................... $ 310,000 $ 4,642
Pay a fixed rate of 4.84% and receive a floating rate based
on 3-month USD LIBOR
Broker, JPMorgan Chase Bank
Expires November 2015....................................... $1,540,000 11,182
- ------------------------------------------------------------------------------------------------------
TOTAL.......................................................................... $ 48,826
========
- ------------------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
<Table>
<Caption>
MERRILL LYNCH SERIES FUND, INC. PERCENT OF
Core Bond Strategy Portfolio TOTAL
PORTFOLIO INFORMATION AS OF DECEMBER 31, 2004 (UNAUDITED) INVESTMENTS
- --------------------------------------------------------------------------
Corporate Bonds............................................. 35.6%
Asset-Backed Securities..................................... 15.2
Government & Agency Mortgage-Backed Securities.............. 15.0
Non-Government Agency Mortgage-Backed Securities............ 10.1
Government & Agency Obligations............................. 6.8
Preferred Securities........................................ 1.4
Municipal Bonds............................................. 0.1
Other*...................................................... 15.8
- --------------------------------------------------------------------------
</Table>
* Includes Portfolio holdings in short-term investments and options.
42
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Fundamental Growth Strategy Portfolio
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
INDUSTRY@ HELD COMMON STOCKS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--2.2% 181,000 +Gilead Sciences, Inc. ..................................... $ 6,333,190
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--1.1% 44,700 Franklin Resources, Inc. ................................... 3,113,355
- ------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--5.5% 70,100 Air Products & Chemicals, Inc. ............................. 4,063,697
124,000 The Dow Chemical Co......................................... 6,139,240
14,800 EI Du Pont de Nemours & Co. ................................ 725,940
93,700 Praxair, Inc. .............................................. 4,136,855
14,600 Sigma-Aldrich Corp. ........................................ 882,716
------------
15,948,448
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & 31,200 Manpower, Inc. ............................................. 1,506,960
SUPPLIES--2.4%
117,200 +Monster Worldwide, Inc. ................................... 3,942,608
52,000 Robert Half International, Inc. ............................ 1,530,360
------------
6,979,928
- ------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 283,500 +Corning, Inc. ............................................. 3,336,795
EQUIPMENT--2.2%
95,500 +Telefonaktiebolaget LM Ericsson(a)......................... 3,007,295
------------
6,344,090
- ------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & 262,700 Hewlett-Packard Co. ........................................ 5,508,819
PERIPHERALS--2.9%
114,500 +Sandisk Corp. ............................................. 2,859,065
------------
8,367,884
- ------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--1.8% 91,700 American Express Co. ....................................... 5,169,129
- ------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL 54,800 Emerson Electric Co. ....................................... 3,841,480
EQUIPMENT--2.5%
70,400 Rockwell Automation, Inc. .................................. 3,488,320
------------
7,329,800
- ------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 32,200 +Waters Corp. .............................................. 1,506,638
INSTRUMENTS--0.5%
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 123,200 Baker Hughes, Inc. ......................................... 5,256,944
SERVICES--6.4%
37,400 +Grant Prideco, Inc. ....................................... 749,870
128,900 Schlumberger Ltd. .......................................... 8,629,855
89,500 +Transocean, Inc. .......................................... 3,793,905
------------
18,430,574
- ------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--1.2% 93,800 McCormick & Co., Inc. ...................................... 3,620,680
- ------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT 105,800 Alcon, Inc. ................................................ 8,527,480
& SUPPLIES--12.1%
166,200 +Boston Scientific Corp. ................................... 5,908,410
30,500 Dentsply International, Inc. ............................... 1,714,100
28,100 +Fisher Scientific International............................ 1,752,878
153,000 Medtronic, Inc. ............................................ 7,599,510
73,900 +St. Jude Medical, Inc. .................................... 3,098,627
82,000 +Varian Medical Systems, Inc. .............................. 3,545,680
37,800 +Zimmer Holdings, Inc. ..................................... 3,028,536
------------
35,175,221
- ------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS 36,400 UnitedHealth Group, Inc. ................................... 3,204,292
& SERVICES--1.1%
- ------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 57,500 Carnival Corp. ............................................. 3,313,725
LEISURE--7.8%
107,700 Marriott International, Inc. Class A........................ 6,782,946
77,600 +Starbucks Corp. ........................................... 4,839,136
74,400 Starwood Hotels & Resorts Worldwide, Inc. .................. 4,344,960
49,600 +Wynn Resorts Ltd. ......................................... 3,319,232
------------
22,599,999
- ------------------------------------------------------------------------------------------------------------------------------
IT SERVICES--3.9% 118,600 +Accenture Ltd. Class A..................................... 3,202,200
73,100 First Data Corp. ........................................... 3,109,674
38,600 +Hewitt Associates, Inc. Class A............................ 1,235,586
112,400 Paychex, Inc. .............................................. 3,830,592
------------
11,378,052
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
43
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Fundamental Growth Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
INDUSTRY@ HELD COMMON STOCKS VALUE
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 171,400 3M Co. ..................................................... $ 14,066,798
CONGLOMERATES--11.7%
543,800 General Electric Co. ....................................... 19,848,700
------------
33,915,498
- ------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & 100,500 +Yahoo!, Inc. .............................................. 3,786,840
SERVICES--1.3%
- ------------------------------------------------------------------------------------------------------------------------------
MACHINERY--6.3% 63,100 Cummins, Inc. .............................................. 5,287,149
41,600 Deere & Co. ................................................ 3,095,040
54,600 Eaton Corp. ................................................ 3,950,856
72,900 Paccar, Inc. ............................................... 5,866,992
------------
18,200,037
- ------------------------------------------------------------------------------------------------------------------------------
OFFICE 66,000 Canon, Inc. ................................................ 3,561,823
ELECTRONICS--1.2%
- ------------------------------------------------------------------------------------------------------------------------------
OIL & GAS--4.7% 168,600 Devon Energy Corp. ......................................... 6,561,912
68,400 Occidental Petroleum Corp. ................................. 3,991,824
87,600 Pioneer Natural Resources Co. .............................. 3,074,760
------------
13,628,496
- ------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--1.1% 69,500 +Forest Laboratories, Inc. ................................. 3,117,770
- ------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 568,800 Intel Corp. ................................................ 13,304,232
SEMICONDUCTOR
EQUIPMENT--4.6%
- ------------------------------------------------------------------------------------------------------------------------------
SOFTWARE--8.2% 50,000 +Electronic Arts, Inc. ..................................... 3,084,000
541,500 Microsoft Corp. ............................................ 14,463,465
460,500 +Oracle Corp. .............................................. 6,318,060
------------
23,865,525
- ------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--1.8% 151,900 Staples, Inc. .............................................. 5,120,549
- ------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & 74,700 +Coach, Inc. ............................................... 4,213,080
LUXURY GOODS--1.4%
- ------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & 172,500 Wolseley Plc................................................ 3,224,067
DISTRIBUTORS--1.1%
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST--$243,490,728)--97.0% 281,439,197
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
BENEFICIAL
INTEREST SHORT-TERM SECURITIES
- ------------------------------------------------------------------------------------------------------------------------------
$ 8,688,079 Merrill Lynch Liquidity Series, LLC Cash Sweep Series
I(b)........................................................ 8,688,079
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$8,688,079)--3.0% 8,688,079
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$252,178,807++)--100%.............. 290,127,276
LIABILITIES IN EXCESS OF OTHER ASSETS--0.0%................. (106,210)
------------
NET ASSETS--100.0%.......................................... $290,021,066
============
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
44
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Fundamental Growth Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
+ Non-income producing security.
++ The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as
follows:
<Table>
- --------------------------------------------------------------------------
Aggregate cost.............................................. $252,775,619
============
Gross unrealized appreciation............................... $ 41,879,925
Gross unrealized depreciation............................... (4,528,268)
------------
Net unrealized appreciation................................. $ 37,351,657
============
- --------------------------------------------------------------------------
</Table>
@ For Portfolio compliance purposes, "Industry" 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 sub-
classifications are unaudited.
(a) Depositary Receipts
(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) were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------
NET INTEREST/DIVIDEND
AFFILIATE ACTIVITY INCOME
- ----------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ (2,081,143) $132,381
Merrill Lynch Liquidity Series, LLC Money Market Series $(15,137,363) $ 19,572
Merrill Lynch Premier Institutional Fund (5,045,787) $ 3,588
- ----------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Fundamental Strategy Portfolio
Portfolio Information as of December 31, 2004 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
TOTAL
SECTOR INVESTMENTS
- -------------------------------------------------------------------------------
Information Technology...................................... 24.9%
Industrials................................................. 22.9
Health Care................................................. 16.5
Consumer Discretionary...................................... 12.1
Energy...................................................... 11.0
Materials................................................... 5.5
Financials.................................................. 2.9
Consumer Staples............................................ 1.2
Other*...................................................... 3.0
- -------------------------------------------------------------------------------
</Table>
* Includes Portfolio holdings in short-term investments.
45
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
AUSTRALIA--1.1% FOOD PRODUCTS--0.1% 202,000 +Burns Philp & Co., Ltd................. $ 139,346
--------------------------------------------------------------------------------------------------
METALS & MINING--0.9% 90,000 BHP Billiton Ltd........................ 1,082,252
24,000 Rio Tinto Ltd........................... 735,988
84,000 WMC Resources Ltd....................... 475,420
------------
2,293,660
--------------------------------------------------------------------------------------------------
OIL & GAS--0.1% 10,000 Woodside Petroleum Ltd. 157,564
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN AUSTRALIA 2,590,570
- ---------------------------------------------------------------------------------------------------------------------
BELGIUM--0.2% COMMERCIAL BANKS--0.1% 7,115 Dexia................................... 163,634
--------------------------------------------------------------------------------------------------
DIVERSIFIED 6,867 +Belgacom SA............................ 296,820
TELECOMMUNICATION
SERVICES--0.1%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN BELGIUM 460,454
- ---------------------------------------------------------------------------------------------------------------------
BRAZIL--0.6% METALS & MINING--0.3% 15,000 Cia Vale do Rio Doce(a)................. 365,700
8,100 +Cia Vale do Rio Doce(a)................ 234,981
------------
600,681
--------------------------------------------------------------------------------------------------
OIL & GAS--0.3% 19,000 Petroleo Brasileiro SA(a)............... 755,820
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN BRAZIL 1,356,501
- ---------------------------------------------------------------------------------------------------------------------
CANADA--1.0% COMMUNICATIONS 218,329 +Nortel Networks Corp................... 761,968
EQUIPMENT--0.3%
--------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 28,800 +Drillers Technology Corp............... 31,248
SERVICES--0.0%
--------------------------------------------------------------------------------------------------
METALS & MINING--0.4% 5,000 Barrick Gold Corp. ..................... 121,020
8,600 +Glamis Gold Ltd. ...................... 147,574
37,500 Placer Dome, Inc. ...................... 707,147
------------
975,741
--------------------------------------------------------------------------------------------------
OIL & GAS--0.2% 3,000 Niko Resources Ltd...................... 126,370
3,400 Petro-Canada............................ 173,583
1,200 Talisman Energy, Inc.................... 32,400
------------
332,353
--------------------------------------------------------------------------------------------------
PAPER & FOREST 7,300 Domtar, Inc. ........................... 88,344
PRODUCTS--0.0%
--------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1% 5,300 CP Railway Limited...................... 182,373
2,300 Canadian Pacific Railway Ltd. .......... 78,897
------------
261,270
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CANADA 2,450,924
- ---------------------------------------------------------------------------------------------------------------------
CHINA--0.1% AUTOMOBILES--0.0% 200,000 Denway Motors Ltd. ..................... 71,404
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 2,900 +China Life Insurance Co. Ltd.(a)....... 76,676
33,000 +Ping An Insurance Group Co. of China
Ltd. ................................. 56,042
------------
132,718
--------------------------------------------------------------------------------------------------
TRANSPORTATION 62,000 Hainan Meilan International Airport Co.,
INFRASTRUCTURE--0.0% Ltd. ................................. 52,247
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CHINA 256,369
- ---------------------------------------------------------------------------------------------------------------------
FINLAND--0.2% COMMUNICATIONS 18,600 Nokia Oyj(a)............................ 291,462
EQUIPMENT--0.1%
--------------------------------------------------------------------------------------------------
PAPER & FOREST 7,999 Stora Enso Oyj Class R.................. 122,535
PRODUCTS--0.1%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FINLAND 413,997
- ---------------------------------------------------------------------------------------------------------------------
FRANCE--1.1% AUTOMOBILES--0.1% 3,976 Peugeot SA.............................. 252,384
--------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.2% 6,101 BNP Paribas............................. 442,005
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 2,107 Vinci SA................................ 282,957
ENGINEERING--0.1%
--------------------------------------------------------------------------------------------------
</Table>
46
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
FRANCE
(CONCLUDED)
CONSTRUCTION 2,116 Lafarge SA.............................. $ 204,208
MATERIALS--0.1%
--------------------------------------------------------------------------------------------------
DIVERSIFIED 2,691 France Telecom SA....................... 89,102
TELECOMMUNICATION
SERVICES--0.0%
--------------------------------------------------------------------------------------------------
FOOD & STAPLES 1,826 Carrefour SA............................ 86,969
RETAILING--0.0%
--------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 4,455 Accor SA................................ 195,046
LEISURE--0.1%
--------------------------------------------------------------------------------------------------
METALS & MINING--0.1% 12,370 Arcelor................................. 285,332
--------------------------------------------------------------------------------------------------
OIL & GAS--0.4% 2,860 Total SA................................ 624,714
3,500 Total SA(a)............................. 384,440
------------
1,009,154
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FRANCE 2,847,157
- ---------------------------------------------------------------------------------------------------------------------
GERMANY--0.9% AIR FREIGHT & 10,414 Deutsche Post AG........................ 239,223
LOGISTICS--0.1%
--------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.1% 3,305 Continental AG.......................... 209,926
--------------------------------------------------------------------------------------------------
AUTOMOBILES--0.1% 1,947 Bayerische Motoren Werke AG............. 87,862
1,863 DaimlerChrysler AG...................... 89,288
------------
177,150
--------------------------------------------------------------------------------------------------
CHEMICALS--0.0% 1,307 Linde AG................................ 81,827
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 8,760 Hochtief AG............................. 285,649
ENGINEERING--0.1%
--------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 2,740 Deutsche Boerse AG...................... 164,914
SERVICES--0.1%
--------------------------------------------------------------------------------------------------
DIVERSIFIED 11,570 Deutsche Telekom AG..................... 261,847
TELECOMMUNICATION
SERVICES--0.1%
--------------------------------------------------------------------------------------------------
ELECTRIC 5,589 E.ON AG................................. 509,444
UTILITIES--0.2%
--------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & 1,059 Adidas-Salomon AG....................... 170,934
LUXURY GOODS--0.1%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN GERMANY 2,100,914
- ---------------------------------------------------------------------------------------------------------------------
HONG KONG--0.7% COMMERCIAL BANKS--0.2% 27,600 HSBC Holdings Plc Hong Kong
Registered............................ 472,268
--------------------------------------------------------------------------------------------------
INDUSTRIAL 76,260 Hutchison Whampoa Ltd. ................. 713,769
CONGLOMERATES--0.3%
--------------------------------------------------------------------------------------------------
REAL ESTATE--0.2% 22,000 Cheung Kong Holdings Ltd................ 219,357
42,000 Wharf Holdings Ltd...................... 146,976
------------
366,333
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN HONG KONG 1,552,370
- ---------------------------------------------------------------------------------------------------------------------
INDIA--2.3% AUTOMOBILES--0.2% 14,000 Bajaj Auto Ltd.......................... 364,396
6,000 Tata Motors Ltd......................... 69,724
------------
434,120
--------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.1% 12,100 Oriental Bank Of Commerce............... 93,332
13,300 State Bank of India Ltd................. 199,622
------------
292,954
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 4,000 Larsen & Toubro Ltd. ................... 90,361
ENGINEERING--0.0%
--------------------------------------------------------------------------------------------------
CONSTRUCTION 33,390 +Gujarat Ambuja Cements Ltd. ........... 308,437
MATERIALS--0.1%
--------------------------------------------------------------------------------------------------
</Table>
47
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
INDIA
(CONCLUDED)
DIVERSIFIED 79,000 Mahanagar Telephone Nigam............... $ 281,507
TELECOMMUNICATION
SERVICES--0.1%
--------------------------------------------------------------------------------------------------
HOUSEHOLD 116,000 Hindustan Lever Ltd. ................... 382,931
PRODUCTS--0.2%
--------------------------------------------------------------------------------------------------
IT SERVICES--0.5% 24,000 Infosys Technologies Ltd. .............. 1,153,347
--------------------------------------------------------------------------------------------------
OIL & GAS--0.8% 151,000 Reliance Industries Ltd. ............... 1,854,240
--------------------------------------------------------------------------------------------------
ROAD & RAIL--0.1% 11,000 Container Corp. of India................ 232,298
--------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 31,000 Housing Development Finance Corp. ...... 546,333
FINANCE-0.2%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN INDIA 5,576,528
- ---------------------------------------------------------------------------------------------------------------------
INDONESIA--0.1% COMMERCIAL BANKS--0.1% 267,000 PT Bank Danamon Indonesia Tbk........... 125,842
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN INDONESIA 125,842
- ---------------------------------------------------------------------------------------------------------------------
IRELAND--0.1% COMMERCIAL BANKS--0.1% 20,548 Bank of Ireland......................... 339,906
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN IRELAND 339,906
- ---------------------------------------------------------------------------------------------------------------------
ISRAEL--0.3% COMMUNICATIONS 76,300 +ECI Telecom Ltd. ...................... 623,295
EQUIPMENT--0.3%
3,398 +Ectel Ltd. ............................ 12,403
------------
635,698
--------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.0% 3,600 Teva Pharmaceutical Industries
Ltd.(a)............................... 107,496
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN ISRAEL 743,194
- ---------------------------------------------------------------------------------------------------------------------
ITALY--0.9% COMMERCIAL BANKS--0.2% 74,033 Banca Intesa SpA........................ 356,228
75,762 Capitalia SpA........................... 347,144
------------
703,372
--------------------------------------------------------------------------------------------------
DIVERSIFIED 41,758 Telecom Italia SpA...................... 170,846
TELECOMMUNICATION
SERVICES--0.1%
--------------------------------------------------------------------------------------------------
ELECTRIC 18,651 Enel SpA................................ 183,316
UTILITIES--0.1%
--------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 22,900 Saipem SpA.............................. 275,410
SERVICES--0.1%
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 7,617 Fondiaria-Sai SpA....................... 205,308
--------------------------------------------------------------------------------------------------
OIL & GAS--0.3% 22,154 ENI SpA................................. 554,678
1,100 ENI SpA(a).............................. 138,424
------------
693,102
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN ITALY 2,231,354
- ---------------------------------------------------------------------------------------------------------------------
JAPAN--6.7% AUTO COMPONENTS--0.1% 9,500 Toyota Industries Corp. ................ 237,338
--------------------------------------------------------------------------------------------------
AUTOMOBILES--0.5% 47,000 Fuji Heavy Industries Ltd. ............. 229,335
4,400 Honda Motor Co., Ltd. .................. 228,008
35,000 Suzuki Motor Corp. ..................... 639,407
------------
1,096,750
--------------------------------------------------------------------------------------------------
BEVERAGES--0.1% 13,000 Coca-Cola West Japan Co., Ltd. ......... 333,659
5,000 Kinki Coca-Cola Bottling Co., Ltd. ..... 47,770
------------
381,429
--------------------------------------------------------------------------------------------------
CHEMICALS--0.5% 31,000 Asahi Kasei Corp. ...................... 155,197
26,000 Shin-Etsu Chemical Co., Ltd. ........... 1,065,678
------------
1,220,875
--------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.1% 33,333 +The Bank of Yokohama Ltd. ............. 210,141
16,900 Shinsei Bank Ltd. ...................... 115,119
------------
325,260
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 47,000 JGC Corp. .............................. 429,775
ENGINEERING--0.2%
--------------------------------------------------------------------------------------------------
</Table>
48
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
JAPAN
(CONCLUDED)
CONSUMER FINANCE--0.2% 14,000 Credit Saison Co., Ltd. ................ $ 509,613
--------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 12,000 Murata Manufacturing Co., Ltd. ......... 671,026
INSTRUMENTS--0.3%
--------------------------------------------------------------------------------------------------
FOOD & STAPLES 14,500 Ito-Yokado Co., Ltd. ................... 608,471
RETAILING--0.3%
--------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.2% 34,000 Ajinomoto Co., Inc. .................... 404,801
--------------------------------------------------------------------------------------------------
GAS UTILITIES--0.2% 108,000 Tokyo Gas Co., Ltd. .................... 442,666
--------------------------------------------------------------------------------------------------
HOUSEHOLD 10,600 Rohto Pharmaceutical Co., Ltd. ......... 139,651
PRODUCTS--0.1%
--------------------------------------------------------------------------------------------------
INSURANCE--2.6% 194,000 Aioi Insurance Co., Ltd. ............... 895,501
170 Millea Holdings, Inc. .................. 2,521,714
236,000 Mitsui Sumitomo Insurance Co., Ltd. .... 2,049,771
120,000 Nipponkoa Insurance Co., Ltd. .......... 816,239
------------
6,283,225
--------------------------------------------------------------------------------------------------
MACHINERY--0.2% 5,000 Fanuc Ltd. ............................. 326,925
49,000 Kubota Corp. ........................... 242,920
------------
569,845
--------------------------------------------------------------------------------------------------
OFFICE 18,000 Canon, Inc. ............................ 971,406
ELECTRONICS--0.4%
--------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.5% 5,000 Kyorin Pharmaceutical Co., Ltd. ........ 76,071
17,000 Takeda Pharmaceutical Co., Ltd. ........ 856,055
24,000 Tanabe Seiyaku Co., Ltd. ............... 247,331
------------
1,179,457
--------------------------------------------------------------------------------------------------
REAL ESTATE--0.1% 101 Marco Polo Investment Holdings
Limited............................... 141,763
--------------------------------------------------------------------------------------------------
TRADING COMPANIES & 5,000 Mitsubishi Corp. ....................... 64,604
DISTRIBUTORS--0.0%
--------------------------------------------------------------------------------------------------
WIRELESS 135 NTT DoCoMo, Inc. ....................... 249,000
TELECOMMUNICATION
SERVICES--0.1%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN JAPAN 15,926,955
- ---------------------------------------------------------------------------------------------------------------------
MALAYSIA--0.3% DIVERSIFIED 20,000 Telekom Malaysia BHD.................... 61,053
TELECOMMUNICATION
SERVICES--0.0%
--------------------------------------------------------------------------------------------------
ELECTRIC 15,000 Malakoff BHD............................ 28,421
UTILITIES--0.1%
56,000 Tenaga Nasional BHD..................... 160,632
------------
189,053
--------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.1% 88,000 IOI Corp. BHD........................... 220,000
--------------------------------------------------------------------------------------------------
TOBACCO--0.0% 6,800 British American Tobacco Malaysia BHD... 81,868
--------------------------------------------------------------------------------------------------
WIRELESS 79,000 Maxis Communications BHD................ 194,382
TELECOMMUNICATION
SERVICES--0.1%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN MALAYSIA 746,356
- ---------------------------------------------------------------------------------------------------------------------
MEXICO--0.3% BEVERAGES--0.1% 5,400 Fomento Economico Mexicano SA de
CV(a)................................. 284,094
--------------------------------------------------------------------------------------------------
MEDIA--0.2% 8,800 Grupo Televisa SA(a).................... 532,400
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN MEXICO 816,494
