-----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, MPF1Yvm0akZ5h5q0t5pgFxpr/1809B6YdrgzFBswMg8Tg6F+6ePtB/F9l0N3FjbB OI8o96tlYp7lbDpt0+zt/g== 0001193805-04-000400.txt : 20040302 0001193805-04-000400.hdr.sgml : 20040302 20040302093625 ACCESSION NUMBER: 0001193805-04-000400 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040302 EFFECTIVENESS DATE: 20040302 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: 04641132 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 e400173_ncsr-mlintindex.txt 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 International Index Fund Master International 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 International Index Fund and Master International Index Series, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011 Registrant's telephone number, including area code: (609) 282-2800 Date of fiscal year end: 12/31/03 Date of reporting period: 01/01/03 - 12/31/03 Item 1 - Report to Shareholders [LOGO] Merrill Lynch Investment Managers www.mlim.ml.com Merrill Lynch International Index Fund Merrill Lynch Index Funds, Inc. Annual Report December 31, 2003 [LOGO] Merrill Lynch Investment Managers Merrill Lynch International Index Fund Important Tax Information (unaudited) The following information is provided with respect to the ordinary income distributions paid by Merrill Lynch International Index Fund during the fiscal year ended December 31, 2003: ================================================================================ Record Date/ July 16, 2003/ December 17, 2003/ Payable Date July 22, 2003 December 23, 2003 ================================================================================ Qualified Dividend Income for Individuals -- 71.74%* - -------------------------------------------------------------------------------- Foreign Source Income 78.82% 60.25%* - -------------------------------------------------------------------------------- Foreign Taxes Paid Per Share -- $0.006740 - -------------------------------------------------------------------------------- * Expressed as a percentage of the cash distribution grossed-up for foreign taxes. The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid. Please retain this information for your records. 2 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 A Letter From the President Dear Shareholder In my 35 years in the asset management business, 2003 was among the more memorable. The year, which opened with global economic uncertainty and a dismal continuation of a three-year equity market slump, vigorously reversed course in the months that followed. To be sure, 2003 came in like a lamb and went out like a lion. Or, some might suggest, the year started as a bear and ended as a bull. Notably, the U.S. stock market exceeded the expectations of even the optimistic investor, with the Standard & Poor's 500 Index and the Nasdaq posting respective 12-month returns of +28.68% and +50.01% as of December 31, 2003. Notwithstanding the impressive results, several foreign stock markets eclipsed the U.S. market returns in dollar terms. Overall, the Morgan Stanley Capital International (MSCI) World Index, which measures the performance of equity markets in 23 developed countries worldwide, returned +33.11% over the past 12 months. Several emerging markets also fared particularly well, with Thailand's equity market up 139% and Brazil's up 131% for the year, as measured by MSCI. As we begin a new year, it is heartening to note that a global economic expansion appears to be underway. In 2003, the U.S. economy benefited from stimulative monetary and fiscal policy, improving corporate profits and tightening credit spreads. Gross domestic product growth rallied from a dismal 1.4% in the first quarter of the year to an extraordinary 8.2% in the third quarter. In Europe, the central bank initiated a more active monetary policy in an effort to rouse economic growth. The economies of several Asian countries experienced strong growth in 2003. China, in particular, is expected to grow at an annualized rate of 8% for 2003 - 2004. Encouragingly, Japan, the world's second-largest economy, finally appeared to be emerging from a long period of deflation. Elsewhere, Latin America benefited from a combination of declining global risk and relative political stability. It has been a long road for equity investors, but coming into 2004, the events and efforts of 2003 leave us with stronger economies around the world. In closing, I wish to share one final note regarding the look of our shareholder communications. Our portfolio manager commentaries have been trimmed and organized in such a way that you can get the information you need at a glance, in plain language. Today's markets can be confusing. We want to help you put it all in perspective. The report's new size also allows us certain mailing efficiencies. Any cost savings in production or postage are passed on to the Fund and, ultimately, to Fund shareholders. We thank you for trusting Merrill Lynch Investment Managers with your investment assets, and we look forward to serving you in the New Year and beyond. Sincerely, /s/ Terry K. Glenn Terry K. Glenn President and Director/Trustee MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 3 [LOGO] Merrill Lynch Investment Managers A Discussion With Your Fund's Portfolio Manager The Fund was able to meet its objective of closely replicating the returns of the MSCI EAFE Index during the year, as global equity markets in general enjoyed a dramatic rebound. How did the Fund perform during the fiscal year? For the 12-month period ended December 31, 2003, Merrill Lynch International Index Fund's Class A and Class I Shares had total returns of +38.10% and +38.39%, respectively. For the same period, the Fund's unmanaged benchmark, the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE) Index, returned +38.59%. (Complete performance information can be found on pages 6 and 7 of this report to shareholders.) As the returns indicate, the Fund met its objective of closely tracking the performance of its benchmark, the MSCI EAFE Index. The Index is composed of equity securities of companies from various industrial sectors whose primary trading markets are located outside the United States. Companies included in the MSCI EAFE Index are selected from among the larger-capitalization companies in these markets. As stock markets around the globe rallied during this particular 12-month period, the MSCI EAFE Index and the Fund benefited in kind. Over the course of the year, as changes were made to the composition of the Index, we purchased and sold securities to maintain our objective of replicating the risks and return of the benchmark. As an index fund, the portfolio mirrors the composition of the MSCI EAFE Index, a common measure of international stock market performance. What developments affected worldwide equity markets during the period? In the United States, 2003 marked the end of the longest and deepest equity bear market since the Great Depression. Punctuated by better-than-expected corporate earnings due to dramatic productivity increases and modest revenue growth, the equity market recorded returns greater than most had anticipated. Despite an initial setback related to the start of war in Iraq, the U.S. stock market quickly gained steam and never had more than a 5% pullback through December 31, 2003. As is common after a major bear market, the best performers during the upturn were low-quality, high-beta and small-capitalization issues as well as those with earnings losses and low prices. European markets also moved upward over the year, though not as dramatically as U.S. stock markets. The Dow Jones STOXX 50 Index, which measures the performance of 50 of the largest blue chip stocks in Europe, closed at 2,660.37, representing an increase of 252.86 points or 10.50% in euros. The Financial Times Stock Exchange 100 Index, an index containing the 100 largest companies by market capitalization on the London Stock Exchange, ended the year at 4,476.90, up 536.50 points or 13.62% in sterling. The euro appreciated dramatically over the year, rising 20.20% relative to the U.S. dollar. Global markets enjoyed significant positive returns for the year, with the MSCI World Index closing at 1,036.32, up 244.11 points or 30.81% in U.S. dollar terms. 