-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HmBcpqK2e/oC34TnDYgQqcmcYhIxVM8mA+Hury3KLKDAfILJ+Rjzoflpw4spqm2+ 8KGcPf3zJu4B7VHZJuDzsA== 0001193805-03-000804.txt : 20030902 0001193805-03-000804.hdr.sgml : 20030901 20030902094411 ACCESSION NUMBER: 0001193805-03-000804 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030902 EFFECTIVENESS DATE: 20030902 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MERRILL LYNCH INDEX FUNDS INC CENTRAL INDEX KEY: 0001026144 IRS NUMBER: 223483675 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07899 FILM NUMBER: 03875305 BUSINESS ADDRESS: STREET 1: MERRILL LYNCH ASSET MANAGEMENT STREET 2: 800 SCUDDERS MILL ROAD CITY: PLAINSBORO STATE: NJ ZIP: 08536 BUSINESS PHONE: 6092820785 MAIL ADDRESS: STREET 1: MERRILL LYNCH ASSET MANAGEMENT STREET 2: 800 SCUDDERS MILL ROAD CITY: PLAINSBORO STATE: NJ ZIP: 08536 N-CSR 1 e300589_ncsr-mlsmallcap.txt SEMI-ANNUAL REPORT 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 811-7899 811-7885 Name of Fund: Merrill Lynch SmallCap Index Fund Master SmallCap Index Series Fund Address: P.O. Box 9011 Princeton, NJ 08543-9011 Name and address of agent for service: Terry K. Glenn, President, Merrill Lynch SmallCap Index Fund, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011 Registrant's telephone number, including area code: (609) 282-2800 Date of fiscal year end: 12/31/03 Date of reporting period: 01/01/03 - 06/30/03 Item 1 - Attach shareholder report [LOGO] Merrill Lynch Investment Managers Semi-Annual Report June 30, 2003 Merrill Lynch Small Cap Index Fund Merrill Lynch Index Funds, Inc. www.mlim.ml.com Merrill Lynch Small Cap Index Fund Officers and Directors/Trustees Terry K. Glenn, President and Director/Trustee Donald W. Burton, Director/Trustee M. Colyer Crum, Director/Trustee Laurie Simon Hodrick, Director/Trustee Fred G. Weiss, Director/Trustee Robert C. Doll, Jr., Senior Vice President Richard J. Vella, Vice President Donald C. Burke, Vice President and Treasurer Brian D. Stewart, Secretary Custodian Merrill Lynch Trust Company, FSB 1300 Merrill Lynch Drive 3rd Floor -- MSC 0303 Pennington, NJ 08534 Transfer Agent Financial Data Services, Inc. 4800 Deer Lake Drive East Jacksonville, FL 32246-6484 800-637-3863 Merrill Lynch Small Cap Index Fund, June 30, 2003 DEAR SHAREHOLDER Effective April 14, 2003, the share class names for the Merrill Lynch Family of mutual funds were changed to be consistent with the standard share classes of most other mutual fund families. As of that date, all Class A Shares were redesignated as Class I Shares. At the same time, Class D Shares were redesignated Class A Shares. Trading symbols have not been changed nor have current eligibility rules or pricing structures. This redesignation of share classes does not impact your investment in any way. Investment Environment The first quarter of 2003 brought negative returns and extreme volatility. The U.S. markets lost ground consistently during the beginning of the quarter then spiked on news of the start of war with Iraq. The downtrend returned after investors realized that the conflict might last longer than anticipated, potentially curbing business spending. Most indexes finished the first quarter in negative territory. The second quarter of 2003 brought impressive gains and what some are calling a "bull rally." The U.S. markets rose consistently over the quarter, spurred by optimism that economic and profit growth will accelerate. On June 16, 2003, the Standard & Poor's (S&P) 500 Index closed above the 1,000 mark (at 1,010.74) for the first time since June 20, 2002. Most indexes finished the six-month period ended June 30, 2003 in positive territory, with the Dow Jones Industrial Average closing at 8,985.44, up 7.72% for the period, and the S&P 500 Index closing at 974.50, up 10.76% for the period. The Nasdaq Composite Index closed at 1,622.80, up an impressive 21.51%. Technology stocks have outperformed the broader market on expectations that companies in that sector will be among the first beneficiaries of an economic recovery. Portfolio Matters For the six months ended June 30, 2003, Merrill Lynch Small Cap Index Fund's Class A and Class I Shares had total returns of +17.37% and +17.63%, respectively, compared to the unmanaged benchmark Russell 2000 Index's total return of +17.88%. (Complete performance information can be found on page 4 of this report to shareholders.) The Fund met its objective of closely tracking the return of its benchmark. Growth outperformed value for the six-month period, with the unmanaged Russell 2000 Growth Index returning +19.33% compared to the unmanaged Russell 2000 Value Index, which posted a return of +16.49%. This trend was also seen across the broader market, as the unmanaged Russell 3000 Growth Index returned +13.49%, while the unmanaged Russell 3000 Value Index returned +11.91%. Turning to year-to-date (as of June 30, 2003) sector performance, as measured by the Russell 2000 Index, health care outperformed all other sectors, posting a return of +29.14%. Other top performers were technology (+26.77%) and consumer discretionary (+18.11%). The worst performer for the six months trailing was "other," which includes conglomerates that fall across multiple sectors, posting a return of -1.68%. Materials and processing, auto and transportation, and consumer staples also performed poorly by comparison with other sectors, with returns of +8.69%, +8.50% and +6.20%, respectively. Market Review Investor confidence remained shaken early in 2003 with threats of terrorism, nuclear tensions in North Korea, and unexpectedly high unemployment. The war in Iraq left investors with inconsistent views about the market, and trading was reactionary to news from the front lines. However, markets rallied following the resolution of military affairs in Iraq, and investors became increasingly bullish about the outlook for equities. The rise was notable for all sectors and countries. It has been encouraging to see that the SARS virus appears to have been brought under control in Hong Kong, Singapore, China and, hopefully, Taiwan. Despite unstable markets, the Federal Reserve Board left interest rates unchanged at 1.25% at its January 29 and March 18, 2003 meetings. After leaving interest rates unchanged again at its May 6 meeting, the Federal Reserve Board lowered its target for the Federal Funds rate by 25 basis points (.25%) to 1% at its June 25 meeting, bringing the rate to a 49-year low. The Federal Reserve Board continues to use an accommodative stance of monetary policy, coupled with an underlying growth in productivity, to provide ongoing support to economic activity. The modest 25 basis point cut rather than the expected 50 basis point cut leaves room for further Federal Reserve Board interest rate reductions in the future. In response to the Federal Reserve Board's decision, financial markets were initially disappointed, with long-term interest rates backing up sharply and stock prices falling. This movement will likely be moderated by the realization that the growth outlook will be strengthened. Economic Outlook Economic indicators for the current economy are ambiguous, but the economy may strengthen and produce strong results for the second half of 2003. Many of the geopolitical factors that may have exacerbated the slowdown in activity (war fears, higher oil prices, poor weather and SARS) have been largely resolved. While the economy is improving, the rate of change is only gradual. Data indicates that further policy stimulus will hit the economy in the second half of the year, but it is worth noting the lack of growth given the large cuts in interest rates already seen. Additionally, a key factor is the concern about whether consumers will continue to spend long enough to prop up the economy until a corporate spending cycle emerges. For the next quarter, the reaction by the economy to all the stimuli in the pipeline and the extent of the recovery is still ambiguous. Lower withholding taxes from paychecks and child tax credit checks position households on the receiving end of at least $30 billion from tax relief. This, coupled with a mortgage-refinancing wave continuing a high incentive to refinance, is indicative of an increase in consumer spending in the third quarter, putting the economy on a recovery track. With that in mind, the portfolio is expected to continue to meet its objectives. In Conclusion We appreciate your investment in Merrill Lynch Small Cap Index Fund, and we look forward to assisting you with your investment needs in the months and years ahead. Sincerely, /s/ Terry K. Glenn Terry K. Glenn President and Director/Trustee /s/ Richard J. Vella Richard J. Vella Vice President and Senior Portfolio Manager July 18, 2003 2 & 3 Merrill Lynch Small Cap Index Fund, June 30, 2003 PERFORMANCE DATA About Fund Performance Effective April 14, 2003, Class A Shares were redesignated Class I Shares and Class D Shares were redesignated Class A Shares. Investors are able to purchase shares of the Fund, which offers two pricing alternatives: o Class A Shares do not incur a maximum initial sales charge or deferred sales charge and bear no ongoing distribution fee. In addition, Class A Shares are subject to an ongoing account maintenance fee of 0.25%. o Class I Shares do not incur a maximum initial sales charge (front-end load) or deferred sales charge and bear no ongoing distribution or account maintenance fees. Class I Shares are available only to eligible investors. None of the past results shown should be considered a representation of future performance. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in each of the following tables assume reinvestment of all dividends and capital gains distributions at net asset value on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Dividends paid to each class of shares will vary because of the different levels of account maintenance, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders. The Fund's Administrator and the Series' Investment Adviser voluntarily waived a portion of their administrative and management fees, respectively. Without such waivers, the Fund's performance would have been lower. Recent Performance Results
6-Month 12-Month Since Inception As of June 30, 2003 Total Return Total Return Total Return ================================================================================================== ML Small Cap Index Fund Class A Shares* +17.37% -2.08% +35.88% - -------------------------------------------------------------------------------------------------- ML Small Cap Index Fund Class I Shares* +17.63 -1.89 +38.00 - -------------------------------------------------------------------------------------------------- Russell 2000 Index** +17.88 -1.64 +40.29 ==================================================================================================
* 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 date. The Fund's inception date is 4/09/97. ** This unmanaged Index is comprised of approximately 2,000 smaller-capitalization common stocks from various industrial sectors. Since inception total return is from 4/09/97. Average Annual Total Return Class A Shares % Return ================================================================================ One Year Ended 6/30/03 -2.08% - -------------------------------------------------------------------------------- Five Years Ended 6/30/03 +0.55 - -------------------------------------------------------------------------------- Inception (4/09/97) through 6/30/03 +5.05 - -------------------------------------------------------------------------------- Class I Shares % Return ================================================================================ One Year Ended 6/30/03 -1.89% - -------------------------------------------------------------------------------- Five Years Ended 6/30/03 +0.80 - -------------------------------------------------------------------------------- Inception (4/09/97) through 6/30/03 +5.31 - -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES
MERRILL LYNCH SMALL CAP INDEX FUND As of June 30, 2003 ============================================================================================================================== Assets: Investment in Master Small Cap Index Series, at value (identified cost--$76,842,677) ........................................ $ 72,289,337 Prepaid registration fees and other assets ............................ 29,416 ------------ Total assets .......................................................... 72,318,753 ------------ ============================================================================================================================== Liabilities: Payables: Administrator ....................................................... $ 16,229 Distributor ......................................................... 7,972 Other affiliates .................................................... 6,602 30,803 ---------- Accrued expenses and other liabilities ................................ 13,862 ------------ Total liabilities ..................................................... 44,665 ------------ ============================================================================================================================== Net Assets: Net assets ............................................................ $ 72,274,088 ============ ============================================================================================================================== Net Assets Class A Shares of Common Stock, $.0001 par value, 125,000,000 Consist of: shares authorized ..................................................... $ 379 Class I Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ..................................................... 364 Paid-in capital in excess of par ...................................... 85,343,998 Undistributed investment income--net .................................. $ 164,111 Accumulated realized capital losses on investments from the Series--net (8,681,424) Unrealized depreciation on investments from the Series--net ........... (4,553,340) ---------- Total accumulated losses--net ......................................... (13,070,653) ------------ Net assets ............................................................ $ 72,274,088 ============ ============================================================================================================================== Net Asset Class A--Based on net assets of $36,882,949 and 3,791,822 Value: shares outstanding .................................................... $ 9.73 ============ Class I--Based on net assets of $35,391,139 and 3,635,069 shares outstanding .................................................... $ 9.74 ============ ==============================================================================================================================
See Notes to Financial Statements. 4 & 5 Merrill Lynch Small Cap Index Fund, June 30, 2003 STATEMENT OF OPERATIONS
MERRILL LYNCH SMALL CAP INDEX FUND For the Six Months Ended June 30, 2003 ============================================================================================================================= Investment Income Net investment income allocated from the Series: From the Series: Dividends (net of $265 foreign withholding tax) ..................... $ 361,450 Interest ............................................................ 15,310 Securities lending--net ............................................. 7,940 Expenses (net of $7,597 expense reimbursement) ...................... (28,835) ------------ Net investment income from the Series ............................... 355,865 ------------ ============================================================================================================================= Expenses: Administration fees ................................................. $ 93,465 Account maintenance fees--Class A ................................... 42,002 Printing and shareholder reports .................................... 29,260 Transfer agent fees ................................................. 19,630 Registration fees ................................................... 12,847 Professional fees ................................................... 8,586 Directors' fees and expenses ........................................ 452 Other ............................................................... 10,248 ------------ Total expenses before waiver ........................................ 216,490 Waiver of expenses .................................................. (9,948) ------------ Total expenses after waiver ......................................... 206,542 ------------ Investment income--net .............................................. 149,323 ------------ ============================================================================================================================= Realized & Realized loss on investments from the Series--net ................... (724,197) Unrealized Gain Change in unrealized depreciation on investments from the (Loss) from the Series--net ......................................................... 11,538,654 Series--Net: ------------ Total realized and unrealized gain on investments from the Series--net ......................................................... 10,814,457 ------------ Net Increase in Net Assets Resulting from Operations ................ $ 10,963,780 ============ =============================================================================================================================
See Notes to Financial Statements. STATEMENTS OF CHANGES IN NET ASSETS
MERRILL LYNCH For the Six For the SMALL CAP Months Ended Year Ended INDEX FUND Increase (Decrease) in Net Assets: June 30, 2003 Dec. 31, 2002 =========================================================================================================================== Operations: Investment income--net ............................................ $ 149,323 $ 520,655 Realized loss on investments from the Series--net ................. (724,197) (4,827,332) Change in unrealized appreciation/depreciation on investments from the Series--net ................................................... 11,538,654 (13,639,196) ------------ ------------ Net increase (decrease) in net assets resulting from operations ... 10,963,780 (17,945,873) ------------ ------------ =========================================================================================================================== Dividends to Investment income--net: Shareholders: Class A ......................................................... -- (230,528) Class I ......................................................... -- (302,173) ------------ ------------ Net decrease in net assets resulting from dividends to shareholders -- (532,701) ------------ ------------ =========================================================================================================================== Capital Share Net increase (decrease) in net assets derived from capital share Transactions: transactions ...................................................... (3,935,291) 2,902,479 ------------ ------------ =========================================================================================================================== Net Assets: Total increase (decrease) in net assets ........................... 7,028,489 (15,576,095) Beginning of period ............................................... 65,245,599 80,821,694 ------------ ------------ End of period* .................................................... $ 72,274,088 $ 65,245,599 ============ ============ =========================================================================================================================== * Undistributed investment income--net .............................. $ 164,111 $ 14,788 ============ ============ ===========================================================================================================================
See Notes to Financial Statements. 6 & 7 Merrill Lynch Small Cap Index Fund, June 30, 2003 FINANCIAL HIGHLIGHTS