- ---------------------------------------------------------------------------------------------------------------------
NETHERLANDS--0.8% COMMERCIAL SERVICES & 17,605 Buhrmann NV............................. 171,097
SUPPLIES--0.1%
7,638 Vedior NV............................... 124,479
------------
295,576
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 4,280 Imtech NV............................... 150,966
ENGINEERING--0.1%
--------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 12,260 ING Groep NV CVA........................ 370,950
SERVICES--0.2%
--------------------------------------------------------------------------------------------------
</Table>
49
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
NETHERLANDS
(CONCLUDED)
FOOD & STAPLES 11,098 +Koninklijke Ahold NV................... $ 85,984
RETAILING--0.0%
12,058 Koninklijke Ahold NV(a)(g).............. 89,006
------------
174,990
--------------------------------------------------------------------------------------------------
HOUSEHOLD 7,265 Koninklijke Philips Electronics NV...... 192,660
DURABLES--0.1%
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 9,789 Aegon NV................................ 133,456
--------------------------------------------------------------------------------------------------
OIL & GAS--0.2% 9,798 Royal Dutch Petroleum Co................ 563,038
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE NETHERLANDS 1,881,636
- ---------------------------------------------------------------------------------------------------------------------
NORWAY--0.3% COMMERCIAL BANKS--0.1% 23,232 DNB NOR ASA............................. 229,188
--------------------------------------------------------------------------------------------------
DIVERSIFIED 19,130 Telenor ASA............................. 173,718
TELECOMMUNICATION
SERVICES--0.1%
--------------------------------------------------------------------------------------------------
OIL & GAS--0.1% 13,211 Statoil ASA............................. 207,218
--------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN NORWAY 610,124
- ---------------------------------------------------------------------------------------------------------------------
PORTUGAL--0.1% ELECTRIC 104,467 Energias de Portugal SA................. 316,653
UTILITIES--0.1%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN PORTUGAL 316,653
- ---------------------------------------------------------------------------------------------------------------------
RUSSIA--0.0% OIL & GAS--0.0% 4,500 YUKOS(a)................................ 11,700
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN RUSSIA 11,700
- ---------------------------------------------------------------------------------------------------------------------
SINGAPORE--0.9% BEVERAGES--0.1% 33,000 Fraser and Neave Ltd. .................. 329,515
--------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.1% 21,000 Oversea-Chinese Banking Corp. .......... 173,671
--------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS 193,000 Parkway Holdings Ltd. .................. 177,346
& SERVICES--0.1%
--------------------------------------------------------------------------------------------------
INDUSTRIAL 114,000 Keppel Corp. Ltd. ...................... 600,588
CONGLOMERATES--0.2%
--------------------------------------------------------------------------------------------------
REAL ESTATE--0.2% 110,000 CapitaLand Ltd. ........................ 143,531
182,000 Keppel Land Ltd. ....................... 250,858
------------
394,389
--------------------------------------------------------------------------------------------------
TRANSPORTATION 221,000 SembCorp Logistics Ltd. ................ 234,213
INFRASTRUCTURE--0.1%
--------------------------------------------------------------------------------------------------
WIRELESS 121,500 MOBILEONE LTD........................... 135,463
TELECOMMUNICATION
SERVICES--0.1%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SINGAPORE 2,045,185
- ---------------------------------------------------------------------------------------------------------------------
SOUTH PAPER & FOREST 25,800 Sappi Ltd.(a)........................... 374,100
AFRICA--0.2% PRODUCTS--0.2%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SOUTH AFRICA 374,100
- ---------------------------------------------------------------------------------------------------------------------
SOUTH CHEMICALS--0.2% 24,200 Samsung Fine Chemicals Co., Ltd. ....... 416,113
KOREA--2.3%
--------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.1% 19,000 Pusan Bank.............................. 145,914
--------------------------------------------------------------------------------------------------
DIVERSIFIED 54,000 KT Corp.(a)............................. 1,177,740
TELECOMMUNICATION
SERVICES--0.5%
--------------------------------------------------------------------------------------------------
ELECTRIC 17,000 +Korea Electric Power Corp. ............ 440,929
UTILITIES--0.2%
--------------------------------------------------------------------------------------------------
ELECTRICAL 13,100 +LG Cable Ltd. ......................... 272,706
EQUIPMENT--0.1%
--------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.2% 6,200 CJ Corp. ............................... 424,034
--------------------------------------------------------------------------------------------------
METALS & MINING--0.6% 32,000 POSCO(a)................................ $ 1,424,960
--------------------------------------------------------------------------------------------------
</Table>
50
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
SOUTH KOREA
(CONCLUDED)
TEXTILES, APPAREL & 6,000 Cheil Industries, Inc. ................. $ 92,446
LUXURY GOODS--0.0%
--------------------------------------------------------------------------------------------------
TOBACCO--0.3% 25,000 KT&G Corp. ............................. 747,440
--------------------------------------------------------------------------------------------------
WIRELESS 500 SK Telecom Co., Ltd. ................... 95,151
TELECOMMUNICATION
SERVICES--0.1%
9,600 SK Telecom Co. Ltd.(a).................. 213,600
------------
308,751
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SOUTH KOREA 5,451,033
- ---------------------------------------------------------------------------------------------------------------------
SPAIN--0.2% COMMERCIAL BANKS--0.1% 10,836 Banco Santander Central Hispano SA...... 134,474
--------------------------------------------------------------------------------------------------
TOBACCO--0.1% 5,080 Altadis SA.............................. 232,698
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SPAIN 367,172
- ---------------------------------------------------------------------------------------------------------------------
SWEDEN--0.2% DIVERSIFIED FINANCIAL 10,155 Investor AB............................. 128,618
SERVICES--0.0%
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 31,321 Skandia Forsakrings AB.................. 156,006
--------------------------------------------------------------------------------------------------
MACHINERY--0.1% 6,489 Volvo AB Class B........................ 257,298
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWEDEN 541,922
- ---------------------------------------------------------------------------------------------------------------------
SWITZERLAND--0.5% CAPITAL MARKETS--0.2% 8,500 +Credit Suisse Group.................... 359,414
2,802 UBS AG Registered Shares................ 234,958
------------
594,372
--------------------------------------------------------------------------------------------------
CONSTRUCTION 3,619 Holcim Ltd. ............................ 218,012
MATERIALS--0.1%
--------------------------------------------------------------------------------------------------
ELECTRICAL 15,561 +ABB Ltd. .............................. 86,899
EQUIPMENT--0.0%
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 1,646 +Swiss Life Holding..................... 239,568
--------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.1% 4,499 Novartis AG Registered Shares........... 226,711
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWITZERLAND 1,365,562
- ---------------------------------------------------------------------------------------------------------------------
TAIWAN--0.5% COMMERCIAL BANKS--0.2% 289,730 SinoPac Financial Holdings Co., Ltd. ... 170,967
199,760 Taishin Financial Holdings Co., Ltd. ... 187,846
------------
358,813
--------------------------------------------------------------------------------------------------
DIVERSIFIED 27,000 Chunghwa Telecom Co. Ltd.(a)............ 568,350
TELECOMMUNICATION
SERVICES--0.2%
--------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 36,000 Delta Electronics, Inc.................. 63,616
INSTRUMENTS--0.0%
--------------------------------------------------------------------------------------------------
MACHINERY--0.1% 147,000 Yungtay Engineering Co., Ltd. .......... 89,063
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN TAIWAN 1,079,842
- ---------------------------------------------------------------------------------------------------------------------
THAILAND--0.9% COMMERCIAL BANKS--0.3% 444,000 Siam Commercial Bank PCL Foreign
Shares................................ 560,000
--------------------------------------------------------------------------------------------------
CONSTRUCTION 62,000 Siam Cement PCL Foreign Shares.......... 440,463
MATERIALS--0.2%
17,000 Siam City Cement PCL Foreign Shares..... 106,770
------------
547,233
--------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.0% 87,000 Thai Union Frozen Products PCL Foreign
Shares................................ 59,344
--------------------------------------------------------------------------------------------------
HOUSEHOLD 860,000 Land and Houses PCL Foreign Shares...... 250,142
DURABLES--0.1%
--------------------------------------------------------------------------------------------------
OIL & GAS--0.3% 34,000 PTT Exploration & Production PCL........ 253,797
102,000 PTT PCL................................. 454,208
------------
708,005
--------------------------------------------------------------------------------------------------
REAL ESTATE--0.0% 216,000 Sansiri PCL Foreign Shares.............. 17,792
--------------------------------------------------------------------------------------------------
</Table>
51
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
THAILAND
(CONCLUDED)
TRANSPORTATION 86,000 Bangkok Expressway PCL Foreign Shares... $ 58,108
INFRASTRUCTURE--0.0%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THAILAND 2,200,624
- ---------------------------------------------------------------------------------------------------------------------
UNITED AEROSPACE & 39,297 BAE Systems Plc......................... 173,904
KINGDOM--2.7% DEFENSE--0.1%
--------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--0.7% 49,062 Barclays Plc............................ 551,978
14,824 HBOS Plc................................ 241,346
21,936 HSBC Holdings Plc....................... 370,190
17,557 Royal Bank of Scotland Group Plc........ 590,559
------------
1,754,073
--------------------------------------------------------------------------------------------------
FOOD & STAPLES 20,911 Boots Group Plc......................... 263,164
RETAILING--0.1%
--------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.2% 19,316 Cadbury Schweppes Plc................... 179,861
18,463 Unilever Plc............................ 181,312
------------
361,173
--------------------------------------------------------------------------------------------------
INDUSTRIAL 16,723 Smiths Group Plc........................ 263,915
CONGLOMERATES--0.1%
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 7,700 Aviva Plc............................... 92,839
39,170 Prudential Plc.......................... 340,668
------------
433,507
--------------------------------------------------------------------------------------------------
OIL & GAS--0.3% 64,255 BP Plc.................................. 626,685
2,000 BP Plc(a)............................... 116,800
------------
743,485
--------------------------------------------------------------------------------------------------
PHARMACEUTICALS--0.2% 20,826 GlaxoSmithKline Plc..................... 488,603
--------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.1% 47,837 Kesa Electricals Plc.................... 259,455
--------------------------------------------------------------------------------------------------
TOBACCO--0.1% 12,506 Gallaher Group Plc...................... 190,041
--------------------------------------------------------------------------------------------------
TRANSPORTATION 19,757 BAA Plc................................. 221,520
INFRASTRUCTURE--0.1%
--------------------------------------------------------------------------------------------------
WIRELESS 321,692 Vodafone Group Plc...................... 872,384
TELECOMMUNICATION
SERVICES--0.6%
17,500 Vodafone Group Plc(a)................... 479,150
------------
1,351,534
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED
KINGDOM 6,504,374
- ---------------------------------------------------------------------------------------------------------------------
UNITED AEROSPACE & 1,200 General Dynamics Corp. ................. 125,520
STATES--29.5% DEFENSE--0.1%
3,400 Raytheon Co. ........................... 132,022
------------
257,542
--------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.1% 9,700 +The Goodyear Tire & Rubber Co. ........ 142,202
--------------------------------------------------------------------------------------------------
BEVERAGES--0.2% 6,000 Anheuser-Busch Cos., Inc. .............. 304,380
2,500 The Coca-Cola Co. ...................... 104,075
3,300 +Constellation Brands, Inc. Class A..... 153,483
------------
561,938
--------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.0% 1,200 +Amgen, Inc. ........................... 76,980
--------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.5% 9,500 The Bank of New York Co., Inc. ......... 317,490
4,800 The Charles Schwab Corp. ............... 57,408
600 Goldman Sachs Group, Inc. .............. 62,424
19,000 +Knight Trading Group, Inc. Class A..... 208,050
600 Lehman Brothers Holdings, Inc. ......... 52,488
4,400 Mellon Financial Corp. ................. 136,884
6,700 Morgan Stanley.......................... 371,984
------------
1,206,728
--------------------------------------------------------------------------------------------------
CHEMICALS--0.3% 7,150 EI Du Pont de Nemours & Co. ............ 350,707
12,700 +Hercules, Inc. ........................ 188,595
7,885 Lyondell Chemical Co. .................. 228,034
------------
767,336
--------------------------------------------------------------------------------------------------
</Table>
52
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONTINUED)
COMMERCIAL BANKS--0.2% 7,394 Bank of America Corp. .................. $ 347,444
2,900 Wachovia Corp. ......................... 152,540
------------
499,984
--------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & 38,300 +Corinthian Colleges, Inc. ............. 721,763
SUPPLIES--0.4%
2,400 H&R Block, Inc. ........................ 117,600
------------
839,363
--------------------------------------------------------------------------------------------------
COMMUNICATIONS 57,100 +3Com Corp. ............................ 238,107
EQUIPMENT--0.5%
34,400 +ADC Telecommunications, Inc. .......... 92,192
17,200 +Cisco Systems, Inc. ................... 331,960
3,900 +Comverse Technology, Inc. ............. 95,355
39,900 +Lucent Technologies, Inc. ............. 150,024
5,700 Motorola, Inc. ......................... 98,040
25,000 +Tellabs, Inc. ......................... 214,750
------------
1,220,428
--------------------------------------------------------------------------------------------------
COMPUTERS & 18,170 +EMC Corp............................... 270,188
PERIPHERALS--0.8%
27,471 Hewlett-Packard Co. .................... 576,067
5,000 International Business Machines
Corp. ................................ 492,900
36,100 +Maxtor Corp. .......................... 191,330
75,150 +Sun Microsystems, Inc. ................ 404,307
------------
1,934,792
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 5,000 Chicago Bridge & Iron Co................ 200,000
ENGINEERING--2.1%
189,264 +Foster Wheeler Ltd. ................... 2,990,371
56,500 +McDermott International, Inc. ......... 1,037,340
89,200 +Quanta Services, Inc. ................. 713,600
------------
4,941,311
--------------------------------------------------------------------------------------------------
CONTAINERS & 14,800 +Crown Holdings, Inc. .................. 203,352
PACKAGING--0.2%
8,600 +Smurfit-Stone Container Corp. ......... 160,648
------------
364,000
--------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 14,300 CIT Group, Inc. ........................ 655,226
SERVICES--1.4%
32,700 Citigroup, Inc.(c)...................... 1,575,486
6,500 JPMorgan Chase & Co. ................... 253,565
4,637 Leucadia National Corp. ................ 322,179
18,300 +Macquarie Infrastructure Co. .......... 537,105
------------
3,343,561
--------------------------------------------------------------------------------------------------
DIVERSIFIED 717 +AboveNet, Inc. ........................ 22,944
TELECOMMUNICATION
SERVICES--1.0%
9,000 Alltel Corp. ........................... 528,840
8,600 BellSouth Corp. ........................ 238,994
1,200 CenturyTel, Inc. ....................... 42,564
19,800 +Cincinnati Bell, Inc. ................. 82,170
7,520 MCI, Inc. .............................. 151,603
11,900 +Qwest Communications International..... 52,836
17,900 SBC Communications, Inc. ............... 461,283
17,850 Sprint Corp. ........................... 443,572
11,000 Verizon Communications, Inc. ........... 445,610
------------
2,470,416
--------------------------------------------------------------------------------------------------
ELECTRIC 5,100 DTE Energy Co. ......................... 219,963
UTILITIES--0.3%
9,400 PPL Corp. .............................. 500,832
------------
720,795
--------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & 26,308 +Solectron Corp. ....................... 140,222
INSTRUMENTS--0.1%
--------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & 2,400 Baker Hughes, Inc. ..................... 102,408
SERVICES--1.3%
13,100 ENSCO International, Inc. .............. 415,794
20,514 GlobalSantaFe Corp. .................... 679,218
4,000 Halliburton Co. ........................ 156,960
15,000 +Key Energy Services, Inc. ............. 177,000
2,600 +Noble Corp. ........................... 129,324
4,400 Patterson-UTI Energy, Inc. ............. 85,580
15,570 +Rowan Cos., Inc. ...................... 407,925
10,800 Schlumberger Ltd. ...................... 723,060
</Table>
53
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONTINUED)
ENERGY EQUIPMENT &
SERVICES
(CONCLUDED)
2,500 Tidewater, Inc. ........................ $ 89,025
4,300 +Transocean, Inc. ...................... 182,277
------------
3,148,571
--------------------------------------------------------------------------------------------------
FOOD & STAPLES 4,800 CVS Corp. .............................. 216,336
RETAILING--0.7%
5,000 Sysco Corp. ............................ 190,850
19,300 Wal-Mart Stores, Inc. .................. 1,019,426
4,900 Walgreen Co. ........................... 188,013
------------
1,614,625
--------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.3% 3,800 Archer-Daniels-Midland Co. ............. 84,778
3,900 ConAgra Foods, Inc. .................... 114,855
5,900 Sara Lee Corp. ......................... 142,426
19,400 Tyson Foods, Inc. Class A............... 356,960
------------
699,019
--------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT 6,300 Baxter International, Inc. ............. 217,602
& SUPPLIES--0.1%
2,500 +Waters Corp. .......................... 116,975
------------
334,577
--------------------------------------------------------------------------------------------------
HEALTH CARE 2,600 AmerisourceBergen Corp. ................ 152,568
PROVIDERS &
SERVICES--0.8%
8,000 Andrx Corp. ............................ 174,640
40,400 +Beverly Enterprises, Inc. ............. 369,660
2,400 HCA, Inc. .............................. 95,904
3,000 +Humana, Inc. .......................... 89,070
2,400 +LifePoint Hospitals, Inc. ............. 83,568
3,700 Manor Care, Inc. ....................... 131,091
7,200 +Stewart Enterprises, Inc. Class A...... 50,328
10,500 +Tenet Healthcare Corp. ................ 115,290
5,400 +Triad Hospitals, Inc. ................. 200,934
9,450 +WellChoice, Inc. ...................... 504,630
------------
1,967,683
--------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 1,200 Darden Restaurants, Inc. ............... 33,288
LEISURE--0.6%
156,900 +La Quinta Corp. ....................... 1,426,221
------------
1,459,509
--------------------------------------------------------------------------------------------------
HOUSEHOLD 8,500 Maytag Corp. ........................... 179,350
DURABLES--0.1%
--------------------------------------------------------------------------------------------------
HOUSEHOLD 4,900 Kimberly-Clark Corp. ................... 322,469
PRODUCTS--0.1%
--------------------------------------------------------------------------------------------------
IT SERVICES--0.2% 5,000 Automatic Data Processing, Inc. ........ 221,750
1,200 +Computer Sciences Corp. ............... 67,644
4,500 +SYKES Enterprises, Inc. ............... 31,275
5,400 +Unisys Corp. .......................... 54,972
------------
375,641
--------------------------------------------------------------------------------------------------
INDUSTRIAL 76,400 General Electric Co. ................... 2,788,600
CONGLOMERATES--1.4%
17,500 Tyco International Ltd. ................ 625,450
------------
3,414,050
--------------------------------------------------------------------------------------------------
INSURANCE--2.0% 14,400 ACE Ltd.(c)............................. 615,600
6,600 The Allstate Corp. ..................... 341,352
27,900 American International Group, Inc. ..... 1,832,193
6,300 Assurant, Inc. ......................... 192,465
2,800 Bristol West Holdings, Inc. ............ 56,000
3,000 Hartford Financial Services Group,
Inc. ................................. 207,930
4,800 Metlife, Inc. .......................... 194,448
2,400 Prudential Financial, Inc. ............. 131,904
19,422 The St. Paul Travelers Cos., Inc. ...... 719,973
2,200 UnumProvident Corp. .................... 39,468
4,800 XL Capital Ltd. Class A................. 372,720
------------
4,704,053
--------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & 37,700 +DoubleClick, Inc. ..................... 293,306
SERVICES--0.2%
25,000 +webMethods, Inc. ...................... 180,250
------------
473,556
--------------------------------------------------------------------------------------------------
</Table>
54
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONTINUED)
LEISURE EQUIPMENT & 1,800 Eastman Kodak Co. ...................... $ 58,050
PRODUCTS--0.0%
--------------------------------------------------------------------------------------------------
MACHINERY--0.0% 1,200 Deere & Co. ............................ 89,280
--------------------------------------------------------------------------------------------------
MEDIA--1.1% 20,745 +Comcast Corp. Class A.................. 690,394
9,220 +The DIRECTV Group, Inc. ............... 154,343
2,400 +EchoStar Communications Corp. Class
A..................................... 79,776
15,800 +Liberty Media Corp. Class A............ 173,484
2,456 +Liberty Media International, Inc. Class
A..................................... 113,541
4,853 +NTL, Inc. ............................. 354,075
17,300 +Time Warner, Inc. ..................... 336,312
22,955 Viacom, Inc. Class B.................... 835,332
------------
2,737,257
--------------------------------------------------------------------------------------------------
METALS & MINING--1.6% 35,700 +AK Steel Holding Corp. ................ 516,579
9,676 Alcoa, Inc. ............................ 304,020
13,284 +Aleris International, Inc. ............ 224,765
7,500 Arch Coal, Inc. ........................ 266,550
7,100 Consol Energy, Inc. .................... 291,455
8,200 Freeport-McMoRan Copper & Gold, Inc.
Class B............................... 313,486
25,800 +Inco Ltd. ............................. 948,924
38,500 +International Coal Group, Inc.(g) ..... 404,250
5,000 +International Steel Group, Inc. ....... 202,800
2,700 Newmont Mining Corp. ................... 119,907
2,400 Nucor Corp. ............................ 125,616
3,900 United States Steel Corp. .............. 199,875
------------
3,918,227
--------------------------------------------------------------------------------------------------
MULTI-UTILITIES & 17,400 +The AES Corp. ......................... 237,858
UNREGULATED
POWER--0.1%
--------------------------------------------------------------------------------------------------
OIL & GAS--3.7% 3,800 Amerada Hess Corp. ..................... 313,044
24,660 ChevronTexaco Corp. .................... 1,294,897
4,279 ConocoPhillips.......................... 371,545
5,374 Devon Energy Corp. ..................... 209,156
153,600 El Paso Corp. .......................... 1,597,440
19,708 Exxon Mobil Corp. ...................... 1,010,232
19,679 Kerr-McGee Corp. ....................... 1,137,249
19,600 Marathon Oil Corp. ..................... 737,156
2,300 +Newfield Exploration Co. .............. 135,815
3,900 Noble Energy, Inc. ..................... 240,474
12,300 Occidental Petroleum Corp. ............. 717,828
10,000 +Stone Energy Corp. .................... 450,900
10,800 Unocal Corp. ........................... 466,992
4,800 Williams Cos., Inc. .................... 78,192
------------
8,760,920
--------------------------------------------------------------------------------------------------
PAPER & FOREST 11,800 Bowater, Inc. .......................... 518,846
PRODUCTS--0.3%
6,600 Deltic Timber Corp. .................... 280,170
148 +Neenah Paper, Inc. .................... 4,825
------------
803,841
--------------------------------------------------------------------------------------------------
PERSONAL 3,600 The Gillette Co. ....................... 161,208
PRODUCTS--0.1%
--------------------------------------------------------------------------------------------------
PHARMACEUTICALS--2.4% 10,400 Abbott Laboratories..................... 485,160
20,900 Bristol-Myers Squibb Co. ............... 535,458
6,600 Eli Lilly & Co. ........................ 374,550
3,625 +IVAX Corp. ............................ 57,347
20,000 Johnson & Johnson....................... 1,268,400
19,600 Merck & Co., Inc........................ 629,944
58,650 Pfizer, Inc. ........................... 1,577,098
20,100 Schering-Plough Corp. .................. 419,688
1,300 +Watson Pharmaceuticals, Inc. .......... 42,653
7,300 Wyeth................................... 310,907
------------
5,701,205
--------------------------------------------------------------------------------------------------
</Table>
55
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONCLUDED)
REAL ESTATE--0.3% 8,400 Aames Investment Corp. ................. $ 89,880
2,600 Catellus Development Corp. ............. 79,560
1,200 Cedar Shopping Centers, Inc. ........... 17,160
16,255 Friedman Billings Ramsey Group, Inc.
Class A............................... 315,184
8,200 Provident Senior Living Trust(e)........ 131,200
------------
632,984
--------------------------------------------------------------------------------------------------
ROAD & RAIL--0.4% 7,500 CSX Corp. .............................. 300,600
7,800 +Swift Transportation Co., Inc. ........ 167,544
8,800 Union Pacific Corp. .................... 591,800
------------
1,059,944
--------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 25,150 +Agere Systems, Inc. Class A............ 34,455
SEMICONDUCTOR
EQUIPMENT--0.5%
62,719 +Agere Systems, Inc. Class B............ 84,671
629 +Freescale Semiconductor, Inc.
Class B............................... 11,548
24,600 Intel Corp. ............................ 575,394
43,100 +LSI Logic Corp. ....................... 236,188
43,700 +Lattice Semiconductor Corp. ........... 249,090
------------
1,191,346
--------------------------------------------------------------------------------------------------
SOFTWARE--2.1% 62,600 Computer Associates International,
Inc. ................................. 1,944,356
18,400 +Compuware Corp. ....................... 119,048
6,000 +Informatica Corp. ..................... 48,720
81,200 Microsoft Corp. ........................ 2,168,852
49,900 +Siebel Systems, Inc. .................. 523,950
3,200 +Veritas Software Corp. ................ 91,360
------------
4,896,286
--------------------------------------------------------------------------------------------------
SPECIALTY 7,400 Circuit City Stores, Inc. .............. 115,736
RETAIL--0.4%
6,100 Home Depot, Inc. ....................... 260,714
2,500 +Office Depot, Inc. .................... 43,400
20,600 +Toys R US, Inc. ....................... 421,682
------------
841,532
--------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & 32,700 +Unifi, Inc. ........................... 125,241
LUXURY GOODS--0.1%
--------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 2,350 Fannie Mae.............................. 167,343
FINANCE--0.1%
4,300 Washington Mutual, Inc.................. 181,804
------------
349,147
--------------------------------------------------------------------------------------------------
TOBACCO--0.3% 13,300 Altria Group, Inc....................... 812,630
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED STATES 70,557,657
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST--$101,449,341)--56.0% 133,843,469
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
MUTUAL FUNDS
- ---------------------------------------------------------------------------------------------------------------------
VIETNAM--0.0% DIVERSIFIED FINANCIAL 42,418 +Vietnam Enterprise Investments Ltd.