4 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 All ten sectors in the benchmark MSCI EAFE Index recorded positive price returns for the year (in U.S. dollar terms). The top performer was industrials, which was up 48.65%, followed by information technology (+48.61%) and materials (+48.39%). Even the worst-performing sectors in the Index posted positive double-digit returns for the year. They were consumer staples (+22.75%), energy (+26.34%) and health care (+28.13%). In terms of country performance, all 21 MSCI EAFE countries had positive returns for the year (in U.S. dollar terms). The top performer was Greece, up 69.52%, followed by Sweden (+64.53%) and Germany (+63.80%). Countries with the lowest returns for the one-year period were Finland (+19.39%), the Netherlands (+28.09%) and the United Kingdom (+32.06%). How would you characterize market conditions at the close of the period? Favorable liquidity conditions, stimulative fiscal policy and rising earnings expectations spurred the equity bull market that we witnessed during the past fiscal year. As we ended the period, the momentum from falling interest rates and excess liquidity was beginning to pass. Higher confidence regarding the sustainability of economic growth, along with waning deflation fears and a declining dollar, are likely to cause interest rates to rise in the United States. At the same time, economic growth, which long had been carried by the U.S. consumer, was broadening to the rest of the U.S. economy and the world. Capital spending has decisively turned from modest to more robust, job growth has begun and export markets are awakening. We believe corporate earnings growth is key for the equity bull market to continue. Richard Vella Vice President and Senior Portfolio Manager January 8, 2004 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 5 [LOGO] Merrill Lynch Investment Managers 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 through two pricing alternatives: o Class A Shares do not incur an 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 an 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. Current performance may be lower or higher than the performance data quoted. Refer to www.mlim.ml.com to obtain more current performance information. 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 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 waived a portion of their administrative fee and all of their management fee, respectively. In addition, the Investment Adviser reimbursed a portion of its other expenses. Without such waiver and reimbursement, the Fund's performance would have been lower. Recent Performance Results
6-Month 12-Month Since Inception As of December 31, 2003 Total Return Total Return Total Return =================================================================================================== ML International Index Fund Class A Shares* +26.13% +38.10% +30.07% - --------------------------------------------------------------------------------------------------- ML International Index Fund Class I Shares* +26.27 +38.39 +32.17 - --------------------------------------------------------------------------------------------------- MSCI EAFE Index--Cap Weighted** +26.59 +38.59 +23.09 - ---------------------------------------------------------------------------------------------------
* Total investment returns are based on changes in net asset values 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. On 12/14/01, the Fund changed its benchmark index from the MSCI EAFE Index--GDP Weighted to the MSCI EAFE Index--Cap Weighted. Accordingly, the Fund's since inception total returns reflect investment performance prior to 12/14/01 when the Fund's benchmark was the MSCI EAFE Index--GDP Weighted. ** This unmanaged capitalization-weighted Index is comprised of equity securities of companies from various industrial sectors whose primary trading markets are located outside the United States and that are selected from among the larger-capitalization companies in such markets. Since inception total return is from 4/30/97. 6 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Performance Data (concluded) Total Return Based on a $10,000 Investment--Class A & Class I Shares A line graph depicting the growth of an investment in the Fund's Class A Shares and Class I Shares compared to growth of an investment in the MSCI EAFE (Cap Weighted) Index. Values are from April 30, 1997 to December 2003.
4/03/97** 12/97 12/98 12/99 12/00 12/01 12/02 12/03 ML International Index Fund+--Class A Shares* $10,000 $10,822 $13,571 $17,771 $14,573 $11,241 $9,418 $13,007 ML International Index Fund+--Class I Shares* $10,000 $10,845 $13,627 $17,891 $14,706 $11,378 $9,551 $13,217 4/30/97** 12/97 12/98 12/99 12/00 12/01 12/02 12/03 MSCI EAFE (Cap Weighted) Index++ $10,000 $10,285 $12,342 $15,670 $13,450 $10,566 $8,882 $12,309
* Assuming transaction costs and other operating expenses, including administrative fees. ** Commencement of operations. + The Fund invests all of its assets in Master International (Capitalization Weighted) Index Series of Quantitative Master Series Trust. The Trust may invest in a statistically selected sample of the equity securities included in the Europe, Australasia and Far East Index and other types of financial instruments. ++ This unmanaged capitalization weighted Index is comprised of equity securities of companies from various industrial sectors whose primary trading markets are located outside the United States and which are selected from among the larger-capitalization companies in such markets. The starting date for the Index in the graph is from 4/30/97. Past performance is not predictive of future results. Average Annual Total Return Class A Shares % Return ================================================================================ One Year Ended 12/31/03 +38.10% - -------------------------------------------------------------------------------- Five Years Ended 12/31/03 - 0.85 - -------------------------------------------------------------------------------- Inception (4/09/97) through 12/31/03 + 3.98 - -------------------------------------------------------------------------------- Class I Shares % Return ================================================================================ One Year Ended 12/31/03 +38.39% - -------------------------------------------------------------------------------- Five Years Ended 12/31/03 - 0.61 - -------------------------------------------------------------------------------- Inception (4/09/97) through 12/31/03 + 4.23 - -------------------------------------------------------------------------------- MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 7 [LOGO] Merrill Lynch Investment Managers Statement of Assets and Liabilities As of December 31, 2003 ========================================================================================================================== Assets - -------------------------------------------------------------------------------------------------------------------------- Investment in Master International Index Series, at value (identified cost--$108,723,574) .................................. $ 131,302,626 Prepaid registration fees .......................................... 11,286 ------------- Total assets ....................................................... 131,313,912 ------------- ========================================================================================================================== Liabilities - -------------------------------------------------------------------------------------------------------------------------- Payables: Distributor ..................................................... $ 22,163 Administrator ................................................... 6,021 28,184 ------------- Accrued expenses and other liabilities ............................. 67,376 ------------- Total liabilities .................................................. 95,560 ------------- ========================================================================================================================== Net Assets - -------------------------------------------------------------------------------------------------------------------------- Net assets ......................................................... $ 131,218,352 ============= ========================================================================================================================== Net Assets Consist of - -------------------------------------------------------------------------------------------------------------------------- Class A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized .................................... $ 1,085 Class I Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized .................................... 