Class A** The following per share data and ratios have been ------------------------------------------------------ derived from information provided in the financial For the Six For the Year Ended MERRILL LYNCH statements. Months Ended December 31, SMALL CAP June 30, ----------------------------------------- INDEX FUND Increase (Decrease) in Net Asset Value: ............ 2003 2002 2001 2000 1999 ================================================================================================================================== Per Share Net asset value, beginning of period ............... $ 8.29 $ 10.53 $ 10.45 $ 11.77 $ 10.27 Operating -------- -------- -------- -------- -------- Performance: Investment income--net ............................. .01@@ .05@@ .08@@ .14 .12 Realized and unrealized gain (loss) on investments from the Series--net ............................... 1.43 (2.23) .08 (.43) 1.94 -------- -------- -------- -------- -------- Total from investment operations ................... 1.44 (2.18) .16 (.29) 2.06 -------- -------- -------- -------- -------- Less dividends and distributions: Investment income--net ........................... -- (.06) (.08) (.14) (.12) In excess of investment income--net .............. -- -- -- --@ -- Realized gain on investments from the Series--net -- -- -- (.76) (.44) In excess of realized gain on investments from the Series--net ...................................... -- -- -- (.13) -- -------- -------- -------- -------- -------- Total dividends and distributions .................. -- (.06) (.08) (1.03) (.56) -------- -------- -------- -------- -------- Net asset value, end of period ..................... $ 9.73 $ 8.29 $ 10.53 $ 10.45 $ 11.77 ======== ======== ======== ======== ======== ================================================================================================================================== Total Investment Based on net asset value per share ................. 17.37%++ (20.75%) 1.57% (2.56%) 20.45% Return: ======== ======== ======== ======== ======== ================================================================================================================================== Ratios to Average Expenses, net of waiver+ ........................... .85%* .75% .75% .74% .74% Net Assets: ======== ======== ======== ======== ======== Expenses+ .......................................... .90%* .89% .88% .85% .86% ======== ======== ======== ======== ======== Investment income--net ............................. .34%* .56% .78% 1.26% 1.24% ======== ======== ======== ======== ======== ================================================================================================================================== Supplemental Net assets, end of period (in thousands) ........... $ 36,883 $ 34,308 $ 44,505 $ 64,056 $ 45,640 Data: ======== ======== ======== ======== ======== Portfolio turnover of the Series ................... 23.33% 39.00% 48.50% 50.51% 51.20% ======== ======== ======== ======== ======== ================================================================================================================================== Class I*** The following per share data and ratios have been ------------------------------------------------------ derived from information provided in the financial For the Six For the Year Ended statements. Months Ended December 31, June 30, ----------------------------------------- Increase (Decrease) in Net Asset Value: ............ 2003 2002 2001 2000 1999 ================================================================================================================================== Per Share Net asset value, beginning of period ............... $ 8.28 $ 10.53 $ 10.45 $ 11.78 $ 10.27 Operating -------- -------- -------- -------- -------- Performance: Investment income--net ............................. .03@@ .08@@ .10@@ .16 .15 Realized and unrealized gain (loss) on investments from the Series--net ............................... 1.43 (2.25) .10 (.43) 1.94 -------- -------- -------- -------- -------- Total from investment operations ................... 1.46 (2.17) .20 (.27) 2.09 -------- -------- -------- -------- -------- Less dividends and distributions: Investment income--net ........................... -- (.08) (.12) (.17) (.14) In excess of investment income--net .............. -- -- -- --@ -- Realized gain on investments from the Series--net -- -- -- (.76) (.44) In excess of realized gain on investments from the Series--net ...................................... -- -- -- (.13) -- -------- -------- -------- -------- -------- Total dividends and distributions .................. -- (.08) (.12) (1.06) (.58) -------- -------- -------- -------- -------- Net asset value, end of period ..................... $ 9.74 $ 8.28 $ 10.53 $ 10.45 $ 11.78 ======== ======== ======== ======== ======== ================================================================================================================================== Total Investment Based on net asset value per share ................. 17.63%++ (20.61%) 1.88% (2.41%) 20.79% Return: ======== ======== ======== ======== ======== ================================================================================================================================== Ratios to Average Expenses, net of waiver+ ........................... .60%* .50% .50% .49% .50% Net Assets: ======== ======== ======== ======== ======== Expenses+ .......................................... .65%* .64% .63% .60% .61% ======== ======== ======== ======== ======== Investment income--net ............................. .60%* .82% 1.02% 1.51% 1.50% ======== ======== ======== ======== ======== ================================================================================================================================== Supplemental Net assets, end of period (in thousands) ........... $ 35,391 $ 30,938 $ 36,317 $ 35,544 $ 30,911 Data: ======== ======== ======== ======== ======== Portfolio turnover of the Series ................... 23.33% 39.00% 48.50% 50.51% 51.20% ======== ======== ======== ======== ======== ==================================================================================================================================
* Annualized. ** Effective April 14, 2003, Class D Shares were redesignated Class A Shares. *** Effective April 14, 2003, Class A Shares were redesignated Class I Shares. + Includes the Fund's share of the Series' allocated expenses. ++ Aggregate total investment return. @ Amount is less than ($.01) per share. @@ Based on average shares outstanding. See Notes to Financial Statements. 8 & 9 Merrill Lynch Small Cap Index Fund, June 30, 2003 NOTES TO FINANCIAL STATEMENTS MERRILL LYNCH SMALL CAP INDEX FUND 1. Significant Accounting Policies: Merrill Lynch Small Cap Index Fund (the "Fund") is part of Merrill Lynch Index Funds, Inc. (the "Corporation"). The Fund is registered under the Investment Company Act of 1940, as amended, as a non-diversified mutual fund. The Fund's financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. These unaudited financial statements reflect all adjustments, which are, in the opinion of management, necessary to a fair statement of the results for the interim period presented. All such adjustments are of a normal, recurring nature. The Fund seeks to achieve its investment objective by investing all of its assets in Master Small Cap Index Series (the "Series") of Quantitative Master Series Trust, which has the same investment objective as the Fund. The value of the Fund's investment in the Series reflects the Fund's proportionate interest in the net assets of the Series. The performance of the Fund is directly affected by the performance of the Series. The financial statements of the Series, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements. The percentage of the Series owned by the Fund at June 30, 2003 was 33.6%. The Fund offers two classes of shares, Class A and Class I. Shares of Class A and Class I are sold without the imposition of a front-end or deferred sales charge. Both classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Class A Shares bear certain expenses related to the account maintenance of such shares and have exclusive voting rights with respect to matters relating to its account maintenance expenditures. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses on investments are allocated daily to each class based on its relative net assets. The following is a summary of significant accounting policies followed by the Fund. (a) Valuation of investments -- The Fund records its investment in the Series at fair value. Valuation of securities held by the Series is discussed in Note 1a of the Series' Notes to Financial Statements, which are included elsewhere in this report. (b) Investment income and expenses -- The Fund records daily its proportionate share of the Series' income, expenses and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses. (c) Income taxes -- It is the Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to shareholders. Therefore, no Federal income tax provision is required. Under the applicable foreign tax law, a withholding tax may be imposed on interest, dividends and capital gains at various rates. (d) Prepaid registration fees -- Prepaid registration fees are charged to expense as the related shares are issued. (e) Dividends and distributions -- Dividends and distributions paid by the Fund are recorded on the ex-dividend dates. (f) Investment transactions -- Investment transactions in the Series are accounted for on a trade date basis. 2. Transactions with Affiliates: The Corporation has entered into an Administration Agreement with Merrill Lynch Investment Managers, L.P. ("MLIM"). The general partner of MLIM is Princeton Services, Inc. ("PSI"), a wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is the limited partner. The Fund pays a monthly fee at an annual rate of .29% of the Fund's average daily net assets for the performance of administrative services (other than investment advice and related portfolio activities) necessary for the operation of the Fund. For the six months ended June 30, 2003, MLIM earned fees of $93,465, of which $9,948 were waived. The Corporation has also entered into a Distribution Agreement and Distribution Plan with FAM Distributors, Inc. ("FAMD" or the "Distributor"), which is a wholly-owned subsidiary of Merrill Lynch Group, Inc. Pursuant to the Distribution Plan adopted by the Corporation in accordance with Rule 12b-1 under the Investment Company Act of 1940, the Fund pays the Distributor an ongoing account maintenance fee. The fee is accrued daily and paid monthly at the annual rate of .25% based upon the average daily net assets of Class A Shares. Pursuant to a sub-agreement with the Distributor, Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., also provides account maintenance services to the Fund. The ongoing account maintenance fee compensates the Distributor and MLPF&S for providing account maintenance services to Class A shareholders. Financial Data Services, Inc. ("FDS"), an indirect, wholly-owned subsidiary of ML & Co., is the Fund's transfer agent. Certain officers and/or directors of the Fund are officers and/or directors of MLIM, PSI, FAMD, FDS, and/or ML & Co. 3. Capital Share Transactions: Net increase (decrease) in net assets derived from capital share transactions were $(3,935,291) and $2,902,479 for the six months ended June 30, 2003 and for the year ended December 31, 2002, respectively. Transactions in capital shares for each class were as follows: - ------------------------------------------------------------------------------- Class A Shares for the Six Months Dollar Ended June 30, 2003+ Shares Amount - ------------------------------------------------------------------------------- Shares sold .............................. 292,296 $ 2,511,347 Shares redeemed .......................... (640,961) (5,633,972) ------------ ------------ Net decrease ............................. (348,665) $ (3,122,625) ============ ============ - ------------------------------------------------------------------------------- + Effective April 14, 2003, Class D Shares were redesignated Class A Shares. - ------------------------------------------------------------------------------- Class A Shares for the Year Dollar Ended December 31, 2002+ Shares Amount - ------------------------------------------------------------------------------- Shares sold .............................. 1,018,062 $ 9,600,650 Shares issued to shareholders in reinvestment of dividends ................ 23,320 196,130 ------------ ------------ Total issued ............................. 1,041,382 9,796,780 Shares redeemed .......................... (1,127,427) (10,394,147) ------------ ------------ Net decrease ............................. (86,045) $ (597,367) ============ ============ - ------------------------------------------------------------------------------- + Effective April 14, 2003, Class D Shares were redesignated Class A Shares. - ------------------------------------------------------------------------------- Class I Shares for the Six Months Dollar Ended June 30, 2003+ Shares Amount - ------------------------------------------------------------------------------- Shares sold .............................. 824,293 $ 7,012,296 Shares redeemed .......................... (924,204) (7,824,962) ------------ ------------ Net decrease ............................. (99,911) $ (812,666) ============ ============ - ------------------------------------------------------------------------------- + Effective April 14, 2003, Class A Shares were redesignated Class I Shares. - ------------------------------------------------------------------------------- Class I Shares for the Year Dollar Ended December 31, 2002+ Shares Amount - ------------------------------------------------------------------------------- Shares sold .............................. 2,701,708 $ 27,194,327 Shares issued to shareholders in reinvestment of dividends ................ 34,007 284,695 ------------ ------------ Total issued ............................. 2,735,715 27,479,022 Shares redeemed .......................... (2,449,219) (23,979,176) ------------ ------------ Net increase ............................. 286,496 $ 3,499,846 ============ ============ - ------------------------------------------------------------------------------- + Effective April 14, 2003, Class A Shares were redesignated Class I Shares. 4. Capital Loss Carryforward: On December 31, 2002, the Fund had a net capital loss carryforward of $6,541,438, of which $2,556,308 expires in 2009 and $3,985,130 expires in 2010. This amount will be available to offset like amounts of any future taxable gains. 5. Subsequent Event: The Fund paid an ordinary income dividend in the amount of $.001976 per share on July 22, 2003 to shareholders of record on July 16, 2003. 10 & 11 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (in U.S. dollars)
Master Small Cap Index Series - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Advertising Agencies--0.5% 5,890 +ADVO Systems, Inc. $ 261,516 12,800 +aQuantive, Inc. 134,400 10,400 +Catalina Marketing Corporation 183,560 1,000 +Cross Media Marketing Corporation 250 236 Grey Global Group Inc. 182,311 5,833 +R.H. Donnelley Corporation 212,730 21,600 +ValueClick, Inc. 130,248 ---------- 1,105,015 - ---------------------------------------------------------------------------------------------------------------------- Advertising/Marketing 3,600 +Digital Generation Systems, Inc. 6,948 Services--0.0% 3,900 +FindWhat.com 74,529 ---------- 81,477 - ---------------------------------------------------------------------------------------------------------------------- Aerospace--0.4% 2,767 Curtiss-Wright Corporation 174,874 2,000 +Ducommun Incorporated 28,200 2,726 HEICO Corporation (Class A) 33,257 1,800 +Integrated Defense Technologies, Inc. 27,918 4,506 +Moog Inc. (Class A) 156,584 15,335 +Orbital Sciences Corporation 111,946 9,334 +Teledyne Technologies Incorporated 122,275 3,000 United Industrial Corporation 48,900 ---------- 703,954 - ---------------------------------------------------------------------------------------------------------------------- Aerospace & Defense--0.1% 3,500 Applied Signal Technology, Inc. 60,270 3,500 +KVH Industries, Inc. 86,170 ---------- 146,440 - ---------------------------------------------------------------------------------------------------------------------- Agricultural Commodities/ 10,500 +Darling International Inc. 25,200 Milling--0.0% - ---------------------------------------------------------------------------------------------------------------------- Agriculture Fishing & 900 Alico, Inc. 22,221 Ranching--0.1% 11,078 Delta and Pine Land Company 243,494 8,200 +Seminis, Inc. (Class A) 30,176 2,600 +Virbac Corporation 15,756 ---------- 311,647 - ---------------------------------------------------------------------------------------------------------------------- Air Transport--1.3% 11,568 AAR Corp. 81,670 47,500 +AMR Corporation 522,500 14,201 Airborne, Inc. 296,801 17,820 +AirTran Holdings, Inc. 186,575 6,399 +Alaska Air Group, Inc. 137,259 11,323 +Atlantic Coast Airlines Holdings, Inc. 152,746 4,100 +Aviall, Inc. 46,617 18,800 +Continental Airlines, Inc. (Class B) 281,436 9,295 +EGL, Inc. 141,284 7,600 +ExpressJet Holdings, Inc. 114,760 10,255 +Frontier Airlines, Inc. 93,115 9,656 +Mesa Air Group, Inc. 77,248 2,744 +Mesaba Holdings, Inc. 16,930 19,400 +Northwest Airlines Corporation 215,534 5,685 +Offshore Logistics, Inc. 123,649 1,100 +Petroleum Helicopters, Inc. (Voting Shares) 34,485 16,000 SkyWest, Inc. 305,280 ---------- 2,827,889 - ---------------------------------------------------------------------------------------------------------------------- Airlines--0.0% 6,700 +America West Holdings Corporation (Class B) 45,560 - ---------------------------------------------------------------------------------------------------------------------- Aluminum--0.0% 3,602 Century Aluminum Company 25,322 - ---------------------------------------------------------------------------------------------------------------------- Apparel/Footwear--0.1% 1,600 +Perry Ellis International, Inc. 31,184 11,500 +Warnaco Group, Inc. 155,250 100 Weyco Group, Inc. 4,601 ---------- 191,035 - ---------------------------------------------------------------------------------------------------------------------- Apparel/Footwear 6,700 +Casual Male Retail Group Inc. 35,108 Retail--0.0% 1,800 +Jos. A. Bank Clothiers, Inc. 60,300 ---------- 95,408 - ---------------------------------------------------------------------------------------------------------------------- Auto Parts-- 4,100 +Aftermarket Technology Corp. 43,091 After Market--0.2% 2,300 +Keystone Automotive Industries, Inc. 41,998 5,900 +Raytech Corporation 25,075 3,500 +Sports Resorts International, Inc. 17,010 3,100 Standard Motor Products, Inc. 34,410 7,099 Superior Industries International, Inc. 296,028 4,700 +TBC Corporation 89,535 ---------- 547,147 - ---------------------------------------------------------------------------------------------------------------------- Auto Parts-- 9,278 +Collins & Aikman Corporation 27,370 Original Equipment--0.2% 6,053 +Dura Automotive Systems, Inc. 59,380 2,273 Sauer-Danfoss, Inc. 24,435 3,487 +Stoneridge, Inc. 47,598 700 +Strattec Security Corporation 37,240 9,200 +Tenneco Automotive Inc. 33,119 16,071 +Tower Automotive, Inc. 58,820 36,300 Visteon Corporation 249,381 ---------- 537,343 - ---------------------------------------------------------------------------------------------------------------------- Auto Trucks & Parts--0.3% 7,794 Modine Manufacturing Co. 150,970 4,463 Oshkosh Truck Corporation 264,745 8,545 +Wabash National Corporation 119,886 ---------- 535,601 - ----------------------------------------------------------------------------------------------------------------------
12 & 13 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Banks--Outside 3,740 1st Source Corporation $ 69,414 New York City--7.5% 2,900 ABC Bancorp 41,557 8,318 AMCORE Financial, Inc. 193,643 2,421 Alabama National BanCorporation 117,370 3,600 Allegiant Bancorp, Inc. 72,900 1,300 American National Bankshares Inc. 34,957 1,858 Arrow Financial Corporation 62,001 1,045 BancFirst Corporation 54,194 3,886 Bank of Granite Corp. 66,256 800 Bank of the Ozarks, Inc. 31,008 4,013 Banner Corporation 82,226 6,993 Boston Private Financial Holdings, Inc. 147,412 1,000 Bryn Mawr Bank Corporation 37,070 1,550 CB Bancshares, Inc. 96,286 2,500 CCBT Financial Companies Inc. 59,725 8,735 CVB Financial Corp. 170,507 1,500 Camden National Corporation 41,250 2,477 Capital City Bank Group, Inc. 89,667 1,700 Capitol Bancorp Ltd. 46,070 2,400 Cascade Bancorp 41,304 5,108 Cathay Bancorp, Inc. 227,715 2,433 +Central Coast Bancorp 40,801 4,038 Central Pacific Financial Corp. 111,853 1,700 Century Bancorp, Inc. (Class A) 50,626 6,251 Chemical Financial Corporation 186,280 9,926 Chittenden Corporation 271,476 13,600 Citizens Banking Corporation 367,336 4,893 City Holding Company 143,218 2,099 CityBank 56,799 2,184 CoBiz Inc. 29,571 1,600 Columbia Bancorp 38,400 5,135 Columbia Banking System, Inc. 91,968 3,200 Community Bank System, Inc. 121,600 2,200 Community Banks, Inc. 65,428 11,540 Community First Bankshares, Inc. 315,042 2,970 Community Trust Bancorp, Inc. 77,636 2,276 Corus Bankshares, Inc. 110,227 7,298 East West Bancorp, Inc. 263,750 3,172 F&M Bancorp 156,443 1,700 FNB Corporation 46,019 1,685 Farmers Capital Bank Corporation 53,835 1,600 Financial Institutions, Inc. 37,600 1,924 First Bancorp 49,851 2,576 First Busey Corporation 62,442 7,823 First Charter Corporation 136,120 1,547 First Citizens BancShares, Inc. (Class A) 155,999 15,734 First Commonwealth Financial Corporation 203,913 4,400 First Community Bancorp 137,148 2,540 First Community Bancshares, Inc. 89,662 2,416 First Essex Bancorp, Inc. 113,890 9,187 First Financial Bancorp 146,992 3,765 First Financial Bankshares, Inc. 125,977 2,022 First Financial Corporation 106,964 600 The First of Long Island Corporation 24,042 4,330 First Merchants Corporation 105,262 2,230 First National Corporation 54,992 700 First Oak Brook Bancshares, Inc. 23,093 900 First South Bancorp, Inc. 29,934 2,200 First State Bancorporation 60,522 300 Franklin Financial Corporation 9,015 3,841 Frontier Financial Corporation 109,123 2,934 GBC Bancorp 112,666 1,743 German American Bancorp 30,415 4,360 Glacier Bancorp, Inc. 107,343 12,622 Gold Banc Corporation 132,657 16,400 Greater Bay Bancorp 328,656 3,727 Hancock Holding Company 175,393 1,500 Hanmi Financial Corporation 26,205 5,639 Harleysville National Corporation 152,591 5,180 Humboldt Bancorp 77,493 3,245 Independent Bank Corporation (Massachusetts) 73,305 5,310 Independent Bank Corporation (Michigan) 136,414 4,474 Integra Bank Corporation 76,998 3,300 Interchange Financial Services Corporation 64,746 1 International Bancshares Corporation 36 4,648 Irwin Financial Corporation 120,383 2,500 LSB Bancshares, Inc. 43,275 3,427 Lakeland Bancorp, Inc. 54,763 1,500 Lakeland Financial Corporation 45,570 1,700 MASSBANK Corp. 61,489 3,000 MB Financial, Inc. 120,120 2,450 Macatawa Bank Corporation 59,021 3,100 Main Street Banks, Inc. 78,430 1,720 MainSource Financial Group, Inc. 41,916 2,000 Merchants Bancshares, Inc. 52,000