SERVICES--0.0% (Redeemable Shares)................... 53,023
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MUTUAL FUNDS
(COST--$50,000)--0.0% 53,023
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
PREFERRED STOCKS
- ---------------------------------------------------------------------------------------------------------------------
AUSTRALIA--0.2% COMMERCIAL BANKS--0.2% 12,200 National Australia Bank Ltd. (7.875%
Convertible) ......................... 462,868
- ---------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS IN AUSTRALIA 462,868
- ---------------------------------------------------------------------------------------------------------------------
UNITED DIVERSIFIED 3,698 McLeodUSA, Inc. Series A (7%
STATES--0.5% TELECOMMUNICATION Convertible).......................... 13,479
SERVICES--0.0%
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 8,000 XL Capital Ltd. (6.50% Convertible) .... 203,600
--------------------------------------------------------------------------------------------------
</Table>
56
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
COUNTRY INDUSTRY++ HELD PREFERRED STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONCLUDED)
THRIFTS & MORTGAGE 9 Fannie Mae (5.375% Convertible)......... $ 952,875
FINANCE--0.4%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS IN THE UNITED
STATES 1,169,954
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED STOCKS
(COST--$1,753,817)--0.7% 1,632,822
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
WARRANTS(D)
- ---------------------------------------------------------------------------------------------------------------------
JAPAN REAL ESTATE--0.1% 150,792 Marco Polo Investment Holdings
Limited............................... 75,396
- ---------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS IN JAPAN 75,396
- ---------------------------------------------------------------------------------------------------------------------
UNITED COMMUNICATIONS 6,168 Lucent Technologies, Inc. .............. 9,684
STATES--0.1% EQUIPMENT--0.0%
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 99,000 Foster Wheeler Ltd. Class B............. 69,300
ENGINEERING--0.0%
--------------------------------------------------------------------------------------------------
DIVERSIFIED 302 AboveNet, Inc. (expires 9/08/2008)...... 2,794
TELECOMMUNICATION
SERVICES--0.0%
355 AboveNet, Inc. (expires 9/08/2010) ..... 2,574
8,194 McLeodUSA Incorporated.................. 1,721
------------
7,089
--------------------------------------------------------------------------------------------------
TOTAL WARRANTS IN THE UNITED STATES 86,073
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN WARRANTS
(COST--$163,381)--0.1% 161,469
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
RIGHTS
- ---------------------------------------------------------------------------------------------------------------------
UNITED COMMERCIAL 20,500 Information Resources, Inc.(i).......... 19,475
STATES--0.0% SERVICES &
SUPPLIES--0.0%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN RIGHTS
(COST--$34,440)--0.0% 19,475
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
FACE
AMOUNT FIXED INCOME SECURITIES
- ---------------------------------------------------------------------------------------------------------------------
AUSTRALIA--0.5% FOOD PRODUCTS--0.1% US$ 300,000 Burns Philp & Co. Ltd., 10.75% due
2/15/2011............................. 337,500
--------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT A$ 1,300,000 Australia Government Bond Series 705,
OBLIGATIONS--0.4% 7.50% due 7/15/2005................... 1,031,223
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN
AUSTRALIA 1,368,723
- ---------------------------------------------------------------------------------------------------------------------
BRAZIL--0.2% FOOD PRODUCTS--0.1% US$ 150,000 Cosan SA Industria e Comercio, 9% due
11/01/2009(e)......................... 156,750
--------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT 350,000 Brazilian Government International Bond,
OBLIGATIONS--0.1% 8.25% due 1/20/2034................... 340,725
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN BRAZIL 497,475
- ---------------------------------------------------------------------------------------------------------------------
CANADA--0.1% WIRELESS
TELECOMMUNICATION Rogers Wireless Communications, Inc.(e):
SERVICES--0.1%
200,000 5.525% due 12/15/2010(b).............. 209,500
C$ 100,000 7.625% due 12/15/2011................. 87,009
------------
296,509
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN CANADA 296,509
- ---------------------------------------------------------------------------------------------------------------------
CAYMAN COMMERCIAL BANKS--0.1% Y 21,000,000 SMFG Finance Ltd., 2.55% due 7/11/2005
ISLANDS--0.2% (Convertible)......................... 471,357
--------------------------------------------------------------------------------------------------
OIL & GAS--0.1% US$ 120,000 Momenta/Cayman, 2.50% due 8/01/2007
(Convertible) (Regulation S).......... 121,350
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
CAYMAN ISLANDS 592,707
- ---------------------------------------------------------------------------------------------------------------------
CHILE--0.6% ELECTRIC 1,773,822 Empresa Electrica del Norte Grande
UTILITIES--0.6% SA/Chile, 4% due 11/05/2017........... 1,472,272
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN CHILE 1,472,272
- ---------------------------------------------------------------------------------------------------------------------
</Table>
57
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
COUNTRY INDUSTRY++ AMOUNT FIXED INCOME SECURITIES VALUE
- ---------------------------------------------------------------------------------------------------------------------
CHINA--0.1% INDUSTRIAL US$ 150,000 Hutchison Whampoa International Ltd.,
CONGLOMERATES--0.1% 5.45% due 11/24/2010.................. $ 155,221
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN CHINA 155,221
- ---------------------------------------------------------------------------------------------------------------------
EUROPE--3.4% COMMERCIAL
BANKS--3.4% European Investment Bank:
E 900,000 3.50% due 10/15/2005.................. 1,234,981
L 1,550,000 6.125% due 12/07/2005................. 3,016,334
E 1,400,000 4% due 1/15/2007...................... 1,956,565
1,325,000 3.55% due 4/15/2008................... 1,807,308
------------
8,015,188
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN EUROPE 8,015,188
- ---------------------------------------------------------------------------------------------------------------------
FRANCE--1.3% COMMERCIAL 1,050,000 ERAP, 2.875% due 7/12/2006.............. 1,437,778
BANKS--0.6%
--------------------------------------------------------------------------------------------------
CONTAINERS & US$ 470,000 Crown European Holdings SA, 10.875% due
PACKAGING--0.2% 3/01/2013............................. 555,775
--------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL E 375,000 Caisse d'Amortissement de la Dette
SERVICES--0.2% Sociale, 4% due 10/25/2014............ 520,625
--------------------------------------------------------------------------------------------------
OIL & GAS--0.2% L 200,000 Reseau Ferre de France, 6.625% due
3/29/2005............................. 385,772
--------------------------------------------------------------------------------------------------
SOFTWARE--0.1% Infogrames Entertainment SA
(Convertible):
E 183,300 1.50% due 7/01/2005................... 210,784
39,900 Series WW, 4% due 4/01/2009........... 33,315
------------
244,099
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN FRANCE 3,144,049
- ---------------------------------------------------------------------------------------------------------------------
GERMANY--3.8% COMMERCIAL BANKS--1.9%
KfW--Kreditanstalt fuer Wiederaufbau:
L 875,000 4.125% due 6/07/2006.................. 1,669,845
175,000 4.80% due 10/27/2006.................. 335,815
E 1,050,000 3.125% due 11/15/2006................. 1,443,405
750,000 4.25% due 7/04/2014................... 1,066,287
------------
4,515,352
--------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT 3,000,000 Deutsche Bundesrepublik Series 00, 5.25%
OBLIGATIONS--1.9% due 1/04/2011......................... 4,524,756
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN GERMANY 9,040,108
- ---------------------------------------------------------------------------------------------------------------------
INDIA--0.3% AUTOMOBILES--0.2% US$ 200,000 Tata Motors Ltd., 1% due 7/31/2008
(Convertible)(e)...................... 401,000
--------------------------------------------------------------------------------------------------
MEDIA--0.1% 230,000 Zee Telefilms Ltd, 0.50% due
4/29/2009............................. 236,604
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN INDIA 637,604
- ---------------------------------------------------------------------------------------------------------------------
ITALY--0.2% FOREIGN GOVERNMENT Y 50,000,000 Italy Government International Bond,
OBLIGATIONS--0.2% 0.375% due 10/10/2006................. 489,514
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN ITALY 489,514
- ---------------------------------------------------------------------------------------------------------------------
JAPAN--0.8% COMMERCIAL BANKS--0.6% 13,000,000 The Bank of Fukuoka Ltd. Series 2, 1.10%
due 9/28/2007 (Convertible)........... 181,837
38,000,000 The Bank of Kyoto Ltd. Series 1, 1.90%
due 9/30/2009 (Convertible)........... 535,022
75,000,000 International Bank for Reconstruction &
Development Series 670, 2% due
2/18/2008............................. 771,096
------------
1,487,955
--------------------------------------------------------------------------------------------------
TRADING COMPANIES & 35,000,000 Mitsubishi Corp., 0%* due 6/17/2011
DISTRIBUTORS--0.2% (Convertible)......................... 414,517
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN JAPAN 1,902,472
- ---------------------------------------------------------------------------------------------------------------------
LUXEMBOURG--0.1% INDUSTRIAL US$ 142,000 Tyco International Group SA, 2.75% due
CONGLOMERATES--0.1% 1/15/2018 (Convertible)(e)............ 225,070
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN
LUXEMBOURG 225,070
- ---------------------------------------------------------------------------------------------------------------------
MALAYSIA--0.3% FOREIGN GOVERNMENT MYR 2,250,000 Malaysia Government Bond Series 386X,
OBLIGATIONS--0.3% 8.60% due 12/01/2007.................. 683,567
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN
MALAYSIA 683,567
- ---------------------------------------------------------------------------------------------------------------------
</Table>
58
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
COUNTRY INDUSTRY++ AMOUNT FIXED INCOME SECURITIES VALUE
- ---------------------------------------------------------------------------------------------------------------------
MEXICO--0.2% CONTAINERS & US$ 225,000 Vitro Envases Norteamerica, 10.75% due
PACKAGING--0.1% 7/23/2011(e).......................... $ 233,438
--------------------------------------------------------------------------------------------------
OIL & GAS--0.1% L 120,000 Petroleos Mexicanos, 14.50% due
3/31/2006............................. 255,846
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN MEXICO 489,284
- ---------------------------------------------------------------------------------------------------------------------
NETHERLANDS--0.8% FOOD PRODUCTS--0.2% E 350,000 Royal Numico NV, 4.25% due 6/26/2005
(Convertible) (Regulation S).......... 478,116
--------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT 475,000 Netherlands Government Bond, 3.75% due
OBLIGATIONS--0.3% 7/15/2014............................. 649,820
--------------------------------------------------------------------------------------------------
SEMICONDUCTORS & US$ 100,000 ASM International NV, 4.25% due
SEMICONDUCTOR 12/06/2011(e) (Convertible)........... 105,375
EQUIPMENT--0.3%
E 550,000 Infineon Technologies Holding BV, 4.25%
due 2/06/2007 (Convertible)........... 760,147
------------
865,522
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
NETHERLANDS 1,993,458
- ---------------------------------------------------------------------------------------------------------------------
SOUTH WIRELESS US$ 350,000 LG Telecom Ltd, 8.25% due
KOREA--0.2% TELECOMMUNICATION 7/15/2009(e).......................... 379,416
SERVICES--0.2%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN SOUTH
KOREA 379,416
- ---------------------------------------------------------------------------------------------------------------------
SWEDEN--0.4% FOREIGN GOVERNMENT
OBLIGATIONS--0.4% Sweden Government Bond Series:
SEK 500,000 1040, 6.50% due 5/05/2008............. 83,547
4,375,000 3101, 4% due 12/01/2008............... 820,041
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN SWEDEN 903,588
- ---------------------------------------------------------------------------------------------------------------------
SWITZERLAND--0.1% INSURANCE--0.1% US$ 150,000 Swiss Life Finance Ltd., 2% due
5/20/2005 (Convertible)............... 168,000
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN
SWITZERLAND 168,000
- ---------------------------------------------------------------------------------------------------------------------
UNITED DIVERSIFIED
KINGDOM--0.4% TELECOMMUNICATION
SERVICES--0.4% Colt Telecom Group Plc:
E 500,000 2% due 3/29/2006...................... 773,073
175,000 2% due 4/03/2007 (Convertible)
(Regulation S)........................ 278,306
------------
1,051,379
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
UNITED KINGDOM 1,051,379
- ---------------------------------------------------------------------------------------------------------------------
UNITED AEROSPACE & US$ 90,000 GenCorp, Inc., 5.75% due 4/15/2007
STATES--3.5% DEFENSE--0.0% (Convertible)......................... 98,438
--------------------------------------------------------------------------------------------------
AIRLINES--0.0% 136,210 Northwest Airlines, Inc. Series
1999-3-B, 9.485% due 10/01/2016....... 96,649
--------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.2% Abgenix, Inc. (Convertible):
330,000 3.50% due 3/15/2007................... 327,938
120,000 1.75% due 12/15/2011(e)............... 129,750
------------
457,688
--------------------------------------------------------------------------------------------------
COMMUNICATIONS 155,000 Lucent Technologies, Inc., 8% due
EQUIPMENT--0.1% 8/01/2031 (Convertible)............... 172,438
--------------------------------------------------------------------------------------------------
CONSTRUCTION & 1,413,750 Foster Wheeler LLC Series A, 10.359% due
ENGINEERING--0.9% 9/15/2011............................. 1,519,781
376,000 J Ray McDermott SA, 11% due
12/15/2013(e)......................... 419,240
McDermott, Inc.:
100,000 7.84% due 4/04/2005................... 101,000
180,000 8.75% due 5/19/2023................... 181,800
------------
2,221,821
--------------------------------------------------------------------------------------------------
CONTAINERS & 220,000 Anchor Glass Container Corp., 11% due
PACKAGING--0.2% 2/15/2013............................. 235,400
225,000 Corning, Inc., 7% due 3/15/2007......... 225,000
150,000 Crown Cork & Seal Co., Inc., 7.50% due
12/15/2096............................ 127,500
------------
587,900
--------------------------------------------------------------------------------------------------
</Table>
59
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
COUNTRY INDUSTRY++ AMOUNT FIXED INCOME SECURITIES VALUE
- ---------------------------------------------------------------------------------------------------------------------
UNITED STATES
(CONCLUDED)
DIVERSIFIED FINANCIAL General Electric Capital Corp.:
SERVICES--0.3% Y 40,000,000 0.10% due 12/20/2005.................. $ 390,300
25,000,000 1.40% due 11/02/2006.................. 249,197
------------
639,497
--------------------------------------------------------------------------------------------------
DIVERSIFIED MCI, Inc.:
TELECOMMUNICATION US$ 337,000 5.908% due 5/01/2007.................. 345,004
SERVICES--0.3% 337,000 6.688% due 5/01/2009.................. 348,795
229,000 7.735% due 5/01/2014.................. 246,175
------------
939,974
--------------------------------------------------------------------------------------------------
GAS UTILITIES--0.0% 82,000 Aventine Renewable Energy Holdings,
Inc., 8.501% due 12/15/2011(b)(e)..... 82,820
--------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS 150,000 Beverly Enterprises, Inc., 7.875% due
& SERVICES--0.1% 6/15/2014(e).......................... 160,875
--------------------------------------------------------------------------------------------------
INSURANCE--0.1% 130,000 Crum & Forster Holdings Corp., 10.375%
due 6/15/2013......................... 144,950
--------------------------------------------------------------------------------------------------
MEDIA--0.1% 119,740 Avalon Cable LLC, 11.875% due
12/01/2008............................ 124,979
--------------------------------------------------------------------------------------------------
MULTI-UTILITIES & L 84,000 The AES Corp., 8.375% due 3/01/2011..... 170,948
UNREGULATED US$ 275,000 Calpine Corp., 7.625% due 4/15/2006..... 270,188
POWER--0.7% Calpine Generating Co. LLC(b):
720,000 5.756% due 4/01/2009.................. 738,000
400,000 7.756% due 4/01/2010.................. 391,000
------------
1,570,136
--------------------------------------------------------------------------------------------------
OIL & GAS--0.1% 125,000 McMoRan Exploration Co., 5.25% due
10/06/2011 (Convertible).............. 176,719
--------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 250,000 LSI Logic Corp., 4% due 11/01/2006
SEMICONDUCTOR (Convertible)......................... 247,198
EQUIPMENT--0.1%
--------------------------------------------------------------------------------------------------
SOFTWARE--0.1% 125,000 Computer Associates International, Inc.,
5% due 3/15/2007 (Convertible)(e)..... 161,406
--------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & 249,391 +Galey & Lord, Inc., Term, due
LUXURY GOODS--0.0% 9/05/2009(j).......................... 79,805
--------------------------------------------------------------------------------------------------
WIRELESS 350,000 Nextel Communications, Inc., 5.25% due
TELECOMMUNICATION 1/15/2010 (Convertible)............... 358,318
SERVICES--0.2%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES IN THE
UNITED STATES 8,321,611
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FIXED INCOME
SECURITIES (COST--$35,672,260)--17.5% 41,827,215
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT OBLIGATIONS
- ---------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes:
500,000 4% due 6/15/2009...................... 509,512
1,250,000 4.75% due 5/15/2014(c)................ 1,302,636
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN U.S. GOVERNMENT
OBLIGATIONS (COST--$1,750,361)--0.8% 1,812,148
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
BENEFICIAL
INTEREST OTHER INTERESTS(H)
- ---------------------------------------------------------------------------------------------------------------------
UNITED DIVERSIFIED 500,000 AboveNet, Inc.. (Litigation Trust
STATES--0.0% TELECOMMUNICATION Certificates)......................... 0
SERVICES--0.0%
1,000,000 WilTel Communications Group, Inc.
(Litigation Trust Certificates)....... 0
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN OTHER INTERESTS
(COST--$0)--0.0% 0
- ---------------------------------------------------------------------------------------------------------------------
</Table>
60
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
COUNTRY AMOUNT SHORT-TERM SECURITIES VALUE
- ---------------------------------------------------------------------------------------------------------------------
SINGAPORE--0.2% TIME DEPOSITS--0.2% S$ 720,533 Singapore Time Deposit, 1.27% due
1/07/2005............................. $ 441,395
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES IN SINGAPORE 441,395
- ---------------------------------------------------------------------------------------------------------------------
UNITED FOREIGN COMMERCIAL L 600,000 General Electric Capital Corporation,
KINGDOM--0.5% PAPER**--0.5% 4.77% due 1/14/2005................... 1,149,914
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES IN THE
UNITED KINGDOM 1,149,914
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
BENEFICIAL
INTEREST
- ---------------------------------------------------------------------------------------------------------------------
UNITED
STATES--17.4%
US$ 41,632,810 Merrill Lynch Liquidity Series, LLC Cash
Sweep Series I(f)..................... 41,632,810
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES IN THE
UNITED STATES 41,632,810
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES (COST--$43,228,087)--18.1% 43,224,119
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$184,101,687)--93.2% 222,573,740
- ---------------------------------------------------------------------------------------------------------------------
<Caption>
NUMBER OF
CONTRACTS CALL OPTIONS WRITTEN
- ---------------------------------------------------------------------------------------------------------------------
3Com Corp.:
103 expiring January 2005 at USD 5, Broker
UBS Warburg........................... (515)
60 expiring January 2006 at USD 5, Broker
UBS Warburg........................... (3,900)
80 Andrx Corp., expiring June 2005 at USD
17.5, Broker Citigroup Global
Markets............................... (44,000)
74 Circuit City Stores, Inc.,
expiring January 2005 at USD 12.5,
Broker Morgan Stanley................. (24,420)
50 Computer Associates International, Inc.,
expiring February 2005 at USD 25,
Broker
Morgan Stanley........................ (31,500)
110 Compuware Corp.,
expiring February 2005 at USD 5,
Broker Deutsche Bank.................. (17,050)
Corinthian Colleges, Inc.:
125 expiring February 2005 at USD 10,
Broker Credit Suisse First Boston..... (113,750)
100 expiring February 2005 at USD 10,
Broker
UBS Warburg........................... (91,000)
64 expiring May 2005 at USD 15, Broker
UBS Warburg........................... (30,720)
47 expiring January 2006 at USD 15,
Broker Deutsche Bank.................. (27,730)
47 expiring January 2006 at USD 20,
Broker
UBS Warburg........................... (16,450)
DoubleClick, Inc.:
126 expiring January 2005 at USD 5, Broker
Credit Suisse First Boston............ (37,170)
125 expiring January 2005 at USD 5, Broker
Deutsche Bank......................... (36,875)
60 Informatica Corp., expiring March 2005
at USD 5, Broker Deutsche Bank........ (19,800)
100 Intel Corp., expiring April 2005 at USD
20, Broker Deutsche Bank.............. (39,000)
</Table>
61
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF
CONTRACTS CALL OPTIONS WRITTEN VALUE
- ---------------------------------------------------------------------------------------------------------------------
LSI Logic Corp.:
371 expiring January 2005 at USD 5, Broker
UBS Warburg........................... $ (22,260)
60 expiring January 2005 at USD 5, Broker
Wachovia Securities................... (3,600)
Lucent Technologies, Inc.:
76 expiring January 2005 at USD 5, Broker
Citigroup Global Markets.............. (380)
105 expiring January 2005 at USD 5, Broker
Credit Suisse First Boston............ (525)
51 Maytag Corp., expiring January 2005 at
USD 25, Broker Credit Suisse First
Boston................................ (765)
McDermott International, Inc.:
18 expiring February 2005 at USD 10,
Broker Citigroup Global Markets....... (15,300)
47 expiring February 2005 at USD 10,
Broker Deutsche Bank.................. (39,950)
40 expiring February 2005 at USD 12.5,
Broker Citigroup Global Markets....... (24,400)
19 expiring May 2005 at USD 12.5, Broker
Deutsche Bank......................... (12,160)
20 expiring May 2005 at USD 15, Broker
UBS Warburg........................... (8,600)
28 expiring May 2005 at USD 17.5, Broker
UBS Warburg........................... (7,420)
24 Merck & Co., Inc., expiring January 2006
at USD 27.5, Broker Morgan Stanley.... (14,160)
Nokia Oyj:
65 expiring January 2005 at USD 12.5,
Broker Citigroup Global Markets....... (21,450)
70 expiring January 2005 at USD 12.5,
Broker Morgan Stanley................. (23,100)
51 expiring January 2005 at USD 15,
Broker
Morgan Stanley........................ (4,845)
Nortel Networks Corp.:
450 expiring January 2005 at USD 5, Broker
UBS Warburg........................... (2,250)
254 expiring January 2006 at USD 2.5,
Broker
Morgan Stanley........................ (33,020)
601 expiring January 2006 at USD 2.5,
Broker
UBS Warburg........................... (78,130)
Quanta Services, Inc.:
28 expiring May 2005 at USD 7.5, Broker
Deutsche Bank......................... (3,640)
19 expiring January 2006 at USD 10,
Broker
Morgan Stanley........................ (1,900)
36 expiring January 2006 at USD 10,
Broker
UBS Warburg........................... (3,600)
Siebel Systems, Inc.:
124 expiring February 2005 at USD 7.5,
Broker Citigroup Global Markets....... (38,440)
250 expiring January 2006 at USD 7.5,
Broker Citigroup Global Markets....... (95,000)
105 Tenet Healthcare Corp., expiring January
2005 at USD 10, Broker Morgan
Stanley............................... (11,550)
25 Toys R US, Inc.:
expiring January 2005 at USD 15,
Broker
Morgan Stanley........................ (14,250)
</Table>
62
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF
CONTRACTS OPTIONS WRITTEN VALUE
- ---------------------------------------------------------------------------------------------------------------------
48 Toys R US, Inc. (concluded):
expiring March 2005 at USD 15, Broker
Morgan Stanley........................ $ (27,360)
51 Tyson Foods, Inc. Class A, expiring
January 2005 at USD 17.5, Broker
Morgan Stanley........................ (5,355)
240 webMethods, Inc., expiring January 2005
at USD 5, Broker Citigroup Global
Markets............................... (52,800)
--------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN OPTIONS WRITTEN
(PREMIUMS RECEIVED--$650,709)--(0.5%) (1,100,090)
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, NET OF OPTIONS
WRITTEN (COST--$183,450,978***)--92.7% 221,473,650
OTHER ASSETS LESS LIABILITIES--7.3% 17,349,044
------------
NET ASSETS--100.0% $238,822,694
============
- ---------------------------------------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
++ For Portfolio compliance purposes, "Industry" 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.
* Represents a zero coupon; the interest rate shown reflects the effective
yield at the time of purchase by the Portfolio.
** 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.
*** The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as
follows:
<Table>
- --------------------------------------------------------------------------
Aggregate cost, net of options written...................... $183,990,027
============
Gross unrealized appreciation............................... $ 43,013,860
Gross unrealized depreciation............................... (5,530,237)
------------
Net unrealized appreciation................................. $ 37,483,623
============
- --------------------------------------------------------------------------
</Table>
(a) Depositary Receipts.
(b) Floating rate note.
(c) All or a portion of security held as collateral in connection with open
financial futures contracts.
(d) 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.
(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) were as follows:
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------
INTEREST/DIVIDEND
AFFILIATE NET ACTIVITY INCOME
- -----------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $8,327,267 $599,620
Merrill Lynch Liquidity Series, LLC Money Market Series $ (139,124) $ 757
Merrill Lynch Premier Institutional Fund (46,376) $ 223
- -----------------------------------------------------------------------------------------------
</Table>
(g) Restricted securities as to resale.
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------
ISSUE ACQUISITION DATE(S) COST VALUE
- ------------------------------------------------------------------------------------------------------------
International Coal Group, Inc. 12/06/2004 - 12/14/2004 $394,350 $404,250
Koninklijke Ahold NV* 12/11/2003 71,639 89,006
- ------------------------------------------------------------------------------------------------------------
TOTAL................................................................................. $465,989 $493,256
======== ========
- ------------------------------------------------------------------------------------------------------------
</Table>
* Depositary receipts.