287 Paid-in capital in excess of par ................................... 117,902,451 Undistributed investment income--net ............................... $ 333,035 Accumulated realized capital losses on investments and foreign currency transactions allocated from the Series--net ............. (9,597,558) Unrealized appreciation on investments and foreign currency transactions allocated from the Series--net ...................... 22,579,052 ------------- Total accumulated earnings--net .................................... 13,314,529 ------------- Net Assets ......................................................... $ 131,218,352 ============= ========================================================================================================================== Net Asset Value - -------------------------------------------------------------------------------------------------------------------------- Class A--Based on net assets of $103,724,796 and 10,853,622 shares outstanding .................................... $ 9.56 ============= Class I--Based on net assets of $27,493,556 and 2,866,203 shares outstanding ..................................... $ 9.59 =============
See Notes to Financial Statements. 8 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Statement of Operations For the Year Ended December 31, 2003 ========================================================================================================================== Investment Income Allocated from the Series--Net - -------------------------------------------------------------------------------------------------------------------------- Net investment income allocated from the Portfolio: Dividends (net of $260,146 foreign withholding tax) ............. $ 2,319,688 Interest ........................................................ 48,501 Securities lending--net ......................................... 42,253 Expenses (net of $8,793 waiver of expenses) ..................... (97,416) ------------- Net investment income allocated from the Series .................... 2,313,026 ------------- ========================================================================================================================== Expenses - -------------------------------------------------------------------------------------------------------------------------- Administration fees ................................................ $ 332,349 Account maintenance fees--Class A .................................. 189,611 Printing and shareholder reports ................................... 58,146 Transfer agent fees ................................................ 52,805 Registration fees .................................................. 42,355 Professional fees .................................................. 18,828 Directors' fees and expenses ....................................... 1,617 Other .............................................................. 7,903 ------------- Total expenses before waiver of expenses ........................... 703,614 Waiver of expenses ................................................. (7,761) ------------- Total expenses after waiver of expenses ............................ 695,853 ------------- Investment income--net ............................................. 1,617,173 ------------- ========================================================================================================================== Realized & Unrealized Gain Allocated from the Series--Net - -------------------------------------------------------------------------------------------------------------------------- Realized gain allocated from the Series on: Investments--net ................................................ 74,574 Foreign currency transactions--net .............................. 1,099,585 1,174,159 ------------- Change in unrealized appreciation/depreciation on investments and foreign currency transactions allocated from the Series--net ..... 31,536,922 ------------- Total realized and unrealized gain allocated from the Series--net .. 32,711,081 ------------- Net Increase in Net Assets Resulting from Operations ............... $ 34,328,254 =============
See Notes to Financial Statements. MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 9 [LOGO] Merrill Lynch Investment Managers Statements of Changes in Net Assets
For the Year Ended December 31, ------------------------------- Increase (Decrease) in Net Assets: 2003 2002 ========================================================================================================================== Operations - -------------------------------------------------------------------------------------------------------------------------- Investment income--net ............................................. $ 1,617,173 $ 1,243,593 Realized gain (loss) on investments and foreign currency transactions allocated from the Series--net ...................... 1,174,159 (5,216,018) Change in unrealized appreciation/depreciation on investments and foreign currency transactions allocated from the Series--net ............................................. 31,536,922 (10,906,818) ------------------------------- Net increase (decrease) in net assets resulting from operations ....................................................... 34,328,254 (14,879,243) ------------------------------- ========================================================================================================================== Dividends & Distributions to Shareholders - -------------------------------------------------------------------------------------------------------------------------- Investment income--net: Class A ......................................................... (1,886,754) (1,068,837) Class I ......................................................... (584,445) (397,947) Realized gain on investments from the Series--net: Class A ......................................................... -- (64,318) Class I ......................................................... -- (28,225) ------------------------------- Net decrease in net assets resulting from dividends and distributions to shareholders .................................... (2,471,199) (1,559,327) ------------------------------- ========================================================================================================================== Capital Share Transactions - -------------------------------------------------------------------------------------------------------------------------- Net increase in net assets derived from capital share transactions ..................................................... 17,281,079 19,315,936 =============================== ========================================================================================================================== Net Assets - -------------------------------------------------------------------------------------------------------------------------- Total increase in net assets ....................................... 49,138,134 2,877,366 Beginning of year .................................................. 82,080,218 79,202,852 ------------------------------- End of year* ....................................................... $ 131,218,352 $ 82,080,218 =============================== * Undistributed investment income--net .......................... $ 333,035 $ 87,476 ===============================
See Notes to Financial Statements. 10 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Financial Highlights