14 & 15 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Banks--Outside New York City 7,050 Mid-State Bancshares $ 139,238 (concluded) 4,280 Midwest Banc Holdings, Inc. 83,118 1,929 NBC Capital Corporation 48,804 8,413 NBT Bancorp Inc. 162,792 3,800 Nara Bancorp, Inc. 72,200 5,362 National Penn Bancshares, Inc. 150,565 1,888 Old Second Bancorp, Inc. 80,901 2,441 Omega Financial Corporation 83,482 3,221 Oriental Financial Group Inc. 82,747 10,833 Pacific Capital Bancorp 379,697 5,608 Pacific Northwest Bancorp 194,934 2,100 Pacific Union Bank 28,119 1,800 Peapack-Gladstone Financial Corporation 57,654 1,510 PennRock Financial Services Corp. 40,785 2,200 Peoples Bancorp Inc. 55,594 1,555 The Peoples Holding Company 68,809 2,450 PrivateBancorp, Inc. 66,812 2,700 Prosperity Bancshares, Inc. 51,975 7,714 Provident Bancshares Corporation 196,013 5,441 R & G Financial Corporation (Class B) 161,598 14,273 Republic Bancorp Inc. 191,544 3,409 Republic Bancorp, Inc. (Class A) 50,555 3,034 Republic Bancshares, Inc. 75,880 4,601 Riggs National Corporation 70,027 1,289 Royal Bancshares of Pennsylvania, Inc. 27,520 6,963 S&T Bancorp, Inc. 190,995 1,300 S.Y. Bancorp, Inc. 45,981 3,614 Sandy Spring Bancorp, Inc. 114,202 1,358 Santander BanCorp 22,217 3,050 Seacoast Banking Corporation of Florida 51,972 2,317 Second Bancorp, Incorporated 59,779 10,700 +Silicon Valley Bancshares 254,767 4,200 Simmons First National Corporation (Class A) 84,042 14,738 The South Financial Group, Inc. 343,838 1,600 Southwest Bancorp, Inc. 43,856 9,124 +Southwest Bancorporation of Texas, Inc. 296,621 1,965 State Bancorp, Inc. 38,455 13,376 Sterling Bancshares, Inc. 174,958 5,050 Sterling Financial Corporation 117,413 3,300 Suffolk Bancorp 106,260 2,500 Summit Bancshares, Inc. 58,700 1,600 Sun Bancorp, Inc. 32,288 3,070 +Sun Bancorp, Inc. (New Jersey) 61,093 12,604 Susquehanna Bancshares, Inc. 294,303 7,584 Texas Regional Bancshares, Inc. (Class A) 263,165 2,200 Tompkins Trustco, Inc. 98,230 1,600 TriCo Bancshares 40,688 1,745 Troy Financial Corporation 47,377 5,480 The Trust Company of New Jersey 166,044 22,016 TrustCo Bank Corp NY 243,937 12,398 UCBH Holdings, Inc. 355,575 4,376 UMB Financial Corporation 185,542 3,284 U.S.B. Holding Co., Inc. 58,291 8,370 Umpqua Holdings Corporation 158,946 2,200 Union Bankshares Corporation 62,193 4,500 United Community Banks, Inc. 112,410 6,091 United National Bancorp 168,051 6,219 Unizan Financial Corp. 109,268 2,100 Virginia Financial Group, Inc. 58,800 3,800 Washington Trust Bancorp, Inc. 87,362 6,063 WesBanco, Inc. 147,331 3,400 West Coast Bancorp 61,880 5,900 Wintrust Financial Corporation 174,640 3,600 Yardville National Bancorp 70,200 ----------- 16,018,299 - ---------------------------------------------------------------------------------------------------------------------- Beverage--Alcoholic--0.0% 2,700 +Central European Distribution Corporation 54,540 - ---------------------------------------------------------------------------------------------------------------------- Beverage--Brewers 2,100 +The Boston Beer Company, Inc. (Class A) 30,240 (Wineries)--0.1% 3,542 +The Robert Mondavi Corporation (Class A) 89,648 ----------- 119,888 - ---------------------------------------------------------------------------------------------------------------------- Beverage--Soft Drinks--0.1% 687 Coca-Cola Bottling Co. Consolidated 37,510 171 Farmer Brothers Co. 58,019 1,011 +Green Mountain Coffee, Inc. 19,209 1,895 +National Beverage Corp. 26,341 3,900 +Peets Coffee & Tea Inc. 68,094 ----------- 209,173 - ---------------------------------------------------------------------------------------------------------------------- Biotechnology--0.4% 22,300 +AVANT Immunotherapeutics, Inc. 64,447 8,000 +AVI BioPharma, Inc. 48,000 4,200 +Aclara Biosciences Inc. 17,724 7,700 +Alteon Inc. 37,345 3,700 +Dendreon Corporation 21,978 10,400 +Discovery Laboratories Inc. 66,768 4,100 +Dov Pharmaceutical Inc. 46,330 2,500 +GTC Biotherapeutics, Inc. 8,325
16 & 17 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Biotechnology 6,700 +Gen-Probe Incorporated $ 274,499 (concluded) 17,400 +Nuvelo, Inc. 34,800 8,500 +Palatin Technologies Inc. 27,115 8,200 +Regeneration Technologies, Inc. 108,978 6,100 +Repligen Corporation 31,048 2,300 +SFBC International, Inc. 41,722 9,700 +SciClone Pharmaceuticals, Inc. 83,032 600 +Sirna Therapeutics, Inc. 5,208 4,600 +Third Wave Technologies 21,528 ---------- 938,847 - ---------------------------------------------------------------------------------------------------------------------- Biotechnology Research 13,419 +ARIAD Pharmaceuticals, Inc. 60,251 & Production--2.5% 24,800 +Abgenix, Inc. 260,152 9,500 +Aksys, Ltd. 123,025 6,687 +Albany Molecular Research, Inc. 100,974 5,580 +Alexion Pharmaceuticals, Inc. 95,139 7,113 +Antigenics Inc. 81,942 20,000 +Applera Corporation--Celera Genomics Group 206,400 5,800 +Arena Pharmaceuticals, Inc. 38,512 6,120 +ArthroCare Corporation 102,571 800 +BioReliance Corporation 16,960 10,124 +Cell Genesys, Inc. 87,471 9,831 +Cell Therapeutics, Inc. 95,656 5,200 +Ciphergen Biosystems, Inc. 53,300 14,257 +Corixa Corporation 110,207 9,267 +Cubist Pharmaceuticals, Inc. 98,786 12,700 +CuraGen Corporation 70,485 9,800 +deCODE Genetics, Inc. 30,576 100 +Deltagen, Inc. 13 3,624 +Digene Corporation 98,682 5,778 +Diversa Corporation 56,798 9,796 +Encysive Pharmaceuticals Inc. 47,021 12,800 +Enzon, Inc. 160,256 3,200 +Exact Sciences Corporation 35,072 13,118 +Exelixis, Inc. 91,039 9,139 +Gene Logic Inc. 54,560 1,700 +Genencor International Inc. 27,999 12,897 +Genta Incorporated 171,788 10,429 +Geron Corporation 76,757 12,709 +Immunomedics, Inc. 80,194 21,224 +Incyte Genomics, Inc. 98,479 5,500 +Integra LifeSciences Holdings 145,090 7,614 +InterMune Inc. 122,662 6,500 +Interpore International, Inc. 82,745 3,100 +Kensey Nash Corporation 80,600 3,300 +Kosan Biosciences, Inc. 19,470 7,605 +Lexicon Genetics Incorporated 51,030 7,112 +Martek Biosciences Corporation 305,389 6,701 +Maxygen Inc. 73,510 7,900 +Myriad Genetics, Inc. 107,519 9,223 +NPS Pharmaceuticals, Inc. 224,488 9,854 +Nabi Biopharmaceuticals 67,598 11,000 +OSI Pharmaceuticals, Inc. 354,310 39,055 +Peregrine Pharmaceuticals, Inc. 57,020 7,885 +Pharmacopeia, Inc. 65,050 1,500 +Progenics Pharmaceuticals, Inc. 22,590 78 +Rigel Pharmaceuticals, Inc. 845 3,900 +Seattle Genetics, Inc. 20,085 6,972 +Serologicals Corporation 95,028 7,845 +Tanox, Inc. 125,912 9,532 +Telik, Inc. 153,179 9,740 +Transkaryotic Therapies, Inc. 112,400 4,038 +Trimeris, Inc. 184,456 10,906 +Vicuron Pharmaceuticals Inc. 154,647 2,600 +Zymogentics, Inc. 30,264 ---------- 5,286,952 - ---------------------------------------------------------------------------------------------------------------------- Broadcasting--0.1% 10,100 Gray Television, Inc. 125,240 - ---------------------------------------------------------------------------------------------------------------------- Building Materials--0.5% 1,900 Ameron International Corporation 66,063 5,100 Building Materials Holding Corporation 75,531 6,890 Hughes Supply, Inc. 239,083 4,150 LSI Industries Inc. 46,065 1,000 +Mestek, Inc. 18,000 5,568 +NCI Building Systems, Inc. 92,986 4,066 +Simpson Manufacturing Co., Inc. 148,816 6,045 Texas Industries, Inc. 143,870 1,709 +Trex Company, Inc. 67,078 4,165 Watsco, Inc. 68,972 ---------- 966,464 - ---------------------------------------------------------------------------------------------------------------------- Building-- 11,235 Lennox International Inc. 144,594 Air Conditioning--0.2% 10,738 York International Corporation 251,269 ---------- 395,863 - ---------------------------------------------------------------------------------------------------------------------- Building--Cement--0.0% 1,377 Centex Construction Products, Inc. 55,204 - ---------------------------------------------------------------------------------------------------------------------- Building--Heating & 1,700 +Aaon, Inc. 31,484 Plumbing--0.0% - ----------------------------------------------------------------------------------------------------------------------
18 & 19 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Building--Miscellaneous-- 1,800 +Drew Industries Incorporated $ 32,760 0.1% 8,047 +Griffon Corporation 128,752 ---------- 161,512 - ---------------------------------------------------------------------------------------------------------------------- Building--Roofing & 6,351 ElkCorp 142,898 Wallboard--0.2% 11,700 +USG Corporation 222,300 ---------- 365,198 - ---------------------------------------------------------------------------------------------------------------------- Cable Television 79,700 +Charter Communications, Inc. (Class A) 297,281 Services--0.3% 6,698 +Crown Media Holdings, Inc. (Class A) 27,663 13,200 +Insight Communications Company, Inc. 173,976 10,594 +TiVo Inc. 129,035 ---------- 627,955 - ---------------------------------------------------------------------------------------------------------------------- Cable/Satellite TV--0.0% 1,300 +Pegasus Communications Corporation 37,908 - ---------------------------------------------------------------------------------------------------------------------- Casinos & Gambling--0.7% 4,100 +Ameristar Casinos, Inc. 87,535 7,425 +Argosy Gaming Company 155,257 8,391 +Aztar Corporation 135,179 8,715 +Boyd Gaming Corporation 150,421 1,332 Churchill Downs Incorporated 51,029 2,278 Dover Downs Gaming & Entertainment, Inc. 21,072 4,475 +Isle of Capri Casinos, Inc. 73,972 8,400 +MTR Gaming Group, Inc. 64,848 14,800 +Magna Entertainment Corp. (Class A) 74,000 3,400 +Multimedia Games, Inc. 86,700 6,964 +Pinnacle Entertainment, Inc. 47,355 12,600 +Scientific Games Corporation 118,440 5,700 +Shuffle Master, Inc. 167,523 7,612 +WMS Industries Inc. 118,671 ---------- 1,352,002 - ---------------------------------------------------------------------------------------------------------------------- Catalog/Specialty 5,100 +Chronimed Inc. 49,215 Distribution--0.0% - ---------------------------------------------------------------------------------------------------------------------- Chemicals--1.5% 10,006 A. Schulman, Inc. 160,696 9,500 Albemarle Corp. 265,715 5,456 Arch Chemicals, Inc. 104,210 5,800 +Cabot Microelectronics Corporation 292,726 10,101 Calgon Carbon Corporation 58,081 5,685 Cambrex Corporation 130,869 33,760 Crompton Corporation 238,008 4,264 +Energy Conversion Devices, Inc. 38,802 8,437 Georgia Gulf Corporation 167,053 11,800 Great Lakes Chemical Corporation 240,720 24,700 +Hercules Incorporated 244,530 7,167 MacDermid, Inc. 188,492 3,441 +Medis Technologies Ltd. 24,534 17,240 Millennium Chemicals Inc. 163,952 2,434 NL Industries, Inc. 41,377 9,400 +OM Group, Inc. 138,462 2,000 Octel Corp. 27,800 9,695 +Omnova Solutions Inc. 39,168 24,767 PolyOne Corporation 110,213 1,800 Quaker Chemical Corporation 45,090 30,054 Solutia Inc. 65,518 1,555 Stepan Company 35,143 23,000 +W.R. Grace & Co. 101,430 6,500 +Wilson Greatbatch Technologies, Inc. 234,650 ---------- 3,157,239 - ---------------------------------------------------------------------------------------------------------------------- Chemicals--Specialty--0.0% 3,500 Aceto Corporation 64,855 2,800 +Ethyl Corporation 27,860 ---------- 92,715 - ---------------------------------------------------------------------------------------------------------------------- Coal--0.3% 14,500 Arch Coal, Inc. 333,210 18,200 Massey Energy Company 239,330 1,000 +Westmoreland Coal Company 18,190 ---------- 590,730 - ---------------------------------------------------------------------------------------------------------------------- Commercial Information 8,758 +Arbitron Inc. 312,661 Services--0.3% 6,461 +infoUSA Inc. 52,334 25,300 +LookSmart, Ltd. 71,599 1,200 +Neoforma, Inc. 13,104 6,474 +ProQuest Company 167,029 4,553 +SOURCECORP, Incorporated 98,345 ---------- 715,072 - ---------------------------------------------------------------------------------------------------------------------- Communications 10,800 +Aether Systems, Inc. 52,920 Technology--1.9% 6,622 +Anaren Microwave, Inc. 62,048 9,172 +Anixter International Inc. 214,900 12,200 +Aspect Communications Corporation 47,214 16,178 +Avanex Corporation 64,712 2,259 Bel Fuse Inc. 51,731 5,488 Black Box Corporation 198,666 14,300 +CSG Systems International, Inc. 204,776 1,572 +Catapult Communications Corporation 16,695 9,009 +Centillium Communications, Inc. 89,279 13,488 +CommScope, Inc. 128,136 8,313 +Echelon Corporation 114,470 56,400 +Enterasys Networks, Inc. 170,892
20 & 21 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Communications Technology 12,200 +Entrust Technologies Inc. $ 35,868 (concluded) 28,500 +Extreme Networks, Inc. 151,050 40,700 +Finisar Corporation 63,085 17,896 +Harmonic Inc. 72,837 2,600 +Inet Technologies, Inc. 25,922 12,600 +Infonet Services Corporation (Class B) 20,034 5,777 Inter-Tel Inc. 122,588 6,229 +Ixia 40,052 2,800 +j2 Global Communications, Inc. 128,744 9,880 +Net2Phone, Inc. 42,780 16,568 +New Focus, Inc. 61,964 4,234 +Nuance Communications Inc. 22,864 29,919 +Oplink Communications, Inc. 55,949 1,283 +Optical Communication Products, Inc. 2,309 6,807 +Packeteer, Inc. 105,985 17,540 +REMEC, Inc. 122,078 45,100 +Redback Networks Inc. 40,590 39,400 +Riverstone Networks, Inc. 46,492 7,008 +SeaChange International, Inc. 66,855 9,488 +Secure Computing Corporation 82,830 58,700 +Sonus Networks, Inc. 295,261 4,660 +Standard Microsystems Corporation 70,692 24,471 +Stratex Networks, Inc. 78,307 46,500 +Sycamore Networks, Inc. 178,095 4,620 TALX Corporation 104,366 22,600 +TIBCO Software Inc. 115,034 15,000 +Tekelec 169,500 12,300 +Tellium, Inc. 11,193 7,886 +Turnstone Systems, Inc. 19,794 2,440 +Ulticom, Inc. 23,180 6,101 +ViaSat, Inc. 87,488 7,131 +WebEx Communications, Inc. 99,477 ---------- 3,979,702 - ---------------------------------------------------------------------------------------------------------------------- Computer 9,200 +JNI Corp. 45,816 Communications--0.0% 5,100 +Network Equipment Technologies, Inc. 42,942 ---------- 88,758 - ---------------------------------------------------------------------------------------------------------------------- Computer Peripherals--0.2% 6,900 +Dot Hill Systems Corp. 90,390 4,700 +Gerber Scientific, Inc. 31,302 5,800 +Komag Inc. 67,512 2,100 +SafeNet, Inc. 58,716 6,000 +Sigma Designs, Inc. 65,460 4,900 +Sonic Solutions 42,042 ---------- 355,422 - ---------------------------------------------------------------------------------------------------------------------- Computer Processing 1,400 +Cyberguard Corp. 9,940 Hardware--0.0% 4,900 +Neoware Systems, Inc. 75,166 ---------- 85,106 - ---------------------------------------------------------------------------------------------------------------------- Computer Services Software 6,600 +@Road, Inc. 72,072 & Systems--4.9% 4,916 +ANSYS, Inc. 152,888 12,802 +Agile Software Corporation 123,539 32,500 +Akamai Technologies, Inc. 157,950 3,200 +Altiris, Inc. 64,160 12,495 +American Management Systems, Incorporated 178,429 4,800 +Anteon International Corporation 133,968 75,700 +Ariba, Inc. 224,829 17,795 +Ascential Software Corporation 292,553 10,697 +AsianInfo Holdings, Inc. 87,715 12,808 +Aspen Technology, Inc. 61,478 20,867 +Borland Software Corporation 203,871 8,516 +CACI International Inc. (Class A) 292,099 15,202 +CIBER, Inc. 106,718 9,000 +Computer Horizons Corp. 40,860 4,800 +Concord Communications, Inc. 65,904 4,511 +Datastream Systems, Inc. 47,771 8,464 +Dendrite International, Inc. 109,016 2,737 +Digimarc Corporation 42,971 7,500 +Digital River, Inc. 144,750 2,107 +Digitas Inc. 10,451 13,477 +Documentum, Inc. 265,093 18,980 +E.piphany, Inc. 96,988 4,645 +EPIQ Systems, Inc. 79,755 14,039 +Electronics for Imaging, Inc. 284,851 2,530 +Embarcadero Technologies, Inc. 17,710 6,819 +F5 Networks, Inc. 114,900 4,261 +Fidelity National Information Solutions, Inc. 111,127 23,559 +Gartner Group, Inc. (Class A) 178,577 11,306 +Hyperion Solutions Corporation 381,691 2,300 +iGATE Capital Corporation 7,981 17,300 +Informatica Corporation 119,543 2,100 +Integral Systems, Inc. 41,748 11,000 +Internet Security Systems, Inc. 159,390 35,000 +Interwoven, Inc. 77,700 8,408 +JDA Software Group, Inc. 94,086 14,858 +Keane, Inc. 202,515
22 & 23 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Computer Services Software 4,238 +Keynote Systems, Inc. $ 44,414 & Systems 14,400 +Lawson Software, Inc. 111,888 (concluded) 25,679 +Legato Systems, Inc. 215,447 3,100 +MAPICS, Inc. 25,420 5,030 +MRO Software, Inc. 43,409 7,000 +MSC.Software Corp. 47,180 11,500 +Macrovision Corporation 229,080 6,800 +Magma Design Automation, Inc. 116,620 6,439 +Manhattan Associates, Inc. 167,221 3,500 +ManTech International Corporation (Class A) 67,130 17,900 +Manugistics Group, Inc. 73,569 13,497 +MatrixOne, Inc. 77,473 19,900 +Mentor Graphics Corporation 288,152 6,256 +Mercury Computer Systems, Inc. 113,609 17,500 +Micromuse, Inc. 139,825 5,399 +Micros Systems, Inc. 178,059 8,453 +NYFIX, Inc. 53,677 2,600 +Nassda Corporation 20,072 7,555 +Netegrity, Inc. 44,121 14,874 +NetIQ Corporation 229,952 3,385 +NetScout Systems, Inc. 18,177 2,200 +OPNET Technologies, Inc. 26,818 47,800 +Openwave Systems Inc. 93,210 7,026 +PC-Tel, Inc. 83,328 3,200 +PDF Solutions, Inc. 36,960 1,877 +PEC Solutions, Inc. 30,220 65,000 +Parametric Technology Corporation 198,250 1,400 +Pegasystems Inc. 10,318 16,291 +Pinnacle Systems, Inc. 174,314 4,300 +Pomeroy Computer Resources, Inc. 47,558 8,608 +Progress Software Corporation 178,444 10,400 +Quest Software, Inc. 123,760 6,923 +Rainbow Technologies, Inc. 58,222 14,100 +Retek Inc. 90,240 7,696 +Roxio, Inc. 51,486 6,697 +SERENA Software, Inc. 139,833 2,689 +SPSS Inc. 45,014 2,000 +SRA International, Inc. (Class A) 64,000 3,200 +SS&C Technologies, Inc. 51,040 2,099 +Sanchez Computer Associates, Inc. 10,915 26,692 +Sapient Corporation 73,937 16,200 +ScanSoft, Inc. 87,966 14,227 +SeeBeyond Technology Corporation 32,864 13,941 +SonicWALL, Inc. 66,917 5,576 +SpeechWorks International Inc. 26,207 24,500 +Sybase, Inc. 340,795 7,061 +Sykes Enterprises, Incorporated 34,528 3,600 +Synplicity, Inc. 18,828 883 +Syntel, Inc. 13,890 8,492 +Systems & Computer Technology Corporation 76,428 5,500 +Tier Technologies, Inc. (Class B) 42,625 10,185 +Transaction Systems Architects, Inc. (Class A) 91,258 7,108 +The TriZetto Group, Inc. 42,932 8,300 +Tyler Technologies, Inc. 35,275 7,700 +Vastera, Inc. 45,969 2,100 +Verint Systems Inc. 53,361 6,967 +Verity, Inc. 88,202 61,000 +Vignette Corporation 126,880 5,300 +Vitria Technology, Inc. 30,369 12,162 +WatchGuard Technologies, Inc. 55,945 14,220 +webMethods, Inc. 115,609 6,551 +Websense, Inc. 102,589 21,200 +Wind River Systems, Inc. 80,772 8,146 +Zoran Corporation 156,485 ----------- 10,506,703 - ---------------------------------------------------------------------------------------------------------------------- Computer Technology--1.6% 29,500 +Adaptec, Inc. 234,525 19,534 +Advanced Digital Information Corporation 195,145 2,772 Analogic Corporation 135,163 4,700 +CompuCom Systems, Inc. 21,244 8,254 +Computer Network Technology Corporation 66,857 17,479 +Concurrent Computer Corporation 51,039 2,000 +Constellation 3D, Inc. 2 17,700 +Cray, Inc. 139,830 9,909 +FalconStor Software, Inc. 66,291 10,882 +FileNET Corporation 196,310 60,500 +Gateway Inc. 220,825 27,600 +Handspring, Inc. 31,188 7,217 +Hutchinson Technology Incorporated 237,367 11,866 +InFocus Corporation 56,008 13,587 +Intergraph Corp. 292,121 46,003 +Interland, Inc. 45,083 14,603 +Iomega Corporation 154,792 14,374 +Lexar Media, Inc. 137,128 3,200 +Overland Storage, Inc. 65,088
24 & 25 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Computer Technology 9,310 +Palm, Inc. $ 151,474 (concluded) 19,900 +Perot Systems Corporation (Class A) 226,064 38,800 +Quantum Corporation--DLT & Storage Systems 157,140 12,900 +RSA Security Inc. 138,675 4,357 +Radiant Systems, Inc. 29,366 6,442 +RadiSys Corporation 85,034 30,847 +Safeguard Scientifics, Inc. 83,287 55,207 +Silicon Graphics, Inc. 62,936 37,700 +StorageNetworks, Inc. 52,403 3,700 +Synaptics Incorporated 49,802 13,609 +UNOVA, Inc. 151,060 ---------- 3,533,247 - ---------------------------------------------------------------------------------------------------------------------- Construction--0.2% 4,218 +EMCOR Group, Inc. 208,200 10,671 Granite Construction Incorporated 204,456 1,300 +Modtech Holdings, Inc. 11,947 ---------- 424,603 - ---------------------------------------------------------------------------------------------------------------------- Consumer Electronics--0.9% 30,600 +Activision, Inc. 393,822 10,067 +Alloy, Inc. 64,932 4,453 +Atari, Inc. 19,816 32,200 +CNET Networks, Inc. 200,606 5,500 +eUniverse, Inc. 2,750 36,600 +EarthLink, Inc. 288,774 1,100 +Lifeline Systems, Inc. 31,240 8,774 +Midway Games Inc. 31,850 4,700 +NIC Inc. 13,724 3,700 +NetFlix Inc. 94,535 10,800 +Register.com, Inc. 63,287 12,025 +THQ Inc. 216,450 12,014 +Take-Two Interactive Software, Inc. 340,477 7,900 +United Online, Inc. 200,186 3,886 +Universal Electronics Inc. 49,274 ---------- 2,011,723 - ---------------------------------------------------------------------------------------------------------------------- Consumer Products--0.8% 17,000 +American Greetings Corporation (Class A) 333,880 5,129 +The Boyds Collection, Ltd. 24,158 1,075 CSS Industries, Inc. 41,441 3,900 +Jarden Corp. 107,913 7,473 Matthews International Corporation (Class A) 185,031 8,463 The Nautilus Group, Inc. 104,941 6,100 +Oakley, Inc. 71,797 6,376 +Playtex Products, Inc. 40,934 3,200 +RC2 Corporation 54,432 10,391 The Topps Company, Inc. 89,259 7,198 The Toro Company 286,121 15,874 Tupperware Corporation 227,951 10,083 +The Yankee Candle Company, Inc. 234,127 ---------- 1,801,985 - ---------------------------------------------------------------------------------------------------------------------- Containers & Packaging-- 46,869 +Crown Holdings, Inc. 334,645 Metal & Glass--0.3% 3,675 Greif Bros. Corporation (Class A) 84,525 4,871 +Mobile Mini, Inc. 79,543 3,200 +Silgan Holdings Inc. 100,096 ---------- 598,809 - ---------------------------------------------------------------------------------------------------------------------- Containers & Packaging-- 2,200 +EarthShell Corporation 880 Paper & Plastic--0.0% 5,720 Myers Industries, Inc. 54,340 ---------- 55,220 - ---------------------------------------------------------------------------------------------------------------------- Contract Drilling--0.0% 7,000 +Petroleum Development Corp. 63,840 - ---------------------------------------------------------------------------------------------------------------------- Copper--0.1% 10,082 +Mueller Industries, Inc. 273,323 - ---------------------------------------------------------------------------------------------------------------------- Cosmetics--0.1% 735 +Del Laboratories, Inc. 17,273 3,493 +Elizabeth Arden, Inc. 46,003 2,000 Inter Parfums, Inc. 14,800 10,426 Nu Skin Enterprises, Inc. (Class A) 108,952 6,560 +Revlon, Inc. (Class A) 19,680 ---------- 206,708 - ---------------------------------------------------------------------------------------------------------------------- Data Processing 2,200 +iPayment Holdings, Inc. 52,448 Services--0.0% - ---------------------------------------------------------------------------------------------------------------------- Diversified Financial 4,700 +Euronet Worldwide, Inc. 50,807 Services--0.1% 5,400 +iDine Rewards Network Inc. 74,196 ---------- 125,003 - ---------------------------------------------------------------------------------------------------------------------- Diversified Materials 11,160 Acuity Brands, Inc. 202,777 & Processing--0.6% 6,516 +Armor Holdings, Inc. 87,314 4,657 Barnes Group Inc. 101,336 7,355 CLARCOR Inc. 283,535 4,700 +Graphic Packaging International Corp. 21,197 6,562 +Hexcel Corporation 20,998 15,514 Olin Corporation 265,289 7,745 Tredegar Corporation 116,098 8,520 Valhi, Inc. 81,962 ---------- 1,180,506 - ---------------------------------------------------------------------------------------------------------------------- Diversified 12,652 +Thomas & Betts Corporation 182,821 Production--0.1% - ----------------------------------------------------------------------------------------------------------------------