(h) Other interest represents beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(i) The rights entitle the holder to potential cash distributions pending
litigation settlement.
63
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Allocation Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
(j) Floating rate corporate debt in which the Portfolio invests generally pays
interest at rates that are periodically predetermined by reference to a base
lending rate plus a premium. These base lending rates are generally (i) the
lending rate offered by one or more major European banks, such as LIBOR
(London InterBank Offered Rate), (ii) the prime rate offered by one or more
major U.S. banks or (iii) the certificate of deposit rate.
Financial futures contracts purchased as of December 31, 2004 were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------
NUMBER OF FACE UNREALIZED
CONTRACTS ISSUE EXCHANGE EXPIRATION DATE VALUE APPRECIATION
- ----------------------------------------------------------------------------------
15 FTSE LIFFE March 2005 $1,359,689 $ 21,920
28 Nikkei 225 Index OSAKA March 2005 $2,975,378 $161,540
- ----------------------------------------------------------------------------------
TOTAL UNREALIZED APPRECIATION--NET..................... $183,460
========
- ----------------------------------------------------------------------------------
</Table>
Financial futures contracts sold as of December 31, 2004 were as follows:
<Table>
<Caption>
- --------------------------------------------------------------------------------------
NUMBER OF FACE UNREALIZED
CONTRACTS ISSUE EXCHANGE EXPIRATION DATE VALUE DEPRECIATION
- --------------------------------------------------------------------------------------
24 DJ Euro Stoxx 50 Euronext Paris March 2005 $972,816 $(11,120)
3 S&P 500 Index NYSE March 2005 $923,374 $(13,099)
- --------------------------------------------------------------------------------------
TOTAL UNREALIZED DEPRECIATION--NET...................................... $(24,219)
========
- --------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Summary of Fund's Overall Asset Mix
As of December 31, 2004 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF FUND'S REFERENCE PORTFOLIO+
NET ASSETS PERCENTAGES
- ------------------------------------------------------------------------------------------------------
U.S. Equities............................................... 28.8%* 36.0%
European Equities........................................... 8.6 14.4
Pacific Basin Equities...................................... 17.1 7.4
Other Equities.............................................. 2.4 2.2
TOTAL EQUITIES.............................................. 56.9 60.0
U.S. Dollar Denominated Fixed Income Securities............. 8.5 24.0
U.S. Issuer............................................... 4.3 --
Non-U.S. Issuer........................................... 4.2 --
Non-U.S. Dollar Denominated Fixed Income Securities......... 10.5 16.0
TOTAL FIXED INCOME SECURITIES............................... 19.0 40.0
CASH & CASH EQUIVALENTS..................................... 24.1** --
- ------------------------------------------------------------------------------------------------------
</Table>
* Includes value of financial futures contracts.
** Cash & Cash Equivalents are reduced by the market (or nominal) value of
long financial futures contracts.
+ The unmanaged Reference Portfolio is an unmanaged weighted index comprised
as follows: 36% of the 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.).
64
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY+ AMOUNT CORPORATE BONDS VALUE
- -----------------------------------------------------------------------------------------------------
AEROSPACE & $ 250,000 DRS Technologies, Inc., 6.875% due
DEFENSE--2.2% 11/01/2013............................ $ 261,250
250,000 K&F Acquisition, Inc., 7.75% due
11/15/2014(e)......................... 258,125
250,000 Standard Aero Holdings, Inc., 8.25% due
9/01/2014(e).......................... 270,000
500,000 Transdigm, Inc., 8.375% due 7/15/2011... 536,250
550,000 Vought Aircraft Industries, Inc., 8% due
7/15/2011............................. 534,875
-----------
1,860,500
- -----------------------------------------------------------------------------------------------------
AIRLINES--2.5% 750,000 American Airlines, Inc. Series 2001-2,
7.80% due 4/01/2008................... 686,486
1,143,884 Continental Airlines, Inc. Series
2001-1, 7.033% due 6/15/2011.......... 941,496
1,000,000 Delta Air Lines, Inc., 8.30% due
12/15/2029............................ 485,000
-----------
2,112,982
- -----------------------------------------------------------------------------------------------------
AUTOMOTIVE--3.0% 250,000 Advanced Accessory Systems LLC, 10.75%
due 6/15/2011......................... 237,500
250,000 Asbury Automotive Group, Inc., 8% due
3/15/2014............................. 247,500
750,000 Autocam Corp., 10.875% due 6/15/2014.... 742,500
250,000 Keystone Automotive Operations, Inc.,
9.75% due 11/01/2013.................. 267,500
Metaldyne Corp.:
417,000 11% due 6/15/2012..................... 346,110
325,000 10% due 11/01/2013(e)................. 308,750
Tenneco Automotive, Inc.:
250,000 8.625% due 11/15/2014(e).............. 260,000
125,000 Series B, 10.25% due 7/15/2013........ 147,500
150,000 Venture Holdings Co. LLC, 11% due
6/01/2007(c).......................... 3,000
-----------
2,560,360
- -----------------------------------------------------------------------------------------------------
BROADCASTING--1.9% 250,000 CanWest Media, Inc., 8% due
9/15/2012(e).......................... 268,125
250,000 Entercom Radio LLC, 7.625% due
3/01/2014............................. 269,063
250,000 Granite Broadcasting Corp., 9.75% due
12/01/2010............................ 238,750
500,000 Nextmedia Operating, Inc., 10.75% due
7/01/2011............................. 560,000
250,000 Young Broadcasting, Inc., 8.50% due
12/15/2008............................ 267,500
-----------
1,603,438
- -----------------------------------------------------------------------------------------------------
CABLE--INTERNATIONAL--0.3% 250,000 NTL Cable Plc, 8.75% due 4/15/2014(e)... 281,875
- -----------------------------------------------------------------------------------------------------
CABLE--U.S.--2.2% 110,287 Avalon Cable LLC, 11.875% due
12/01/2008............................ 115,112
500,000 Charter Communications Holdings LLC, 10%
due 5/15/2011......................... 427,500
500,000 Charter Communications Holdings II LLC,
10.25% due 9/15/2010.................. 530,000
250,000 Inmarsat Finance Plc, 7.625% due
6/30/2012............................. 260,000
250,000 New Skies Satellites NV, 9.125% due
11/01/2012(e)......................... 255,000
250,000 Rainbow National Services LLC, 8.75% due
9/01/2012(e).......................... 274,375
-----------
1,861,987
- -----------------------------------------------------------------------------------------------------
CHEMICALS--4.9% 425,000 BCP Caylux Holdings Luxembourg SCA,
9.625% due 6/15/2014(e)............... 479,187
250,000 Crompton Corp., 9.875% due
8/01/2012(e).......................... 286,250
900,000 Huntsman International LLC, 9.875% due
3/01/2009............................. 987,750
250,000 INVISTA, 9.25% due 5/01/2012(e)......... 278,750
250,000 Innophos, Inc., 8.875% due
8/15/2014(e).......................... 270,000
NalCo. Co.:
250,000 7.75% due 11/15/2011.................. 270,000
250,000 8.875% due 11/15/2013................. 274,375
500,000 Omnova Solutions, Inc., 11.25% due
6/01/2010............................. 562,500
Rockwood Specialties Group, Inc.:
400,000 10.625% due 5/15/2011................. 460,000
250,000 7.50% due 11/15/2014(e)............... 259,375
-----------
4,128,187
- -----------------------------------------------------------------------------------------------------
CONSUMER-- 250,000 Simmons Bedding Co., 7.875% due
DURABLES--0.3% 1/15/2014............................. 258,750
- -----------------------------------------------------------------------------------------------------
CONSUMER--NON- 250,000 American Achievement Corp., 8.25% due
DURABLES--3.5% 4/01/2012............................. 259,375
500,000 Chattem, Inc., 7% due 3/01/2014......... 515,000
250,000 Church & Dwight Co., Inc., 6% due
12/15/2012(e)......................... 254,375
250,000 Elizabeth Arden, Inc., 7.75% due
1/15/2014............................. 265,000
250,000 Hines Nurseries, Inc., 10.25% due
10/01/2011............................ 273,125
250,000 K2, Inc., 7.375% due 7/01/2014(e)....... 273,750
250,000 North Atlantic Trading Co., 9.25% due
3/01/2012............................. 211,250
</Table>
65
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY+ AMOUNT CORPORATE BONDS VALUE
- -----------------------------------------------------------------------------------------------------
CONSUMER--NON-DURABLES $ 500,000 Playtex Products, Inc., 8% due
(CONCLUDED) 3/01/2011............................. $ 546,250
100,000 Riddell Bell Holdings, Inc., 8.375% due
10/01/2012(e)......................... 103,500
250,000 United Industries Corp. Series D, 9.875%
due 4/01/2009......................... 261,563
-----------
2,963,188
- -----------------------------------------------------------------------------------------------------
DIVERSIFIED MEDIA--8.3% 250,000 Advertising Directory Solutions, Inc.,
9.25% due 11/15/2012(e)............... 262,500
250,000 Cadmus Communications Corp., 8.375% due
6/15/2014............................. 272,187
525,000 Cenveo Corp., 7.875% due 12/01/2013..... 488,250
Dex Media East LLC:
250,000 9.875% due 11/15/2009................. 284,688
284,000 12.125% due 11/15/2012................ 346,125
250,000 Dex Media, Inc., 8% due 11/15/2013...... 270,625
Dex Media West LLC:
725,000 8.50% due 8/15/2010................... 806,563
244,000 9.875% due 8/15/2013.................. 281,210
250,000 Houghton Mifflin Co., 8.25% due
2/01/2011............................. 266,250
500,000 Liberty Media Corp., 0.75% due
3/30/2023............................. 601,875
250,000 Nebraska Book Co., Inc., 8.625% due
3/15/2012............................. 256,250
180,000 PEI Holdings, Inc., 11% due 3/15/2010... 209,700
1,500,000 Primedia, Inc., 7.625% due 4/01/2008.... 1,518,750
250,000 Universal City Florida Holding Co. I/II,
8.375% due 5/01/2010(e)............... 259,375
500,000 WDAC Subsidiary Corp., 8.375% due
12/01/2014(e)......................... 493,125
321,000 Yell Finance BV, 10.75% due 8/01/2011... 370,755
-----------
6,988,228
- -----------------------------------------------------------------------------------------------------
ENERGY--EXPLORATION & 250,000 Belden & Blake Corp., 8.75% due
PRODUCTION--1.6% 7/15/2012(e).......................... 253,750
250,000 Encore Acquisition Co., 6.25% due
4/15/2014............................. 251,250
500,000 Plains Exploration & Production Co.
Series B, 8.75% due 7/01/2012......... 558,750
250,000 Stone Energy Corp., 6.75% due
12/15/2014(e)......................... 249,375
-----------
1,313,125
- -----------------------------------------------------------------------------------------------------
ENERGY--OTHER--6.7% 250,000 Aventine Renewable Energy Holdings,
Inc., 8.501% due 12/15/2011(e)(f)..... 252,500
250,000 Dresser-Rand Group, Inc., 7.375% due
11/01/2014(e)......................... 255,000
1,381,000 Energy Corp. of America Series A, 9.50%
due 5/15/2007......................... 1,318,855
500,000 North American Energy Partners, Inc.,
8.75% due 12/01/2011.................. 510,000
625,000 Ocean Rig Norway AS, 10.25% due
6/01/2008............................. 643,750
500,000 Pacific Energy Partners LP, 7.125% due
6/15/2014............................. 532,500
500,000 SESI LLC, 8.875% due 5/15/2011.......... 547,500
750,000 Star Gas Partners LP, 10.25% due
2/15/2013............................. 821,250
750,000 Suburban Propane Partners LP, 6.875% due
12/15/2013............................ 765,000
-----------
5,646,355
- -----------------------------------------------------------------------------------------------------
FINANCIAL--1.0% 250,000 Fairfax Financial Holdings Ltd, 7.75%
due 4/26/2012......................... 255,000
500,000 Refco Finance Holdings LLC, 9% due
8/01/2012(e).......................... 547,500
-----------
802,500
- -----------------------------------------------------------------------------------------------------
FOOD & DRUG--0.3% 250,000 Duane Reade, Inc., 7.01% due
12/15/2010(e)(f)...................... 253,750
- -----------------------------------------------------------------------------------------------------
FOOD & TOBACCO--3.3% 250,000 American Seafoods Group LLC, 10.125% due
4/15/2010............................. 268,750
131,867 Archibald Candy Corp., 10% due
11/01/2007(c)......................... 1,319
200,000 Commonwealth Brands, Inc., 9.75% due
4/15/2008(e).......................... 210,000
200,000 Cosan SA Industria e Comercio, 9% due
11/01/2009(e)......................... 209,000
500,000 Doane Pet Care Co., 10.75% due
3/01/2010............................. 535,000
250,000 Dole Food Co., Inc., 8.875% due
3/15/2011............................. 271,875
26,000 Domino's, Inc., 8.25% due 7/01/2011..... 28,405
250,000 Merisant Co., 9.50% due 7/15/2013(e).... 222,500
500,000 Smithfield Foods, Inc. Series B, 8% due
10/15/2009............................ 553,750
550,000 Tabletop Holdings, Inc., 12.25% due
5/15/2014(d)(e)....................... 233,750
250,000 The Wornick Co., 10.875% due
7/15/2011............................. 271,250
-----------
2,805,599
- -----------------------------------------------------------------------------------------------------
GAMING--3.5% 250,000 Boyd Gaming Corp., 7.75% due
12/15/2012............................ 272,812
250,000 Choctaw Resort Development Enterprise,
7.25% due 11/15/2019(e)............... 252,500
300,000 Herbst Gaming, Inc., 7% due
11/15/2014(e)......................... 303,750
250,000 Majestic Star Casino LLC, 9.50% due
10/15/2010............................ 265,000
500,000 Pinnacle Entertainment, Inc., 8.75% due
10/01/2013............................ 541,250
200,000 Poster Financial Group, Inc., 8.75% due
12/01/2011............................ 205,500
</Table>
66
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY+ AMOUNT CORPORATE BONDS VALUE
- -----------------------------------------------------------------------------------------------------
GAMING (CONCLUDED) $ 250,000 Premier Entertainment Biloxi LLC, 10.75%
due 2/01/2012......................... $ 273,125
250,000 River Rock Entertainment Authority,
9.75% due 11/01/2011.................. 280,313
575,000 Wynn Las Vegas LLC, 6.625% due
12/01/2014(e)......................... 569,250
-----------
2,963,500
- -----------------------------------------------------------------------------------------------------
HEALTH CARE--2.0% 250,000 Concentra Operating Corp., 9.125% due
6/01/2012(e).......................... 282,500
250,000 Tenet Healthcare Corp., 9.875% due
7/01/2014(e).......................... 272,500
375,000 Triad Hospitals, Inc., 7% due
11/15/2013............................ 383,438
VWR International, Inc.:
250,000 6.875% due 4/15/2012.................. 261,250
250,000 8% due 4/15/2014...................... 266,875
250,000 Vanguard Health Holding Co. II LLC, 9%
due 10/01/2014(e)..................... 267,500
-----------
1,734,063
- -----------------------------------------------------------------------------------------------------
HOUSING--2.9% Building Materials Corp. of America:
300,000 7.75% due 7/15/2005................... 305,250
250,000 7.75% due 8/01/2014(e)................ 252,187
500,000 Forest City Enterprises, Inc., 7.625%
due 6/01/2015......................... 530,000
Goodman Global Holding Co., Inc.(e):
250,000 5.76% due 6/15/2012(f)................ 253,750
250,000 7.875% due 12/15/2012................. 247,500
250,000 MAAX Corp., 9.75% due 6/15/2012(e)...... 264,375
325,000 THL Buildco, Inc., 8.50% due
9/01/2014(e).......................... 339,625
250,000 US Concrete, Inc., 8.375% due
4/01/2014............................. 269,375
-----------
2,462,062
- -----------------------------------------------------------------------------------------------------
INFORMATION 500,000 Advanced Micro Devices, Inc., 7.75% due
TECHNOLOGY--2.2% 11/01/2012(e)......................... 520,625
250,000 Amkor Technology, Inc., 7.125% due
3/15/2011............................. 235,000
MagnaChip SemiConductor SA(e):
250,000 5.78% due 12/15/2011(f)............... 256,875
250,000 8% due 12/15/2014..................... 260,625
625,000 Viasystems, Inc., 10.50% due
1/15/2011............................. 612,500
-----------
1,885,625
- -----------------------------------------------------------------------------------------------------
LEISURE--3.4% 492,000 Felcor Lodging LP, 9% due 6/01/2011..... 557,190
1,000,000 Host Marriott LP, 7.125% due
11/01/2013............................ 1,068,750
500,000 John Q Hammons Hotels LP, Series B,
8.875% due 5/15/2012.................. 565,000
750,000 True Temper Sports, Inc., 8.375% due
9/15/2011............................. 697,500
-----------
2,888,440
- -----------------------------------------------------------------------------------------------------
MANUFACTURING--9.0% 250,000 Altra Industrial Motion, Inc., 9% due
12/01/2011(e)......................... 253,750
250,000 Blount, Inc., 8.875% due 8/01/2012...... 271,250
400,000 Douglas Dynamics LLC, 7.75% due
1/15/2012(e).......................... 405,500
250,000 ERICO International Corp., 8.875% due
3/01/2012............................. 262,500
325,000 FastenTech, Inc., 11.50% due
5/01/2011(e).......................... 373,750
250,000 Invensys Plc, 9.875% due 3/15/2011(e)... 268,750
250,000 Itron, Inc., 7.75% due 5/15/2012(e)..... 254,375
500,000 JLG Industries, Inc., 8.25% due
5/01/2008............................. 540,000
350,000 Mueller Group, Inc., 10% due
5/01/2012............................. 381,500
250,000 NSP Holdings LLC, 11.75% due
1/01/2012(a)(e)....................... 252,500
500,000 Propex Fabrics, Inc., 10% due
12/01/2012(e)......................... 518,750
250,000 Rexnord Corp., 10.125% due 12/15/2012... 282,500
700,000 SPX Corp., 7.50% due 1/01/2013.......... 759,500
500,000 Sensus Metering Systems, Inc., 8.625%
due 12/15/2013........................ 512,500
500,000 Superior Essex Communications LLC, 9%
due 4/15/2012......................... 515,000
650,000 Trimas Corp., 9.875% due 6/15/2012...... 689,000
825,000 Trinity Industries, Inc., 6.50% due
3/15/2014............................. 825,000
250,000 Valmont Industries, Inc., 6.875% due
5/01/2014............................. 260,000
-----------
7,626,125
- -----------------------------------------------------------------------------------------------------
METAL--OTHER--0.7% 400,000 Foundation PA Coal Co., 7.25% due
8/01/2014(e).......................... 426,000
125,000 Luscar Coal Ltd, 9.75% due 10/15/2011... 141,875
-----------
567,875
- -----------------------------------------------------------------------------------------------------
PACKAGING--7.2% 250,000 Berry Plastics Corp., 10.75% due
7/15/2012............................. 286,250
Crown European Holdings SA:
250,000 9.50% due 3/01/2011................... 285,000
250,000 10.875% due 3/01/2013................. 295,625
</Table>
67
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY+ AMOUNT CORPORATE BONDS VALUE
- -----------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc.(e):
$ 250,000 8.50% due 10/15/2012.................. $ 262,500
250,000 9.875% due 10/15/2014................. 266,875
500,000 Owens-Brockway, 8.25% due 5/15/2013..... 550,000
525,000 Plastipak Holdings, Inc., 10.75% due
9/01/2011............................. 590,625
1,000,000 Pliant Corp., 11.125% due
6/15/2009(d).......................... 923,750
350,000 Portola Packaging, Inc., 8.25% due
2/01/2012............................. 276,500
Tekni-Plex, Inc.:
1,000,000 12.75% due 6/15/2010.................. 950,000
750,000 8.75% due 11/15/2013(e)............... 746,250
US Can Corp.:
250,000 10.875% due 7/15/2010................. 265,000
150,000 12.375% due 10/01/2010................ 144,000
250,000 Wise Metals Group LLC, 10.25% due
5/15/2012............................. 252,500
-----------
6,094,875
- -----------------------------------------------------------------------------------------------------
PAPER--3.1% 250,000 Ainsworth Lumber Co. Ltd, 7.25% due
10/01/2012(e)......................... 254,375
Boise Cascade LLC(e):
250,000 5.005% due 10/15/2012(f).............. 259,375
250,000 7.125% due 10/15/2014................. 264,375
250,000 Cascades, Inc., 7.25% due
2/15/2013(e).......................... 265,000
750,000 Jefferson Smurfit Corp. US, 8.25% due
10/01/2012............................ 817,500
500,000 Norske Skog Canada Ltd. Series D, 8.625%
due 6/15/2011......................... 536,250
250,000 Stone Container Finance, 7.375% due
7/15/2014............................. 266,250
-----------
2,663,125
- -----------------------------------------------------------------------------------------------------
SERVICES--4.8% 250,000 Allied Waste North America Series B,
7.375% due 4/15/2014.................. 239,375
2,403,161 Anthony Crane Rental LP, 9.375% due
2/01/2008(a)(c)....................... 36,047
250,000 Buhrmann US, Inc., 8.25% due
7/01/2014............................. 252,812
200,000 Casella Waste Systems, Inc., 9.75% due
2/01/2013............................. 221,000
250,000 Corrections Corp. of America, 7.50% due
5/01/2011............................. 267,187
500,000 The Geo Group, Inc., 8.25% due
7/15/2013............................. 535,000
500,000 Great Lakes Dredge & Dock Corp., 7.75%
due 12/15/2013........................ 455,000
250,000 MSW Energy Finance Co. II, Inc., 7.375%
due 9/01/2010......................... 262,500
United Rentals North America, Inc.:
250,000 6.50% due 2/15/2012................... 243,750
1,000,000 7% due 2/15/2014...................... 935,000
350,000 Waste Services, Inc., 9.50% due
4/15/2014(e).......................... 348,250
250,000 Williams Scotsman, Inc., 10% due
8/15/2008............................. 277,500
-----------
4,073,421
- -----------------------------------------------------------------------------------------------------
STEEL--1.6% 400,000 CSN Islands VIII Corp., 9.75% due
12/16/2013(e)......................... 428,000
250,000 Gerdau Ameristeel Corp., 10.375% due
7/15/2011............................. 293,125
250,000 Ucar Finance, Inc., 10.25% due
2/15/2012............................. 285,625
325,000 United States Steel Corp., 9.75% due
5/15/2010............................. 370,500
-----------
1,377,250
- -----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS--2.5% 100,000 Alaska Communications Systems Holdings,
Inc., 9.875% due 8/15/2011............ 107,500
Cincinnati Bell, Inc.:
500,000 7.25% due 7/15/2013................... 513,750
500,000 8.375% due 1/15/2014.................. 506,250
500,000 Qwest Communications International,
7.50% due 2/15/2014(e)................ 505,000
500,000 Tele Norte Leste Participacoes SA Series
B, 8% due 12/18/2013.................. 515,000
-----------
2,147,500
- -----------------------------------------------------------------------------------------------------
TRANSPORTATION--1.0% 250,000 OMI Corp., 7.625% due 12/01/2013........ 267,500
500,000 Overseas Shipholding Group, 8.25% due
3/15/2013............................. 556,250
-----------
823,750
- -----------------------------------------------------------------------------------------------------
UTILITY--6.3% The AES Corp.:
94,000 8.75% due 6/15/2008................... 102,930
206,000 8.875% due 2/15/2011.................. 235,355
1,250,000 Calpine Corp., 8.625% due 8/15/2010..... 956,250
874,000 ESI Tractebel Acquisition Corp. Series
B, 7.99% due 12/30/2011............... 922,975
200,000 Electricidad de Caracas Finance BV,
10.25% due 10/15/2014(e).............. 209,500
350,000 NRG Energy, Inc., 8% due
12/15/2013(e)......................... 381,500
250,000 NorthWestern Corp., 5.875% due
11/01/2014(e)......................... 255,743
1,000,000 Nevada Power Co., 9% due 8/15/2013...... 1,170,000
</Table>
68
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
INDUSTRY+ AMOUNT CORPORATE BONDS VALUE
- -----------------------------------------------------------------------------------------------------
UTILITY (CONCLUDED) $ 300,000 Reliant Energy, Inc., 6.75% due
12/15/2014............................ $ 298,125
500,000 SEMCO Energy, Inc., 7.75% due
5/15/2013............................. 549,063
250,000 Southern Natural Gas Co., 8.875% due
3/15/2010............................. 280,000
-----------
5,361,441
- -----------------------------------------------------------------------------------------------------
WIRELESS 56,000 American Tower Corp., 9.375% due
COMMUNICATIONS--2.6% 2/01/2009............................. 59,220
425,000 American Towers, Inc., 7.25% due
12/01/2011............................ 450,500
275,000 Centennial Cellular Operating Co.,
10.125% due 6/15/2013................. 308,687
250,000 Dobson Cellular Systems, 8.375% due
11/01/2011(e)......................... 258,125
Rogers Wireless Communications, Inc.(e):
250,000 5.525% due 12/15/2010(f).............. 261,875
250,000 8% due 12/15/2012..................... 264,375
375,000 SBA Telecommunications, Inc., 9.75% due
12/15/2011(d)......................... 315,938
250,000 UbiquiTel Operating Co., 9.875% due
3/01/2011(e).......................... 280,625
-----------
2,199,345
- -----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CORPORATE BONDS
(COST--$78,872,314)--94.9% 80,309,221
- -----------------------------------------------------------------------------------------------------
<Caption>
SHARES HELD COMMON STOCKS
- ------------------------------------------------------------------------------------------------------
AIRLINES--0.0% 1 US Airways Group, Inc. Class A.......... 1
- ------------------------------------------------------------------------------------------------------
ENERGY--0.3% 221 Texcal Energy LLC Class A Common
Unit(b)............................... 205,180
- ------------------------------------------------------------------------------------------------------
STEEL--0.0% 39 Wheeling-Pittsburgh Corp.(b)............ 1,503
- ------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST--$205,259)--0.3% 206,684
- ------------------------------------------------------------------------------------------------------
<Caption>
PREFERRED STOCKS
- ------------------------------------------------------------------------------------------------------
BROADCASTING--0.3% 6,000 Emmis Communications Corp. Class A...... 276,300
- ------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS--0.0% 8 PTV, Inc. Series A...................... 36
- ------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED STOCKS
(COST--$251,434)--0.3% 276,336
- ------------------------------------------------------------------------------------------------------
<Caption>
BENEFICIAL
INTEREST OTHER INTERESTS(G)
- ------------------------------------------------------------------------------------------------------
$ 708,795 US Airways Group, Inc.--Certificate of
Beneficial Interest................... 198,483
2,000,000 Wheeling-Pittsburgh Corporation
(Litigation Trust Certificates)(b).... 0
- ------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN OTHER INTERESTS
(COST--$191,375)--0.2% 198,483
- ------------------------------------------------------------------------------------------------------
<Caption>
SHORT-TERM SECURITIES
- ------------------------------------------------------------------------------------------------------
2,782,025 Merrill Lynch Liquidity Series, LLC Cash
Sweep Series I(h)..................... 2,782,025
- ------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES (COST--$2,782,025)--3.3%..... 2,782,025
- ------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$82,302,407*)--99.0% 83,772,749
OTHER ASSETS LESS LIABILITIES--1.0%..... 830,511
-----------
NET ASSETS--100.0%...................... $84,603,260
===========
</Table>
- --------------------------------------------------------------------------------
+ For Portfolio compliance purposes, "Industry" 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.