Class A++ The following per share data and ratios have been derived ----------------------------------------------------------------- from information provided in the financial statements. For the Year Ended December 31, ----------------------------------------------------------------- Increase (Decrease) in Net Asset Value: 2003 2002 2001 2000 1999 ============================================================================================================================== Per Share Operating Performance - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of year ... $ 7.06 $ 8.62 $ 11.33 $ 15.13 $ 12.05 ----------------------------------------------------------------- Investment income--net@ .............. .12 .11 .08 .09 .08 Realized and unrealized gain (loss) on investments and foreign currency transactions allocated from the Series--net ........................ 2.56 (1.53) (2.64) (2.80) 3.61 ----------------------------------------------------------------- Total from investment operations ..... 2.68 (1.42) (2.56) (2.71) 3.69 ----------------------------------------------------------------- Less dividends and distributions: Investment income--net ............ (.18) (.13) (.08) (.02) (.07) Realized gain on investments from the Series--net ................. -- (.01) (.07) (.53) (.54) In excess of realized gain on investments from the Series--net -- -- -- (.54) -- ----------------------------------------------------------------- Total dividends and distributions .... (.18) (.14) (.15) (1.09) (.61) ----------------------------------------------------------------- Net asset value, end of year ......... $ 9.56 $ 7.06 $ 8.62 $ 11.33 $ 15.13 ================================================================= ============================================================================================================================== Total Investment Return - ------------------------------------------------------------------------------------------------------------------------------ Based on net asset value per share ... 38.10% (16.21%) (22.60%) (18.00%) 30.95% ================================================================= ============================================================================================================================== Ratios to Average Net Assets - ------------------------------------------------------------------------------------------------------------------------------ Expenses, net of waiver of expenses+ . .87% .84% .89% .89% .89% ================================================================= Expenses+ ............................ .88% .92% 1.05% .96% .95% ================================================================= Investment income--net ............... 1.59% 1.43% .82% .67% .65% ================================================================= ============================================================================================================================== Supplemental Data - ------------------------------------------------------------------------------------------------------------------------------ Net assets, end of year (in thousands) $103,725 $ 62,310 $ 52,836 $ 46,623 $ 30,480 ================================================================= Portfolio turnover of the Series ..... 8.55% 19.52% 30.19% 5.89% .00% =================================================================
+ Includes the Fund's share of the Series' allocated expenses. ++ Effective April 14, 2003, Class D Shares were redesignated Class A Shares. @ Based on average shares outstanding. See Notes to Financial Statements. MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 11 [LOGO] Merrill Lynch Investment Managers Financial Highlights (concluded)
Class I++ The following per share data and ratios have been derived ----------------------------------------------------------------- from information provided in the financial statements. For the Year Ended December 31, ----------------------------------------------------------------- Increase (Decrease) in Net Asset Value: 2003 2002 2001 2000 1999 ============================================================================================================================== Per Share Operating Performance - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of year ... $ 7.08 $ 8.64 $ 11.36 $ 15.13 $ 12.04 ----------------------------------------------------------------- Investment income--net@ .............. .15 .14 .12 .14 .13 Realized and unrealized gain (loss) on investments and foreign currency transactions allocated from the Series--net ........................ 2.56 (1.55) (2.67) (2.82) 3.59 ----------------------------------------------------------------- Total from investment operations ..... 2.71 (1.41) (2.55) (2.68) 3.72 ----------------------------------------------------------------- Less dividends and distributions: Investment income--net ............ (.20) (.14) (.10) (.02) (.09) Realized gain on investments from the Series--net ................. -- (.01) (.07) (.53) (.54) In excess of realized gain on investments from the Series--net -- -- -- (.54) -- ----------------------------------------------------------------- Total dividends and distributions .... (.20) (.15) (.17) (1.09) (.63) ----------------------------------------------------------------- Net asset value, end of year ......... $ 9.59 $ 7.08 $ 8.64 $ 11.36 $ 15.13 ================================================================= ============================================================================================================================== Total Investment Return - ------------------------------------------------------------------------------------------------------------------------------ Based on net asset value per share ... 38.39% (16.06%) (22.45%) (17.80%) 31.29% ================================================================= ============================================================================================================================== Ratios to Average Net Assets - ------------------------------------------------------------------------------------------------------------------------------ Expenses, net of waiver of expenses+ . .62% .58% .64% .65% .64% ================================================================= Expenses+ ............................ .62% .67% .81% .71% .69% ================================================================= Investment income--net ............... 1.86% 1.72% 1.18% 1.02% 1.05% ================================================================= ============================================================================================================================== Supplemental Data - ------------------------------------------------------------------------------------------------------------------------------ Net assets, end of year (in thousands) $ 27,494 $ 19,770 $ 26,367 $ 37,387 $104,427 ================================================================= Portfolio turnover of the Series ..... 8.55% 19.52% 30.19% 5.89% .00% =================================================================
+ Includes the Fund's share of the Series' allocated expenses. ++ Effective April 14, 2003, Class A Shares were redesignated Class I Shares. @ Based on average shares outstanding. See Notes to Financial Statements. 12 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Notes to Financial Statements 1. Significant Accounting Policies: Merrill Lynch International 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 seeks to achieve its investment objective by investing all of its assets in Master International Index Series (the "Series") of the 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 Fund's financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. The percentage of the Series owned by the Fund at December 31, 2003 was 23.7%. The Fund offers two classes of shares. Effective April 14, 2003, Class A Shares were redesignated Class I Shares and Class D Shares were redesignated Class A Shares. The Fund's financial statements and financial highlights contained within this report reflect the new share class redesignation. 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 and foreign currency transactions 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. (g) Reclassification -- Accounting principles generally accepted in the United States of America require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. Accordingly, the current year's permanent book/tax difference of $1,099,585 has been reclassified between accumulated net realized capital losses and undistributed net investment income. This reclassification has no effect on net assets or net asset values per share. 