26 & 27 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Drug & Grocery Store 6,779 +7-Eleven, Inc. $ 71,518 Chains--0.5% 432 +Arden Group, Inc. (Class A) 25,488 13,307 Casey's General Stores, Inc. 188,161 6,428 +Duane Read Inc. 94,813 5,931 +The Great Atlantic & Pacific Tea Company, Inc. 52,193 4,664 Ingles Markets, Incorporated (Class A) 47,106 9,783 Longs Drug Stores Corporation 162,398 4,177 Nash-Finch Company 69,546 9,842 +Pathmark Stores, Inc. 75,291 8,269 Ruddick Corporation 129,989 2,629 +Smart & Final Inc. 12,172 3,300 Weis Markets, Inc. 102,366 8,729 +Wild Oats Markets, Inc. 95,146 ---------- 1,126,187 - ---------------------------------------------------------------------------------------------------------------------- Drugs & 4,100 +aaiPharma Inc. 81,508 Pharmaceuticals--2.9% 9,300 +Adolor Corporation 114,111 14,600 +Alkermes, Inc. 156,950 10,725 Alpharma, Inc. (Class A) 231,660 7,824 +Aphton Corporation 64,470 9,700 +AtheroGenics, Inc. 144,821 6,700 +Atrix Laboratories, Inc. 147,333 2,600 +Bentley Pharmaceuticals, Inc. 34,190 17,448 +BioMarin Pharmaceutical Inc. 170,292 9,172 +Biopure Corporation 56,041 1,810 +Bone Care International, Inc. 25,159 2,300 +Bradley Pharmaceuticals, Inc. 37,950 4,472 +CIMA Labs Inc. 120,252 8,400 +CV Therapeutics, Inc. 249,144 4,900 +Chattem, Inc. 92,120 8,904 +Columbia Laboratories, Inc. 100,170 8,902 +Connetics Corporation 133,263 4,100 D & K Healthcare Resources, Inc. 66,174 5,400 +Durect Corporation 13,014 6,015 +Enzo Biochem, Inc. 129,452 9,217 +Esperion Therapeutics, Inc. 180,561 5,900 +First Horizon Pharmaceutical Corporation 23,305 9,236 +Guilford Pharmaceuticals Inc. 41,931 9,624 +ILEX Oncology, Inc. 186,802 13,027 +ImmunoGen, Inc. 55,625 9,100 +Impax Laboratories, Inc. 109,109 11,088 +Indevus Pharmaceuticals, Inc. 69,189 14,289 +Isis Pharmaceuticals, Inc. 75,732 6,200 +K-V Pharmaceutical Company (Class A) 172,360 2,666 +Kos Pharmaceuticals, Inc. 62,571 11,900 +La Jolla Pharmaceutical Company 38,913 1,700 +Lannett Company, Inc. 39,848 17,816 +Ligand Pharmaceuticals Incorporated (Class B) 242,119 8,002 +MGI Pharma, Inc. 205,091 21,800 +Medarex, Inc. 143,662 12,027 +The Medicines Company 236,812 15,100 +Nektar Therapeutics 139,373 3,845 +NeoPharm, Inc. 53,253 4,363 +Neose Technologies, Inc. 43,674 6,531 +Noven Pharmaceuticals, Inc. 66,877 8,000 +Onyx Pharmaceuticals, Inc. 98,640 7,800 +POZEN Inc. 85,644 13,217 +PRAECIS Pharmaceuticals Incorporated 64,763 4,600 +Pain Therapeutics, Inc. 29,716 3,400 +Penwest Pharmaceuticals Co. 82,858 18,815 Perrigo Company 294,267 11,100 +Priority Healthcare Corporation (Class B) 205,905 5,600 +Quidel Corporation 34,832 10,119 +Regeneron Pharmaceuticals, Inc. 159,374 4,900 +Salix Pharmaceuticals, Ltd. 51,401 7,839 +SangStat Medical Corporation 102,613 10,682 +SuperGen, Inc. 57,683 12,495 +Tularik Inc. 124,200 5,146 +United Therapeutics Corporation 112,080 7,500 +VIVUS, Inc. 38,550 21,700 +Vertex Pharmaceuticals Incorporated 317,471 ---------- 6,214,878 - ---------------------------------------------------------------------------------------------------------------------- Education Services--0.3% 2,802 +Bright Horizons Family Solutions, Inc. 94,035 2,730 +Learning Tree International, Inc. 42,670 2,500 +The Princeton Review, Inc. 14,750 2,249 +Renaissance Learning, Inc. 49,253 3,392 Strayer Education, Inc. 269,494 10,528 +Sylvan Learning System, Inc. 240,460 ---------- 710,662 - ---------------------------------------------------------------------------------------------------------------------- Electrical & 7,291 +Benchmark Electronics, Inc. 224,271 Electronics--0.4% 5,100 +InVision Technologies, Inc. 126,735 4,700 +OSI Systems, Inc. 75,482 11,861 +Plexus Corporation 136,757 7,632 +Power Integrations, Inc. 185,610 3,400 +TTM Technologies, Inc. 15,946 4,307 +Universal Display Corporation 38,418 ---------- 803,219 - ----------------------------------------------------------------------------------------------------------------------
28 & 29 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Electrical Equipment 4,881 A.O. Smith Corporation $ 137,400 & Components--0.7% 8,071 Baldor Electric Company 166,263 10,108 CTS Corporation 105,629 12,884 +Cable Design Technology 92,121 6,718 Cohu, Inc. 104,801 1,830 Franklin Electric Co., Inc. 101,840 9,790 General Cable Corporation 52,866 3,573 +The Genlyte Group Incorporated 124,948 4,760 +Littelfuse Inc. 106,434 6,900 +MKS Instruments, Inc. 125,787 1,931 +Powell Industries, Inc. 28,270 18,500 +Power-One, Inc. 132,275 10,661 Technitrol, Inc. 160,448 3,979 +Triumph Group, Inc. 112,088 ---------- 1,551,170 - ---------------------------------------------------------------------------------------------------------------------- Electrical Products--0.0% 10,700 +Valence Technology, Inc. 31,993 - ---------------------------------------------------------------------------------------------------------------------- Electrical--Household 5,896 +Applica Incorporated 50,116 Appliance--0.1% 1,350 National Presto Industries, Inc. 42,660 1,400 +REX Stores Corporation 16,954 ---------- 109,730 - ---------------------------------------------------------------------------------------------------------------------- Electronic Components--0.1% 5,600 +Innovex, Inc. 56,560 4,600 +Pemstar Inc. 19,274 10,100 +Superconductor Technologies Inc. 22,523 ---------- 98,357 - ---------------------------------------------------------------------------------------------------------------------- Electronic Equipment/ 8,800 +ActivCard Corp. 82,720 Instruments--0.1% 2,100 +Fargo Electronics 20,433 900 +Metrologic Instruments Inc. 29,934 1,700 +Stratasys, Inc. 58,786 ---------- 191,873 - ---------------------------------------------------------------------------------------------------------------------- Electronics--0.9% 3,986 +II-VI Incorporated 91,997 16,412 +Aeroflex Incorporated 127,029 8,394 +Avid Technology, Inc. 294,378 2,532 BEI Techologies, Inc. 30,384 5,299 +Daktronics, Inc. 86,639 3,600 +Drexler Technology Corporation 55,800 4,100 +EMS Technologies, Inc. 54,407 9,466 +FLIR Systems, Inc. 285,400 20,500 +Kopin Corporation 125,460 29,379 +MRV Communications, Inc. 59,052 2,400 +Manufacturers' Services Limited 11,640 9,880 Methode Electronics 106,210 5,049 Park Electrochemical Corp. 100,728 9,863 Pioneer-Standard Electronics, Inc. 83,638 7,058 +Read-Rite Corporation 459 3,304 +Research Frontiers Incorporated 46,256 200 Richardson Electronics, Ltd. 1,620 16,300 +Semtech Corporation 232,275 1,867 +Supertex, Inc. 34,297 ---------- 1,827,669 - ---------------------------------------------------------------------------------------------------------------------- Electronics/Appliances--0.0% 2,900 +Emerson Radio Corporation 19,488 - ---------------------------------------------------------------------------------------------------------------------- Electronics--Instruments 6,482 +Itron, Inc. 139,752 Gauges & Meters--0.1% 2,701 Keithley Instruments, Inc. 39,029 4,395 +Zygo Corporation 35,160 ---------- 213,941 - ---------------------------------------------------------------------------------------------------------------------- Electronics-- 5,387 +Bruker Daltonics, Inc. 28,713 Medical Systems--0.5% 7,132 +CardioDynamics International Corporation 24,320 3,470 Datascope Corp. 102,469 2,800 +EPIX Medical, Inc. 39,620 5,900 +eResearch Technology, Inc. 130,744 5,472 +Haemonetics Corporation 102,326 5,800 +Hologic, Inc. 76,444 7,962 +Intuitive Surgical, Inc. 60,352 4,451 +Luminex Corporation 22,967 4,588 +Possis Medical, Inc. 62,947 4,800 +PracticeWorks, Inc. 92,640 6,532 +TriPath Imaging, Inc. 44,614 12,586 +VISX, Incorporated 218,367 3,061 +Zoll Medical Corporation 102,727 ---------- 1,109,250 - ---------------------------------------------------------------------------------------------------------------------- Electronics--Semiconductors/ 6,816 +Actel Corp. 139,728 Components--2.1% 9,241 +Alliance Semiconductor Corporation 44,726 5,500 +Artisan Components, Inc. 124,355 13,651 +ChipPAC, Inc. 104,703 20,500 +Cirrus Logic, Inc. 82,410 76,600 +Conexant Systems, Inc. 320,954 8,883 +DSP Group, Inc. 191,251 9,729 +ESS Technology, Inc. 94,858 11,827 +Exar Corporation 187,221 1,973 +Excel Technology, Inc. 45,044 9,200 +Genesis Microchip Incorporated 124,568 32,616 +GlobespanVirata, Inc. 269,082
30 & 31 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Electronics--Semiconductors/ 3,593 +IXYS Corporation $ 28,636 Components 8,238 +Integrated Silicon Solution, Inc. 57,172 (concluded) 27,900 +Lattice Semiconductor Corporation 229,617 15,100 +Micrel, Inc. 157,040 9,245 +Microsemi Corporation 147,920 11,209 +Microtune, Inc. 35,869 5,300 +Monolithic System Technology, Inc. 48,018 7,800 +ON Semiconductor Corporation 21,060 15,768 +Oak Technology, Inc. 97,919 6,100 +OmniVision Technologies, Inc. 190,320 4,993 +Pericom Semiconductor Corporation 46,435 9,564 +Pixelworks, Inc. 56,810 4,129 +Planar Systems Inc. 80,763 52,700 +RF Micro Devices, Inc. 310,930 3,988 +SBS Technologies, Inc. 39,206 6,161 +SIPEX Corporation 30,189 20,476 +Silicon Image, Inc. 114,256 20,858 +Silicon Storage Technology, Inc. 87,395 1,700 +Siliconix Incorporated 61,370 40,733 +Skyworks Solutions, Inc. 275,762 5,156 +Three-Five Systems, Inc. 35,576 33,700 +Transmeta Corporation 53,920 39,336 +TriQuint Semiconductor, Inc. 163,638 2,500 +Virage Logic Corporation 18,100 59,800 +Vitesse Semiconductor Corporation 294,216 7,000 +White Electronic Designs Corporation 74,130 5,734 +Xicor, Inc. 35,952 ---------- 4,521,119 - ---------------------------------------------------------------------------------------------------------------------- Electronics--Technology-- 9,623 +Checkpoint Systems, Inc. 136,165 0.9% 8,680 +Coherent, Inc. 207,712 4,352 Cubic Corporation 96,701 6,668 +DRS Technologies, Inc. 186,171 5,626 EDO Corporation 99,580 4,200 +Herley Industries, Inc. 71,316 25,930 +Identix Incorporated 164,656 5,656 +Intermagnetics General Corporation 112,215 24,100 +Kemet Corp. 243,410 3,200 +ScanSource, Inc. 85,600 600 Sypris Solutions, Inc. 6,198 22,200 +The Titan Corporation 228,438 9,404 +Trimble Navigation Limited 215,634 ---------- 1,853,796 - ---------------------------------------------------------------------------------------------------------------------- Energy--0.0% 4,517 +Pacific Gulf Resources 226 - ---------------------------------------------------------------------------------------------------------------------- Energy Equipment--0.0% 8,500 +Global Power Equipment Group Inc. 39,525 4,500 +Plug Power Inc. 21,015 ---------- 60,540 - ---------------------------------------------------------------------------------------------------------------------- Energy--Miscellaneous--0.3% 10,026 +FuelCell Energy, Inc. 82,113 2,100 Holly Corporation 57,960 2,179 Penn Virginia Corporation 93,697 4,661 +TETRA Technologies, Inc. 138,199 18,665 +Tesoro Petroleum Corporation 128,415 10,297 +Veritas DGC Inc. 118,416 ---------- 618,800 - ---------------------------------------------------------------------------------------------------------------------- Engineering & 4,100 +KFX Inc. 15,908 Construction--0.1% 3,500 +Matrix Service Company 60,025 3,000 +Perini Corporation 23,850 8,300 +Washington Group International, Inc. 182,268 ---------- 282,051 - ---------------------------------------------------------------------------------------------------------------------- Engineering & Contracting 13,002 +Dycom Industries, Inc. 211,933 Services--0.2% 6,997 +Integrated Electrical Services, Inc. 50,728 19,700 +Quanta Services, Inc. 139,870 4,677 +URS Corporation 91,014 ---------- 493,545 - ---------------------------------------------------------------------------------------------------------------------- Entertainment--0.5% 9,200 +AMC Entertainment Inc. 105,248 13,400 +Alliance Gaming Corporation 253,394 6,657 +Boca Resorts, Inc. (Class A) 86,541 200 +Carmike Cinemas, Inc. 4,544 4,240 Dover Motorsports, Inc. 17,384 4,755 +Gaylord Entertainment Company 93,055 15,707 +Hollywood Entertainment Corporation 270,160 3,072 +LodgeNet Entertainment Corporation 33,638 7,115 +Movie Gallery, Inc. 131,272 3,355 Speedway Motorsports, Inc. 89,914 ---------- 1,085,150 - ---------------------------------------------------------------------------------------------------------------------- Environmental Services--0.0% 3,600 +Clean Harbors, Inc. 34,308 300 +Duratek, Inc. 2,379 ---------- 36,687 - ---------------------------------------------------------------------------------------------------------------------- Fertilizers--0.1% 34,300 IMC Global Inc. 230,153 - ---------------------------------------------------------------------------------------------------------------------- Finance Companies--0.2% 4,300 American Home Mortgage Holdings, Inc. 84,194 2,849 +Credit Acceptance Corporation 28,746 8,000 +Saxon Capital, Inc. 139,040 5,700 +World Acceptance Corporation 92,796 ---------- 344,776 - ----------------------------------------------------------------------------------------------------------------------
32 & 33 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Finance--Rental/Leasing-- 3,500 +Accredited Home Lenders Holding Company $ 67,235 0.1% 1,700 Medallion Financial Corp. 11,849 2,500 +United Panam Financial Corp 30,875 ---------- 109,959 - ---------------------------------------------------------------------------------------------------------------------- Financial 1,000 Sanders Morris Harris Group Inc. 9,140 Conglomerates--0.0% - ---------------------------------------------------------------------------------------------------------------------- Financial Data Processing 10,300 +Advent Software, Inc. 176,336 Services & Systems--0.8% 3,506 +CCC Information Services Group Inc. 50,837 3,289 +CompuCredit Corporation 39,961 8,630 +Digital Insight Corporation 164,402 13,788 +eFunds Corporation 158,976 7,323 +eSPEED, Inc. (Class A) 144,702 7,600 +Hypercom Corporation 31,540 6,743 +The InterCept Group, Inc. 56,371 8,182 John H. Harland Company 214,041 5,866 +Kronos, Inc. 298,051 10,264 NDCHealth Corporation 188,344 1,100 +National Processing, Inc. 17,688 11,513 +PRG-Schultz International, Inc. 67,927 31,200 +Portal Software, Inc. 62,400 ---------- 1,671,576 - ---------------------------------------------------------------------------------------------------------------------- Financial Information 32,400 +HomeStore.com, Inc. 57,348 Services--0.1% 20,522 +S1 Corporation 82,909 400 Value Line, Inc. 19,644 ---------- 159,901 - ---------------------------------------------------------------------------------------------------------------------- Financial--Miscellaneous-- 5,000 Advanta Corp. (Class B) 50,300 0.8% 4,359 +BARRA, Inc. 155,616 5,419 Cash America International, Inc. 71,639 2,300 +Federal Agricultural Mortgage Corporation 51,405 3,467 +Financial Federal Corporation 84,595 5,499 LandAmerica Financial Group, Inc. 261,203 4,400 +LendingTree, Inc. 107,712 10,300 Metris Companies Inc. 57,165 5,900 New Century Financial Corporation 257,535 11,536 +Sotheby's Holdings, Inc. (Class A) 85,828 2,328 Sterling Bancorp 64,928 4,322 +Stewart Information Services Corporation 120,368 2,276 +Triad Guaranty Inc. 86,374 2,947 +WFS Financial Inc. 98,754 2,291 WSFS Financial Corporation 87,974 ---------- 1,641,396 - ---------------------------------------------------------------------------------------------------------------------- Financial Publishing/ 400 +MarketWatch.com, Inc. 3,344 Services--0.0% 5,700 +TheStreet.com, Inc. 26,847 6,300 +Tradestation Group Inc. 64,197 ---------- 94,388 - ---------------------------------------------------------------------------------------------------------------------- Food Retail--0.0% 700 +The Pantry, Inc. 5,523 300 +The Penn Traffic Company 45 ---------- 5,568 - ---------------------------------------------------------------------------------------------------------------------- Food--Specialty/Candy--0.0% 2,500 +John B. Sanfilippo & Son Inc. 40,800 600 +M & F Worldwide Corp. 4,320 ---------- 45,120 - ---------------------------------------------------------------------------------------------------------------------- Foods--1.0% 4,434 +American Italian Pasta Company (Class A) 184,676 300 +Aurora Food Inc. 105 9,300 +Chiquita Brands International, Inc. 134,850 9,557 Flowers Foods, Inc. 188,836 7,557 +Hain Celestial Group, Inc. 120,836 2,800 +Horizon Organic Holding Corporation 66,724 5,144 +International Multifoods 117,849 12,828 Interstate Bakeries Corporation 162,916 1,800 +J & J Snack Foods Corp. 56,934 7,300 Lance, Inc. 66,649 1,063 +Maui Land & Pineapple Company, Inc. 23,896 16,014 +NBTY Inc. 337,255 2,600 Natures Sunshine Products, Inc. 20,826 2,969 Pilgrim's Pride Corporation 28,710 8,495 +Ralcorp Holdings, Inc. 212,035 1,787 Riviana Foods Inc. 48,088 1,500 Sanderson Farms, Inc. 42,150 12 Seaboard Corporation 2,484 12,657 Sensient Technologies Corporation 290,984 ---------- 2,106,803 - ---------------------------------------------------------------------------------------------------------------------- Forest Products--0.4% 3,109 Deltic Timber Corporation 88,451 15,121 Longview Fibre Company 123,992 32,709 +Louisiana-Pacific Corporation 354,566 4,644 Pope & Talbot, Inc. 51,316 7,797 Potlatch Corporation 200,773 4,134 Universal Forest Products, Inc. 86,566 ---------- 905,664 - ---------------------------------------------------------------------------------------------------------------------- Forms & Bulk Printing 3,300 Ennis Business Forms, Inc. 48,015 Services--0.1% 2,607 New England Business Services, Inc. 78,210 3,945 The Standard Register Company 65,014 ---------- 191,239 - ----------------------------------------------------------------------------------------------------------------------
34 & 35 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Funeral Parlors & 9,400 +Alderwoods Group, Inc. $ 51,324 Cemeteries--0.1% 26,424 +Stewart Enterprises, Inc. (Class A) 113,623 ---------- 164,947 - ---------------------------------------------------------------------------------------------------------------------- Gas Distributors--0.0% 2,600 Chesapeake Utilities Corporation 58,760 - ---------------------------------------------------------------------------------------------------------------------- Glass--0.0% 8,700 Apogee Enterprises, Inc. 78,474 - ---------------------------------------------------------------------------------------------------------------------- Gold--0.1% 5,500 Royal Gold, Inc. 118,195 - ---------------------------------------------------------------------------------------------------------------------- Health Care Facilities--0.5% 4,350 +American Healthways, Inc. 157,122 26,926 +Beverly Enterprises, Inc. 94,241 7,100 +Genesis Health Ventures, Inc. 125,315 4,300 +Kindred Healthcare, Inc. 76,712 11,800 +LifePoint Hospitals, Inc. 249,098 1,900 +National Healthcare Corporation 37,392 1,824 +Specialty Laboratories, Inc. 18,696 5,237 +Sunrise Assisted Living, Inc. 117,204 4,900 +United Surgical Partners International, Inc. 110,691 ---------- 986,471 - ---------------------------------------------------------------------------------------------------------------------- Health Care Management 5,500 +AMERIGROUP Corporation 204,600 Services--1.1% 6,741 +Allscripts Healthcare Solutions, Inc. 24,739 2,600 +American Medical Security Group, Inc. 49,660 5,900 +AmSurg Corp. 179,950 3,400 +Centene Corporation 132,260 8,400 +Cerner Corporation 191,520 5,900 +Cobalt Corporation 121,245 1,500 Computer Programs and Systems, Inc. 30,015 1,257 +CorVel Corporation 45,252 6,207 +DVI, Inc. 28,987 10,031 +Eclipsys Corporation 104,724 14,497 Hooper Holmes, Inc. 93,361 8,500 +MIM Corporation 55,505 2,196 +MedQuist Inc. 44,447 3,000 +Omnicell, Inc. 30,720 13,200 +Orthodontic Centers of America, Inc. 105,732 7,000 +Pediatrix Medical Group, Inc. 249,550 8,698 +Per-Se Technologies, Inc. 97,679 6,000 +Select Medical Corporation 148,980 6,926 +Sierra Health Services, Inc. 138,520 22,623 +US Oncology, Inc. 167,184 11,100 +VitalWorks Inc. 43,845 ---------- 2,288,475 - ---------------------------------------------------------------------------------------------------------------------- Health Care Services--0.5% 13,500 +Accredo Health, Incorporated 292,275 2,300 +Alliance Imaging, Inc. 10,120 1,652 +Dynacq International, Inc. 27,754 9,590 +Gentiva Health Services, Inc. 86,310 2,600 +Healthcare Services Group, Inc. 36,738 4,927 +IDX Systems Corporation 76,467 5,298 +IMPATH Inc. 74,914 3,100 +LabOne, Inc. 66,836 3,600 +Matria Healthcare, Inc. 63,540 6,000 +Odyssey Healthcare, Inc. 222,000 13,136 +Province Healthcare Company 145,416 ---------- 1,102,370 - ---------------------------------------------------------------------------------------------------------------------- Home Furnishings--0.0% 300 Hooker Furniture Corporation 7,419 5,300 +Select Comfort Corporation 87,132 ---------- 94,551 - ---------------------------------------------------------------------------------------------------------------------- Homebuilding--0.5% 4,117 +Beazer Homes USA, Inc. 343,770 3,300 Brookfield Homes Corporation 50,886 1,900 +Dominion Homes, Inc. 45,315 3,600 M/I Schottenstein Homes, Inc. 153,648 2,200 +Meritage Corporation 108,372 9,530 Standard Pacific Corp. 316,015 700 +Technical Olympic USA, Inc. 16,541 700 +William Lyon Homes, Inc. 22,295 ---------- 1,056,842 - ---------------------------------------------------------------------------------------------------------------------- Hotel/Motel--0.3% 5,779 +Choice Hotels International, Inc. 157,824 19,500 +Extended Stay America, Inc. 263,055 5,079 Marcus Corporation 75,931 13,090 +Prime Hospitality Corp. 87,834 1,000 +Wyndham International, Inc. 440 ---------- 585,084 - ---------------------------------------------------------------------------------------------------------------------- Household Furnishings--0.0% 1,600 American Woodmark Corporation 74,496 2,400 Bassett Furniture Industries, Incorporated 31,872 9,900 +The Bombay Company, Inc. 105,237 2,300 +Department 56, Inc. 35,259 4,636 Haverty Furniture Companies, Inc. 81,130 4,588 Libbey, Inc. 104,148 6,664 Oneida Ltd. 44,982 1,400 Stanley Furniture Company, Inc. 38,374 ---------- 515,498 - ---------------------------------------------------------------------------------------------------------------------- Household/Personal 1,600 +USANA Health Sciences, Inc. 70,720 Care--0.0% - ----------------------------------------------------------------------------------------------------------------------