* The cost and unrealized appreciation/depreciation of investments, as of
December 31, 2004 as computed for federal income tax purposes, were as
follows:
<Table>
- --------------------------------------------------------------------------
Aggregate cost.............................................. $82,191,957
===========
Gross unrealized appreciation............................... $ 4,765,994
Gross unrealized depreciation............................... (3,185,202)
-----------
Net unrealized appreciation................................. $ 1,580,792
===========
- --------------------------------------------------------------------------
</Table>
(a) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(b) Non-income producing security.
(c) Non-income producing security; issuer filed for bankruptcy or is in default
of interest payments.
(d) Represents a step bond; the interest rate shown reflects the effective yield
at the time of purchase by the Portfolio.
69
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
(e) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(f) Floating rate note.
(g) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities.
(h) 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) were as follows:
<Table>
<Caption>
- -------------------------------------------------------------------------------------------
NET
AFFILIATE ACTIVITY INTEREST INCOME
- -------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $(181,512) $59,922
- -------------------------------------------------------------------------------------------
</Table>
Swaps outstanding as of December 31, 2004 were as follows:
<Table>
<Caption>
- ---------------------------------------------------------------------------------------
NOTIONAL UNREALIZED
AMOUNT APPRECIATION
- ---------------------------------------------------------------------------------------
Sold credit default protection on Dow Jones CDX North
America High Yield Series 3 Single B Index
and receive 4% interest
Broker, JPMorgan Chase
Expires December 2009 $750,000 $23,438
- ---------------------------------------------------------------------------------------
</Table>
Financial futures contracts sold as of December 31, 2004 were as follows:
<Table>
<Caption>
- -------------------------------------------------------------------------------
NUMBER OF EXPIRATION FACE UNREALIZED
CONTRACTS ISSUE DATE VALUE DEPRECIATION
- -------------------------------------------------------------------------------
8 Ten-Year U.S. Treasury Note March 2005 $885,488 $(10,012)
- -------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Portfolio Information as of December 31, 2004 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
TOTAL
ASSET MIX INVESTMENTS
- -------------------------------------------------------------------------
Corporate Bonds............................................. 95.9%
Preferred Securities........................................ 0.3
Common Stocks............................................... 0.2
Other*...................................................... 3.6
- -------------------------------------------------------------------------
</Table>
* Includes Portfolio holdings in short-term investments and other interests.
70
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT U.S. GOVERNMENT & AGENCY OBLIGATIONS VALUE
- ---------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE Fannie Mae Trust(a):
OBLIGATIONS+--38.6%
$ 1,110,834 Series 2002-W11 Class AV1, 2.588% due 11/25/2032.......... $ 1,111,586
2,153,964 Series 2003-27 Class FP, 2.718% due 6/25/2028............. 2,161,261
3,260,006 Series 2003-33 Class LF, 2.768% due 7/25/2017............. 3,271,241
3,492,140 Series 2003-34 Class FS, 2.818% due 1/25/2032............. 3,498,966
2,701,673 Series 2003-41 Class YF, 2.718% due 6/25/2028............. 2,705,949
215,211 Series 2003-W16 Class AF1, 2.508% due 11/25/2033.......... 215,230
Freddie Mac Multiclass Certificates(a):
5,315,894 Series 2564 Class OF, 2.703% due 2/15/2026................ 5,320,859
5,074,682 Series 2594 Class DF, 2.703% due 12/15/2027............... 5,083,187
4,748,137 Series 2614 Class EF, 2.803% due 12/15/2017............... 4,768,589
Ginnie Mae Trust:
4,520,000 Series 2002-83 Class B, 4.695% due 12/16/2024............. 4,607,588
29,022,707 Series 2002-83 Class IO, 1.574% due 10/16/2042(b)......... 1,701,395
28,420,807 Series 2002-94 Class XB, 2.349% due 11/16/2007(b)......... 870,001
3,054,415 Series 2003-17 Class C, 4.825% due 7/16/2031.............. 3,039,340
39,755,694 Series 2003-17 Class IO, 1.24% due 3/16/2043(b)........... 2,412,928
2,664,553 Series 2003-49 Class C, 4.485% due 10/16/2033............. 2,557,375
6,750,000 Series 2003-108 Class C, 4.919% due 2/16/2034............. 6,907,344
21,785,049 Series 2003-109 Class IO, 1.098% due 11/16/2043(b)........ 1,208,848
15,639,488 Series 2004-9 Class IO, 1.383% due 3/16/2034(b)........... 950,914
24,350,143 Series 2004-43 Class IO, 1.121% due 6/16/2044(b).......... 1,346,867
1,789,746 Series 2004-43 Class Z, 4.50% due 6/16/2044............... 1,437,390
1,800,931 Series 2004-45 Class Z, 5.75% due 6/16/2045............... 1,903,359
34,843,701 Series 2004-57 Class IO, 1.13% due 7/16/2044(b)........... 1,976,291
3,484,483 Series 2004-77 Class AB, 4.368% due 11/16/2030............ 3,486,213
87,815,700 Series 2004-77 Class IO, 1.065% due 9/16/2044(b).......... 5,090,566
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST--$66,559,246) 67,633,287
- ---------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED Fannie Mae Guaranteed Pass-Through Certificates:
SECURITIES+--45.1%
478,310 6% due 4/01/2017.......................................... 501,495
645,153 5.50% due 12/01/2017...................................... 667,474
529,485 4.50% due 9/01/2018....................................... 528,992
3,837,006 5% due 1/15/2020.......................................... 3,896,959
1,882,527 7% due 11/01/2029-2/01/2032............................... 1,996,481
692,664 7.50% due 6/01/2030-4/01/2031............................. 742,184
489,458 8% due 4/01/2030-10/01/2032............................... 531,835
3,478,720 6.50% due 1/01/2032-11/01/2032............................ 3,651,374
4,000,000 4.50% due 1/15/2035....................................... 3,865,000
Freddie Mac Mortgage Participation Certificates:
671,012 6.50% due 3/01/2016....................................... 710,819
1,342,309 6% due 4/01/2017.......................................... 1,406,012
1,008,041 5.50% due 6/01/2017....................................... 1,042,447
1,980,719 5% due 9/01/2019.......................................... 2,012,468
16,566 8% due 3/01/2030.......................................... 17,952
39,372 8% due 8/01/2030.......................................... 42,666
56,012 8% due 12/01/2030......................................... 60,698
30,207 8% due 6/01/2031.......................................... 32,735
244,503 7% due 4/01/2032.......................................... 259,216
1,448,900 6% due 3/01/2034.......................................... 1,497,464
6,077,109 6% due 8/01/2034.......................................... 6,280,802
1,923,600 5.50% due 1/15/2035....................................... 1,953,656
Ginnie Mae MBS Certificates:
2,283,733 4.90% due 3/15/2005....................................... 2,285,397
5,844,920 5% due 11/15/2005......................................... 5,808,652
3,124,740 5.47% due 12/15/2005...................................... 3,233,453
1,377,102 4.55% due 11/15/2006...................................... 1,339,421
1,624,579 5.05% due 7/15/2008....................................... 1,642,397
1,439,000 5.15% due 8/15/2008....................................... 1,466,142
1,408,000 5.55% due 12/15/2009...................................... 1,478,840
20,024 6% due 2/15/2033.......................................... 20,766
3,000,000 5% due 1/15/2035.......................................... 2,999,064
2,568,596 5.525% due 12/15/2035..................................... 2,659,095
3,167,556 5.10% due 10/15/2044...................................... 3,219,808
2,067,859 5.38% due 5/15/2045....................................... 2,145,457
1,566,800 5.55% due 5/15/2045....................................... 1,632,682
</Table>
71
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE
AMOUNT U.S. GOVERNMENT & AGENCY OBLIGATIONS VALUE
- ---------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES+ Ginnie Mae MBS Certificates (concluded)
(CONCLUDED)
$ 1,750,000 5.30% due 6/15/2045....................................... $ 1,799,463
1,558,000 5.60% due 8/15/2045....................................... 1,626,105
6,016,631 5.25% due 10/15/2044-12/15/2045........................... 6,106,891
7,808,401 5.13% due 4/01/2044-3/15/2046............................. 7,800,653
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (COST--$79,425,147) 78,963,015
- ---------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS--5.9% 1,100,000 8.125% due 8/15/2019........................................ 1,501,414
4,820,000 7.25% due 8/15/2022......................................... 6,211,963
2,310,000 6.25% due 8/15/2023......................................... 2,704,414
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY BONDS (COST--$9,872,263) 10,417,791
- ---------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY INFLATION 2,039,788 United States Treasury Inflation Indexed Bonds, 3.50% due
INDEXED BONDS--1.4% 1/15/2011................................................. 2,316,593
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY INFLATION INDEXED BONDS
(COST--$2,174,530) 2,316,593
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS--93.2% 159,330,686
- ---------------------------------------------------------------------------------------------------------------------------
NON-U.S. GOVERNMENT & AGENCY OBLIGATIONS
- ---------------------------------------------------------------------------------------------------------------------------
COLLATERIALIZED MORTGAGE 5,364,063 Countrywide Home Loan Mortgage Pass-Through Trust Series
OBLIGATIONS+--9.7% 2003-10 Class A6, 2.768% due 5/25/2033(a)................. 5,368,008
180,272 GMAC Mortgage Corp Loan Trust Series 2003-GH2 Class A1,
2.618% due 7/25/2012(a)................................... 180,292
3,310,363 GS Mortgage Securities Corp. Series 2003-FL6A Class A1,
2.553% due 11/15/2015(a).................................. 3,309,645
1,177,697 Greenwich Capital Commercial Funding Corp. Series 2003-FL1
Class A, 2.651% due 7/05/2018(a).......................... 1,178,202
3,892,034 Residential Asset Securitization Trust Series 2003-A8 Class
A2, 2.768% due 10/25/2018(a).............................. 3,878,094
2,400,000 Wachovia Bank Commercial Mortgage Trust Series 2003-WHL2
Class A3, 2.723% due 6/15/2013(a)......................... 2,401,722
718,244 Washington Mutual Series 2002-AR19 Class A8, 4.556% due
2/25/2033................................................. 725,055
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL NON-U.S. GOVERNMENT COLLATERIALIZED MORTGAGE
OBLIGATIONS (COST--$17,014,787)--9.7% 17,041,018
- ---------------------------------------------------------------------------------------------------------------------------
<Caption>
REPURCHASE AGREEMENTS
- ---------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--14.8% 26,000,000 Morgan Stanley & Co., Inc., purchased on 12/31/2004 to yield
2.20% to 1/03/2005 repurchase price $26,004,767
collateralized by FNMA, 4.263% due 8/01/2034.............. 26,000,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (COST--26,000,000)--14.8% 26,000,000
- ---------------------------------------------------------------------------------------------------------------------------
<Caption>
NUMBER OF
OPTIONS CONTRACTS ISSUE
- ---------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED--0.0% 15++ London InterBank Offered Rate (LIBOR) Linked Floor, expiring
April 2005 at 1.5%, Broker JPMorgan Chase Bank............ 150
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL OPTIONS PURCHASED (PREMIUM PAID--$9,000)--0.0% 150
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$201,054,973)--115.5% 202,371,854
- ---------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN--0.0% 11++ Consumer Price Index (CPI) Linked Floor, expiring April 2009
at -1%, Broker Morgan Stanley Capital Services, Inc. ..... (16,800)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL OPTIONS WRITTEN (PREMIUM RECEIVED--$16,800)--0.0% (16,800)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN
($201,038,173*)--115.5%..................................... 202,355,054
LIABILITIES IN EXCESS OF OTHER ASSETS--(15.5%).............. (27,209,079)
------------
NET ASSETS--100.0%.......................................... $175,145,975
============
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
* The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as follows:
<Table>
- --------------------------------------------------------------------------
Aggregate cost, net of options written...................... $201,100,206
============
Gross unrealized appreciation............................... $ 2,215,534
Gross unrealized depreciation............................... (960,686)
------------
Net unrealized appreciation................................. $ 1,254,848
============
- --------------------------------------------------------------------------
</Table>
72
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
+ 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.
(a) Floating rate note.
(b) 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 notional amount of principal.
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) were as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------------
NET DIVIDEND
AFFILIATE ACTIVITY INCOME
- ------------------------------------------------------------------------------------------------------------------
Merrill Lynch Series, LLC Premier Institutional Fund -- $ 841
- ------------------------------------------------------------------------------------------------------------------
</Table>
Swap contracts outstanding as of December 31, 2004 were as follows:
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED
AMOUNT APPRECIATION/DEPRECIATION
- ------------------------------------------------------------------------------------------------------------------
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .105%
Broker, UBS Warburg
Expires January 2005 $14,000,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers U.S. Treasury Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .15%
Broker, Lehman Brothers Special Finance
Expires February 2005 $10,500,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .125%
Broker, Lehman Brothers Special Finance
Expires March 2005 $ 5,000,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers MBS Fixed Rate Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .12%
Broker, UBS Warburg
Expires April 2005 $ 8,000,000 --
Receive (pay) a variable return based on the change in the
Lehman Brothers U.S. Treasury Index Total Return and pay a
floating rate based on 1-month USD LIBOR, minus .15%
Broker, Lehman Brothers Special Finance
Expires November 2005 $ 9,000,000 --
Pay a fixed rate of 3.25% and receive a floating rate based
on 3-month USD LIBOR
Broker, Lehman Brothers Special Finance
Expires May 2007 $ 3,500,000 $ 21,522
Pays 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 (71,393)
Pay a fixed rate of 4.83% and receive a floating rate based
on 3-month USD LIBOR
Broker, JPMorgan Chase
Expires May 2014 $38,200,000 (757,984)
- ------------------------------------------------------------------------------------------------------------------
TOTAL........................................................................... $(807,855)
=========
- ------------------------------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
73
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Portfolio Information as of December 31, 2004 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
TOTAL
ASSET MIX INVESTMENTS
- --------------------------------------------------------------------------
Collateralized Mortgage Obligations......................... 41.8%
Mortgage-Backed Securities.................................. 39.0
U.S. Treasury Bonds......................................... 5.2
U.S. Treasury Inflation Indexed Bonds....................... 1.2
Other*...................................................... 12.8
- --------------------------------------------------------------------------
</Table>
* Includes Portfolio holdings in repurchase agreements and options.
74
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Large Cap Core Strategy Portfolio
Schedule of Investments as of December 31, 2004 (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--1.1% 29,000 General Dynamics Corp. ..................................... $ 3,033,400
- ---------------------------------------------------------------------------------------------------------------------------
AIR FREIGHT & 16,000 FedEx Corp. ................................................ 1,575,840
LOGISTICS--0.6%
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--0.7% 133,000 Ford Motor Co. ............................................. 1,947,120
- ---------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.9% 91,000 +Celgene Corp. ............................................. 2,414,230
- ---------------------------------------------------------------------------------------------------------------------------
CHEMICALS--0.9% 27,000 Eastman Chemical Co. ....................................... 1,558,710
34,000 Lyondell Chemical Co. ...................................... 983,280
------------
2,541,990
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--1.0% 36,000 Bank of America Corp. ...................................... 1,691,640
28,000 Keycorp..................................................... 949,200
------------
2,640,840
- ---------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 141,000 +Avaya, Inc.(c)............................................. 2,425,200
EQUIPMENT--4.5%
22,000 +Cisco Systems, Inc. ....................................... 424,600
750,000 +Lucent Technologies, Inc.(c)............................... 2,820,000
217,000 Motorola, Inc. ............................................. 3,732,400
331,000 +Tellabs, Inc. ............................................. 2,843,290
------------
12,245,490
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTERS & 51,000 +Apple Computer, Inc. ...................................... 3,284,400
PERIPHERALS--6.0%
123,000 +Dell, Inc. ................................................ 5,183,220
198,000 Hewlett-Packard Co. ........................................ 4,152,060
11,000 International Business Machines Corp. ...................... 1,084,380
20,000 +NCR Corp. ................................................. 1,384,600
38,000 +Storage Technology Corp. .................................. 1,201,180
------------
16,289,840
- ---------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL 62,000 Citigroup, Inc. ............................................ 2,987,160
SERVICES--1.2%
11,000 JPMorgan Chase & Co. ....................................... 429,110
------------
3,416,270
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--2.2% 90,000 Edison International(c)..................................... 2,882,700
50,000 TXU Corp. .................................................. 3,228,000
------------
6,110,700
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--1.2% 65,000 Rockwell Automation, Inc. .................................. 3,220,750
- ---------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES 68,000 Costco Wholesale Corp. ..................................... 3,291,880
RETAILING--1.3%
7,000 Wal-Mart Stores, Inc. ...................................... 369,740
------------
3,661,620
- ---------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--2.1% 143,000 Archer-Daniels-Midland Co. ................................. 3,190,330
132,000 Tyson Foods, Inc. Class A................................... 2,428,800
------------
5,619,130
- ---------------------------------------------------------------------------------------------------------------------------
HEALTH CARE 38,000 Bausch & Lomb, Inc. ........................................ 2,449,480
EQUIPMENT & 53,000 Becton Dickinson & Co. ..................................... 3,010,400
SUPPLIES--2.1% 6,000 CR Bard, Inc. .............................................. 383,880
------------
5,843,760
- ---------------------------------------------------------------------------------------------------------------------------
HEALTH CARE 27,000 Aetna, Inc. New Shares...................................... 3,368,250
PROVIDERS & 38,000 Cigna Corp. ................................................ 3,099,660
SERVICES--5.5% 94,000 +Humana, Inc. .............................................. 2,790,860
51,000 +PacifiCare Health Systems.................................. 2,882,520
30,000 Quest Diagnostics........................................... 2,866,500
------------
15,007,790
- ---------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & 112,000 McDonald's Corp. ........................................... 3,590,720
LEISURE--2.4%
51,000 Starwood Hotels & Resorts Worldwide, Inc. .................. 2,978,400
------------
6,569,120
- ---------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--3.0% 34,000 Black & Decker Corp. ....................................... 3,003,220
23,000 Harman International Industries, Inc. ...................... 2,921,000
3,000 +NVR, Inc. ................................................. 2,308,200
------------
8,232,420
- ---------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.2% 11,000 Procter & Gamble Co. ....................................... 605,880
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
75
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Large Cap Core Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Continued) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------------
IT SERVICES--1.1% 55,000 +Computer Sciences Corp. ................................... $ 3,100,350
- ---------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 168,000 General Electric Co. ....................................... 6,132,000
CONGLOMERATES--3.3%
39,000 Textron, Inc. .............................................. 2,878,200
------------
9,010,200
- ---------------------------------------------------------------------------------------------------------------------------
INSURANCE--8.3% 66,000 The Allstate Corp........................................... 3,413,520
11,000 American International Group, Inc. ......................... 722,370
40,000 Chubb Corp. ................................................ 3,076,000
61,000 Lincoln National Corp. ..................................... 2,847,480
76,000 Metlife, Inc. .............................................. 3,078,760
67,000 Prudential Financial, Inc. ................................. 3,682,320
56,000 Safeco Corp. ............................................... 2,925,440
161,000 UnumProvident Corp. ........................................ 2,888,340
------------
22,634,230
- ---------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & 84,000 Eastman Kodak Co. .......................................... 2,709,000
PRODUCTS--1.0%
- ---------------------------------------------------------------------------------------------------------------------------
MACHINERY--1.1% 35,000 Cummins, Inc. .............................................. 2,932,650
- ---------------------------------------------------------------------------------------------------------------------------
METALS & MINING--3.2% 58,000 Nucor Corp. ................................................ 3,035,720
29,000 Phelps Dodge Corp. ......................................... 2,868,680
58,000 United States Steel Corp. .................................. 2,972,500
------------
8,876,900
- ---------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & 492,000 +Dynegy, Inc. Class A....................................... 2,273,040
UNREGULATED POWER--0.8%
- ---------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--2.2% 73,000 JC Penney Co., Inc. Holding Co. ............................ 3,022,200
64,000 Nordstrom, Inc. ............................................ 2,990,720
------------
6,012,920
- ---------------------------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS--1.1% 185,000 +Xerox Corp. ............................................... 3,146,850
- ---------------------------------------------------------------------------------------------------------------------------
OIL & GAS--13.9% 29,000 Amerada Hess Corp. ......................................... 2,389,020
43,000 Anadarko Petroleum Corp. ................................... 2,786,830
73,000 Burlington Resources, Inc. ................................. 3,175,500
100,000 ChevronTexaco Corp. ........................................ 5,251,000
47,000 ConocoPhillips.............................................. 4,081,010
81,000 Devon Energy Corp. ......................................... 3,152,520
98,000 Exxon Mobil Corp. .......................................... 5,023,480
57,000 Occidental Petroleum Corp. ................................. 3,326,520
34,000 Sunoco, Inc. ............................................... 2,778,140
68,000 Valero Energy Corp. ........................................ 3,087,200
182,000 Williams Cos., Inc. ........................................ 2,964,780
------------
38,016,000
- ---------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 78,000 Georgia-Pacific Corp. ...................................... 2,923,440
PRODUCTS--1.1%
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS--5.3% 113,000 Johnson & Johnson........................................... 7,166,460
271,000 Pfizer, Inc. ............................................... 7,287,190
------------
14,453,650
- ---------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--1.1% 85,000 Norfolk Southern Corp. ..................................... 3,076,150
- ---------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & 5,000 +Advanced Micro Devices, Inc. .............................. 110,100
SEMICONDUCTORS 72,000 +Cree, Inc.(c).............................................. 2,885,760
EQUIPMENT--2.3% 38,000 Intel Corp. ................................................ 888,820
88,000 Microchip Technology, Inc. ................................. 2,346,080
------------
6,230,760
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
76
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Large Cap Core Strategy Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SHARES
INDUSTRY++ HELD COMMON STOCKS VALUE
- ---------------------------------------------------------------------------------------------------------------------------
SOFTWARE--7.1% 48,000 Adobe Systems, Inc. ........................................ $ 3,011,520
78,000 Autodesk, Inc. ............................................. 2,960,100
471 Computer Associates International, Inc. .................... 14,629
102,000 +McAfee, Inc. .............................................. 2,950,860
120,000 Microsoft Corp. ............................................ 3,205,200
293,000 +Oracle Corp. .............................................. 4,019,960
122,000 +Symantec Corp. ............................................ 3,142,720
------------
19,304,989
- ---------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--9.0% 61,000 Abercrombie & Fitch Co. Class A............................. 2,863,950
65,000 American Eagle Outfitters................................... 3,061,500
128,000 The Gap, Inc.(c)............................................ 2,703,360
112,000 Home Depot, Inc. ........................................... 4,786,880
121,000 Limited Brands.............................................. 2,785,420
78,000 PETsMART, Inc. ............................................. 2,771,340
96,000 Staples, Inc. .............................................. 3,236,160
57,000 +Urban Outfitters, Inc. .................................... 2,530,800
------------
24,739,410
- ---------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE 87,000 Countrywide Financial Corp. ................................ 3,219,870
FINANCE--1.2%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST--$231,726,771)--100.0% 273,636,599
- ---------------------------------------------------------------------------------------------------------------------------
<Caption>
BENEFICIAL
INTEREST SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
$10,972,200 Merrill Lynch Liquidity Series, LLC Money Market
Series(a)(b).............................................. 10,972,200
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$10,972,200)--4.0% 10,972,200
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$242,698,971*)--104.0%............. 284,608,799
LIABILITIES IN EXCESS OF OTHER ASSETS--(4.0%)............... (11,060,006)
------------
NET ASSETS--100.0%.......................................... $273,548,793
============
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
+ Non-income producing security.