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 .34% 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 year ended December 31, 2003, MLIM earned fees of $332,349, of which $7,761 was waived. The Corporation has also entered into a Distribution Agreement and Distribution Plan with FAM Distributors, Inc. ("FAMD" or the "Distributor"), 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 ongoing account maintenance fees. The fees are accrued daily and paid monthly at the annual rate of .25% based upon the average daily net assets of Class A Shares. MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 13 [LOGO] Merrill Lynch Investment Managers Notes to Financial Statements (concluded) 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 in net assets derived from capital share transactions was $17,281,079 and $19,315,936 for the years ended December 31, 2003 and December 31, 2002, respectively. Transactions in capital shares for each class were as follows: - ------------------------------------------------------------------------------- Class A Shares for the Year Dollar Ended December 31, 2003+ Shares Amount - ------------------------------------------------------------------------------- Shares sold ............................ 2,975,146 $ 23,547,146 Shares issued to shareholders in reinvestment of dividends ......... 202,586 1,844,036 ------------------------------- Total issued ........................... 3,177,732 25,391,182 Shares redeemed ........................ (1,149,582) (8,800,406) ------------------------------- Net increase ........................... 2,028,150 $ 16,590,776 =============================== + 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 ............................ 4,396,623 $ 34,902,021 Shares issued to shareholders in reinvestment of dividends and distributions .................... 157,663 1,101,783 ------------------------------- Total issued ........................... 4,554,286 36,003,804 Shares redeemed ........................ (1,861,709) (14,766,684) ------------------------------- Net increase ........................... 2,692,577 $ 21,237,120 =============================== + Effective April 14, 2003, Class D Shares were redesignated Class A Shares. - ------------------------------------------------------------------------------- Class I Shares for the Year Dollar Ended December 31, 2003+ Shares Amount - ------------------------------------------------------------------------------- Shares sold ............................ 1,230,193 $ 9,731,216 Shares issued to shareholders in reinvestment of dividends ......... 58,415 534,392 ------------------------------- Total issued ........................... 1,288,608 10,265,608 Shares redeemed ........................ (1,214,268) (9,575,305) ------------------------------- Net increase ........................... 74,340 $ 690,303 =============================== + 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 ............................ 1,262,185 $ 10,249,011 Shares issued to shareholders in reinvestment of dividends and distributions .................... 57,314 402,502 ------------------------------- Total issued ........................... 1,319,499 10,651,513 Shares redeemed ........................ (1,579,132) (12,572,697) ------------------------------- Net decrease ........................... (259,633) $ (1,921,184) =============================== + Effective April 14, 2003, Class A Shares were redesignated Class I Shares. 4. Distributions to Shareholders: The tax character of distributions paid during the fiscal years ended December 31, 2003 and December 31, 2002 was as follows: - ------------------------------------------------------------------------------- 12/31/2003 12/31/2002 - ------------------------------------------------------------------------------- Distributions paid from: Ordinary income ...................... $ 2,471,199 $ 1,468,777 Net long-term capital gains .......... -- 90,550 -------------------------------- Total taxable distributions ............ $ 2,471,199 $ 1,559,327 ================================ As of December 31, 2003, the components of accumulated earnings on a tax basis were as follows: - ----------------------------------------------------------------------------- Undistributed ordinary income--net ...................... $ 827,174 Undistributed long-term capital gains--net .............. -- ------------ Total undistributed earnings--net ....................... 827,174 Capital loss carryforward ............................... (6,853,122)* Unrealized gains--net ................................... 19,340,477** ------------ Total accumulated earnings--net ......................... $ 13,314,529 ============ * On December 31, 2003, the Fund had a net capital loss carryforward of $6,853,122, all of which expires in 2010. This amount will be available to offset like amounts of any future taxable gains. ** The difference between book-basis and tax-basis net unrealized gains is attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains (losses) on certain foreign currency contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies and other book/tax basis adjustments. 14 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Independent Auditors' Report To the Shareholders and Board of Directors of Merrill Lynch Index Funds, Inc.: We have audited the accompanying statement of assets and liabilities of Merrill Lynch International Index Fund, one of the series constituting Merrill Lynch Index Funds, Inc. (the "Fund"), as of December 31, 2003, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and the financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Merrill Lynch International Index Fund of Merrill Lynch Index Funds, Inc. as of December 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. Deloitte & Touche LLP Princeton, New Jersey February 13, 2004 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 15 [LOGO] Merrill Lynch Investment Managers Schedule of Investments Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Australia Beverages--0.2% 53,424 Coca-Cola Amatil Limited $ 250,772 187,558 Foster's Brewing Group Limited 635,920 8,843 Southcorp Limited 17,989 --------------- 904,681 ------------------------------------------------------------------------------------------------------------- Biotechnology--0.0% 12,578 CSL Limited 169,163 ------------------------------------------------------------------------------------------------------------- Capital Markets--0.1% 19,088 Macquarie Bank Limited 511,419 ------------------------------------------------------------------------------------------------------------- Chemicals--0.1% 19,981 Orica Limited 210,163 ------------------------------------------------------------------------------------------------------------- Commercial Banks--1.4% 138,812 Australia and New Zealand Banking Group Ltd. 1,849,117 85,936 Commonwealth Bank of Australia 1,906,843 105,512 National Australia Bank Limited 2,380,966 137,398 Westpac Banking Corporation Limited 1,655,325 --------------- 7,792,251 ------------------------------------------------------------------------------------------------------------- Commercial Services & 95,823 Brambles Industries Limited 381,205 Supplies--0.1% ------------------------------------------------------------------------------------------------------------- Construction & Engineering--0.0% 9,752 Leighton Holdings Ltd. 86,776 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.2% 19,286 Boral Limited 73,818 36,728 CSR Limited 51,195 50,663 James Hardie Industries NV 262,624 74,568 Rinker Group Limited 368,000 --------------- 755,637 ------------------------------------------------------------------------------------------------------------- Containers & Packaging--0.1% 76,674 Amcor Limited 477,180 ------------------------------------------------------------------------------------------------------------- Diversified Financial 1,250 Australian Stock Exchange Limited 16,086 Services--0.1% 28,223 Suncorp--Metway Limited 263,469 --------------- 279,555 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 148,136 Telstra Corporation Limited 537,975 Services--0.1% ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.2% 61,835 Coles Myer Limited 352,217 85,069 Woolworths Limited 756,324 --------------- 1,108,541 ------------------------------------------------------------------------------------------------------------- Gas Utilities--0.0% 20,590 Australian Gas Light Company Limited 174,217 ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 8,175 Cochlear Limited 132,182 Supplies--0.0% 7,344 Pacific Dunlop Limited 35,690 --------------- 167,872 ------------------------------------------------------------------------------------------------------------- Health Care Providers & 86,923 Mayne Nickless Limited 213,504 Services--0.0% ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 77,973 Aristocrat Leisure Limited 101,048 Leisure--0.1% 63,104 TAB Limited 219,661 41,236 TABCORP Holdings Limited 348,908 --------------- 669,617 ------------------------------------------------------------------------------------------------------------- IT Services--0.0% 11,639 Computershare Limited 29,027 ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.1% 24,616 Wesfarmers Limited 491,308 ------------------------------------------------------------------------------------------------------------- Insurance--0.2% 125,623 AMP Limited 474,200 91,298 Insurance Australia Group Limited 292,351 50,043 QBE Insurance Group Limited 399,672 --------------- 1,166,223 ------------------------------------------------------------------------------------------------------------- Media--0.2% 99,578 John Fairfax Holdings Limited 264,095 96,116 The News Corporation Limited 868,299 6,114 Publishing & Broadcasting Limited 57,675 --------------- 1,190,069