36 & 37 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Identification Control & 5,112 +Advanced Energy Industries, Inc. $ 72,846 Filter Devices--1.0% 11,367 +Artesyn Technologies, Inc. 63,769 11,341 +ASystemsTechnologies, Inc. 75,871 5,994 C&D Technologies, Inc. 86,074 4,431 +CUNO Incorporated 160,048 3,966 +ESCO Technologies Inc. 174,504 12,900 +Flowserve Corporation 253,743 1,400 The Gorman-Rupp Company 33,600 8,181 IDEX Corporation 296,479 1,742 Mine Safety Appliances Company 75,986 9,682 +Paxar Corporation 106,502 3,212 Robbins & Myers, Inc. 59,422 8,321 Roper Industries, Inc. 309,541 6,727 +Veeco Instruments Inc. 114,561 5,696 +Vicor Corporation 54,682 4,336 Watts Industries, Inc. (Class A) 77,398 5,917 X-Rite, Incorporated 58,637 ---------- 2,073,663 - ---------------------------------------------------------------------------------------------------------------------- Industrial Machinery--0.1% 4,300 +Enpro Industries Inc. 45,967 4,300 +Rofin-Sinar Technologies, Inc. 60,759 ---------- 106,726 - ---------------------------------------------------------------------------------------------------------------------- Industrial Specialties--0.0% 2,900 +Ceradyne Inc. 53,940 - ---------------------------------------------------------------------------------------------------------------------- Information Technology 9,100 +Epicor Software Corporation 54,509 Services--0.2% 1,100 +MTC Technologies, Inc. 25,850 1,700 +QAD Inc. 12,614 7,100 +Veridian Corporation 247,719 ---------- 340,692 - ---------------------------------------------------------------------------------------------------------------------- Insurance Brokers/ 5,000 +U.S.I. Holdings Corporation 58,500 Services--0.0% - ---------------------------------------------------------------------------------------------------------------------- Insurance--Life--0.6% 12,300 AmerUs Group Co. 346,737 6,155 +Citizens, Inc. 44,747 4,680 Delphi Financial Group, Inc. (Class A) 219,024 3,800 Financial Industries Corporation 56,012 2,133 Great American Financial Resources, Inc. 27,964 1,042 Kansas City Life Insurance Company 43,868 662 +National Western Life Insurance Company (Class A) 73,105 25,900 The Phoenix Companies, Inc. 233,877 7,293 Presidential Life Corporation 102,904 6,800 +Universal American Financial Corp. 43,316 ---------- 1,191,554 - ---------------------------------------------------------------------------------------------------------------------- Insurance--Multiline--0.6% 9,940 Alfa Corporation 126,337 14,600 +Allmerica Financial Corporation 262,654 3,086 CNA Surety Corporation 30,397 6,309 Crawford & Company (Class B) 30,977 100 EMC Insurance Group, Inc. 1,853 2,425 FBL Financial Group, Inc. (Class A) 48,864 3,300 +HealthExtras, Inc. 25,806 8,906 Hilb, Rogal and Hamilton Company 303,160 11,568 Horace Mann Educators Corporation 186,592 1,000 Independence Holding Company 21,110 3,297 +PICO Holdings, Inc. 42,861 10,939 +UICI 164,851 3,337 Zenith National Insurance Corp. 95,105 ---------- 1,340,567 - ---------------------------------------------------------------------------------------------------------------------- Insurance--Property/ 6,800 21st Century Insurance Group 97,240 Casualty--1.1% 2,571 +American Physicians Capital, Inc. 62,347 6,166 Argonaut Group, Inc. 76,027 2,432 Baldwin & Lyons, Inc. (Class B) 57,760 6,645 The Commerce Group, Inc. 240,549 17,961 Fremont General Corporation 246,066 8,262 Harleysville Group Inc. 190,191 1,858 The Midland Company 41,266 1,400 NYMAGIC, Inc. 28,364 1,200 +The Navigators Group, Inc. 35,784 18,015 +Ohio Casualty Corporation 237,438 8,006 PMA Capital Corporation (Class A) 100,635 4,556 +Philadelphia Consolidated Holding Corp. 184,062 7,023 +ProAssurance Corporation 189,551 4,654 RLI Corp. 153,117 8,811 Selective Insurance Group, Inc. 220,716 2,812 State Auto Financial Corporation 63,129 1,500 United Fire & Casualty Company 48,735 ---------- 2,272,977 - ---------------------------------------------------------------------------------------------------------------------- Internet--0.0% 4,300 +USinternetworking, Inc. -- - ---------------------------------------------------------------------------------------------------------------------- Internet Retail--0.0% 100 +FTD, Inc. (Class A) 2,024 - ---------------------------------------------------------------------------------------------------------------------- Internet Software/ 9,300 +Ask Jeeves, Inc. 126,945 Services--0.4% 5,700 +BroadVision, Inc. 31,635 100,000 +CMGI Inc. 151,000 4,600 +Ecollege.Com 52,256 6,700 +InfoSpace, Inc. 91,656 4,100 +Kana Software, Inc. 12,464 8,800 +Lionbridge Technologies Inc. 44,792 3,100 +MicroStrategy Incorporated (Class A) 113,522 11,500 +Opsware, Inc. 46,115 4,600 +Sohu Com Inc. 156,400 2,900 +Stellent, Inc. 15,660 9,300 +Support.com, Inc. 60,264 ---------- 902,709 - ----------------------------------------------------------------------------------------------------------------------
38 & 39 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Investment Banks/ 3,600 +First Albany Companies Inc. $ 43,452 Brokers--0.0% - ---------------------------------------------------------------------------------------------------------------------- Investment Management 6,600 +Affiliated Managers Group, Inc. 402,270 Companies--0.3% 1,996 +Gabelli Asset Management Inc. (Class A) 72,056 1,500 Gladstone Capital Corporation 30,945 6,700 MCG Capital Corporation 97,150 ---------- 602,421 - ---------------------------------------------------------------------------------------------------------------------- Jewelry Watches & 7,355 +Fossil, Inc. 173,284 Gemstones--0.1% 6,400 Friedman's Inc. (Class A) 72,768 1,700 Movado Group, Inc. 36,975 ---------- 283,027 - ---------------------------------------------------------------------------------------------------------------------- Leisure Time--0.6% 4,700 Action Performance Companies, Inc. 89,300 8,841 +Bally Total Fitness Holding Corporation 79,834 17,800 Callaway Golf Company 235,316 8,300 +K2 Inc. 101,675 9,978 +Penn National Gaming, Inc. 205,048 5,673 +SCP Pool Corporation 195,151 25,100 +Six Flags, Inc. 170,178 2,600 +Steinway Musical Instruments, Inc. 40,040 6,278 Sturm, Ruger & Company, Inc. 62,780 4,256 +Vail Resorts, Inc. 57,328 4,300 +West Marine, Inc. 75,293 ---------- 1,311,943 - ---------------------------------------------------------------------------------------------------------------------- Machine Tools--0.1% 9,092 Lincoln Electric Holdings, Inc. 185,568 - ---------------------------------------------------------------------------------------------------------------------- Machinery & 6,107 Applied Industrial Technologies, Inc. 128,858 Engineering--0.1% - ---------------------------------------------------------------------------------------------------------------------- Machinery-- 500 Alamo Group Inc. 6,110 Agricultural--0.0% 3,513 Lindsay Manufacturing Co. 81,572 ---------- 87,682 - ---------------------------------------------------------------------------------------------------------------------- Machinery--Construction 4,717 +Astec Industries, Inc. 41,132 & Handling--0.3% 7,811 The Manitowoc Co., Inc. 174,185 1,387 NACCO Industries, Inc. (Class A) 81,750 9,424 Stewart & Stevenson Services, Inc. 148,428 12,743 +Terex Corporation 248,743 ---------- 694,238 - ---------------------------------------------------------------------------------------------------------------------- Machinery--Engines--0.1% 6,059 Briggs & Stratton Corporation 305,980 - ---------------------------------------------------------------------------------------------------------------------- Machinery--Industrial/ 3,100 +Actuant Corporation (Class A) 146,692 Specialty--0.7% 3,757 +Gardner Denver Inc. 76,868 14,100 +Joy Global Inc. 208,257 2,570 +Kadant Inc. 48,188 9,903 Kennametal Inc. 335,118 8,672 Milacron Inc. 42,406 6,710 Nordson Corporation 160,034 19,786 +SureBeam Corporation (Class A) 52,433 5,328 Tecumseh Products Company (Class A) 204,116 2,637 Tennant Company 96,910 2,799 Thomas Industries Inc. 75,713 2,593 Woodward Governor Company 111,499 ---------- 1,558,234 - ---------------------------------------------------------------------------------------------------------------------- Machinery--Oil Well 2,468 CARBO Ceramics Inc. 91,933 Equipment & Service--0.9% 11,337 +Cal Dive International, Inc. 247,147 1,688 +Dril-Quip, Inc. 30,722 24,300 +Global Industries, Ltd. 117,126 1,917 +Gulf Island Fabrication, Inc. 32,436 13,900 +Hanover Compressor Company 157,070 10,685 +Horizon Offshore, Inc. 53,211 4,100 +Hydril Company 111,725 13,046 +Input/Output, Inc. 70,187 2,600 Lufkin Industries, Inc. 63,310 21,420 +Newpark Resources, Inc. 117,382 6,704 +Oceaneering International, Inc. 171,287 5,700 +Oil States International, Inc. 68,970 29,181 +Parker Drilling Company 84,917 3,200 RPC, Inc. 35,200 5,008 +SEACOR SMIT Inc. 182,742 12,005 +Superior Energy Services, Inc. 113,807 4,726 +Universal Compression Holdings, Inc. 98,584 7,657 +W-H Energy Services, Inc. 149,158 ---------- 1,996,914 - ---------------------------------------------------------------------------------------------------------------------- Machinery--Specialty--0.2% 3,100 +Applied Films Corporation 80,228 1,800 Cascade Corporation 31,320 3,950 Engineered Support Systems, Inc. 165,308 7,861 Helix Technology Corporation 104,001 10,698 JLG Industries, Inc. 72,746 3,441 +Semitool, Inc. 16,964 ---------- 470,567 - ---------------------------------------------------------------------------------------------------------------------- Major Banks--0.1% 600 +CNB Financial Corporation 26,664 400 Exchange National Bancshares, Inc. 22,388 1,100 +Greene County Bancshares Inc. 23,265 2,200 +Heartland Financial USA Inc. 70,400 500 National Bankshares Inc. 19,775 900 Shore Bancshares Inc. 27,675 100 Sierra Bancorp 1,411 300 +Virginia Commerce Bancorp, Inc. 5,865 1,600 +Western Sierra Bancorp 52,464 1,000 Yadkin Valley Bank & Trust Company 16,080 ---------- 265,987 - ----------------------------------------------------------------------------------------------------------------------
40 & 41 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Major 15,100 +Primus Telecommunications Group, Incorporated $ 77,614 Telecommunications--0.0% - ---------------------------------------------------------------------------------------------------------------------- Manufactured Housing--0.1% 15,427 +Champion Enterprises, Inc. 79,912 4,005 +Palm Harbor Homes, Inc. 75,855 1,401 Skyline Corporation 42,030 ---------- 197,797 - ---------------------------------------------------------------------------------------------------------------------- Manufacturing--0.2% 14,159 Federal Signal Corporation 248,774 8,964 +Rayovac Corporation 116,084 3,231 Standex International Corporation 67,851 ---------- 432,709 - ---------------------------------------------------------------------------------------------------------------------- Marine Shipping--0.0% 600 Maritrans Inc. 8,790 1,700 +Seabulk International, Inc. 14,824 ---------- 23,614 - ---------------------------------------------------------------------------------------------------------------------- Medical & Dental Instruments 4,000 +ALARIS Medical, Inc. 51,800 & Supplies--3.0% 9,800 +Advanced Medical Optics, Inc. 167,090 3,300 +Advanced Neuromodulation Systems, Inc. 170,841 12,100 +Align Technology, Inc. 151,855 6,500 +American Medical Systems Holdings, Inc. 109,655 2,954 Arrow International, Inc. 130,419 3,349 +Biosite Diagnostics Incorporated 161,087 8,528 +CONMED Corporation 155,721 900 +Cantel Medical Corp. 12,078 15,200 +Cardiac Science, Inc. 40,736 10,900 +Cepheid, Inc. 53,846 5,825 +Cerus Corporation 43,862 2,900 +Cholestech Corporation 28,623 1,513 +Closure Medical Corporation 28,565 5,100 +Conceptus, Inc. 71,655 9,184 Cooper Companies, Inc. 319,328 6,028 +CryoLife, Inc. 62,390 6,469 +Cyberonics, Inc. 139,148 31,900 +Cytyc Corporation 336,545 600 +DJ Orthopedics Incorporated 6,576 5,500 Diagnostic Products Corporation 225,775 3,750 +ICU Medical, Inc. 116,813 5,276 +IGEN International, Inc. 165,666 5,627 +INAMED Corporation 302,114 3,500 +Immucor, Inc. 76,265 7,722 Invacare Corp. 254,826 2,340 +Inverness Medical Innovations, Inc. 45,162 4,200 +Kyphon Inc. 63,504 1,778 Landauer, Inc. 74,374 12,144 Mentor Corporation 235,351 4,600 +Merit Medical Systems, Inc. 91,908 4,437 +Molecular Devices Corporation 70,593 5,914 +Ocular Sciences, Inc. 117,393 9,459 +OraSure Technologies, Inc. 70,564 12,800 +OrthoLogic Corp. 58,752 9,298 Owens & Minor, Inc. 207,810 23,073 +PSS World Medical, Inc. 132,670 3,057 PolyMedica Corporation 139,980 6,300 +Sola International Inc. 109,620 4,915 +SonoSite, Inc. 98,054 4,663 +SurModics, Inc. 142,222 10,300 +Sybron Dental Specialties, Inc. 243,080 12,129 +Techne Corporation 367,994 6,932 +Theragenics Corporation 29,808 7,100 +Therasense, Inc. 71,000 13,547 +Thoratec Laboratories Corporation 201,850 2,980 +Ventana Medical Systems, Inc. 80,996 6,800 +Viasys Healthcare Inc. 140,760 2,424 Vital Signs, Inc. 62,927 3,638 West Pharmaceutical Services, Inc. 89,131 4,700 +Wright Medical Group, Inc. 89,300 600 +Young Innovations, Inc. 17,100 ---------- 6,435,182 - ---------------------------------------------------------------------------------------------------------------------- Medical Services--0.4% 18,391 +Covance Inc. 332,877 4,100 +Curative Health Services, Inc. 69,700 4,800 +Hanger Orthopedic Group, Inc. 54,960 5,181 +Option Care, Inc. 59,737 8,097 +PAREXEL International Corporation 112,952 5,795 +RehabCare Group, Inc. 84,897 3,550 +U.S. Physical Therapy, Inc. 45,369 7,900 +VCA Antech, Inc. 154,603 ---------- 915,095 - ---------------------------------------------------------------------------------------------------------------------- Medical Specialties--0.5% 1,100 +Aspect Medical Systems, Inc. 8,118 6,600 +Biolase Technology Inc. 71,214 6,400 +CTI Molecular Imaging, Inc. 119,360 3,600 +Candela Corporation 41,688 10,900 +Dade Behring Holdings Inc. 246,449 900 +Exactech Inc. 13,041 3,100 +I-STAT Corporation 27,342 5,000 +Laserscope 39,950 3,600 +Medical Action Industries Inc. 58,536
42 & 43 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Medical Specialties 4,600 Meridian Bioscience, Inc. $ 43,148 (concluded) 3,000 +Novoste Corporation 18,030 5,500 +Osteotech, Inc. 74,745 500 +Retractable Technologies Inc. 4,245 6,100 +STAAR Surgical Company 70,577 17,467 +Savient Pharmaceuticals Inc. 81,047 3,200 +Synovis Life Technologies, Inc. 62,400 ---------- 979,890 - ---------------------------------------------------------------------------------------------------------------------- Metal Fabricating--0.7% 2,400 CIRCOR International, Inc. 42,792 7,378 Commercial Metals Company 131,255 2,500 +Encore Wire Corporation 23,750 9,226 Kaydon Corp. 191,901 7,958 +Lone Star Technology 168,550 4,000 Material Sciences Corporation 38,800 12,363 +Maverick Tube Corporation 236,751 5,065 NN, Inc. 64,123 3,855 +NS Group, Inc. 37,586 2,256 Penn Engineering & Manufacturing Corp. 30,794 4,805 Quanex Corporation 142,805 4,513 +RTI International Metals, Inc. 48,876 6,947 Reliance Steel & Aluminum Co. 143,803 4,893 Ryerson Tull, Inc. 42,960 2,444 +SPS Technologies, Inc. 66,086 9,900 +The Shaw Group Inc. 119,295 3,658 Valmont Industries, Inc. 71,185 ---------- 1,601,312 - ---------------------------------------------------------------------------------------------------------------------- Metals & Minerals 4,473 AMCOL International Corporation 35,784 Miscellaneous--0.3% 5,711 +Brush Engineered Materials Inc. 47,687 3,659 +Cleveland-Cliffs Inc. 65,313 15,144 +GrafTech International Ltd. 82,535 34,600 +Hecla Mining Company 146,358 4,700 +Liquidmetal Technologies 24,111 5,553 Minerals Technologies, Inc. 270,209 11,317 +Stillwater Mining Company 58,169 ---------- 730,166 - ---------------------------------------------------------------------------------------------------------------------- Milling--Fruit & 10,689 Corn Products International, Inc. 320,991 Grain Processing--0.2% - ---------------------------------------------------------------------------------------------------------------------- Miscellaneous--0.0% 300 +Enstar Group Inc. 11,895 - ---------------------------------------------------------------------------------------------------------------------- Miscellaneous Commercial 7,900 +Concur Technologies, Inc. 79,553 Services--0.2% 6,700 +DigitalThink, Inc. 21,909 5,300 Gevity HR, Inc. 62,646 3,800 +Portfolio Recovery Associates, Inc. 119,358 4,700 +SM&A 53,110 9,400 +Saflink Corporation 59,596 5,500 +The Source Information Management Company 41,745 ---------- 437,917 - ---------------------------------------------------------------------------------------------------------------------- Miscellaneous 2,100 BHA Group Holdings, Inc. 41,916 Manufacturing--0.1% 400 +Gundle/SLT Environmental, Inc. 5,448 2,900 Raven Industries Inc. 58,203 900 United Capital Corp. 31,320 ---------- 136,887 - ---------------------------------------------------------------------------------------------------------------------- Miscellaneous Materials 2,800 +Lydall, Inc. 29,960 & Commodities--0.2% 6,879 +Symyx Technologies 112,265 5,689 WD-40 Company 162,421 ---------- 304,646 - ---------------------------------------------------------------------------------------------------------------------- Miscellaneous Materials 7,838 +Insituform Technologies, Inc. (Class A) 138,576 & Processing--0.2% 4,555 +Rogers Corporation 151,682 22,859 USEC Inc. 160,470 ---------- 450,728 - ---------------------------------------------------------------------------------------------------------------------- Multi-Sector Companies--0.4% 9,500 +FMC Corporation 214,985 9,271 GenCorp Inc. 82,419 24,450 +Jacuzzi Brands, Inc. 129,341 6,494 Kaman Corp. (Class A) 75,915 1,065 +Sequa Corporation (Class A) 36,530 10,050 Trinity Industries, Inc. 186,026 7,402 Walter Industries, Inc. 86,974 ---------- 812,190 - ---------------------------------------------------------------------------------------------------------------------- Office Furniture & 900 +General Binding Corporation 10,800 Business Equipment--0.2% 4,624 +Imagistics International Inc. 119,299 7,974 Kimball International (Class B) 124,394 11,340 +Presstek, Inc. 70,648 ---------- 325,141 - ---------------------------------------------------------------------------------------------------------------------- Offshore Drilling--0.0% 2,327 +Atwood Oceanics, Inc. 63,178 - ---------------------------------------------------------------------------------------------------------------------- Oil & Gas Production--0.1% 1,900 +Clayton Williams Energy, Inc. 35,112 7,600 +KCS Energy, Inc. 40,964 2,500 +McMoRan Exploration Co. 27,850 500 +PetroCorp Incorporated 5,575 ---------- 109,501 - ----------------------------------------------------------------------------------------------------------------------
44 & 45 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Oil--Crude Producers--2.2% 3,701 Berry Petroleum Company (Class A) $ 66,433 7,974 Cabot Oil & Gas Corporation (Class A) 220,162 11,300 +Cimarex Energy Co. 268,375 10,057 +Comstock Resources, Inc. 137,580 11,770 +Denbury Resources Inc. 158,071 1,500 +Encore Acquisition Company 28,725 6,200 +Energy Partners, Ltd. 71,610 5,296 +Evergreen Resources, Inc. 287,626 12,800 +Forest Oil Corporation 321,536 8,715 Frontier Oil Corporation 132,468 47,443 +Grey Wolf, Inc. 191,670 7,700 +Harvest Natural Resources, Inc. 49,049 3,383 +The Houston Exploration Company 117,390 19,872 +Magnum Hunter Resources, Inc. 158,777 13,311 +The Meridian Resource Corporation 62,961 6,411 +Nuevo Energy Company 111,872 9,157 Patina Oil & Gas Corporation 294,398 10,487 +Plains Exploration & Production Company 113,364 6,850 +Plains Resources Inc. 96,928 2,743 +Prima Energy Corporation 57,274 2,810 +Quicksilver Resources Inc. 67,300 12,637 +Range Resources Corporation 79,234 6,920 +Remington Oil & Gas Corporation 127,190 4,349 Resource America, Inc. (Class A) 45,012 6,787 +Spinnaker Exploration Company 177,819 8,926 St. Mary Land & Exploration Company 243,680 6,578 +Stone Energy Corporation 275,750 7,917 +Swift Energy Company 87,087 10,115 +Tom Brown, Inc. 281,096 10,808 +Unit Corporation 225,995 14,583 Vintage Petroleum, Inc. 164,496 ---------- 4,720,928 - ---------------------------------------------------------------------------------------------------------------------- Other Consumer 10,100 +autobytel.com inc. 60,297 Services--0.1% 200 +Ambassadors International, Inc. 2,400 500 +Bankrate, Inc. 6,060 15,100 +E-LOAN, Inc. 83,654 ---------- 152,411 - ---------------------------------------------------------------------------------------------------------------------- Packaged Software--0.0% 600 +Ansoft Corporation 6,330 700 +Convera Corporation 2,744 1,900 +Group 1 Software, Inc. 34,827 700 +Mobius Management Solutions 5,292 7,400 +Puma Technology, Inc. 25,160 ---------- 74,353 - ---------------------------------------------------------------------------------------------------------------------- Paints & Coatings--0.2% 10,476 Ferro Corporation 236,024 8,340 H.B. Fuller Company 183,647 ---------- 419,671 - ---------------------------------------------------------------------------------------------------------------------- Paper--0.3% 7,026 Albany International Corp. (Class A) 192,512 6,998 +Buckeye Technologies Inc. 47,586 8,874 +Caraustar Industries, Inc. 71,081 4,092 Chesapeake Corporation 89,410 6,901 P.H. Glatfelter Company 101,790 5,880 Rock-Tenn Company (Class A) 99,666 10,942 Wausau--Mosinee Paper Corporation 122,550 ---------- 724,595 - ---------------------------------------------------------------------------------------------------------------------- Personnel Services--0.0% 2,800 +Hudson Highland Group Inc. 52,864 - ---------------------------------------------------------------------------------------------------------------------- Pharmaceuticals-- 4,400 +Able Laboratories, Inc. 86,680 Generic--0.0% - ---------------------------------------------------------------------------------------------------------------------- Pharmaceuticals--Other-- 3,700 +CollaGenex Pharmaceuticals, Inc. 49,062 0.2% 1,600 +Hi-Tech Pharmacal Co., Inc. 65,440 3,000 +Hollis-Eden Pharmaceuticals, Inc. 37,890 7,300 +Inspire Pharmaceuticals, Inc. 78,913 7,900 +Inveresk Research Group, Inc. 141,410 ---------- 372,715 - ---------------------------------------------------------------------------------------------------------------------- Photography--0.1% 3,698 CPI Corp. 65,270 9,274 +Concord Camera Corp. 65,753 ---------- 131,023 - ---------------------------------------------------------------------------------------------------------------------- Plastics--0.1% 5,147 Brady Corporation 171,652 5,854 Spartech Corporation 124,163 ---------- 295,815 - ---------------------------------------------------------------------------------------------------------------------- Pollution Control & 8,846 +Headwaters Incorporated 129,948 Environmental Services--0.1% 5,867 +Ionics, Inc. 131,245 2,500 +TRC Companies, Inc. 36,900 ---------- 298,093 - ---------------------------------------------------------------------------------------------------------------------- Power Transmission 6,951 Regal-Beloit Corporation 132,764 Equipment--0.1% 2,611 Woodhead Industries, Inc. 32,690 ---------- 165,454 - ---------------------------------------------------------------------------------------------------------------------- Precious Metals--0.0% 54,600 +Coeur d'Alene Mines Corporation 75,894 - ---------------------------------------------------------------------------------------------------------------------- Printing & Copying 9,982 Bowne & Co., Inc. 130,065 Services--0.1% 8,960 +Mail-Well, Inc. 22,579 2,200 Schawk, Inc. 23,056 ---------- 175,700 - ----------------------------------------------------------------------------------------------------------------------