++ For Portfolio compliance purposes, "Industry" 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.
* The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as follows:
<Table>
- ------------------------------------------------------------------------------
Aggregate cost.............................................. $244,645,139
============
Gross unrealized appreciation............................... $ 46,323,866
Gross unrealized depreciation............................... (6,360,206)
------------
Net unrealized appreciation................................. $ 39,963,660
============
- ------------------------------------------------------------------------------
</Table>
(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) were as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------
NET INTEREST/DIVIDEND
AFFILIATE ACTIVITY INCOME
- ----------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ -- $ 607
Merrill Lynch Liquidity Series, LLC Money Market Series $ 3,554,788 $12,943
Merrill Lynch Premier Institutional Fund (2,472,470) $ 1,536
- ----------------------------------------------------------------------------------------------------
</Table>
(b) Security was purchased with the cash proceeds from securities loans.
(c) Security, or a portion of security, is on loan.
77
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Large Cap Core Strategy Portfolio
Portfolio Information as of December 31, 2004 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERCENT OF
TOTAL
SECTOR REPRESENTATION INVESTMENTS
- -------------------------------------------------------------------------------
Information Technology...................................... 21.2%
Consumer Discretionary...................................... 17.6
Energy...................................................... 13.4
Health Care................................................. 13.3
Financials.................................................. 11.2
Industrials................................................. 8.0
Materials................................................... 5.0
Consumer Staples............................................ 3.5
Utilities................................................... 2.9
Other*...................................................... 3.9
- -------------------------------------------------------------------------------
</Table>
* Includes Portfolio holdings in short-term securities.
78
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 2004 (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, NY+.... 2.453% 1/13/2006 $ 7,000,000
YANKEE--2.0%
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT--YANKEE
(COST--$7,000,000) 7,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER--44.9% 10,000,000 Aspen Funding Corporation.................. 2.29 2/03/2005 9,980,280
14,000,000 CC (USA) Inc. (Centauri)................... 2.00 3/10/2005 13,935,250
4,705,000 Chariot Funding LLC........................ 2.34 1/21/2005 4,699,495
10,000,000 Clipper Receivables Company, LLC........... 2.35 1/28/2005 9,983,680
7,000,000 Danske Corp. .............................. 2.34 1/04/2005 6,999,545
14,731,000 Dorada Finance Inc. ....................... 2.21 2/10/2005 14,694,459
11,986,000 Edison Asset Securitization, LLC........... 2.31 2/07/2005 11,958,848
5,000,000 FCAR Owner Trust........................... 2.00 3/09/2005 4,977,235
10,530,000 Greyhawk Funding LLC....................... 2.27 2/02/2005 10,509,923
4,754,000 HBOS Treasury Services Plc ................ 2.39 3/08/2005 4,732,693
9,000,000 HBOS Treasury Services Plc ................ 2.42 3/15/2005 8,955,153
9,933,000 Jupiter Securitization Corporation......... 2.34 1/13/2005 9,926,544
5,001,000 Newport Funding Corporation................ 2.26 2/16/2005 4,986,524
4,000,000 Newport Funding Corporation................ 2.39 3/08/2005 3,982,072
6,000,000 Santander Central Hispano Finance
(Delaware), Inc. ........................ 2.04 3/21/2005 5,967,498
7,538,000 Sigma Finance Inc. ........................ 2.00 1/10/2005 7,534,893
15,225,000 Spintab AB................................. 2.40 3/09/2005 15,155,681
6,000,000 White Pine Corporation..................... 2.00 3/14/2005 5,970,534
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST--$154,990,077) 154,950,307
- ------------------------------------------------------------------------------------------------------------------------------------
FUNDING AGREEMENTS--9.4% 3,000,000 General Electric Capital Assurance
Company+(a).............................. 2.35 10/3/2005 3,000,000
9,000,000 Jackson National Life Insurance
Company+(a).............................. 2.36 5/02/2005 9,000,000
5,000,000 Monumental Life Insurance Company+(a)...... 2.425 5/16/2005 5,000,000
10,500,000 Monumental Life Insurance Company+(a)...... 2.44 11/21/2005 10,500,000
5,000,000 New York Life Insurance Company+(a)........ 2.48 5/27/2005 5,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS
(COST--$32,500,000) 32,500,000
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM NOTES--11.2% 7,000,000 General Electric Capital Corporation+...... 2.51 1/17/2006 7,000,000
4,100,000 Goldman Sachs Group, Inc.+................. 2.393 1/13/2006 4,100,000
2,000,000 Household Finance Corporation+............. 2.378 10/28/2005 1,999,917
1,750,000 MetLife Funding, Inc.+..................... 2.443 1/13/2006 1,750,000
7,500,000 Morgan Stanley+............................ 2.523 8/15/2005 7,500,000
1,500,000 Morgan Stanley+............................ 2.331 1/04/2006 1,500,000
1,550,000 Morgan Stanley+............................ 2.428 1/27/2006 1,550,000
2,000,000 Northern Rock Plc+......................... 2.49 1/09/2006 2,000,000
2,000,000 Pfizer, Inc.+.............................. 2.071 11/04/2005 1,999,178
2,700,000 Procter & Gamble Co.+...................... 2.42 1/10/2006 2,700,000
6,500,000 Sigma Finance Inc.+........................ 2.315 5/5/2005 6,499,673
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST--$38,599,590) 38,598,768
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
79
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE INTEREST MATURITY
AMOUNT ISSUE RATE* DATE VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT, AGENCY & $ 9,750,000 Fannie Mae+................................ 1.96% 1/18/2005 $ 9,749,010
INSTRUMENTALITY 9,800,000 Fannie Mae+................................ 2.43 3/16/2005 9,799,216
OBLIGATIONS--
NON-DISCOUNT--27.1% 4,000,000 Fannie Mae................................. 1.61 5/13/2005 3,987,304
2,000,000 Fannie Mae................................. 1.75 5/23/2005 1,994,186
500,000 Fannie Mae+................................ 7.00 7/15/2005 511,185
3,950,000 Fannie Mae................................. 1.875 9/15/2005 3,923,428
5,275,000 Fannie Mae................................. 2.33 12/09/2005 5,271,583
1,250,000 Fannie Mae................................. 2.25 2/28/2006 1,238,585
1,000,000 Fannie Mae................................. 3.00 9/20/2006 996,681
3,400,000 Federal Farm Credit Banks+................. 2.27 2/28/2005 3,399,948
5,000,000 Federal Farm Credit Banks+................. 2.333 2/21/2006 4,998,867
1,500,000 Federal Home Loan Banks.................... 1.875 2/15/2005 1,499,014
1,500,000 Federal Home Loan Banks.................... 4.375 2/15/2005 1,503,222
9,750,000 Federal Home Loan Banks+................... 2.475 3/30/2005 9,750,049
10,025,000 Federal Home Loan Banks.................... 1.625 4/15/2005 10,000,860
1,600,000 Federal Home Loan Banks.................... 1.42 6/30/2005 1,590,205
2,500,000 Federal Home Loan Banks.................... 1.75 8/15/2005 2,484,512
5,000,000 Federal Home Loan Banks.................... 1.50 8/26/2005 4,959,000
5,000,000 Federal Home Loan Banks+................... 2.105 5/10/2006 4,996,900
5,000,000 Federal Home Loan Banks+................... 2.164 5/19/2006 4,998,570
1,650,000 Freddie Mac................................ 3.875 2/15/2005 1,652,618
2,000,000 Freddie Mac................................ 4.25 6/15/2005 2,014,718
1,000,000 Freddie Mac................................ 2.29 10/28/2005 995,137
1,000,000 Freddie Mac................................ 2.41 11/04/2005 995,926
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT, AGENCY &
INSTRUMENTALITY OBLIGATIONS--NON-DISCOUNT
(COST--$93,453,702) 93,310,724
- ------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--5.3% 18,409,000 UBS Securities LLC, purchased on 12/31/2004
to yield 2.20% to 1/03/2005 repurchase
price of $18,412,375 collateralized by
FHLMC, 4.25% due 5/04/2009............... 18,409,000
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(COST--$18,409,000) 18,409,000
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$344,952,369++)--99.9%.............. 344,768,799
OTHER ASSETS LESS LIABILITIES--0.1%........ 199,681
------------
NET ASSETS--100.0%......................... $344,968,480
============
- ------------------------------------------------------------------------------------------------------------------------------------
</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, 2004.
+ Variable rate notes.
++ The cost and unrealized appreciation/depreciation on investments as of
December 31, 2004, as computed for federal income tax purposes were as follows:
<Table>
- --------------------------------------------------------------------------
Aggregate cost.............................................. $344,952,369
============
Gross unrealized appreciation............................... $ 4,021
Gross unrealized depreciation............................... (187,591)
------------
Net unrealized depreciation................................. $ (183,570)
============
- --------------------------------------------------------------------------
</Table>
80
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 2004 (Concluded) (in U.S. dollars)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(a) Restricted securities:
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------------------
ACQUISITION DATE(S) COST VALUE
- -------------------------------------------------------------------------------------------------------------
General Electric Capital Assurance Company, 2.35% due
10/03/2005................................................ 9/28/2004 $ 3,000,000 $ 3,000,000
Jackson National Life Insurance Co., 2.36% due 5/02/2005.... 5/03/2004 9,000,000 9,000,000
Monumental Life Insurance Company, 2.425% due 5/16/2005..... 5/18/2004 5,000,000 5,000,000
Monumental Life Insurance Company, 2.44% due 11/21/2005..... 10/25/2004 10,500,000 10,500,000
New York Life Insurance Company, 2.48% due 5/27/2005........ 5/28/2004 5,000,000 5,000,000
- -------------------------------------------------------------------------------------------------------------
TOTAL............................................................................ $32,500,000 $32,500,000
=========== ===========
- -------------------------------------------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
81
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of December 31, 2004
- --------------------------------------------------------------------------------
<Table>
<Caption>
BALANCED
CAPITAL CORE BOND
STRATEGY STRATEGY
PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value*+++........ $ 832,738,415 $145,411,777
Investments in affiliated securities, at value+++++++....... 101,116,127 --
Options purchased, at value+++++............................ 376,010 171,678
Unrealized appreciation on swaps............................ 136,855 48,826
Cash........................................................ 1,836 --
Cash on deposit for financial futures contracts............. -- --
Foreign cash++++............................................ -- --
Receivable for securities sold.............................. 1,884,282 821,575
Interest receivable++++++................................... 2,453,228 1,082,334
Dividends receivable........................................ 1,229,797 3,779
Receivable for capital shares sold.......................... -- --
Receivable for variation margin............................. 8,000 2,078
Receivable for paydowns..................................... -- --
Receivable for securities lending........................... 18 --
Receivable for swaps--net................................... 584,484 281,306
Swap premiums paid.......................................... 14,070 7,741
Prepaid expenses and other assets........................... 6,441 958
------------- ------------
Total assets............................................... 940,549,563 147,832,052
------------- ------------
LIABILITIES:
Collateral on securities loaned, at value................... -- --
Unrealized depreciation on swaps............................ -- --
Options written, at value++................................. 712,363 327,866
Payable for securities purchased............................ 25,351,090 12,175,659
Payable to custodian bank................................... -- --
Payable for capital shares redeemed......................... 141,493 5,510
Payable for variation margin................................ -- --
Payable to investment adviser............................... 292,035 43,570
Swap premiums received...................................... -- 572
Payable for other affiliates................................ 5,552 1,565
Deferred foreign capital gain tax........................... -- --
Accrued expenses and other liabilities...................... 117,243 40,363
------------- ------------
Total liabilities.......................................... 26,619,776 12,595,105
------------- ------------
NET ASSETS.................................................. $ 913,929,787 $135,236,947
============= ============
NET ASSETS CONSIST OF:
Common Stock, $.10 par value+............................... $ 6,553,069 $ 1,141,441
Paid-in capital in excess of par............................ 964,519,065 130,700,617
------------- ------------
Undistributed investment income--net........................ 276,133 1,545,416
Undistributed (accumulated) realized capital gains
(losses)--net.............................................. (129,019,555) (6,138)
Unrealized appreciation (depreciation)--net................. 71,601,075 1,855,611
------------- ------------
Total accumulated earnings (losses)--net.................... (57,142,347) 3,394,889
------------- ------------
NET ASSETS.................................................. $ 913,929,787 $135,236,947
============= ============
Capital shares outstanding.................................. 65,530,689 11,414,414
============= ============
Net asset value, offering and redemption price per share.... $ 13.95 $ 11.85
============= ============
*Identified cost for unaffiliated securities................ $ 761,255,191 $143,596,226
============= ============
+Authorized shares.......................................... 300,000,000 100,000,000
============= ============
++Premiums received......................................... $ 810,429 $ 373,001
============= ============
+++Securities loaned........................................ $ -- $ --
============= ============
++++Cost.................................................... $ -- $ --
============= ============
+++++Premiums paid.......................................... $ 507,300 $ 231,060
============= ============
++++++Interest from affiliates.............................. $ 177,599 $ --
============= ============
+++++++Identified cost for affiliated securities............ $ 101,116,127 $ --
============= ============
</Table>
See Notes to Financial Statements.
82
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDAMENTAL GLOBAL INTERMEDIATE LARGE CAP
GROWTH ALLOCATION GOVERNMENT CORE MONEY
STRATEGY STRATEGY HIGH YIELD BOND STRATEGY RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------
$ 281,439,197 $180,940,930 $ 80,990,724 $202,371,704 $273,636,599 $ 344,768,799
8,688,079 41,632,810 2,782,025 -- 10,972,200 --
-- -- -- 150 -- --
-- -- 23,438 21,522 -- --
-- 632,684 129,282 -- -- 26,350
-- -- 100,000 -- -- --
-- 16,264,919 -- -- -- --
1,088,433 231,838 -- 9,904 42,754 --
26,555 916,728 1,453,193 698,681 12 481,357
514,816 406,672 4,688 -- 422,100 --
7,443 43,102 12,476 -- 33,189 1,106,926
-- -- -- -- -- --
-- -- -- 5,273 -- --
-- -- -- -- 1,365 --
-- -- 8,583 197,616 -- --
-- -- 883 -- -- --
2,049 9,341 44,521 1,417 1,249 2,611
------------- ------------ ------------ ------------ ------------ --------------
291,766,572 241,079,024 85,549,813 203,306,267 285,109,468 346,386,043
------------- ------------ ------------ ------------ ------------ --------------
-- -- -- -- 10,972,200 --
-- -- -- 829,377 -- --
-- 1,100,090 -- 16,800 -- --
1,411,829 932,123 375,960 27,188,419 -- --
-- -- -- -- 379,748 --
203,744 51,961 516,701 20,058 85,184 1,259,095
-- 3,581 5,375 -- -- --
92,349 75,460 27,284 56,625 86,706 112,094
-- -- -- -- -- --
2,309 2,003 1,286 1,802 2,105 2,786
-- 24,252 -- -- -- --
35,275 66,860 19,947 47,211 34,732 43,588
------------- ------------ ------------ ------------ ------------ --------------
1,745,506 2,256,330 946,553 28,160,292 11,560,675 1,417,563
------------- ------------ ------------ ------------ ------------ --------------
$ 290,021,066 $238,822,694 $ 84,603,260 $175,145,975 $273,548,793 $ 344,968,480
============= ============ ============ ============ ============ ==============
$ 1,368,788 $ 1,550,195 $ 1,390,300 $ 1,534,559 $ 1,287,576 $ 34,515,205
410,259,021 211,196,299 118,529,793 171,608,288 260,916,115 310,636,845
------------- ------------ ------------ ------------ ------------ --------------
115 512,696 522,024 1,501,457 -- 82
(159,554,290) (13,532,411) (37,322,625) (7,355) (30,564,726) (82)
37,947,432 39,095,915 1,483,768 509,026 41,909,828 (183,570)
------------- ------------ ------------ ------------ ------------ --------------
(121,606,743) 26,076,200 (35,316,833) 2,003,128 11,345,102 (183,570)
------------- ------------ ------------ ------------ ------------ --------------
$ 290,021,066 $238,822,694 $ 84,603,260 $175,145,975 $273,548,793 $ 344,968,480
============= ============ ============ ============ ============ ==============
13,687,882 15,501,948 13,902,999 15,345,594 12,875,756 345,152,050
============= ============ ============ ============ ============ ==============
$ 21.19 $ 15.41 $ 6.09 $ 11.41 $ 21.25 $ 1.00
============= ============ ============ ============ ============ ==============
$ 243,490,728 $142,468,877 $ 79,520,382 $201,045,973 $231,726,771 $ 344,952,369
============= ============ ============ ============ ============ ==============
100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000
============= ============ ============ ============ ============ ==============
$ -- $ 650,709 $ -- $ 16,800 $ -- $ --
============= ============ ============ ============ ============ ==============
$ -- $ -- $ -- $ -- $ 10,511,668 $ --
============= ============ ============ ============ ============ ==============
$ -- $ 15,371,692 $ -- $ -- $ -- $ --
============= ============ ============ ============ ============ ==============
$ -- $ -- $ -- $ 9,000 $ -- $ --
============= ============ ============ ============ ============ ==============
$ 26,555 $ 78,904 $ 5,487 $ -- $ 12 $ --
============= ============ ============ ============ ============ ==============
$ 8,688,079 $ 41,632,810 $ 2,782,025 $ -- $ 10,972,200 $ --
============= ============ ============ ============ ============ ==============
</Table>
83
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Year Ended December 31, 2004
- --------------------------------------------------------------------------------
<Table>
<Caption>
BALANCED CORE
CAPITAL BOND
STRATEGY STRATEGY
PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest**+................................................. $10,293,351 $4,917,582
Dividends*.................................................. 11,762,664 11,208
Securities lending--net..................................... 12,981 156
Other income................................................ -- --
----------- ----------
Total income.............................................. 22,068,996 4,928,946
----------- ----------
EXPENSES:
Investment advisory fees.................................... 3,081,697 460,817
Accounting services......................................... 301,231 48,722
Professional fees........................................... 49,609 32,295
Custodian fees.............................................. 66,288 26,485
Printing and shareholder reports............................ 46,145 6,746
Directors' fees and expenses................................ 39,639 6,317
Pricing services............................................ 34,041 30,777
Transfer agent fees......................................... 5,000 5,000
Interest expense............................................ -- --
Other....................................................... 39,041 18,671
----------- ----------
Total expenses before waiver................................ 3,662,691 635,830
Waiver of expenses.......................................... -- --
----------- ----------
Total expenses after waiver................................. 3,662,691 635,830
----------- ----------
Investment income--net...................................... 18,406,305 4,293,116
----------- ----------
REALIZED & UNREALIZED GAIN (LOSS)--NET:
Realized gain (loss) on:
Investments--net.......................................... 32,231,493 1,885,148
Foreign currency transactions--net........................ (130,795) (55,789)
Futures and swaps--net.................................... 2,055,202 358,199
Options written--net...................................... 249,670 119,216
----------- ----------
Total realized gain (loss)--net............................. 34,405,570 2,306,774
Change in unrealized appreciation/depreciation on:
Investments--net.......................................... 22,069,172 (870,816)
Foreign currency transactions--net........................ 43,493 28,688
Futures and swaps--net.................................... 58,499 119,840
Options written--net...................................... 98,066 45,135
----------- ----------
Total change in unrealized appreciation/depreciation--net... 22,269,230 (677,153)
----------- ----------
Total realized and unrealized gain (loss)--net.............. 56,674,800 1,629,621
----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $75,081,105 $5,922,737
=========== ==========
*Net of foreign withholding tax............................. $ 135,219 $ --
=========== ==========
**Interest from affiliates.................................. $ 1,624,834 $ --
=========== ==========
+Net of foreign withholding tax............................. $ -- $ --
=========== ==========
++Net of $386,890 deferred foreign capital gain tax.
</Table>
See Notes to Financial Statements.
84
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDAMENTAL GLOBAL INTERMEDIATE LARGE CAP
GROWTH ALLOCATION HIGH GOVERNMENT CORE MONEY
STRATEGY STRATEGY YIELD BOND STRATEGY RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------
$ 132,381 $ 3,192,336 $7,123,906 $6,363,998 $ 607 $5,530,702
4,109,343 2,611,379 80,873 -- 3,571,710 --
23,160 980 -- 841 14,479 --
-- -- 54,819 -- -- --
----------- ----------- ---------- ---------- ----------- ----------
4,264,884 5,804,695 7,259,598 6,364,839 3,586,796 5,530,702
----------- ----------- ---------- ---------- ----------- ----------
976,488 733,089 301,690 625,156 853,521 1,258,306
95,595 70,373 33,756 64,933 81,916 123,540
25,866 35,792 32,523 28,548 25,310 28,106
26,338 113,783 15,152 29,352 40,836 21,783
14,489 11,227 4,601 10,333 12,845 18,649
13,190 9,034 4,668 8,996 11,256 17,449
4,301 22,547 22,694 12,215 1,361 2,075
5,000 5,417 5,000 5,000 5,000 5,000
-- -- -- 60,638 -- --
19,215 17,236 12,219 20,444 14,930 17,943
----------- ----------- ---------- ---------- ----------- ----------
1,180,482 1,018,498 432,303 865,615 1,046,975 1,492,851
-- (1,501) (427) -- -- --
----------- ----------- ---------- ---------- ----------- ----------
1,180,482 1,016,997 431,876 865,615 1,046,975 1,492,851
----------- ----------- ---------- ---------- ----------- ----------
3,084,402 4,787,698 6,827,722 5,499,224 2,539,821 4,037,851
----------- ----------- ---------- ---------- ----------- ----------
25,164,583 15,199,834 3,213,579 124,788 37,487,489 (82)
(11,406) (713,562) -- -- -- --
-- 642,861 (6,675) 2,058,658 -- --
-- 71,934 -- 83,623 -- --
----------- ----------- ---------- ---------- ----------- ----------
25,153,177 15,201,067 3,206,904 2,267,069 37,487,489 (82)
(7,801,141) 10,075,237++ (219,079) 434,667 627,255 (292,050)
(1,028) 1,062,957 -- -- -- --
-- (221,004) 13,426 (615,046) -- --
-- (407,135) -- (2,252) -- --
----------- ----------- ---------- ---------- ----------- ----------
(7,802,169) 10,510,055 (205,653) (182,631) 627,255 (292,050)
----------- ----------- ---------- ---------- ----------- ----------
17,351,008 25,711,122 3,001,251 2,084,438 38,114,744 (292,132)
----------- ----------- ---------- ---------- ----------- ----------
$20,435,410 $30,498,820 $9,828,973 $7,583,662 $40,654,565 $3,745,719
=========== =========== ========== ========== =========== ==========
$ 23,243 $ 154,909 $ -- $ -- $ -- $ --
=========== =========== ========== ========== =========== ==========
$ 132,381 $ 599,620 $ 59,922 $ -- $ 607 $ --
=========== =========== ========== ========== =========== ==========
$ -- $ 238 $ -- $ -- $ -- $ --
=========== =========== ========== ========== =========== ==========
</Table>
85
- --------------------------------------------------------------------------------
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: 2004 2003 2004 2003
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net.................................. $ 18,406,305 $ 20,091,559 $ 4,293,116 $ 5,240,969
Realized gain (loss)--net............................... 34,405,570 (22,286,385) 2,306,774 4,454,723
Change in unrealized appreciation/depreciation--net..... 22,269,230 176,603,959 (677,153) (2,589,311)
------------- ------------ ------------ ------------
Net increase in net assets resulting from operations.... 75,081,105 174,409,133 5,922,737 7,106,381
------------- ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS:
Investment income--net.................................. (20,160,020) (21,275,068) (4,829,329) (5,527,626)
Realized gain--net...................................... -- -- (1,269,173) (1,733,302)
------------- ------------ ------------ ------------
Net decrease in net assets resulting from dividends and
distributions to shareholders......................... (20,160,020) (21,275,068) (6,098,502) (7,260,928)
------------- ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from capital share
transactions.......................................... (103,510,610) (71,372,317) (1,285,777) (8,647,005)
------------- ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net assets................. (48,589,525) 81,761,748 (1,461,542) (8,801,552)
Beginning of year....................................... 962,519,312 880,757,564 136,698,489 145,500,041
------------- ------------ ------------ ------------
End of year*............................................ $ 913,929,787 $962,519,312 $135,236,947 $136,698,489
============= ============ ============ ============
* Undistributed (accumulated distributions in excess of)
investment income--net................................ $ 276,133 $ (211,691) $ 1,545,416 $ 905,864
============= ============ ============ ============
</Table>
See Notes to Financial Statements.