16 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Australia Metals & Mining--0.8% 60,157 Alumina Limited $ 297,787 (concluded) 271,919 BHP Billiton Limited 2,497,455 80,506 BHP Steel Limited 339,681 28,549 Newcrest Mining Limited 278,558 23,360 OneSteel Limited 35,553 26,086 Rio Tinto Limited 731,147 107,289 WMC Resources Limited (a) 455,112 --------------- 4,635,293 ------------------------------------------------------------------------------------------------------------- Oil & Gas--0.1% 20,509 Origin Energy Limited 73,399 57,885 Santos Limited 299,624 42,915 Woodside Petroleum Limited 478,548 --------------- 851,571 ------------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.0% 377 Paperlinx Limited 1,415 ------------------------------------------------------------------------------------------------------------- Real Estate--0.4% 13,119 Centro Properties Group 39,340 186,267 Gandel Retail Trust 188,059 164,540 General Property Trust 370,678 31,118 Investa Property Group 45,954 39,556 Lend Lease Corporation Limited 299,525 22,601 Macquarie Goodman Industrial Trust 28,779 77,774 Mirvac Group 253,147 111,052 Stockland Trust Group 436,769 21,901 Westfield Holdings Limited 230,523 118,758 Westfield Trust 318,542 3,441 Westfield Trust (New) 9,100 --------------- 2,220,416 ------------------------------------------------------------------------------------------------------------- Road & Rail--0.0% 30,522 Toll Holdings Limited 189,724 ------------------------------------------------------------------------------------------------------------- Transportation 177,670 Macquarie Infrastructure Group 455,143 Infrastructure--0.1% 5,500 Patrick Corporation Limited 60,626 3,659 Transurban Group 12,296 --------------- 528,065 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Australia 25,742,867 =================================================================================================================================== Austria Building Products--0.1% 5,247 Wienerberger Baustoffindustrie AG 140,176 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.1% 719 Bank Austria Creditanstalt (a) 36,730 3,028 Erste Bank der Oesterreichischen Sparkassen AG 374,184 --------------- 410,914 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.0% 53 RHI AG (a) 1,009 ------------------------------------------------------------------------------------------------------------- Containers & Packaging--0.0% 911 Mayr--Melnhof Karton AG 109,508 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 8,012 Telekom Austria AG (a) 99,038 Services--0.0% ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.0% 47 Oesterreichische Elektrizitaetswirtschafts--AG "Verbund" 'A' 5,490 ------------------------------------------------------------------------------------------------------------- Machinery--0.0% 458 VA Technologie AG (a) 14,795 ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.0% 1,992 Boehler--Uddeholm AG 134,525 ------------------------------------------------------------------------------------------------------------- Oil & Gas--0.0% 329 OMV AG 49,001 ------------------------------------------------------------------------------------------------------------- Real Estate--0.0% 2,066 Immofinanz Immobilien Anlagen AG (a) 16,417 ------------------------------------------------------------------------------------------------------------- Transportation 1,446 Flughafen Wien AG 67,850 Infrastructure--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Austria 1,048,723 =============================================================================================================
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 17 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Belgium Beverages--0.0% 7,496 Interbrew $ 200,070 ------------------------------------------------------------------------------------------------------------- Chemicals--0.1% 3,522 Solvay SA 305,420 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.2% 53,179 Dexia 916,277 4,631 KBC Bancassurance Holding 216,245 --------------- 1,132,522 ------------------------------------------------------------------------------------------------------------- Construction & Engineering--0.0% 4,785 Suez Lyonnaise des Eaux SA 60 ------------------------------------------------------------------------------------------------------------- Distributors--0.0% 222 D'leteren SA 45,531 ------------------------------------------------------------------------------------------------------------- Diversified Financial 81,269 Fortis 1,633,989 Services--0.3% 3,292 Groupe Bruxelles Lambert SA 185,486 --------------- 1,819,475 ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.1% 1,917 Electrabel SA 602,568 ------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.0% 1,022 Bekaert NV 65,100 ------------------------------------------------------------------------------------------------------------- Electronic Equipment & 520 Barco NV (New Shares) 45,585 Instruments--0.0% ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.1% 2,214 Colruyt NV 213,357 6,033 Delhaize Group 310,325 950 Delhaize Group (ADR) (b) 48,488 --------------- 572,170 ------------------------------------------------------------------------------------------------------------- Leisure Equipment & 5,023 Agfa Gevaert NV 143,188 Products--0.0% ------------------------------------------------------------------------------------------------------------- Marine--0.0% 628 Compagnie Maritime Belge SA (CMB) 50,696 ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.1% 52 Umicore (a) 12 2,965 Union Miniere SA 208,126 --------------- 208,138 ------------------------------------------------------------------------------------------------------------- Oil & Gas--0.0% 628 Exmar NV (a) 26,687 ------------------------------------------------------------------------------------------------------------- Pharmaceuticals--0.1% 9,333 UCB SA 351,871 ------------------------------------------------------------------------------------------------------------- Wireless Telecommunication 457 Mobistar SA (a) 25,651 Services--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Belgium 5,594,732 =================================================================================================================================== Bermuda Textiles, Apparel & 21,785 Yue Yuen Industrial (Holdings) Limited 59,909 Luxury Goods--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Bermuda 59,909 =================================================================================================================================== Denmark Beverages--0.0% 285 Carlsberg A/S 'B' 13,132 ------------------------------------------------------------------------------------------------------------- Chemicals--0.0% 2,267 Novozymes A/S 'B' 82,759 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.2% 41,200 Danske Bank 966,636 ------------------------------------------------------------------------------------------------------------- Commercial Services & 10,216 Group 4 Falck A/S 209,403 Supplies--0.1% 2,439 ISS A/S 120,232 --------------- 329,635 ------------------------------------------------------------------------------------------------------------- Construction & Engineering--0.0% 1,417 FLS Industries A/S 'B' (a) 16,323 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 12,104 TDC A/S 436,742 Services--0.1% ------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.0% 820 NKT Holding A/S 14,898 9,621 Vestas Wind Systems A/S 156,462 --------------- 171,360 ------------------------------------------------------------------------------------------------------------- Food Products--0.0% 555 A/S Det Ostasiatiske Kompagni 24,257 2,482 Danisco A/S 110,369 --------------- 134,626