46 & 47 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Production Technology 7,757 +ATMI, Inc. $ 193,692 Equipment--1.5% 29,100 +Axcelis Technologies, Inc. 178,092 12,088 +Brooks Automation, Inc. 137,078 10,056 +Cognex Corporation 224,752 20,268 +Credence Systems Corporation 171,670 10,700 +Cymer, Inc. 343,149 5,531 +Dionex Corporation 219,857 4,308 +DuPont Photomasks, Inc. 81,120 8,561 +Electro Scientific Industries, Inc. 129,785 14,300 +Entegris Inc. 192,192 5,190 +Esterline Technologies Corporation 90,358 6,355 +FEI Company 119,220 14,656 +Kulicke and Soffa Industries 93,652 14,603 +LTX Corporation 125,878 7,500 MTS Systems Corporation 110,550 6,099 +Mattson Technology, Inc. 18,846 11,000 +Mykrolis Corporation 111,650 4,762 +Photon Dynamics, Inc. 131,574 7,979 +Photronics, Inc. 139,234 4,173 +Rudolph Technologies, Inc. 66,601 6,790 +Ultratech Stepper, Inc. 125,547 8,842 +Varian Semiconductor Equipment Associates, Inc. 263,138 ---------- 3,267,635 - ---------------------------------------------------------------------------------------------------------------------- Property/Casualty 3,500 Infinity Property & Casualty Corporation 82,600 Insurance--0.1% 4,700 Penn-America Group, Inc. 52,875 1,300 Safety Insurance Group Inc. 19,123 ---------- 154,598 - ---------------------------------------------------------------------------------------------------------------------- Publishing-- 4,281 Advanced Marketing Services, Inc. 55,653 Miscellaneous--0.3% 7,594 Banta Corporation 245,818 2,500 +Consolidated Graphics, Inc. 57,200 800 Courier Corporation 41,200 4,818 +Information Holdings Inc. 87,929 5,182 +Martha Stewart Living Omnimedia, Inc. (Class A) 48,659 39,600 +PRIMEDIA Inc. 120,780 3,707 +Playboy Enterprises, Inc. 50,415 1,400 +Thomas Nelson, Inc. 17,500 ---------- 725,154 - ---------------------------------------------------------------------------------------------------------------------- Publishing--Newspapers-- 11,129 Hollinger International Inc. 119,859 0.2% 7,933 +Journal Register Co. 143,508 1,855 Pulitzer Inc. 91,674 ---------- 355,041 - ---------------------------------------------------------------------------------------------------------------------- Radio & TV Broadcasters-- 1,200 +Acme Communications, Inc. 9,120 0.7% 2,733 +Beasley Broadcast Group, Inc. (Class A) 37,387 11,700 +Cumulus Media Inc. (Class A) 219,609 12,200 +Emmis Communications Corporation (Class A) 282,186 1,100 +Fisher Communications, Inc. 53,801 4,454 The Liberty Corporation 189,295 7,000 +Lin TV Corp. (Class A) 164,850 8,968 +Paxson Communications Corporation 53,718 7,771 +Regent Communications, Inc. 45,849 3,433 +Saga Communications, Inc. (Class A) 66,772 2,583 +Salem Communications Corporation (Class A) 51,688 6,300 +Shop At Home, Inc. 18,207 12,464 +Sinclair Broadcast Group, Inc. (Class A) 144,707 11,184 +Spanish Broadcasting System, Inc. (Class A) 91,150 2,568 World Wrestling Federation Entertainment, Inc. 26,425 4,408 +Young Broadcasting Inc. (Class A) 93,141 ---------- 1,547,905 - ---------------------------------------------------------------------------------------------------------------------- Railroad Equipment--0.1% 8,539 Wabtec Corporation 118,777 - ---------------------------------------------------------------------------------------------------------------------- Railroads--0.2% 5,181 Florida East Coast Industries, Inc. 132,375 2,600 +Genesee & Wyoming Inc. (Class A) 53,482 19,176 +Kansas City Southern Industries, Inc. 230,687 7,802 +RailAmerica, Inc. 65,927 ---------- 482,471 - ---------------------------------------------------------------------------------------------------------------------- Real Estate--0.2% 1,300 +Avatar Holdings Inc. 39,260 7,972 +Insignia Financial Group, Inc. 88,569 9,208 +Jones Lang Lasalle Inc. 145,486 1,315 +Tejon Ranch Co. 39,582 6,978 +Trammell Crow Company 74,037 5,800 +WCI Communities, Inc. 111,534 ---------- 498,468 - ---------------------------------------------------------------------------------------------------------------------- Real Estate Development-- 2,100 Consolidated-Tomoka Land Company 52,752 0.0% 900 +Reading International, Inc. (Class A) 4,995 ---------- 57,747 - ---------------------------------------------------------------------------------------------------------------------- Real Estate Investment 6,601 Acadia Realty Trust 60,399 Trusts--5.8% 367 +Alexander's, Inc. 30,641 5,356 Alexandria Real Estate Equities, Inc. 241,020 2,800 American Land Lease, Inc. 47,040 3,600 American Mortgage Acceptance Corp. 62,496 4,540 Amli Residential Properties Trust 106,917 13,300 Anthracite Capital, Inc. 160,398 10,900 Anworth Mortgage Asset Corporation 168,078 12,800 Apex Mortgage Capital, Inc. 70,016 4,700 Associated Estates Realty Corporation 30,879
48 & 49 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Real Estate Investment Trusts 3,899 Bedford Property Investors, Inc. 110,732 (concluded) 7,832 Boykin Lodging Company 61,090 6,847 Brandywine Realty Trust 168,573 8,050 Capital Automotive 225,320 4,677 Capstead Mortgage Corporation 52,710 6,908 Chateau Communities, Inc. 204,408 5,306 Colonial Properties Trust 186,718 10,675 Commercial Net Lease Realty 184,037 16,103 Cornerstone Realty Income Trust, Inc. 117,713 8,600 Corporate Office Properties Trust 145,598 3,000 Correctional Properties Trust 84,000 4,900 +Crimi Mae Inc. 53,655 9,900 Crown American Realty Trust 106,326 5,327 EastGroup Properties, Inc. 143,829 5,080 Entertainment Properties Trust 146,050 11,940 Equity Inns Inc. 82,386 7,000 Equity One, Inc. 114,800 4,895 Essex Property Trust, Inc. 280,239 16,970 FelCor Lodging Trust Inc. 133,215 12,300 First Industrial Realty Trust, Inc. 388,680 7,282 Gables Residential Trust 220,135 3,700 Getty Realty Corporation 82,584 4,739 Glenborough Realty Trust Incorporated 90,752 9,856 Glimcher Realty Trust 220,774 3,927 Great Lakes REIT, Inc. 62,832 11,669 Health Care REIT, Inc. 355,905 4,600 Heritage Property Investment Trust 124,568 14,800 Highwoods Properties, Inc. 330,040 8,820 Home Properties of New York, Inc. 310,817 13,700 Impac Mortgage Holdings, Inc. 228,653 7,492 Innkeepers USA Trust 50,946 8,400 Investors Real Estate Trust 90,636 4,204 Keystone Property Trust 77,816 6,978 Kilroy Realty Corporation 191,895 5,848 Koger Equity, Inc. 100,761 5,300 Kramont Realty Trust 87,450 3,600 LTC Properties 34,380 38,800 +La Quinta Corporation 167,228 3,520 LaSalle Hotel Properties 52,026 8,942 Lexington Corporate Properties Trust 158,273 14,500 MFA Mortgage Investments, Inc. 145,580 4,094 Manufactured Home Communities, Inc. 143,740 15,258 Meristar Hospitality Corp. 78,426 3,929 Mid-America Apartment Communities, Inc. 106,122 6,400 Mid-Atlantic Realty Trust 134,016 4,200 Mission West Properties Inc. 47,754 7,829 National Health Investors, Inc. 144,367 1,800 National Health Realty, Inc. 28,782 15,959 Nationwide Health Properties, Inc. 254,227 7,200 Newcastle Investment Corporation 140,976 3,300 Novastar Financial, Inc. 197,175 2,200 +OMEGA Healthcare Investors, Inc. 11,550 3,208 PS Business Parks, Inc. 113,242 2,204 Parkway Properties, Inc. 92,678 5,079 Pennsylvania Real Estate Investment Trust 152,116 10,186 Post Properties, Inc. 269,929 9,950 Prentiss Properties Trust 298,401 6,000 +Price Legacy Corporation 22,500 5,800 RAIT Investment Trust 153,700 9,020 RFS Hotel Investors, Inc. 111,126 2,200 Ramco-Gershenson Properties Trust 51,260 13,800 Reckson Associates Realty Corporation 287,868 4,295 Redwood Trust, Inc. 171,413 8,032 SL Green Realty Corp. 280,236 2,422 Saul Centers, Inc. 62,003 11,814 Senior Housing Properties Trust 160,198 5,600 Sizeler Property Investors, Inc. 57,400 3,804 Sovran Self Storage, Inc. 119,826 6,319 Summit Properties Inc. 130,487 4,043 Sun Communities, Inc. 158,890 1,861 Tanger Factory Outlet Centers, Inc. 61,562 200 +Tarragon Realty Investors Inc. 2,910 14,108 Taubman Centers, Inc. 270,309 3,863 Town & Country Trust 89,815 5,700 U.S. Restaurant Properties, Inc. 89,490 300 United Mobile Homes, Inc. 4,548 2,427 Universal Health Realty Income Trust 65,529 5,500 Urstadt Biddle Properties (Class A) 70,730 23,205 Ventas, Inc. 351,556 9,965 Washington Real Estate Investment Trust 271,048 4,955 Winston Hotels, Inc. 40,482 ----------- 12,450,401 - ---------------------------------------------------------------------------------------------------------------------- Recreational Vehicles & 5,643 Arctic Cat Inc. 108,120 Boats--0.3% 2,907 Coachmen Industries, Inc. 34,739 11,699 +Fleetwood Enterprises, Inc. 86,573 500 Marine Products Corp. 5,425 7,524 +Monaco Coach Corporation 115,343 5,242 Thor Industries, Inc. 213,978 3,495 Winnebago Industries, Inc. 132,461 ----------- 696,639 - ----------------------------------------------------------------------------------------------------------------------
50 & 51 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Regional Banks--0.5% 1,500 +Americanwest Bancorporation $ 24,570 500 BancTrust Financial Group, Inc. 8,030 1,500 C & F Financial Corp. 58,500 2,300 +Capital Corporation of the West 57,730 3,800 Center Bancorp, Inc. 57,456 700 +Columbia Bancorp Oregon 9,331 300 Commercial Bankshares, Inc. 8,889 2,700 +Commercial Capital Bancorp, Inc. 41,823 500 Eastern Virginia Bankshares, Inc. 11,475 2,300 FNB Corp. 56,580 300 First Bell Bancorp, Inc. 7,578 2,100 First Citizens Banc Corp. 54,495 400 First M&F Corporation 13,084 900 First United Corporation 18,900 2,300 Firstbank Corporation Michigan 69,667 200 Foothill Independent Bancorp 3,726 200 Greater Community Bancorp 3,044 5,200 Heritage Commerce Corp. 62,660 600 Heritage Financial Corporation 12,966 300 IBT Bancorp Inc. 14,997 400 LNB Bancorp Inc. 8,552 3,500 MBT Financial Corp. 61,215 2,200 Mercantile Bank Corporation 62,810 100 Northern States Financial Corporation 2,871 1,800 +Oak Hill Financial Inc. 45,072 400 PAB Bankshares, Inc. 5,196 1,400 Penns Woods Bancorp Inc. 59,066 1,500 Resource Bankshares Corporation 51,000 700 Security Bank Corporation 24,241 3,700 Southside Bancshares Inc 65,786 500 State Financial Services (Class A) 10,975 100 Taylor Capital Group Inc. 2,085 100 United Securities Bancshares California 2,174 500 United Securities Bancshares Inc. 22,580 2,100 Wayne Bancorp Inc. 64,029 3,500 West Bancorporation Inc. 62,615 ---------- 1,145,768 - ---------------------------------------------------------------------------------------------------------------------- Rental & Leasing Services-- 3,353 +Electro Rent Corporation 36,145 Commercial--0.2% 11,200 GATX Corporation 183,120 1,683 Interpool, Inc. 27,635 1,905 McGrath Rentcorp 50,940 14,500 +United Rentals, Inc. 201,405 ---------- 499,245 - ---------------------------------------------------------------------------------------------------------------------- Rental & Leasing Services-- 4,708 Aaron Rents, Inc. 121,466 Consumer--0.1% 6,795 +Dollar Thrifty Automotive Group, Inc. 126,047 6,178 +Rent-Way, Inc. 28,728 4,058 +WESCO International, Inc. 24,348 ---------- 300,589 - ---------------------------------------------------------------------------------------------------------------------- Restaurants--1.6% 3,900 +AFC Enterprises, Inc. 63,336 10,480 Bob Evans Farms, Inc. 289,562 5,900 +California Pizza Kitchen, Inc. 126,850 6,300 +CEC Entertainment Inc. 232,659 12,300 +CKE Restaurants, Inc. 68,757 4,200 +Chicago Pizza & Brewery, Inc. 42,000 2,000 +Dave & Buster's, Inc. 21,800 5,248 IHOP Corp. 165,679 10,018 +Jack in the Box Inc. 223,401 6,396 Landry's Restaurants, Inc. 150,946 5,554 Lone Star Steakhouse & Saloon, Inc. 120,911 6,984 +O'Charley's Inc. 150,366 7,508 +P.F. Chang's China Bistro, Inc. 369,469 7,700 +Panera Bread Company (Class A) 308,000 4,148 +Papa John's International, Inc. 116,351 6,518 +RARE Hospitality International, Inc. 213,008 3,600 +Red Robin Gourmet Burgers 68,256 12,900 +Ryan's Family Steak Houses, Inc. 180,600 11,476 +Sonic Corp. 291,835 5,128 +The Steak 'n Shake Company 78,202 3,825 +Triarc Companies, Inc. 114,712 ---------- 3,396,700 - ---------------------------------------------------------------------------------------------------------------------- Retail--4.7% 1,600 +1-800-CONTACTS, INC. 39,168 3,824 +1-800-FLOWERS.COM, Inc. 31,510 3,700 +A.C. Moore Arts & Crafts, Inc. 74,111 5,000 +Aeropostale, Inc. 107,400 14,600 +American Eagle Outfitters, Inc. 269,662 12,441 +AnnTaylor Stores Corporation 360,167 2,300 +Asbury Automotive Group Inc. 31,004 21,400 +BJ's Wholesale Club, Inc. 322,284 1,740 +bebe stores, inc. 33,286 1,600 Blair Corporation 35,520 3,400 +Brookstone, Inc. 68,850 5,279 Brown Shoe Company, Inc. 157,314 1,249 +The Buckle, Inc. 24,018 5,392 Burlington Coat Factory Warehouse Corporation 96,517 8,534 +CSK Auto Corporation 123,316 4,897 The Cato Corporation (Class A) 103,229 4,700 +Central Garden & Pet Company 112,095 3,400 +Charlotte Russe Holding Inc. 35,088 33,040 +Charming Shoppes, Inc. 164,209
52 & 53 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Retail 4,485 +The Children's Place Retail Stores, Inc. $ 89,072 (concluded) 6,952 +Christopher & Banks Corporation 257,154 1,347 +Coldwater Creek Inc. 16,609 4,700 +Cole National Corporation (Class A) 58,844 6,276 +Cost Plus, Inc. 223,802 500 Deb Shops, Inc. 9,400 16,700 Dillard's, Inc. (Class A) 224,949 5,645 +The Dress Barn, Inc. 71,522 9,400 +Drugstore.com, Inc. 54,896 4,531 +Electronics Boutique Holdings Corp. 104,711 800 +Finlay Enterprises, Inc. 13,240 5,636 +Footstar, Inc. 73,268 8,090 Fred's, Inc. 300,786 11,769 +FreeMarkets, Inc. 81,912 4,600 +GSI Commerce, Inc. 30,728 2,000 +Galyan's Trading Company 28,680 7,100 +GameStop Corporation 91,732 2,800 +Gart Sports Company 79,408 6,438 +Genesco Inc. 113,953 3,300 +GenesisIntermedia, Inc. -- 5,300 +Global Imaging Systems, Inc. 122,748 7,100 Goody's Family Clothing, Inc. 61,415 4,832 +Group 1 Automotive, Inc. 156,605 4,639 +Guitar Center, Inc. 134,531 8,658 +The Gymboree Corporation 145,281 5,400 Hancock Fabrics, Inc. 87,210 7,261 +Handleman Company 116,176 2,800 +Hibbett Sporting Goods, Inc. 92,232 9,254 +Hot Topic, Inc. 249,025 15,298 +Insight Enterprises, Inc. 153,898 6,779 +InterTAN, Inc. 55,588 5,662 +J. Jill Group Inc. 95,348 4,500 +Jo-Ann Stores Inc. 113,850 1,447 Lawson Products, Inc. 39,849 12,218 +Linens 'n Things, Inc. 288,467 2,700 Lithia Motors, Inc. 43,659 1,000 +MarineMax, Inc. 14,000 10,261 +The Men's Wearhouse, Inc. 224,203 1,700 +Mothers Work, Inc. 45,509 34,100 +OfficeMax, Inc. 223,355 1,900 +Overstock.com, Inc. 27,569 1,059 +PC Connection, Inc. 7,201 9,700 +PETCO Animal Supplies, Inc. 211,460 13,952 +Pacific Sunwear of California, Inc. 336,104 2,800 +Party City Corporation 28,756 20,100 +Payless ShoeSource, Inc. 251,250 6,516 +Priceline.com Incorporated 145,893 5,700 +Restoration Hardware, Inc. 25,650 2,847 Russ Berrie and Company, Inc. 103,944 5,554 +School Specialty, Inc. 158,067 2,600 +Sharper Image Corporation 70,902 8,898 +ShopKo Stores, Inc. 115,674 7,700 +Sonic Automotive, Inc. 168,707 9,800 +The Sports Authority, Inc. 104,860 4,300 +Stage Stores, Inc. 101,050 10,807 +Stamps.com Inc. 51,874 5,524 +Stein Mart, Inc. 33,089 9,566 +Too Inc. 193,712 4,300 +Tractor Supply Company 205,325 5,030 +Trans World Entertainment Corporation 25,754 3,290 +Tuesday Morning Corporation 86,527 6,430 +Tweeter Home Entertainment Group, Inc. 55,812 4,219 +Ultimate Electronics, Inc. 54,088 4,031 +United Auto Group, Inc. 87,795 6,190 +United Natural Foods, Inc. 174,187 3,200 +Urban Outfitters, Inc. 114,880 5,856 +ValueVision International, Inc. (Class A) 79,817 6,575 +The Wet Seal, Inc. (Class A) 70,221 3,200 +Whitehall Jewellers, Inc. 29,024 5,099 +Wilsons The Leather Experts Inc. 36,764 8,900 +Zale Corporation 356,000 ----------- 10,088,319 - ---------------------------------------------------------------------------------------------------------------------- Savings & Loans--3.0% 6,437 Anchor Bancorp, Inc. 153,780 3,241 BSB Bancorp, Inc. 80,442 2,400 Bank Mutual Corporation 78,000 13,442 BankAtlantic Bancorp, Inc. (Class A) 159,825 9,573 +BankUnited Financial Corporation (Class A) 192,896 18,814 +Bay View Capital Corporation 108,745 2,400 Berkshire Hills Bancorp, Inc. 68,160 18,587 Brookline Bancorp, Inc. 260,218 2,800 CFS Bancorp, Inc. 39,480 500 Charter Financial Corporation 14,125 1,700 Citizens First Bancorp, Inc. 37,128 1,132 Coastal Bancorp, Inc. 32,171 2,830 Coastal Financial Corporation 36,337 13,627 Commercial Federal Corporation 288,892 3,800 Connecticut Bancshares, Inc. 149,150 6,866 Dime Community Bancshares 174,740 3,948 Fidelity Bankshares, Inc. 88,040 1,500 First Defiance Financial Corp. 29,760
54 & 55 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Savings & Loans 5,012 First Federal Capital Corp. $ 99,488 (concluded) 4,026 First Financial Holdings, Inc. 108,863 3,388 First Indiana Corporation 58,003 22,518 First Niagara Financial Group, Inc. 314,351 2,800 First Place Financial Corp. 48,496 3,100 First Republic Bank 82,460 5,667 First Sentinel Bancorp Inc. 90,502 1,500 FirstFed America Bancorp, Inc. 51,750 4,900 +FirstFed Financial Corp. 172,921 9,550 Flagstar Bancorp, Inc. 233,498 3,850 Flushing Financial Corporation 85,355 1,539 Great Southern Bancorp, Inc. 59,313 6,817 Harbor Florida Bancshares, Inc. 163,335 1,600 +Hawthorne Financial Corporation 55,456 3,700 Hudson River Bancorp, Inc. 103,304 2,400 IBERIABANK Corporation 117,120 1,400 +ITLA Capital Corporation 56,602 6,630 +Local Financial Corp. 95,737 6,269 MAF Bancorp, Inc. 232,392 300 NASB Financial Inc. 8,337 15,411 Net.B@nk, Inc. 202,809 2,667 Northwest Bancorp, Inc. 42,672 2,796 OceanFirst Financial Corp. 68,306 7,965 +Ocwen Financial Corporation 36,161 3,244 PFF Bancorp, Inc. 125,381 1,200 Parkvale Financial Corporation 29,496 800 Partners Trust Financial Group, Inc. 15,264 1,900 PennFed Financial Services, Inc. 52,725 1,899 Port Financial Corp. 102,318 900 Provident Bancorp, Inc. 28,890 1,500 +Quaker City Bancorp, Inc. 61,575 8,302 Seacoast Financial Services Corporation 164,380 2,900 St. Francis Capital Corporation 84,303 15,384 Staten Island Bancorp, Inc. 299,680 3,940 +Sterling Financial Corporation 95,978 2,700 Superior Financial Corp. 64,800 8,973 United Community Financial Corp. 82,911 14,777 W Holding Company, Inc. 250,027 1,600 Warwick Community Bancorp, Inc. 46,800 8,600 Waypoint Financial Corp. 155,144 2,836 Westcorp 79,408 400 Westfield Financial, Inc. 7,524 4,600 Willow Grove Bankcorp, Inc. 78,200 ---------- 6,403,924 - ---------------------------------------------------------------------------------------------------------------------- Savings Banks--0.4% 2,600 Camco Financial Corporation 40,378 300 Cavalry Bancorp, Inc. 5,094 4,300 Citizens South Banking Corporation 56,932 600 ESB Financial Corporation 8,100 300 EverTrust Financial Group Inc. 7,017 400 FFLC Bancorp, Inc. 10,388 400 FLAG Financial Corporation 5,484 400 FMS Financial Corporation 6,508 300 First Federal Financial Corporation of Kentucky 9,741 1,000 FloridaFirst Bancorp, Inc. 23,970 2,100 GA Financial, Inc. 52,815 400 GB&T Bancshares Inc. 9,828 4,600 Horizon Financial Corp. 72,818 3,100 Klamath First Bancorp, Inc. 53,072 2,300 MutualFirst Financial Inc. 53,544 700 Patriot Bank Corp. 12,593 300 Provident Financial Holdings 8,802 15,200 Provident Financial Services, Inc. 289,560 2,300 Sound Federal Bancorp Inc. 31,487 900 Southern Financial Bancorp 27,531 7,800 +TierOne Corporation 152,490 ---------- 938,152 - ---------------------------------------------------------------------------------------------------------------------- Scientific Equipment 11,235 +Newport Corporation 166,278 & Suppliers--0.2% 9,235 +Varian Inc. 320,177 ---------- 486,455 - ---------------------------------------------------------------------------------------------------------------------- Securities Brokerage & 12,145 Charter Municipal Mortgage Acceptance Company 230,876 Services--0.4% 14,700 +Investment Technology Group, Inc. 273,420 23,500 +Knight Trading Group, Inc. 146,170 5,361 +NCO Group, Inc. 96,016 4,104 SWS Group, Inc. 82,696 6,329 +SoundView Technology Group, Inc. 64,047 ---------- 893,225 - ---------------------------------------------------------------------------------------------------------------------- Semiconductors--0.0% 1,200 +Diodes Inc. 23,136 2,800 +ParthusCeva, Inc. 22,904 ---------- 46,040 - ---------------------------------------------------------------------------------------------------------------------- Services--Commercial--3.2% 2,863 +4Kids Entertainment, Inc. 53,252 11,170 ABM Industries, Inc. 172,018 4,100 +AMN Healthcare Services, Inc. 52,070 7,538 +APAC Customer Services Inc. 19,222 6,661 +Administaff, Inc. 68,608 3,400 +The Advisory Board Company 137,768 500 +Ambassadors Group, Inc. 6,985 1,800 Angelica Corporation 30,510