86
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDAMENTAL GROWTH GLOBAL ALLOCATION
STRATEGY PORTFOLIO STRATEGY PORTFOLIO
------------------------------ ------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31,
------------------------------ ------------------------------
INCREASE (DECREASE) IN NET ASSETS: 2004 2003 2004 2003
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net................................... $ 3,084,402 $ 1,243,868 $ 4,787,698 $ 3,822,928
Realized gain (loss)--net................................ 25,153,177 (30,062,687) 15,201,067 3,817,798
Change in unrealized appreciation/depreciation--net...... (7,802,169) 99,908,899 10,510,055 41,692,642
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations..... 20,435,410 71,090,080 30,498,820 49,333,368
------------ ------------ ------------ ------------
DIVIDENDS TO SHAREHOLDERS:
Investment income--net................................... (3,065,397) (1,230,011) (7,100,012) (5,972,495)
------------ ------------ ------------ ------------
Net decrease in net assets resulting from dividends to
shareholders........................................... (3,065,397) (1,230,011) (7,100,012) (5,972,495)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net assets derived from
capital share transactions............................. (35,593,992) (24,671,141) 8,485,361 25,700,301
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net assets.................. (18,223,979) 45,188,928 31,884,169 69,061,174
Beginning of year........................................ 308,245,045 263,056,117 206,938,525 137,877,351
------------ ------------ ------------ ------------
End of year*............................................. $290,021,066 $308,245,045 $238,822,694 $206,938,525
============ ============ ============ ============
* Undistributed (accumulated distributions in excess of)
investment income--net................................. $ 115 $ (12,508) $ 512,696 $ (1,363,692)
============ ============ ============ ============
</Table>
See Notes to Financial Statements.
87
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
HIGH YIELD INTERMEDIATE GOVERNMENT
PORTFOLIO BOND PORTFOLIO
------------------------------ ------------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31,
------------------------------ ------------------------------
INCREASE (DECREASE) IN NET ASSETS: 2004 2003 2004 2003
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net................................... $ 6,827,722 $ 7,233,253 $ 5,499,224 $ 7,601,343
Realized gain (loss)--net................................ 3,206,904 (7,397,563) 2,267,069 4,726,085
Change in unrealized appreciation/depreciation--net...... (205,653) 20,966,855 (182,631) (7,317,071)
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations..... 9,828,973 20,802,545 7,583,662 5,010,357
------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS:
Investment income--net................................... (7,167,688) (7,274,168) (5,498,636) (7,714,886)
Realized gain--net....................................... -- -- (1,215,302) (3,139,042)
------------ ------------ ------------ ------------
Net decrease in net assets resulting from dividends and
distributions to shareholders.......................... (7,167,688) (7,274,168) (6,713,938) (10,853,928)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net assets derived from
capital share transactions............................. (23,264,025) 5,490,032 (29,218,873) (30,469,161)
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net assets.................. (20,602,740) 19,018,409 (28,349,149) (36,312,732)
Beginning of year........................................ 105,206,000 86,187,591 203,495,124 239,807,856
------------ ------------ ------------ ------------
End of year*............................................. $ 84,603,260 $105,206,000 $175,145,975 $203,495,124
============ ============ ============ ============
* Undistributed investment income--net................... $ 522,024 $ 736,290 $ 1,501,457 $ 215,734
============ ============ ============ ============
</Table>
See Notes to Financial Statements.
88
- --------------------------------------------------------------------------------
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: 2004 2003 2004 2003
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net................................... $ 2,539,821 $ 1,176,306 $ 4,037,851 $ 3,931,055
Realized gain (loss)--net................................ 37,487,489 17,557,996 (82) 19,805
Change in unrealized appreciation/depreciation--net...... 627,255 45,600,292 (292,050) (130,279)
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations..... 40,654,565 64,334,594 3,745,719 3,820,581
------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS:
Investment income--net................................... (2,553,516) (1,175,000) (4,037,769) (3,931,055)
Realized gain--net....................................... -- -- -- (19,805)
------------ ------------ ------------ ------------
Net decrease in net assets resulting from dividends and
distributions to shareholders.......................... (2,553,516) (1,175,000) (4,037,769) (3,950,860)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets derived from capital share
transactions........................................... (21,477,211) (12,594,903) (56,477,800) (64,117,033)
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net assets.................. 16,623,838 50,564,691 (56,769,850) (64,247,312)
Beginning of year........................................ 256,924,955 206,360,264 401,738,330 465,985,642
------------ ------------ ------------ ------------
End of year*............................................. $273,548,793 $256,924,955 $344,968,480 $401,738,330
============ ============ ============ ============
* Undistributed (accumulated distributions in excess of)
investment income--net................................. $ -- $ (26,176) $ 82 $ --
============ ============ ============ ============
</Table>
See Notes to Financial Statements.
89
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<Table>
BALANCED CAPITAL STRATEGY PORTFOLIO
----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------
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......................... $ 13.13 $ 11.07 $ 13.14 $ 14.44
-------- -------- -------- ----------
Investment income--net*.................................... .27 .27 .35 .35
Realized and unrealized gain (loss)--net................... .86 2.09 (2.05) (1.33)
-------- -------- -------- ----------
Total from investment operations........................... 1.13 2.36 (1.70) (.98)
-------- -------- -------- ----------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.31) (.30) (.37) (.32)
In excess of investment income--net........................ -- -- -- --
Realized gain--net......................................... -- -- -- --
In excess of realized gain--net............................ -- -- -- --
-------- -------- -------- ----------
Total dividends and distributions.......................... (.31) (.30) (.37) (.32)
-------- -------- -------- ----------
Net asset value, end of year............................... $ 13.95 $ 13.13 $ 11.07 $ 13.14
======== ======== ======== ==========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 8.64% 21.29% (12.89%) (6.76%)
======== ======== ======== ==========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................................... .40% .40% .40% .40%
======== ======== ======== ==========
Investment income--net..................................... 2.00% 2.24% 2.81% 2.57%
======== ======== ======== ==========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $913,930 $962,519 $880,758 $1,146,795
======== ======== ======== ==========
Portfolio turnover......................................... 86.01% 104.78% 35.46% 154.91%
======== ======== ======== ==========
BALANCED
CAPITAL
STRATEGY
PORTFOLIO
----------
FOR THE
YEAR ENDED
DECEMBER
31,
----------
INCREASE (DECREASE) IN NET ASSET VALUE: 2000
- ----------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year......................... $ 18.19
----------
Investment income--net*.................................... .43
Realized and unrealized gain (loss)--net................... (1.31)
----------
Total from investment operations........................... (.88)
----------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.43)
In excess of investment income--net........................ (.16)
Realized gain--net......................................... (2.04)
In excess of realized gain--net............................ (.24)
----------
Total dividends and distributions.......................... (2.87)
----------
Net asset value, end of year............................... $ 14.44
==========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... (4.92%)
==========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................................... .38%
==========
Investment income--net..................................... 2.39%
==========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $1,246,623
==========
Portfolio turnover......................................... 103.15%
==========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
90
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
CORE BOND STRATEGY PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
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......................... $ 11.86 $ 11.89 $ 11.35 $ 11.13 $ 10.83
-------- -------- -------- -------- --------
Investment income--net*.................................... .37 .43 .55 .62 .75
Realized and unrealized gain--net.......................... .16 .14 .54 .23 .24
-------- -------- -------- -------- --------
Total from investment operations........................... .53 .57 1.09 .85 .99
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.52) (.45) (.55) (.63) (.69)
Realized gain--net......................................... (.02) (.15) -- -- --
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.54) (.60) (.55) (.63) (.69)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 11.85 $ 11.86 $ 11.89 $ 11.35 $ 11.13
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 4.48% 4.95% 9.95% 7.83% 9.57%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................................... .46% .46% .43% .44% .41%
======== ======== ======== ======== ========
Investment income--net..................................... 3.12% 3.62% 4.73% 5.42% 6.94%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $135,237 $136,698 $145,500 $130,102 $118,088
======== ======== ======== ======== ========
Portfolio turnover......................................... 220.17% 272.48% 269.83% 283.16% 109.60%
======== ======== ======== ======== ========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
91
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
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......................... $ 19.92 $ 15.53 $ 21.82 $ 27.03 $ 38.03
-------- -------- -------- -------- --------
Investment income--net..................................... .21* .08* .07* .12* .19
Realized and unrealized gain (loss)--net................... 1.29 4.39 (6.28) (5.20) (2.49)
-------- -------- -------- -------- --------
Total from investment operations........................... 1.50 4.47 (6.21) (5.08) (2.30)
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.23) (.08) (.08) (.13) (.19)
Realized gain--net......................................... -- -- -- -- (8.46)
In excess of realized gain--net............................ -- -- -- -- (.05)
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.23) (.08) (.08) (.13) (8.70)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 21.19 $ 19.92 $ 15.53 $ 21.82 $ 27.03
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 7.51% 28.78% (28.47%) (18.81%) (6.38%)
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................................... .40% .41% .41% .40% .38%
======== ======== ======== ======== ========
Investment income--net..................................... 1.06% .45% .38% .52% .48%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $290,021 $308,245 $263,056 $417,358 $582,265
======== ======== ======== ======== ========
Portfolio turnover......................................... 70.73% 103.59% 98.84% 116.05% 105.19%
======== ======== ======== ======== ========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
92
- --------------------------------------------------------------------------------
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: 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
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......................... $ 13.85 $ 10.55 $ 11.97 $ 13.33 $ 17.17
-------- -------- -------- -------- --------
Investment income--net*.................................... .32 .29 .34 .34 .38
Realized and unrealized gain (loss)--net................... 1.71 3.42 (1.30) (1.46) (1.99)
-------- -------- -------- -------- --------
Total from investment operations........................... 2.03 3.71 (.96) (1.12) (1.61)
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.47) (.41) (.46) (.24) (.40)
In excess of investment income--net........................ -- -- -- -- (.01)
Realized gain--net......................................... -- -- -- -- (1.23)
In excess of realized gain--net............................ -- -- -- -- (.59)
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.47) (.41) (.46) (.24) (2.23)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 15.41 $ 13.85 $ 10.55 $ 11.97 $ 13.33
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 14.69% 35.24% (8.01%) (8.43%) (9.42%)
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of waiver and excluding reorganization
expenses................................................. .46% .47% .48% .45% .46%
======== ======== ======== ======== ========
Expenses, net of waiver.................................... .46% .47% .48% .45% .46%
======== ======== ======== ======== ========
Expenses................................................... .46% .47% .48% .45% .46%
======== ======== ======== ======== ========
Investment income--net..................................... 2.18% 2.44% 2.99% 2.75% 2.31%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $238,823 $206,939 $137,877 $166,575 $200,858
======== ======== ======== ======== ========
Portfolio turnover......................................... 43.60% 47.25% 53.57% 110.57% 121.89%
======== ======== ======== ======== ========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses. If
applicable, the Portfolio's Investment Adviser waived a portion of its
management fee. Without such waiver, the Portfolio's performance would have
been lower.
See Notes to Financial Statements.
93
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
HIGH YIELD PORTFOLIO
------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
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.......................... $ 5.88 $ 5.12 $ 5.85 $ 6.40 $ 7.45
------- -------- ------- ------- -------
Investment income--net*..................................... .45 .43 .50 .68 .74
Realized and unrealized gain (loss)--net.................... .22 .76 (.71) (.56) (1.10)
------- -------- ------- ------- -------
Total from investment operations............................ .67 1.19 (.21) .12 (.36)
------- -------- ------- ------- -------
Less dividends from investment income--net.................. (.46) (.43) (.52) (.67) (.69)
------- -------- ------- ------- -------
Net asset value, end of year................................ $ 6.09 $ 5.88 $ 5.12 $ 5.85 $ 6.40
======= ======== ======= ======= =======
TOTAL INVESTMENT RETURN:+
Based on net asset value per share.......................... 12.11% 24.40%++ (3.47%) 1.70% (5.14%)
======= ======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of waiver..................................... .48% .44% .47% .46% .42%
======= ======== ======= ======= =======
Expenses.................................................... .48% .44% .47% .46% .42%
======= ======== ======= ======= =======
Investment income--net...................................... 7.57% 7.68% 9.33% 10.71% 10.44%
======= ======== ======= ======= =======
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)...................... $84,603 $105,206 $86,188 $76,806 $89,488
======= ======== ======= ======= =======
Portfolio turnover.......................................... 71.96% 148.84% 90.83% 77.79% 57.39%
======= ======== ======= ======= =======
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses. If
applicable, the Portfolio's Investment Adviser waived a portion of its
management fee. Without such waiver, the Portfolio's performance would have
been lower.
++ 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 return.
See Notes to Financial Statements.
94
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
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......................... $ 11.36 $ 11.67 $ 11.12 $ 10.99 $ 10.45
-------- -------- -------- -------- --------
Investment income--net*.................................... .34 .39 .51 .60 .68
Realized and unrealized gain (loss)--net................... .13 (.13) .49 .14 .49
-------- -------- -------- -------- --------
Total from investment operations........................... .47 .26 1.00 .74 1.17
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.34) (.39) (.45) (.61) (.63)
Realized gain--net......................................... (.08) (.18) -- -- --
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.42) (.57) (.45) (.61) (.63)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 11.41 $ 11.36 $ 11.67 $ 11.12 $ 10.99
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 4.15% 2.26% 9.81% 6.94% 11.64%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses, excluding interest expenses...................... .43% .43% .42% .42% .39%
======== ======== ======== ======== ========
Expenses................................................... .46% .43% .42% .42% .39%
======== ======== ======== ======== ========
Investment income--net..................................... 2.94% 3.36% 4.49% 5.42% 6.47%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $175,146 $203,495 $239,808 $225,658 $215,669
======== ======== ======== ======== ========
Portfolio turnover......................................... 167.74% 236.86% 219.81% 125.46% 105.38%
======== ======== ======== ======== ========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
95
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LARGE CAP CORE STRATEGY PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year......................... $ 18.31 $ 13.88 $ 17.25 $ 19.34 $ 29.43
-------- -------- -------- -------- --------
Investment income--net*.................................... .19 .08 .13 .17 .36
Realized and unrealized gain (loss)--net................... 2.95 4.43 (3.36) (2.10) (3.17)
-------- -------- -------- -------- --------
Total from investment operations........................... 3.14 4.51 (3.23) (1.93) (2.81)
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.20) (.08) (.14) (.16) (.38)
In excess of investment income--net........................ -- -- -- -- (.11)
Realized gain--net......................................... -- -- -- -- (5.65)
In excess of realized gain--net............................ -- -- -- -- (1.14)
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.20) (.08) (.14) (.16) (7.28)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 21.25 $ 18.31 $ 13.88 $ 17.25 $ 19.34
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 17.15% 32.52% (18.74%) (9.97%) (9.87%)
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................................... .41% .41% .43% .42% .39%
======== ======== ======== ======== ========
Investment income--net..................................... 1.00% .53% .80% .96% 1.26%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $273,549 $256,925 $206,360 $287,294 $356,539
======== ======== ======== ======== ========
Portfolio turnover......................................... 126.98% 127.19% 124.16% 178.95% 103.85%
======== ======== ======== ======== ========
</Table>
* Based on average shares outstanding.
+ Total investment returns exclude insurance-related fees and expenses.
See Notes to Financial Statements.
96
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
MONEY RESERVE PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
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......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Investment income--net..................................... .01 .01 .02 .04 .06
Realized and unrealized gain (loss)--net................... --+++ --++ --++ --++ --++
-------- -------- -------- -------- --------
Total from investment operations........................... .01 .01 .02 .04 .06
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income--net..................................... (.01) (.01) (.02) (.04) (.06)
Realized gain--net......................................... --+++ --+++ --+++ --+++ --+++
-------- -------- -------- -------- --------
Total dividends and distributions.......................... (.01) (.01) (.02) (.04) (.06)
-------- -------- -------- -------- --------
Net asset value, end of year............................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:+
Based on net asset value per share......................... 1.10% 0.89% 1.68% 4.15% 6.19%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................................... .40% .40% .39% .38% .37%
======== ======== ======== ======== ========
Investment income and realized gain--net................... 1.07% 0.89% 1.67% 4.08% 6.11%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)..................... $344,968 $401,738 $465,986 $509,986 $504,076
======== ======== ======== ======== ========
</Table>
+ Total investment returns exclude insurance-related fees and expenses.
++ Amount is less than $.01 per share.
+++ Amount is less than $(.01) per share.
97
- --------------------------------------------------------------------------------
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 offering fourteen separate portfolios. This report relates to
eight of the Fund's portfolios:(referred to as the "Portfolios" or individually
as a "Portfolio"): Balanced Capital Strategy Portfolio, Core Bond Strategy
Portfolio, Fundamental Growth Strategy Portfolio, Global Allocation Strategy
Portfolio, High Yield Portfolio, Intermediate Government Bond Portfolio, Large
Cap Core Strategy Portfolio and Money Reserve Portfolio. The Fund's financial
statements are prepared in conformity with U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from these 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 60 days after the valuation date are valued at market value.
When such securities are valued with 60 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 60 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 Portfolio, Core Bond Strategy Portfolio, Fundamental
Growth Strategy Portfolio, Global Allocation Strategy Portfolio, High Yield
Portfolio, Intermediate Government Bond Portfolio and Large Cap Core Strategy
Portfolio: 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 are valued at the last sale price in the case of exchange-traded
options, or in the case of options traded in the over-the-counter market, the
last asked price. Options purchased are valued at their last sale price in the
case of exchange-traded options or, in the case of options traded in the OTC
market, the last bid price. Swap agreements are valued daily based upon
quotations from market makers. Financial futures contracts and options thereon,
which are traded on exchanges, are valued at their last sale price as of the
close of such exchanges. 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.
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 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.
98
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
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 New York Stock Exchange (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 may 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 portfolios 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 Portfolio 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.
- - Forward foreign exchange contracts--Certain Portfolios 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 Portfolio as an unrealized gain or loss.
99
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
When the contract is closed, the Portfolio 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 Portfolio 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 predetermined 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,
administrative 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
100
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
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 recorded an amount payable to the custodian
bank reflecting an overnight overdraft, which resulted from management estimates
of available cash.
(m) Mortgage dollar rolls--Certain Portfolios may sell mortgage-backed
securities for delivery in the current month and simultaneously contract to
repurchase substantially similar (same type, coupon and maturity) securities on
a specific future date.
(n) Reclassifications--U.S. generally accepted accounting principles 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:
$2,252,819 has been reclassified between accumulated net realized capital losses
and undistributed net investment income and $11,280 has been reclassified
between paid-in capital in excess of par and undistributed net investment income
as a result of permanent differences attributable to foreign currency
transactions, swap agreements and tax-exempt income. These reclassifications
have no effect on net assets or net asset values per share.
CORE BOND STRATEGY PORTFOLIO:
$1,180,852 has been reclassified between undistributed net realized capital
gains and undistributed net investment income and $5,087 has been reclassified
between undistributed net investment income and paid-in capital in excess of par
as a result of permanent differences attributable to foreign currency
transactions, accounting for swap agreements, tax-exempt income and the
characterization of distributions. These reclassifications have no effect on net
assets or net asset values per share.
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO:
$11,406 has been reclassified between undistributed net investment income and
undistributed realized net capital losses and $5,024 has been reclassified
between paid-in capital in excess of par and undistributed net investment income
as a result of permanent differences attributable to foreign currency
transactions and to distributions in excess of net investment income. These
reclassifications have no effect on net assets or net asset values per share.
GLOBAL ALLOCATION PORTFOLIO:
$4,188,702 has been reclassified between accumulated net realized capital losses
and undistributed net investment income as a result of permanent differences
attributable to foreign currency transactions, amortization methods on fixed
income securities and the reclassification of proceeds on sales of securities in
default. These reclassifications have no effect on net assets or net asset
values per share.
HIGH YIELD PORTFOLIO:
$125,700 has been reclassified between accumulated net realized capital losses
and undistributed net investment income as a result of permanent differences
attributable to amortization methods on fixed income securities and accounting
for swap agreements. This reclassification has no effect on net assets or net
asset values per share.
101
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO:
$1,285,135 has been reclassified between accumulated net realized capital gains
and undistributed net investment income as a result of a permanent difference
attributable to swap agreements. This reclassification has no effect on net
assets or net asset values per share.
LARGE CAP CORE STRATEGY PORTFOLIO:
$39,871 has been reclassified between paid-in capital in excess of par and
accumulated net investment income as a result of permanent difference
attributable to distributions in excess of net investment income. This
reclassification has 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: .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 year ended December 31, 2004, MLIM earned fees of
$733,089 and waived $1,501 relating to the Global Allocation Strategy Portfolio
and earned fees of $301,690 and waived $427 relating to the High Yield
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, 2004, the following Portfolios lent securities to MLPF&S:
<Table>
<Caption>
- ----------------------------------------------------------------------------------
AMOUNT OF LOANED
PORTFOLIOS PORTFOLIO SECURITIES
- ----------------------------------------------------------------------------------
Large Cap Core Portfolio.................................... $1,290,000
- ----------------------------------------------------------------------------------
</Table>
102
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
For the year ended December 31, 2004, MLIM, LLC received securities lending
agent fees from the following Portfolios:
<Table>
<Caption>
- ----------------------------------------------------------------------------------
SECURITIES LENDING
PORTFOLIOS AGENT FEES
- ----------------------------------------------------------------------------------
Balanced Capital Strategy Portfolio......................... $ 5,875
Core Bond Strategy Portfolio................................ $ 71
Fundamental Growth Strategy Portfolio....................... $10,009
Global Allocation Strategy Portfolio........................ $ 417
Intermediate Government Portfolio........................... $ 515
Large Cap Core Strategy Portfolio........................... $ 6,323
- ----------------------------------------------------------------------------------
</Table>
MLPF&S earned commissions on the execution of Portfolio security transactions
aggregating $59,383 in the Balanced Capital Strategy Portfolio, $67,192 in the
Fundamental Growth Strategy Portfolio and $13,253 in the Global Allocation
Strategy Portfolio for the year ended December 31, 2004.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is
the Fund's transfer agent.
For the year ended December 31, 2004, the Fund reimbursed MLIM an aggregate of
$19,196 in Balanced Capital Strategy Portfolio, $2,894 in Core Bond Strategy
Portfolio, $6,081 in Fundamental Growth Strategy Portfolio, $4,558 in Global
Allocation Strategy Portfolio, $2,012 in High Yield Portfolio, $3,916 in
Intermediate Government Bond Portfolio, $5,240 in Large Cap Core Strategy
Portfolio and $7,893 in Money Reserves Portfolio for certain accounting
services.
Certain officers and/or directors of the Fund are officers and/or directors of
MLIM, FDS, PSI, FAMD, and/or ML & Co.