18 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Denmark Health Care Equipment & 93 Coloplast A/S 'B' $ 7,956 (concluded) Supplies--0.0% 25,856 GN Store Nord A/S (a) 167,755 1,530 William Demant A/S (a) 51,707 --------------- 227,418 ------------------------------------------------------------------------------------------------------------- Household Durables--0.0% 464 Bang & Olufsen Holding A/S 'B' 19,415 ------------------------------------------------------------------------------------------------------------- Insurance--0.0% 907 Topdanmark A/S (a) 48,552 ------------------------------------------------------------------------------------------------------------- Marine--0.1% 69 A/S Dampskibsselskabet Svendborg 'B' 497,938 ------------------------------------------------------------------------------------------------------------- Pharmaceuticals--0.2% 1,278 H. Lundbeck A/S 21,216 21,291 Novo Nordisk A/S 'B' 867,416 --------------- 888,632 ------------------------------------------------------------------------------------------------------------- Road & Rail--0.0% 3,291 DSV, De Sammensluttede Vognmaend af 13-7-1976 A/S 145,507 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Denmark 3,978,675 =================================================================================================================================== Finland Auto Components--0.0% 671 Nokian Renkaat Oyj 50,697 ------------------------------------------------------------------------------------------------------------- Communications 342,747 Nokia Oyj 'A' 5,927,164 Equipment--1.1% 1,270 Nokia Oyj 'A' (ADR) (b) 21,590 --------------- 5,948,754 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 5,791 HPY Holding--HTF Holding Oyj Abp (a) 77,427 Services--0.0% 36,201 TeliaSonera AB 189,041 --------------- 266,468 ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.0% 25,064 Fortum Corporation, the IVO--Neste Group 258,607 ------------------------------------------------------------------------------------------------------------- IT Services--0.0% 8,327 Tietoenator Oyj 227,921 ------------------------------------------------------------------------------------------------------------- Insurance--0.1% 2,198 Pohjola Group PLC 'D' 58,776 29,012 Sampo Insurance Company Ltd. 'A' 300,073 --------------- 358,849 ------------------------------------------------------------------------------------------------------------- Leisure Equipment & 1,968 Amer Group Ltd. 85,268 Products--0.0% ------------------------------------------------------------------------------------------------------------- Machinery--0.1% 4,290 Kone Corporation 'B' 246,209 4,366 Metso Oyj 53,308 154 Wartsila Oyj 'B' 2,953 --------------- 302,470 ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.0% 447 Outokumpu Oyj 6,072 3,289 Rautaruukki Oyj (a) 24,228 --------------- 30,300 ------------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.3% 50,521 Stora Enso Oyj 'R' 680,580 43,379 UPM--Kymmene Oyj 827,308 --------------- 1,507,888 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Finland 9,037,222 =================================================================================================================================== France Aerospace & Defense--0.2% 20,878 European Aeronautic Defence and Space Company 496,405 8,645 Thomson CSF 290,602 --------------- 787,007 ------------------------------------------------------------------------------------------------------------- Airlines--0.0% 1,033 Groupe Air France 15,831 ------------------------------------------------------------------------------------------------------------- Auto Components--0.1% 8,751 Compagnie Generale des Etablissements Michelin 'B' 401,565 7,245 Valeo SA 290,147 --------------- 691,712 ------------------------------------------------------------------------------------------------------------- Automobiles--0.3% 15,373 PSA Peugeot Citroen 783,386 11,657 Renault SA 804,285 --------------- 1,587,671
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 19 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== France Beverages--0.1% 4,774 Pernod Ricard $ 530,812 (continued) ------------------------------------------------------------------------------------------------------------- Building Products--0.2% 24,042 Compagnie de Saint-Gobain 1,176,928 ------------------------------------------------------------------------------------------------------------- Chemicals--0.2% 7,106 Air Liquide 1,254,842 ------------------------------------------------------------------------------------------------------------- Commercial Banks--1.2% 56,094 BNP Paribas SA 3,532,050 26,773 Credit Agricole SA 639,269 24,167 Societe Generale 'A' 2,133,814 --------------- 6,305,133 ------------------------------------------------------------------------------------------------------------- Commercial Services & 1,954 Societe BIC SA 90,306 Supplies--0.0% ------------------------------------------------------------------------------------------------------------- Communications 90,146 Alcatel (a) 1,160,935 Equipment--0.2% 946 Sagem SA (New Shares) 101,383 --------------- 1,262,318 ------------------------------------------------------------------------------------------------------------- Construction & Engineering--0.1% 6,092 Societe Generale d'Entreprises SA 504,464 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.2% 298 Imetal SA 62,735 13,032 Lafarge SA (Ordinary) 1,160,517 --------------- 1,223,252 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 75,017 France Telecom SA (a) 2,144,151 Services--0.4% ------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.2% 13,495 Alstom (a) 21,277 16,430 Schneider SA 1,075,575 --------------- 1,096,852 ------------------------------------------------------------------------------------------------------------- Energy Equipment & 1,407 Compagnie Francaise d'Etudes et de Construction Service--0.0% (Technip SA) 152,271 ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.5% 39,066 Carrefour SA 2,144,488 2,737 Casino Guichard--Perrachon SA 266,174 --------------- 2,410,662 ------------------------------------------------------------------------------------------------------------- Food Products--0.3% 9,323 Groupe Danone 1,521,689 ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 7,188 Essilor International SA 371,730 Supplies--0.1% ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 16,195 Accor SA 733,350 Leisure--0.2% 9,880 Sodexho Alliance SA 297,970 --------------- 1,031,320 ------------------------------------------------------------------------------------------------------------- Household Durables--0.1% 20,538 Thomson Multimedia 437,028 ------------------------------------------------------------------------------------------------------------- IT Services--0.1% 845 Atos Origin SA (a) 54,038 9,515 Cap Gemini SA (a) 422,582 --------------- 476,620 ------------------------------------------------------------------------------------------------------------- Insurance--0.4% 104,135 Axa 2,229,022 582 CNP Assurances 30,304 --------------- 2,259,326 ------------------------------------------------------------------------------------------------------------- Internet Software & 19,771 Wanadoo (a) 162,098 Services--0.0% ------------------------------------------------------------------------------------------------------------- Media--0.5% 9,300 Lagardere SCA 536,908 4,855 Publicis SA 157,383 11,154 Societe Television Francaise 1 389,433 54,852 Vivendi Universal SA (a) 1,333,245 6,053 Vivendi Universal SA (ADR) (a) (b) 146,967 --------------- 2,563,936 ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.1% 30,042 Arcelor 523,688