56 & 57 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Services--Commercial 14,700 The Brink's Company $ 214,179 (concluded) 3,701 +CDI Corp. 96,078 3,778 +Casella Waste Systems, Inc. 34,115 5,085 Central Parking Corporation 62,851 18,933 +Century Business Services, Inc. 61,532 2,800 +Charles River Associates Incorporated 79,156 5,600 +Clark, Inc. 66,920 6,692 +Coinstar, Inc. 126,211 19,300 +Copart, Inc. 184,894 4,600 +Cornell Companies, Inc. 69,644 9,594 +Corrections Corporation of America 243,016 3,550 +CoStar Group Inc. 106,003 6,900 +Cross Country Healthcare, Inc. 91,011 10,500 +Exult Inc. 89,985 12,941 +FTI Consulting, Inc. 323,137 4,674 +First Consulting Group, Inc. 21,828 4,081 +Forrester Research, Inc. 66,765 5,577 G & K Services, Inc. (Class A) 165,079 14,400 +Harris Interactive Inc. 94,896 6,058 +Heidrick & Struggles International, Inc. 76,452 1,600 +ICT Group, Inc. 16,736 2,565 +Insurance Auto Auctions, Inc. 32,216 4,968 Kelly Services, Inc. (Class A) 116,500 9,368 +Korn/Ferry International 75,881 11,400 +Kroll Inc. 308,484 11,922 +Labor Ready, Inc. 85,481 9,691 +Lightbridge, Inc. 84,893 4,404 +MAXIMUS, Inc. 121,683 25,305 +MPS Group, Inc. 174,098 5,200 +Medical Staffing Network Holdings, Inc. 36,400 2,254 +MemberWorks Incorporated 44,517 7,592 +Metro One Telecommunications, Inc. 39,175 5,342 +Midas Group, Inc. 64,745 2,600 +Monro Muffler Brake, Inc. 73,476 13,623 +Navigant Consulting, Inc. 161,433 5,111 +Navigant International, Inc. 65,932 1,417 +NetRatings, Inc. 12,951 18,153 +Overture Services, Inc. 329,114 2,421 +PDI, Inc. 24,597 8,239 +Pegasus Systems, Inc. 133,884 14,210 The Pep Boys--Manny, Moe & Jack 191,977 4,648 +Pre-Paid Legal Services, Inc. 114,015 9,600 +Raindance Communications, Inc. 23,904 6,516 +Resources Connection, Inc. 155,472 4,815 +Right Management Consultants, Inc. 60,910 6,168 Rollins, Inc. 116,267 2,886 Roto-Rooter, Inc. 110,072 17,529 +Spherion Corporation 121,827 2,540 +StarTek, Inc. 66,802 13,089 +TeleTech Holdings, Inc. 55,366 14,831 +Tetra Tech, Inc. 254,055 1,600 UniFirst Corporation 35,040 1,559 +Volt Information Sciences, Inc. 21,280 2,700 +Wackenhut Corrections Corporation 37,017 8,412 +Waste Connections, Inc. 294,841 8,825 +Watson Wyatt & Company Holdings 204,564 6,813 +Wireless Facilities, Inc. 81,075 2,500 World Fuel Services Corporation 61,475 ---------- 6,822,340 - ---------------------------------------------------------------------------------------------------------------------- Services-- 2,500 +Impac Medical Systems Inc. 54,200 Health Industry--0.1% 1,500 +Quality Systems, Inc. 40,890 4,100 +VistaCare, Inc. (Class A) 99,630 3,400 +Vital Images Inc. 62,832 ---------- 257,552 - ---------------------------------------------------------------------------------------------------------------------- Shipping--0.3% 12,192 Alexander & Baldwin, Inc. 323,454 4,000 +GulfMark Offshore, Inc. 67,520 5,430 +Kirby Corporation 153,126 5,598 Overseas Shipholding Group, Inc. 123,212 ---------- 667,312 - ---------------------------------------------------------------------------------------------------------------------- Shoes--0.4% 6,033 +The Finish Line, Inc. 133,993 1,692 +Kenneth Cole Productions, Inc. (Class A) 32,977 3,548 K-Swiss Inc. (Class A) 122,477 5,000 +Maxwell Shoe Company Inc. (Class A) 72,000 1,200 +Shoe Carnival, Inc. 17,712 5,755 +Skechers U.S.A., Inc. (Class A) 42,587 2,912 +Steve Madden, Ltd. 63,598 11,335 The Stride Rite Corporation 112,897 7,183 +Vans, Inc. 64,503 11,772 Wolverine World Wide, Inc. 226,729 ---------- 889,473 - ---------------------------------------------------------------------------------------------------------------------- Specialty Stores--0.2% 2,100 +America's Car-Mart Inc. 38,178 2,700 +Big 5 Sporting Goods Corporation 34,155 4,300 +Blue Rhino Corporation 51,170 4,200 +Dick's Sporting Goods, Inc. 154,056 2,300 +Kirkland's, Inc. 37,950 ---------- 315,509 - ----------------------------------------------------------------------------------------------------------------------
58 & 59 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Specialty 5,200 D&E Communications, Inc. $ 59,072 Telecommunications--0.1% 400 +Hungarian Telephone and Cable Corp. 3,660 26,100 +McLeod USA Incorporated (Class A) 38,367 300 Warwick Valley Telephone Company 24,612 6,900 +WilTel Communications, Inc. 102,258 ---------- 227,969 - ---------------------------------------------------------------------------------------------------------------------- Steel--0.3% 31,927 +AK Steel Holding Corporation 115,576 21,800 Allegheny Technologies Incorporated 143,880 5,926 Carpenter Technology Corporation 92,446 2,423 Gibraltar Steel Corporation 49,623 1,800 Schnitzer Steel Industries, Inc. (Class A) 79,416 10,797 +Steel Dynamics, Inc. 147,919 ---------- 628,860 - ---------------------------------------------------------------------------------------------------------------------- Synthetic Fibers--0.1% 9,418 Wellman, Inc. 105,482 - ---------------------------------------------------------------------------------------------------------------------- Telecommunications--0.0% 300 +OmniSky Corporation -- - ---------------------------------------------------------------------------------------------------------------------- Telecommunications 8,184 +Allen Telecom Inc. 135,200 Equipment--0.8% 27,600 +Andrew Corporation 257,784 18,000 +Arris Group Inc. 89,280 3,885 +Audiovox Corporation (Class A) 43,473 7,069 Belden Inc. 112,326 9,334 +C-COR.net Corp. 45,736 2,700 +Comtech Telecommunications Corp. 76,113 98,700 +Corvis Corporation 143,115 5,300 +Ditech Communications Corporation 25,122 10,400 +InteliData Technologies Corporation 31,408 7,200 +InterVoice-Brite, Inc. 34,416 5,100 +MasTec, Inc. 29,376 11,010 +Plantronics, Inc. 238,587 19,477 +Powerwave Technologies, Inc. 122,121 43,534 +Proxim Corporation (Class A) 63,560 4,280 +SpectraLink Corporation 42,286 8,300 +SymmetriCom, Inc. 36,520 19,376 +Terayon Communication Systems, Inc. 52,896 3,841 +Tollgrade Communications, Inc. 71,635 14,300 +Westell Technologies, Inc. 118,404 ---------- 1,769,358 - ---------------------------------------------------------------------------------------------------------------------- Textile Products--0.1% 2,500 +DHB Capital Group Inc. 10,225 12,821 Interface, Inc. 59,489 13,672 +Unifi, Inc. 84,766 ---------- 154,480 - ---------------------------------------------------------------------------------------------------------------------- Textiles Apparel 800 +Cherokee Inc. 16,016 Manufacturers--0.5% 1,185 +Guess?, Inc. 7,110 7,882 Kellwood Co. 249,308 9,066 +Nautica Enterprises, Inc. 116,317 2,702 OshKosh B'Gosh, Inc. (Class A) 72,954 2,221 Oxford Industries, Inc. 92,216 7,354 Phillips-Van Heusen Corporation 100,235 16,050 +Quiksilver, Inc. 264,665 7,817 Russell Corporation 148,523 ---------- 1,067,344 - ---------------------------------------------------------------------------------------------------------------------- Tires & Rubber--0.3% 2,774 Bandag, Incorporated 103,387 18,100 Cooper Tire & Rubber Company 318,379 42,400 The Goodyear Tire & Rubber Company 222,600 ---------- 644,366 - ---------------------------------------------------------------------------------------------------------------------- Tobacco--0.4% 12,855 DIMON Incorporated 92,042 4,420 Schweitzer-Manduit International, Inc. 106,699 2,800 Standard Commercial Corporation 47,600 10,300 +Star Scientific, Inc. 34,711 7,856 Universal Corporation 332,309 7,438 Vector Group Ltd. 130,165 ---------- 743,526 - ---------------------------------------------------------------------------------------------------------------------- Toys--0.1% 8,561 +JAKKS Pacific, Inc. 113,776 - ---------------------------------------------------------------------------------------------------------------------- Transportation-- 2,300 Quixote Corporation 58,719 Miscellaneous--0.1% 5,581 +SCS Transportation, Inc. 70,488 1,700 +U.S. Xpress Enterprises, Inc. (Class A) 18,122 ---------- 147,329 - ---------------------------------------------------------------------------------------------------------------------- Truckers--0.8% 7,341 Arkansas Best Corporation 174,642 1,500 +Covenant Transport, Inc. (Class A) 25,500 3,188 +Forward Air Corporation 80,880 8,928 +Heartland Express, Inc. 198,648 6,750 +Knight Transportation, Inc. 168,075 4,704 +Landstar System, Inc. 295,646 4,300 +Old Dominion Freight Line, Inc. 91,977 1,000 +P.A.M. Transportation Services, Inc. 25,120 5,500 +Pacer International, Inc. 103,730 4,131 Roadway Express, Inc. 117,857 8,402 USF Corporation 226,602 9,663 +Yellow Corporation 223,698 ---------- 1,732,375 - ---------------------------------------------------------------------------------------------------------------------- Trucks/Construction/ 3,000 +A.S.V., Inc. 43,620 Farm Machinery--0.0% 500 +The Greenbrier Companies, Inc. 5,425 ---------- 49,045 - ---------------------------------------------------------------------------------------------------------------------- Utilities--Cable TV & 14,800 +Mediacom Communications Corporation 146,076 Radio--0.1% - ----------------------------------------------------------------------------------------------------------------------
60 & 61 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued) - ---------------------------------------------------------------------------------------------------------------------- Shares Industry++ Held Common Stocks Value ====================================================================================================================== Utilities--Electrical--1.8% 39,200 Allegheny Energy, Inc. $ 331,240 13,475 Avista Corporation 190,671 8,800 Black Hills Corporation 270,160 4,689 CH Energy Group, Inc. 211,005 38,100 CMS Energy Corporation 308,610 3,403 Central Vermont Public Service Corporation 66,529 14,267 Cleco Corporation 247,104 13,808 +El Paso Electric Company 170,253 7,668 Empire District Electric Company 166,779 12,100 IDAcorp Inc. 317,625 4,545 MGE Energy, Inc. 142,622 6,786 Otter Tail Company 183,086 11,519 PNM Resources Inc. 308,133 34,577 +Sierra Pacific Resources 205,387 4,000 UIL Holdings Corporation 162,200 8,383 UniSource Energy Corporation 157,600 19,800 Westar Energy, Inc. 321,354 ---------- 3,760,358 - ---------------------------------------------------------------------------------------------------------------------- Utilities-- 14,338 Atmos Energy Corporation 355,582 Gas Distributors--1.1% 3,222 Cascade Natural Gas Corporation 61,540 10,992 Energen Corporation 366,034 2,000 EnergySouth, Inc. 65,600 4,848 The Laclede Group, Inc. 129,926 7,974 New Jersey Resources Corporation 283,077 7,599 Northwest Natural Gas Company 207,073 5,083 NUI Corporation 78,888 8,387 SEMCO Energy, Inc. 48,812 3,266 South Jersey Industries, Inc. 120,352 16,955 +Southern Union Company 287,218 8,790 Southwest Gas Corporation 186,172 11,124 +Southwestern Energy Company 166,971 ---------- 2,357,245 - ---------------------------------------------------------------------------------------------------------------------- Utilities--Gas Pipelines-- 0.0% 5,131 +TransMontaigne Inc. 33,249 - ---------------------------------------------------------------------------------------------------------------------- Utilities--Miscellaneous-- 0.1% 49,500 Aquila, Inc. 127,710 - ---------------------------------------------------------------------------------------------------------------------- Utilities-- 5,521 +Boston Communications Group, Inc. 94,575 Telecommunications--0.9% 3,755 CT Communications, Inc. 40,366 1,526 +Centennial Communications Corp. 6,104 52,700 +Cincinnati Bell Inc. 353,090 6,933 +Commonwealth Telephone Enterprises, Inc. 304,844 11,339 +General Communication, Inc. (Class A) 98,196 3,592 +Golden Telecom, Inc. 80,604 3,399 Hickory Tech Corporation 38,069 4,300 +Intrado Inc. 67,897 4,321 North Pittsburgh Systems, Inc. 65,117 11,000 +PTEK Holdings, Inc. 53,350 13,104 +Price Communications Corporation 169,173 22,100 +RCN Corporation 43,758 600 Shenandoah Telecommunications Company 28,776 3,700 SureWest Communications 111,925 8,833 +TALK America Holdings, Inc. 96,368 13,700 +Time Warner Telecom Inc. (Class A) 87,269 4,300 +Triton PCS Holdings, Inc. (Class A) 21,715 16,600 +Western Wireless Corporation (Class A) 191,398 ---------- 1,952,594 - ---------------------------------------------------------------------------------------------------------------------- Utilities--Water--0.2% 3,685 American States Water Company 100,601 3,796 California Water Service Group 106,744 2,389 Connecticut Water Service, Inc. 61,039 2,287 Middlesex Water Company 56,352 558 SJW Corp. 47,570 4,395 Southwest Water Company 61,398 ---------- 433,704 - ---------------------------------------------------------------------------------------------------------------------- Wholesale Distributors--0.0% 100 Noland Company 3,555 - ---------------------------------------------------------------------------------------------------------------------- Wholesalers--0.2% 9,649 +United Stationers, Inc. 349,004 - ---------------------------------------------------------------------------------------------------------------------- Wireless 8 +CycleLogic, Inc. 2 Telecommunications--0.1% 3,500 +Dobson Communications Corporation (Class A) 18,445 3,900 +NII Holdings Inc. (Class B) 148,785 8,700 +SBA Communications Corporation 26,187 ---------- 193,419 - ---------------------------------------------------------------------------------------------------------------------- Total Common Stocks (Cost--$219,126,166)--97.8% 210,290,001 ====================================================================================================================== Rights & Warrants ====================================================================================================================== Biotechnology Research & 333 +Rigel Pharmaceuticals, Inc. (Rights) (c) 652 Production--0.0% - ---------------------------------------------------------------------------------------------------------------------- Telecommunication 53,600 XO Communications (Rights) 6 Services--0.0% - ---------------------------------------------------------------------------------------------------------------------- Telephone--0.0% 221 Focal Communications Corporation (Warrants) (a) 2 - ---------------------------------------------------------------------------------------------------------------------- Total Rights & Warrants (Cost--$0)--0.0% 660 ======================================================================================================================
62 & 63 Merrill Lynch Small Cap Index Fund, June 30, 2003 SCHEDULE OF INVESTMENTS (concluded) (in U.S. dollars)
Master Small Cap Index Series (concluded) - ---------------------------------------------------------------------------------------------------------------------- Beneficial Interest/ Shares Held Short-Term Securities Value - ---------------------------------------------------------------------------------------------------------------------- $14,733,669 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I * $ 14,733,669 $ 3,407,656 Merrill Lynch Liquidity Series, LLC Money Market Series (b)* 3,407,656 2,271,770 Merrill Lynch Premier Institutional Fund (b)* 2,271,770 - ---------------------------------------------------------------------------------------------------------------------- Total Short-Term Securities (Cost--$20,413,095)--9.5% 20,413,095 ====================================================================================================================== Total Investments (Cost--$239,539,261)--107.3% 230,703,756 Variation Margin on Financial Futures Contracts**--0.0% (60,321) Liabilities in Excess of Other Assets--(7.3%) (15,558,024) ------------ Net Assets--100.0% $215,085,411 ============ ======================================================================================================================
(a) Warrants entitle the Series to purchase a predetermined number of shares on 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. (b) Security purchased with the cash proceeds from securities loans. (c) The rights may be exercised until 7/25/2003. + Non-income producing security. ++ For Series 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 Series management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. * Investments in companies considered to be an affiliate of the Fund (such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the Investment Company Act of 1940) are as follows: -------------------------------------------------------------------------- Interest/ Net Dividend Affiliate Activity Income -------------------------------------------------------------------------- Merrill Lynch Liquidity Series, $11,816,609 $43,737 LLC Cash Sweep Series I Merrill Lynch Liquidity Series, $ 623,221 $13,625 LLC Money Market Series Merrill Lynch Premier Institutional Fund (197,445) $ 8,966 -------------------------------------------------------------------------- ** Financial futures contracts purchased as of June 30, 2003 were as follows: -------------------------------------------------------------------------- Number of Expiration Contracts Issue Date Value -------------------------------------------------------------------------- 27 Russell 2000 September 2003 $6,053,400 -------------------------------------------------------------------------- (Total Contract Price--$6,153,201) $6,053,400 ========== -------------------------------------------------------------------------- See Notes to Financial Statements. STATEMENT OF ASSETS AND LIABILITIES
MASTER SMALL CAP INDEX SERIES As of June 30, 2003 =========================================================================================================================== Assets: Investments, at value (including securities loaned of $5,315,916) (identified cost--$239,539,261) ................................. $ 230,703,756 Cash ............................................................ 1,317,160 Cash on deposit for financial futures contracts ................. 324,000 Receivables: Securities sold ............................................... $ 38,101,480 Contributions ................................................. 319,217 Dividends ..................................................... 234,088 Interest ...................................................... 14,947 Securities lending--net ....................................... 3,962 38,673,694 ------------- Prepaid expenses and other assets ............................... 40,267 ------------- Total assets .................................................... 271,058,877 ------------- =========================================================================================================================== Liabilities: Collateral on securities loaned, at value ....................... 5,679,426 Payables: Securities purchased .......................................... 47,826,133 Withdrawals ................................................... 2,404,725 Variation margin .............................................. 60,321 Investment adviser ............................................ 1,832 Other affiliates .............................................. 1,029 50,294,040 ------------- ------------- Total liabilities ............................................... 55,973,466 ------------- =========================================================================================================================== Net Assets: Net assets ...................................................... $ 215,085,411 ============= =========================================================================================================================== Net Assets Investors' capital .............................................. $ 224,020,717 Consist of: Unrealized depreciation on investments--net ..................... (8,935,306) ------------- Net assets ...................................................... $ 215,085,411 ============= ===========================================================================================================================
See Notes to Financial Statements. 64 & 65 Merrill Lynch Small Cap Index Fund, June 30, 2003 STATEMENT OF OPERATIONS
MASTER SMALL CAP INDEX SERIES For the Six Months Ended June 30, 2003 =========================================================================================================================== Investment Income: Dividends (net of $756 foreign withholding tax) ................. $ 1,032,313 Interest ........................................................ 43,832 Securities lending--net ......................................... 22,591 ------------- Total income .................................................... 1,098,736 ------------- =========================================================================================================================== Expenses: Professional fees ............................................... $ 61,114 Accounting services ............................................. 17,765 Custodian fees .................................................. 10,201 Investment advisory fees ........................................ 9,145 Trustees' fees and expenses ..................................... 1,262 Printing and shareholder reports ................................ 1,000 Other ........................................................... 2,252 ------------- Total expenses before reimbursement ............................. 102,739 Reimbursement of expenses ....................................... (20,960) ------------- Total expenses after reimbursement .............................. 81,779 ------------- Investment income--net .......................................... 1,016,957 ------------- =========================================================================================================================== Realized & Realized loss on investments--net ............................... (1,991,794) Unrealized Change in unrealized depreciation on investments--net ........... 32,704,279 Gain (Loss) on ------------- Investments--Net: Total realized and unrealized gain on investments--net .......... 30,712,485 ------------- Net Increase in Net Assets Resulting from Operations ............ $ 31,729,442 ============= ===========================================================================================================================