3. INVESTMENTS:
Purchases and sales of investments (including paydowns), excluding short-term
securities, for the year ended December 31, 2004 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.......................... $713,849,386 $303,655,058 $199,230,483 $73,639,305 $61,044,468
------------ ------------ ------------ ----------- -----------
Total Sales.............................. $783,247,665 $334,365,170 $235,426,456 $76,932,450 $83,549,209
============ ============ ============ =========== ===========
<Caption>
INTERMEDIATE LARGE CAP
GOVERNMENT CORE STRATEGY
BOND PORTFOLIO PORTFOLIO
- ----------------------------------------- ------------------------------
Total Purchases.......................... $346,793,389 $325,291,830
------------ ------------
Total Sales.............................. $380,406,686 $346,736,384
============ ============
</Table>
Transactions in options written for the year ended December 31, 2004 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....... -- $ -- -- $ -- 2 $ 8,585
Options written............................................. 333 914,895 153 420,640 22 14,355
Options exercised........................................... (68) (11,432) (31) (5,212) -- --
Options expired............................................. (241) (93,034) (111) (42,427) (24) (22,940)
---- --------- ------ -------- --- --------
Outstanding put options written, at end of year............. 24 $ 810,429 11 $373,001 -- $ --
==== ========= ====== ======== === ========
</Table>
103
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<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.............. -- $ -- -- $ -- 645 $104,444 2 $ 8,585
Options written.................... 5,983 369,551 2,584 152,748 5,377 720,720 902 320,213
Options exercised.................. (137) (46,955) (60) (20,639) (444) (60,905) -- --
Options expired.................... (5,840) (203,100) (2,522) (92,277) (843) (86,040) (883) (139,106)
Options closed..................... (6) (119,496) (2) (39,832) (188) (27,510) (10) (172,892)
------ --------- ------ -------- ----- -------- ---- ---------
Outstanding call options written,
at end of year.................... -- $ -- -- $ -- 4,547 $650,709 11 $ 16,800
====== ========= ====== ======== ===== ======== ==== =========
</Table>
104
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
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, 2004 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------------------------------------
Shares sold........................... 243,545 $ 3,246,280 1,457,350 $ 17,189,604 450,706 $ 9,028,432
Shares issued to shareholders in
reinvestment of dividends and
distributions........................ 1,447,238 20,160,020 517,038 6,098,502 144,322 3,065,397
---------- ------------- ---------- ------------ ---------- ------------
Total issued.......................... 1,690,783 23,406,300 1,974,388 23,288,106 595,028 12,093,829
Shares redeemed....................... (9,486,270) (126,916,910) (2,081,845) (24,573,883) (2,379,764) (47,687,822)
---------- ------------- ---------- ------------ ---------- ------------
Net increase (decrease)............... (7,795,487) $(103,510,610) (107,457) $ (1,285,777) (1,784,736) $(35,593,993)
========== ============= ========== ============ ========== ============
<Caption>
GLOBAL ALLOCATION
STRATEGY PORTFOLIO
-------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 2004 SHARES AMOUNT
- -------------------------------------- -------------------------
Shares sold........................... 2,075,453 $ 29,692,334
Shares issued to shareholders in
reinvestment of dividends and
distributions........................ 462,843 7,100,012
---------- ------------
Total issued.......................... 2,538,296 36,792,346
Shares redeemed....................... (1,974,878) (28,306,985)
---------- ------------
Net increase (decrease)............... 563,418 $ 8,485,361
========== ============
</Table>
<Table>
<Caption>
HIGH YIELD INTERMEDIATE GOVERNMENT LARGE CAP
PORTFOLIO BOND PORTFOLIO CORE STRATEGY PORTFOLIO
------------------------- ------------------------- -------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 2004 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------------------------------------
Shares sold......................... 2,794,520 $ 16,404,522 341,004 $ 3,879,706 791,275 $ 15,258,007
Shares issued to shareholders in
reinvestment of dividends and
distributions...................... 1,223,987 7,167,688 589,568 6,713,938 119,940 2,553,516
---------- ------------ ---------- ------------ ---------- ------------
Total issued........................ 4,018,507 23,572,210 930,572 10,593,644 911,215 17,811,523
Shares redeemed..................... (8,009,396) (46,836,235) (3,495,853) (39,812,517) (2,064,127) (39,288,734)
---------- ------------ ---------- ------------ ---------- ------------
Net decrease........................ (3,990,889) $(23,264,025) (2,565,281) $(29,218,873) (1,152,912) $(21,477,211)
========== ============ ========== ============ ========== ============
<Caption>
MONEY RESERVE
PORTFOLIO
----------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 2004 SHARES AMOUNT
- ------------------------------------ ----------------------------
Shares sold......................... 107,463,422 $ 107,463,422
Shares issued to shareholders in
reinvestment of dividends and
distributions...................... 4,036,367 4,036,367
------------ -------------
Total issued........................ 111,499,789 111,499,789
Shares redeemed..................... (167,977,589) (167,977,589)
------------ -------------
Net decrease........................ (56,477,800) $ (56,477,800)
============ =============
</Table>
<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>
HIGH YIELD INTERMEDIATE GOVERNMENT LARGE CAP
PORTFOLIO BOND PORTFOLIO CORE STRATEGY PORTFOLIO
-------------------------- ------------------------- -------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 2003 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------------------------
Shares sold....................... 14,538,309 $ 79,466,453 1,437,352 $ 16,660,368 1,099,560 $ 17,243,572
Shares issued to shareholders in
reinvestment of dividends and
distributions.................... 1,342,219 7,274,168 942,934 10,853,928 64,068 1,175,000
----------- ------------ ---------- ------------ ---------- ------------
Total issued...................... 15,880,528 86,740,621 2,380,286 27,514,296 1,163,628 18,418,572
Shares redeemed................... (14,833,885) (81,250,589) (5,011,972) (57,983,457) (2,004,445) (31,013,475)
----------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)........... 1,046,643 $ 5,490,032 (2,631,686) $(30,469,161) (840,817) $(12,594,903)
=========== ============ ========== ============ ========== ============
<Caption>
MONEY RESERVE
PORTFOLIO
----------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 2003 SHARES AMOUNT
- ---------------------------------- ----------------------------
Shares sold....................... 146,472,682 $ 146,472,682
Shares issued to shareholders in
reinvestment of dividends and
distributions.................... 3,950,860 3,950,860
------------ -------------
Total issued...................... 150,423,542 150,423,542
Shares redeemed................... (214,540,575) (214,540,575)
------------ -------------
Net increase (decrease)........... (64,117,033) $ (64,117,033)
============ =============
</Table>
5. REVERSE REPURCHASE AGREEMENTS:
Under a reverse repurchase agreement, a portfolio sells securities to repurchase
them at a mutually agreed upon date and price. At the time a portfolio enters
into a reverse repurchase agreement, it will establish a segregated account with
the custodian containing cash, cash equivalents of liquid high grade debt
securities having a value at least equal to the repurchase price.
105
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
For the year ended December 31, 2004, the Intermediate Government Bond
Portfolio's average amount outstanding was approximately $5,243,383 and daily
weighted average interest rate was 1.15%.
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 a group of 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 .07% 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 defined in the credit agreement. The Fund
did not borrow under the credit agreement during the year ended December 31,
2004. On November 26, 2004, the credit agreement was renewed for one year under
substantially the same terms.
7. COMMITMENTS:
At December 31, 2004, the Fund had entered into foreign exchange contracts,
under which it had agreed to purchase various foreign currencies with
approximate values of $233,000 for Fundamental Growth Strategy Portfolio and
$177,000 for Global Allocation Strategy Portfolio.
8. DISTRIBUTIONS TO SHAREHOLDERS:
The Fund paid the following ordinary income dividends on January 3, 2005 to
shareholders of record on December 31, 2004.
<Table>
<Caption>
PER SHARE
PORTFOLIO AMOUNT
- -----------------------------------------------------------------------
Core Bond Strategy.......................................... $.131548
High Yield.................................................. $.040390
Intermediate Government Bond................................ $.027548
- -----------------------------------------------------------------------
</Table>
BALANCED CAPITAL STRATEGY PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
----------- -----------
Distributions paid from:
Ordinary income........................................... $20,160,020 $21,275,068
----------- -----------
Total taxable distributions................................. $20,160,020 $21,275,068
=========== ===========
</Table>
As of December 31, 2004, the components of accumulated losses on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $ 379,656
Undistributed long-term capital gains--net.................. --
-------------
Total undistributed earnings--net........................... 379,656
Capital loss carryforward................................... (121,985,504)*
Unrealized gains--net....................................... 64,463,501**
-------------
Total accumulated losses--net............................... $ (57,142,347)
=============
</Table>
* On December 31, 2004, the Portfolio had a net capital loss carryforward of
$121,985,504 of which $17,856,612 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.
106
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
** The difference between book-basis and tax-basis net unrealized gains 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 on certain futures, the difference between book and tax
amortization methods for premiums and discounts on fixed income securities
and other book/tax temporary differences.
CORE BOND STRATEGY PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
----------- -----------
Distributions paid from:
Ordinary income........................................... $4,829,329 $5,705,449
Net long-term capital gains............................... 1,269,173 1,555,479
---------- ----------
Total taxable distributions................................. $6,098,502 $7,260,928
========== ==========
</Table>
As of December 31, 2004, the components of accumulated earnings on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $1,640,710
Undistributed long-term capital gains--net.................. 71,070
----------
Total undistributed earnings--net........................... 1,711,780
Capital loss carryforward................................... --
Unrealized gains--net....................................... 1,683,109*
----------
Total accumulated earnings--net............................. $3,394,889
==========
</Table>
* The difference between book-basis and tax-basis net unrealized gains 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 on certain futures contracts, the difference between book and
tax amortization methods for premiums and discounts on fixed income securities
and other book/tax temporary differences.
FUNDAMENTAL GROWTH STRATEGY PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
---------- ----------
Distributions paid from:
Ordinary income........................................... $3,065,397 $1,230,011
---------- ----------
Total taxable distributions................................. $3,065,397 $1,230,011
========== ==========
</Table>
As of December 31, 2004, the components of accumulated losses on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $ --
Undistributed long-term capital gains--net.................. --
-------------
Total undistributed earnings--net........................... --
Capital loss carryforward................................... (158,957,477)*
Unrealized gains--net....................................... 37,350,734**
-------------
Total accumulated losses--net............................... $(121,606,743)
=============
</Table>
* On December 31, 2004, the Portfolio had a net capital loss carryforward of
$158,957,477, of which $53,547,727 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.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales and the
realization for tax purposes of net unrealized losses on certain foreign
currency contracts.
107
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
GLOBAL ALLOCATION STRATEGY PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
---------- ----------
Distributions paid from:
Ordinary income........................................... $7,100,012 $5,972,495
---------- ----------
Total taxable distributions................................. $7,100,012 $5,972,495
========== ==========
</Table>
As of December 31, 2004, the components of accumulated earnings on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $ 1,831,282
Undistributed long-term capital gains--net.................. --
------------
Total undistributed earnings--net........................... 1,831,282
Capital loss carryforward................................... (13,161,778)*
Unrealized gains--net....................................... 37,406,696**
------------
Total accumulated earnings--net............................. $ 26,076,200
============
</Table>
* On December 31, 2004, the Portfolio had a net capital loss carryforward of
$13,161,778, of which $2,473,089 expires in 2009, $9,479,295 expires in 2010
and $1,209,394 expires in 2011. 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 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 on certain futures 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 and other book/tax
temporary differences.
HIGH YIELD PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
---------- ----------
Distributions paid from:
Ordinary income........................................... $7,167,688 $7,274,168
---------- ----------
Total taxable distributions................................. $7,167,688 $7,274,168
========== ==========
</Table>
As of December 31, 2004, the components of accumulated losses on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $ 402,574
Undistributed long-term capital gains--net.................. --
------------
Total undistributed earnings--net........................... 402,574
Capital loss carryforward................................... (37,323,637)*
Unrealized gains--net....................................... 1,604,230**
------------
Total accumulated losses--net............................... $(35,316,833)
============
</Table>
* On December 31, 2004, the Portfolio had a net capital loss carryforward of
$37,323,637 of which $1,317,507 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.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
realization for tax purposes of unrealized gains on certain futures
contracts, the difference between book and tax amortization methods for
premiums and discounts on fixed income securities and other book/tax
temporary differences.
108
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
----------- -----------
Distributions paid from:
Ordinary income........................................... $6,479,637 $ 7,714,886
Net long-term capital gains............................... 234,301 3,139,042
---------- -----------
Total taxable distributions................................. $6,713,938 $10,853,928
========== ===========
</Table>
As of December 31, 2004, the components of accumulated earnings on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $1,563,490
Undistributed long-term capital gain--net................... --
----------
Total undistributed earnings--net........................... 1,563,490
Capital loss carryforward................................... --
Unrealized gains--net....................................... 439,638*
----------
Total accumulated earnings--net............................. $2,003,128
==========
</Table>
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on straddles, the
difference between book and tax amortization methods for premiums and
discounts on fixed income securities, the deferral of post-October capital
losses for tax purposes and other book/tax temporary differences.
LARGE CAP CORE STRATEGY PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
---------- ----------
Distributions paid from:
Ordinary income........................................... $2,553,516 $1,175,000
---------- ----------
Total taxable distributions................................. $2,553,516 $1,175,000
========== ==========
</Table>
As of December 31, 2004, the components of accumulated earnings on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $ --
Undistributed long-term capital gains--net.................. --
------------
Total undistributed earnings--net........................... --
Capital loss carryforward................................... (28,618,558)*
Unrealized gains--net....................................... 39,963,660**
------------
Total accumulated earnings--net............................. $ 11,345,102
============
</Table>
* On December 31, 2004, the Portfolio had a net capital loss carryforward of
$28,618,558 of which $2,932,908 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 is
attributable primarily to the tax deferral of losses on wash sales.
109
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
MONEY RESERVE PORTFOLIO
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
12/31/2004 12/31/2003
---------- ----------
Distributions paid from:
Ordinary income........................................... $4,037,769 $3,950,743
Net long-term capital gains............................... -- 117
---------- ----------
Total taxable distributions................................. $4,037,769 $3,950,860
========== ==========
</Table>
As of December 31, 2004, the components of accumulated losses on a tax basis
were as follows:
<Table>
<Caption>
Undistributed ordinary income--net.......................... $ 82
Undistributed long-term capital gains--net.................. --
---------
Total undistributed earnings--net........................... 82
Capital loss carryforward................................... (49)*
Unrealized losses--net...................................... (183,603)
---------
Total accumulated losses--net............................... $(183,570)
=========
</Table>
* On December 31, 2004, the Portfolio had a net capital loss carryforward of
$49, all of which expires in 2012. This amount will be available to offset
like amounts of any future taxable gains.
110
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Report of Independent Registered Public Accounting Firm
- --------------------------------------------------------------------------------
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 the Balanced Capital Strategy Portfolio, Core
Bond Strategy Portfolio, Fundamental Growth Strategy Portfolio, Global
Allocation Strategy Portfolio, High Yield Portfolio, Intermediate Government
Bond Portfolio, Large Cap Core Strategy Portfolio and Money Reserve Portfolio
(eight of the portfolios constituting the Merrill Lynch Series Fund, Inc. (the
"Fund")) as of December 31, 2004, 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 the standards of the Public Company
Accounting Oversight Board (United States). 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 consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the Fund's
internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. Our procedures
included confirmation of securities owned as of December 31, 2004, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. 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, 2004, 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 U.S. generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 22, 2005
111
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
OFFICERS AND DIRECTORS
- --------------------------------------------------------------------------------
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 President and Chairman of 124 Funds
P.O. Box 9011 Director the Merrill Lynch 163 Portfolios
Princeton, NJ 08543-9011 Investment Managers, L.P.
Age: 64 ("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: 64
- ---------------------------------------------------------------------------------------
</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 present and 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
NAME, ADDRESS & AGE POSITION(S) HELD PRINCIPAL OCCUPATION(S) OVERSEEN
OF DIRECTOR WITH FUND LENGTH OF TIME SERVED* DURING PAST 5 YEARS BY DIRECTOR
- ----------------------------------------------------------------------------------------------------------------------------
Donald W. Burton Director 2002 to present General Partner of The 23 Funds
P.O. Box 9095 Burton Partnership, Limited 42 Portfolios
Princeton, NJ 08543-9095 Partnership (an Investment
Age: 60 Partnership) since 1979;
Managing General Partner of
The South Atlantic Venture
Funds since 1983; Member of
the Investment Advisory
Committee of the Florida
State Board of
Administration since 2001.
- ----------------------------------------------------------------------------------------------------------------------------
<Caption>
- ---------------------------- ---------------------
OTHER PUBLIC
NAME, ADDRESS & AGE DIRECTORSHIPS HELD BY
OF DIRECTOR DIRECTOR
- ---------------------------- ---------------------
Donald W. Burton ITC DeltaCom, Inc.,
P.O. Box 9095 Knology, Inc.,
Princeton, NJ 08543-9095 Symbion, Inc.
Age: 60
- ----------------------------------------------------------------------------------------------------------
</Table>
112
- --------------------------------------------------------------------------------
INDEPENDENT DIRECTORS (CONCLUDED)
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS IN
FUND COMPLEX
NAME, ADDRESS & AGE POSITION(S) HELD PRINCIPAL OCCUPATION(S) OVERSEEN
OF DIRECTOR 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 43 Portfolios
Princeton, NJ 08543-9095 Management Emeritus,
Age: 72 Harvard Business School
since 1996; James R.
Williston Professor of
Investment Management,
Harvard Business School
from 1971 to 1996.
- ----------------------------------------------------------------------------------------------------------------------------
Laurie Simon Hodrick Director 2000 to present Professor of Finance and 23 Funds
P.O. Box 9095 Economics, Graduate School 42 Portfolios
Princeton, NJ 08543-9095 of Business, Columbia
Age: 42 University since 1998.
- ----------------------------------------------------------------------------------------------------------------------------
David H. Walsh Director 2003 to present Consultant with Putnam 23 Funds
P.O. Box 9095 Investments from 1993 to 42 Portfolios
Princeton, NJ 08543-9095 2003 and employed in
Age: 63 various capacities
therewith from 1973 to
1992; Director, The
National Audubon Society
since 1998; Director, The
American Museum of Fly
Fishing since 1997.
- ----------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss Director 2000 to present Managing Director of FGW 23 Funds
P.O. Box 9095 Advisors, Inc. since 1997; 42 Portfolios
Princeton, NJ 08543-9095 Vice President, Planning,
Age: 63 Investment and Development
of Warner Lambert Co. from
1979 to 1997; Director of
the Michael J. Fox
Foundation for Parkinson's
Research since 2000;
Director of BTG
International Plc (a global
technology
commercialization company)
since 2001.
<Caption>
- ---------------------------- ---------------------
OTHER PUBLIC
NAME, ADDRESS & AGE DIRECTORSHIPS HELD BY
OF DIRECTOR DIRECTOR
- ---------------------------- ---------------------
M. Colyer Crum Cambridge
P.O. Box 9095 Bancorp
Princeton, NJ 08543-9095
Age: 72
- ----------------------------------------------------------------------------------------------------------------------------
Laurie Simon Hodrick None
P.O. Box 9095
Princeton, NJ 08543-9095
Age: 42
- ----------------------------------------------------------------------------------------------------------------------------
David H. Walsh None
P.O. Box 9095
Princeton, NJ 08543-9095
Age: 63
- ----------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss Watson
P.O. Box 9095 Pharmaceuticals Inc.
Princeton, NJ 08543-9095
Age: 63
</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.
- --------------------------------------------------------------------------------
113
- --------------------------------------------------------------------------------
FUND OFFICERS
<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: 44
- --------------------------------------------------------------------------
Robert C. Doll, Jr. Senior Vice 1999 to present
P.O. Box 9011 President
Princeton, NJ 08543-9011
Age: 50
- --------------------------------------------------------------------------
Kevin J. McKenna Senior Vice 1998 to present
P.O. Box 9011 President
Princeton, NJ 08543-9011
Age: 47
- --------------------------------------------------------------------------
John Burger Vice President 2003 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 41
- --------------------------------------------------------------------------
Lawrence R. Fuller Vice President 1998 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 63
- --------------------------------------------------------------------------
Patrick Maldari Vice President 2002 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 42
- --------------------------------------------------------------------------
Robert F. Murray Vice President 1998 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 47
- --------------------------------------------------------------------------
James Pagano Vice President 2002 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 42
- --------------------------------------------------------------------------
Jacqueline Rogers-Ayoub Vice President 1996 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 47
- --------------------------------------------------------------------------
Kurt Schansinger Vice President 2001 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 44
- --------------------------------------------------------------------------
Dennis W. Stattman Vice President 2001 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 53
- --------------------------------------------------------------------------
Frank Viola Vice President 2002 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 40
- --------------------------------------------------------------------------
<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 and Director
Age: 44 since 2004; Vice President of FAMD since 1999; Vice
President of MLIM and FAM from 1990 to 1997; Director of
Taxation of MLIM from 1990 to 2001.
- ----------------------------------------------------------------------------------------------
Robert C. Doll, Jr. President of MLIM/FAM-advised funds since 2005; President of
P.O. Box 9011 MLIM and FAM since 2001; Co-Head (Americas Region) thereof
Princeton, NJ 08543-9011 from 2000 to 2001 and Senior Vice President from 1999 to
Age: 50 2001; President and Director of Princeton Services, Inc.
since 2001; President of Princeton Administrators, L.P.
since 2001; Chief Investment Officer 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: 47
- ----------------------------------------------------------------------------------------------
John Burger Director (Global Fixed Income) of MLIM since 1998; Vice
P.O. Box 9011 President of MLIM from 1993 to 1998.
Princeton, NJ 08543-9011
Age: 41
- ----------------------------------------------------------------------------------------------
Lawrence R. Fuller Managing Director (Equities) of MLIM since 2000; Director of
P.O. Box 9011 MLIM from 1997 to 2000.
Princeton, NJ 08543-9011
Age: 63
- ----------------------------------------------------------------------------------------------
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: 42
- ----------------------------------------------------------------------------------------------
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: 47
- ----------------------------------------------------------------------------------------------
James Pagano Director (Global Fixed Income) of MLIM since 2004; Vice
P.O. Box 9011 President of MLIM from 1996 to 2004.
Princeton, NJ 08543-9011
Age: 42
- ----------------------------------------------------------------------------------------------
Jacqueline Rogers-Ayoub Vice President (Global Fixed Income) of MLIM since 1986.
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 47
- ----------------------------------------------------------------------------------------------
Kurt Schansinger Managing Director (Equities) of MLIM since 2000; Director of
P.O. Box 9011 MLIM from 1997 to 2000.
Princeton, NJ 08543-9011
Age: 44
- ----------------------------------------------------------------------------------------------
Dennis W. Stattman Managing Director (Equities) of MLIM since 2000; Director of
P.O. Box 9011 MLIM from 1997 to 2000.
Princeton, NJ 08543-9011
Age: 53
- ----------------------------------------------------------------------------------------------
Frank Viola Managing Director (Fixed Income) of MLIM since 1997;
P.O. Box 9011 Treasurer of Merrill Lynch Bank & Trust from 1996 to 1997
Princeton, NJ 08543-9011 and Vice President of Merrill Lynch Capital Markets from
Age: 40 1993 to 1996.
- ----------------------------------------------------------------------------------------------
</Table>
114
- --------------------------------------------------------------------------------
FUND OFFICERS (CONCLUDED)
<Table>
<Caption>
- --------------------------------------------------------------------------
POSITION(S) HELD
NAME, ADDRESS & AGE WITH FUND LENGTH OF TIME SERVED*
- --------------------------------------------------------------------------
Jeffrey Hiller Chief Compliance 2004 to present
P.O. Box 9011 Officer
Princeton, NJ 08543-9011
Age: 53
- --------------------------------------------------------------------------
Alice A. Pellegrino Secretary 2004 to present
P.O. Box 9011
Princeton, NJ 08543-9011
Age: 44
- --------------------------------------------------------------------------
* Officers of the Fund serve at the pleasure of the Board of Directors.
- --------------------------------------------------------------------------
<Caption>
- -------------------------------- ------------------------------------------------------------
NAME, ADDRESS & AGE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -------------------------------- ------------------------------------------------------------
Jeffrey Hiller Chief Compliance Officer of the MLIM/FAM-advised funds and
P.O. Box 9011 First Vice President and Chief Compliance Officer of MLIM
Princeton, NJ 08543-9011 since 2004; Global Director of Compliance at Morgan Stanley
Age: 53 Investment Management from 2002 to 2004; Managing Director
and Global Director of Compliance at Citigroup Asset
Management from 2000 to 2002; Chief Compliance Officer at
Soros Fund Management in 2000; Chief Compliance Officer at
Prudential Financial from 1995 to 2000.
- ----------------------------------------------------------------------------------------------
Alice A. Pellegrino Secretary of MLIM, FAM, FAMD and Princeton Services since
P.O. Box 9011 2004; Director (Legal Advisory) of MLIM since 2002; Vice
Princeton, NJ 08543-9011 President of MLIM from 1999 to 2002; Attorney associated
Age: 44 with MLIM since 1997.
- ----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
</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
- --------------------------------------------------------------------------------
Effective January 1, 2005, Terry K. Glenn, President and Director and M. Colyer
Crum, Director of Merrill Lynch Series Fund, Inc. retired. The Fund's Board of
Directors wishes Mr. Glenn and Professor Crum well in their retirements.
Effective January 1, 2005, Robert C. Doll, Jr. became Executive Vice President
and Chief Executive Officer of the Fund. Effective January 31, 2005, Mr. Doll
became President and Trustee of the Fund.
- --------------------------------------------------------------------------------
115
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Availability of Quarterly Schedule of Investments
- --------------------------------------------------------------------------------
The Fund files its complete schedules of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
116
- --------------------------------------------------------------------------------
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 Merrill
Lynch Money Reserve Portfolio is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other Government agency. Although Merrill
Lynch 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
Web site at http://www.sec.gov. Information about how the Fund voted proxies
relating to securities held in the Fund's portfolios during the most recent
12-month period ended June 30 is available (1) at www.mutualfunds.ml.com and (2)
on the Securities and Exchange Commission's Web site at http://www.sec.gov.
59828-12/04
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) John F.
O'Brien (as of November 22, 2004), (5) David H. Walsh and (6) 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 - Fiscal Year Ending December 31, 2004 - $192,800
Fiscal Year Ending December 31, 2003 - $122,600
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2004 - $ 0
Fiscal Year Ending December 31, 2003 - $ 17,400
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.
(c) Tax Fees - Fiscal Year Ending December 31, 2004 - $68,565
Fiscal Year Ending December 31, 2003 - $58,710
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $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 all of the registrants the Committee oversees. 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) Not Applicable
(g) Fiscal Year Ending December 31, 2004 - $11,926,355
Fiscal Year Ending December 31, 2003 - $18,621,495
(h) The registrant's audit committee has considered and determined 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.
Regulation S-X Rule 2-01(c)(7)(ii) - $945,000, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies - Not
Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(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.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the second fiscal half-year of the
period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - 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/ Robert C. Doll, Jr.
-------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Merrill Lynch Series Fund, Inc.
Date: February 24, 2005
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/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Merrill Lynch Series Fund, Inc.
Date: February 24, 2005
By: /s/ Donald C. Burke
---------------------------
Donald C. Burke,
Chief Financial Officer of
Merrill Lynch Series Fund, Inc.
Date: February 24, 2005