See Notes to Financial Statements. STATEMENTS OF CHANGES IN NET ASSETS
For the Six For the MASTER Months Ended Year Ended SMALL CAP June 30, December 31, INDEX SERIES Increase (Decrease) in Net Assets: 2003 2002 =========================================================================================================================== Operations: Investment income--net .......................................... $ 1,016,957 $ 2,405,288 Realized loss on investments--net ............................... (1,991,794) (12,560,901) Change in unrealized depreciation on investments--net ........... 32,704,279 (35,615,150) ------------- ------------- Net increase (decrease) in net assets resulting from operations . 31,729,442 (45,770,763) ------------- ------------- =========================================================================================================================== Capital Proceeds from contributions ..................................... 41,407,306 105,968,467 Transactions: Fair value of withdrawals ....................................... (39,966,808) (61,250,024) ------------- ------------- Net increase in net assets derived from capital transactions .... 1,440,498 44,718,443 ------------- ------------- =========================================================================================================================== Net Assets: Total increase (decrease) in net assets ......................... 33,169,940 (1,052,320) Beginning of period ............................................. 181,915,471 182,967,791 ------------- ------------- End of period ................................................... $ 215,085,411 $ 181,915,471 ============= ============= ===========================================================================================================================
See Notes to Financial Statements. FINANCIAL HIGHLIGHTS
For the Six For the Year MASTER Months Ended Ended December 31, SMALL CAP The following ratios have been derived from June 30, --------------------------------------------- INDEX SERIES information provided in the financial statements 2003 2002 2001 2000 1999 =================================================================================================================================== Total Investment 17.83%+ (20.19%) 2.37% -- -- Return:** ========= ========= ========= ========= ========= =================================================================================================================================== Ratios to Average Expenses, net of reimbursement .................. .09%* .08% .08% .09% .14% Net Assets: ========= ========= ========= ========= ========= Expenses ........................................ .11%* .14% .13% .13% .17% ========= ========= ========= ========= ========= Investment income--net .......................... 1.11%* 1.26% 1.45% 1.90% 1.83% ========= ========= ========= ========= ========= =================================================================================================================================== Supplemental Net assets, end of period (in thousands) ........ $ 215,085 $ 181,915 $ 182,968 $ 169,244 $ 114,799 Data: ========= ========= ========= ========= ========= Portfolio turnover .............................. 23.33% 39.00% 48.50% 50.51% 51.20% ========= ========= ========= ========= ========= ===================================================================================================================================
* Annualized. ** Total return is required to be disclosed for fiscal years beginning after December 15, 2000. + Aggregate total investment return. See Notes to Financial Statements. 66 & 67 Merrill Lynch Small Cap Index Fund, June 30, 2003 NOTES TO FINANCIAL STATEMENTS MASTER SMALL CAP INDEX SERIES 1. Significant Accounting Policies: Master Small Cap Index Series (the "Series") is part of Quantitative Master Series Trust (the "Trust"). The Trust is registered under the Investment Company Act of 1940, as amended, and is organized as a Delaware statutory trust. The Declaration of Trust permits the Trustees to issue nontransferable interests in the Trust, subject to certain limitations. The Series' financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. These unaudited financial statements reflect all adjustments, which are, in the opinion of management, necessary to a fair statement of the results for the interim period presented. All such adjustments are of a normal, recurring nature. The following is a summary of significant accounting policies followed by the Series. (a) Valuation of investments -- Portfolio securities that are traded on stock exchanges or the Nasdaq National Market are valued at the last sale price or official closing price on the exchange on which such securities are traded, 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. Securities traded in the over-the-counter market are valued at the last quoted bid price at the close of trading on the New York Stock Exchange on each day by brokers that make markets in the securities. Portfolio securities that are traded both in the over-the-counter market and on a stock exchange are valued according to the broadest and most representative market. Options written or purchased are valued at the last sale price in the case of exchange-traded options. In the case of options traded in the over-the-counter market, valuation is the last asked price (options written) or the last bid price (options purchased). Short-term securities are valued at amortized cost, which approximates market value. Other investments, including futures contracts and related options, are stated at market value. Securities and assets for which market quotations are not readily available are valued at fair market value, as determined in good faith by or under the direction of the Trust's Board of Trustees. Occasionally, events affecting the values of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the market on which such securities trade) and the close of business on the NYSE. If events (for example, company announcement, natural disasters, market volatility) occur during such periods that are expected to materially affect the value for such securities, those securities may be valued at their fair market value as determined in good faith by the Trust's Board of Trustees or by the investment adviser using a pricing service and/or procedures approved by the Board of Trustees of the Trust. (b) Derivative financial instruments -- The Series may engage in various portfolio investment strategies both to increase the return of the Series and to hedge, or protect, its exposure to interest rate movement 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. o Financial futures contracts -- The Series may purchase or sell financial futures contracts and options on such futures contracts. Upon entering into a contract, the Series deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Series as unrealized gains or losses. When the contract is closed, the Series 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. o Options -- The Series is authorized to purchase and write call and put options. When the Series writes an option, an amount equal to the premium received by the Series 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 Series enters into a closing transaction), the Series realizes a gain or loss on the option to the extent of the premiums received or paid (or a gain or loss to the extent that the cost of the closing transaction exceeds the premium paid or received). Written and purchased options are non-income producing investments. (c) Income taxes -- The Series is classified as a partnership for Federal income tax purposes. As such, each investor in the Series is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Series. 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. It is intended that the Series' assets will be managed so an investor in the Series can satisfy the requirements of subchapter M of the Internal Revenue Code. (d) Security transactions and investment income -- Security transactions are accounted for on the date the securities are purchased or sold (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. Interest income is recognized on the accrual basis. (e) Securities lending -- The Series 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 Series and any additional required collateral is delivered to the Series on the next business day. Where the Series receives securities as collateral for the loaned securities, it collects a fee from the borrower. The Series typically receives the income on the loaned securities but does not receive the income on the collateral. Where the Series receives cash collateral, it may invest such collateral and retain the amount earned on such investment, net of any amount rebated to the borrower. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within five business days. The Series 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 Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss where the value of the collateral falls below the market value of the borrowed securities, in the event of borrower default or in the event of losses on investments made with cash collateral. 2. Investment Advisory Agreement and Transactions with Affiliates: The Trust has entered into an Investment Advisory Agreement with Fund Asset Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc. ("PSI"), an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is the limited partner. FAM is responsible for the management of the Series' portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays a monthly fee at an annual rate of .01% of the average daily value of the Series' net assets. FAM has entered into a contractual arrangement with the Series under which the expenses incurred by the Series will not exceed .09%. This arrangement expires December 31, 2003 and is renewable. FAM reimbursed the Series for additional expenses of $20,960. Merrill Lynch Trust Company, an indirect, wholly-owned Subsidiary of ML & Co., is the Series' Custodian. The Series has received an exemptive order from the Securities and Exchange Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce, Fenner and Smith Incorporated ("MLPF&S") or its affiliates. As of June 30, 2003, the Series lent securities with a value of $754,833 to MLPF&S or its affiliates. Pursuant to that order, the Series also has retained Merrill Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of FAM, 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 Series, invest cash collateral received by the Series for such loans, among other 68 & 69 Merrill Lynch Small Cap Index Fund, June 30, 2003 NOTES TO FINANCIAL STATEMENTS (concluded) MASTER SMALL CAP INDEX SERIES things, in a private investment company managed by MLIM, LLC or in registered money market funds advised by FAM or its affiliates. For the six months ended June 30, 2003, MLIM, LLC received $9,548 in securities lending agent fees. For the six months ended June 30, 2003, the Series reimbursed FAM $2,161 for certain accounting services. Certain officers and/or trustees of the Series are officers and/or directors of FAM, PSI, and/or ML & Co. 3. Investments: Purchases and sales of investments, excluding short-term securities, for the six months ended June 30, 2003 were $49,523,304 and $41,418,683, respectively. Net realized gains (losses) for the six months ended June 30, 2003 and net unrealized losses as of June 30, 2003 were as follows: - ------------------------------------------------------------------------------- Realized Unrealized Gains (Losses) Losses - ------------------------------------------------------------------------------- Long-term investments .................... $ (3,150,070) $ (8,835,505) Financial futures contracts .............. 1,158,276 (99,801) ------------ ------------ Total .................................... $ (1,991,794) $ (8,935,306) ============ ============ - ------------------------------------------------------------------------------- As of June 30, 2003, net unrealized depreciation for Federal income tax purposes aggregated $12,210,600, of which $25,243,650 related to appreciated securities and $37,454,250 related to depreciated securities. At June 30, 2003, the aggregate cost of investments for Federal income tax purposes was $242,914,356. 4. Short-Term Borrowings: The Series, along with certain other funds managed by FAM and its affiliates, is a party to a $500,000,000 credit agreement with Bank One, N.A. and certain other lenders. The Series may borrow under the credit agreement to fund shareholder redemptions and for other lawful purposes other than for leverage. The Series 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 Series pays a commitment fee of ..09% per annum based on the Series' pro rata share of the unused portion of the credit agreement. Amounts borrowed under the credit agreement bear interest at a rate equal to, at each fund's election, the Federal Funds rate plus .50% or a base rate as determined by Bank One, N.A. On November 29, 2002, the credit agreement was renewed for one year under the same terms, except that the commitment was reduced from $1,000,000,000 to $500,000,000. The Series did not borrow under the credit agreement during the six months ended June 30, 2003. 70 [LOGO] Merrill Lynch Investment Managers This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the Fund's current prospectus. 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. Statements and other information herein are as dated and are subject to change. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling toll-free 1-800-MER-FUND (1-800-637-3863); (2) on www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's website at http://www.sec.gov. Merrill Lynch Index Funds, Inc. Box 9011 Princeton, NJ 08543-9011 [RECYCLED LOGO] Printed on post-consumer recycled paper #Index 3--6/03 Item 2 - Did registrant adopt 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, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party? If not, why not? Briefly describe any amendments or waivers that occurred during the period. State here if code of ethics/amendments/waivers are on website and give website address-. State here if fund will send code of ethics to shareholders without charge upon request-- N/A (annual requirement only and not required to be answered until the registrant's fiscal year-end on or after July 15, 2003) Item 3 - Did the registrant's board of directors determine that the registrant either: (i) has at least one audit committee financial expert serving on its audit committee; or (ii) does not have an audit committee financial expert serving on its audit committee? If yes, disclose name of financial expert and whether he/she is "independent," (fund may, but is not required, to disclose name/independence of more than one financial expert) If no, explain why not. -N/A (annual requirement only and not required to be answered until the registrant's fiscal year-end on or after July 15, 2003) Item 4 - Disclose annually only (not answered until December 15, 2003) (a) Audit Fees - Disclose aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. N/A. (b) Audit-Related Fees - Disclose aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. N/A. (c) Tax Fees - Disclose aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. N/A. (d) All Other Fees - Disclose aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. N/A. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. N/A. (e)(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. N/A. (f) If greater than 50%, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. N/A. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. N/A. (h) Disclose whether the registrant's audit committee has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another 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. N/A. Item 5 - If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act, state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee in Section 3(a)(58)(B) of the Exchange Act, so state. If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act regarding an exemption from the listing standards for audit committees. N/A (Listed issuers must be in compliance with the new listing rules by the earlier of their first annual shareholders meeting after January 2004, or October 31, 2004 (annual requirement)) Item 6 - Reserved Item 7 - For closed-end funds that contain voting securities in their portfolio, describe the policies and procedures that it uses to determine how to vote proxies relating to those portfolio securities. N/A Item 8 -- Reserved Item 9(a) - The registrant's certifying officers have reasonably designed such disclosure controls and procedures to ensure material information relating to the registrant is made known to us by others particularly during the period in which this report is being prepared. The registrant's certifying officers have determined that the registrant's disclosure controls and procedures are effective based on our evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report. Item 9(b) -- There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Item 10 - Exhibits 10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or amendments/waivers is on website or offered to shareholders upon request without charge. N/A. 10(b) - Attach certifications pursuant to Section 302 of the Sarbanes-Oxley Act. 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 SmallCap Index Fund By: /s/ Terry K. Glenn ------------------------------- Terry K. Glenn, President of Merrill Lynch SmallCap Index Fund Date: August 21, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Terry K. Glenn ------------------------------- Terry K. Glenn, President of Merrill Lynch SmallCap Index Fund Date: August 21, 2003 By: /s/ Donald C. Burke ------------------------------- Donald C. Burke, Chief Financial Officer of Merrill Lynch SmallCap Index Fund Date: August 21, 2003 Attached hereto as a furnished exhibit are the certifications pursuant to Section 906 of the Sarbanes-Oxley Act. EX-99.CERT 3 e300589_ex99-cert.txt CERTIFICATION PURSUANT TO SECTION 302 EX-99. CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 - -------------------------------------------------------------------------------- I, Terry K. Glenn, President of Merrill Lynch SmallCap Index Fund, certify that: 1. I have reviewed this report on Form N-CSR of Merrill Lynch SmallCap Index Fund (the "Fund"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; and 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Fund as of, and for, the periods presented in this report; 4. The Fund's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the Fund and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Fund, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the Fund's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) disclosed in this report any change in the Fund's internal control over financial reporting that occurred during the Fund's most recent fiscal half-year (the Fund's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Fund's internal control over financial reporting; and 5. The Fund's other certifying officer(s) and I have disclosed, based on our most recent evaluation, to the Fund's auditors and the audit committee of the Fund's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Fund's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Fund's internal control over financial reporting. Date: August 21, 2003 /s/ Terry K. Glenn ------------------ Terry K. Glenn, President of Merrill Lynch SmallCap Index Fund EX-99. CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 - -------------------------------------------------------------------------------- I, Donald C. Burke, Chief Financial Officer of Merrill Lynch SmallCap Index Fund, certify that: 1. I have reviewed this report on Form N-CSR of Merrill Lynch SmallCap Index Fund (the "Fund"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Fund as of, and for, the periods presented in this report; 4. The Fund's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the Fund and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Fund, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the Fund's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) disclosed in this report any change in the Fund's internal control over financial reporting that occurred during the Fund's most recent fiscal half-year (the Fund's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Fund's internal control over financial reporting; and 5. The Fund's other certifying officer(s) and I have disclosed, based on our most recent evaluation, to the Fund's auditors and the audit committee of the Fund's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Fund's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Fund's internal control over financial reporting. Date: August 21, 2003 /s/ Donald C. Burke ------------------- Donald C. Burke, Chief Financial Officer of Merrill Lynch SmallCap Index Fund EX-99.1350 CERT 4 e300589_ex99-1350cert.txt CERTIFICATION PURSUANT TO SECTION 906 Exhibit 99.1350CERT Certification Pursuant to Section 906 of the Sarbanes Oxley Act I, Terry K. Glenn, President of Merrill Lynch SmallCap Index Fund (the "Fund"), certify that: 1. The N-CSR of the Fund (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: August 21, 2003 /s/ Terry K. Glenn ------------------ Terry K. Glenn, President of Merrill Lynch SmallCap Index Fund A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Merrill Lynch SmallCap Index Fund and will be retained by Merrill Lynch SmallCap Index Fund and furnished to the Securities and Exchange Commission or its staff upon request. Exhibit 99.1350CERT Certification Pursuant to Section 906 of the Sarbanes Oxley Act I, Donald C. Burke, Chief Financial Officer of Merrill Lynch SmallCap Index Fund (the "Fund"), certify that: 1. The N-CSR of the Fund (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: August 21, 2003 /s/ Donald C. Burke ------------------- Donald C. Burke, Chief Financial Officer of Merrill Lynch SmallCap Index Fund A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Merrill Lynch SmallCap Index Fund and will be retained by Merrill Lynch SmallCap Index Fund and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----