20 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== France Multi-Utilities & 61,721 Suez SA (a) $ 1,240,179 (concluded) Unregulated Power--0.3% 21,582 Veolia Environment 579,839 --------------- 1,820,018 ------------------------------------------------------------------------------------------------------------- Multiline Retail--0.1% 5,916 Pinault-Printemps-Redoute SA 571,974 ------------------------------------------------------------------------------------------------------------- Oil & Gas--1.5% 43,865 TotalFinaElf SA 8,155,516 939 TotalFinaElf SA 'B' 174,582 4,140 TotalFinaElf SA 'STRIP' 52 --------------- 8,330,150 ------------------------------------------------------------------------------------------------------------- Personal Products--0.3% 22,889 L'Oreal SA 1,876,618 ------------------------------------------------------------------------------------------------------------- Pharmaceuticals--0.9% 49,882 Aventis SA 3,296,939 24,706 Sanofi-Synthelabo SA 1,860,427 --------------- 5,157,366 ------------------------------------------------------------------------------------------------------------- Real Estate--0.1% 440 Gecina (a) 64,712 2,142 Klepierre 128,876 3,754 Unibail (Union du Credit--Bail Immobilier) 352,055 --------------- 545,643 ------------------------------------------------------------------------------------------------------------- Semiconductors & 40,849 STMicroelectronics NV 1,107,786 Semiconductor Equipment--0.2% ------------------------------------------------------------------------------------------------------------- Software--0.1% 6,540 Business Objects SA (a) 228,091 3,179 Dassault Systemes SA 144,996 --------------- 373,087 ------------------------------------------------------------------------------------------------------------- Textiles, Apparel & 189 Hermes International 36,570 Luxury Goods--0.2% 17,690 LVMH (Louis Vuitton Moet Hennessy) 1,287,477 --------------- 1,324,047 ------------------------------------------------------------------------------------------------------------- Transportation 2,314 Autoroutes du Sud de la France 77,639 Infrastructure--0.0% ------------------------------------------------------------------------------------------------------------- Wireless Telecommunication 17,461 Bouygues SA 610,518 Services--0.1% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in France 52,376,493 =================================================================================================================================== Germany Air Freight & Logistics--0.1% 24,004 Deutsche Post AG (Registered Shares) 495,036 ------------------------------------------------------------------------------------------------------------- Airlines--0.1% 19,873 Deutsche Lufthansa AG (Registered Shares) 332,135 ------------------------------------------------------------------------------------------------------------- Auto Components--0.1% 11,586 Continental AG 439,443 ------------------------------------------------------------------------------------------------------------- Automobiles--0.7% 58,964 DaimlerChrysler AG 2,751,848 17,729 Volkswagen AG 987,304 --------------- 3,739,152 ------------------------------------------------------------------------------------------------------------- Biotechnology--0.0% 4,938 QIAGEN NV (a) 60,604 ------------------------------------------------------------------------------------------------------------- Capital Markets--0.5% 35,994 Deutsche Bank AG (Registered Shares) 2,982,849 3,609 Marschollek, Lautenschlaeger und Partner AG (a) 70,559 --------------- 3,053,408 ------------------------------------------------------------------------------------------------------------- Chemicals--0.6% 38,454 BASF AG 2,162,307 50,053 Bayer AG 1,465,980 4,297 Linde AG 231,435 --------------- 3,859,722 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.2% 29,865 Bayerische Hypo- und Vereinsbank AG (a) 690,872 36,482 Commerzbank AG 715,558 --------------- 1,406,430 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.0% 1,777 HeidelbergCement AG (a) 68,789 1,901 HeidelbergCement AG VVPR (a) 24 51 HeidelbergCement AG (Xetra) (a) 2,156 --------------- 70,969
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 21 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Germany Diversified Financial 9,680 Deutsche Boerse AG $ 529,298 (concluded) Services--0.1% ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 178,959 Deutsche Telekom AG (Registered Shares) (a) 3,275,343 Services--0.6% ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.6% 46,826 E.On AG 3,055,971 ------------------------------------------------------------------------------------------------------------- Electronic Equipment & 2,386 Epcos AG (a) 53,872 Instruments--0.0% ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.1% 8,744 Metro AG 385,472 ------------------------------------------------------------------------------------------------------------- Health Care Providers & 3,542 Fresenius Medical Care AG 251,978 Services--0.1% 1,654 Gehe AG 80,217 --------------- 332,195 ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 13,366 Preussag AG 278,683 Leisure--0.1% ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.8% 54,809 Siemens AG 4,389,969 860 Siemens AG (ADR) (b) 68,748 --------------- 4,458,717 ------------------------------------------------------------------------------------------------------------- Insurance--0.7% 19,585 Allianz AG (Registered Shares) 2,472,331 11,211 Muenchener Rueckversicherungs-Gesellschaft AG (Registered Shares) 1,359,233 --------------- 3,831,564 ------------------------------------------------------------------------------------------------------------- Machinery--0.1% 10,959 MAN AG 332,447 ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.1% 25,036 Thyssen Krupp AG 494,846 ------------------------------------------------------------------------------------------------------------- Multi-Utilities & 34,181 RWE AG 1,352,493 Unregulated Power--0.2% ------------------------------------------------------------------------------------------------------------- Multiline Retail--0.0% 1,640 Karstadt AG 40,545 ------------------------------------------------------------------------------------------------------------- Personal Products--0.0% 1,419 Beiersdorf AG 172,184 ------------------------------------------------------------------------------------------------------------- Pharmaceuticals--0.2% 6,471 Altana AG 388,929 2,378 Merck KGaA 99,073 14,186 Schering AG 718,425 --------------- 1,206,427 ------------------------------------------------------------------------------------------------------------- Semiconductors & 38,848 Infineon Technologies AG (a) 539,990 Semiconductor Equipment--0.1% ------------------------------------------------------------------------------------------------------------- Software--0.5% 14,756 SAP AG (Systeme, Anwendungen, Produkte in der Datenverarbeitung) 2,478,253 ------------------------------------------------------------------------------------------------------------- Specialty Retail--0.0% 1,160 Douglas Holding AG 32,248 ------------------------------------------------------------------------------------------------------------- Textiles, Apparel & 4,075 Adidas--Salomon AG 464,142 Luxury Goods--0.1% 1,610 Puma AG Rudolf Dassler Sport 284,308 --------------- 748,450 ------------------------------------------------------------------------------------------------------------- Thrifts & Mortgage Finance--0.1% 12,658 Hypo Real Estate Holding AG (a) 315,971 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Germany 37,371,868 =================================================================================================================================== Greece Beverages--0.0% 9,437 Hellenic Bottling Co. 196,882 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.3% 11,114 Alpha Credit Bank 335,887 1,959 Bank of Piraeus 23,573 1,938 Commercial Bank of Greece 48,597 19,429 EFG Eurobank Ergasias 376,424 18,240 National Bank of Greece SA 476,246 --------------- 1,260,727 ------------------------------------------------------------------------------------------------------------- Communications 8,070 Intracom SA 54,764 Equipment--0.0%
22 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Greece Construction Materials--0.0% 1,341 Titan Cement Company $ 54,973 (concluded) ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 14,796 Hellenic Telecommunications Organization SA (OTE) 195,961 Services--0.0% ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.1% 11,496 Public Power Corporation 284,210 ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 4,693 Greek Organization of Football Prognostics 67,956 Leisure--0.0% ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.0% 4,057 Viohalco, Hellenic Copper and Aluminum Industry SA 26,405 ------------------------------------------------------------------------------------------------------------- Wireless Telecommunication 24,465 Panafon Hellenic Telecom Co. 190,708 Services--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Greece 2,332,586 =================================================================================================================================== Hong Kong Airlines--0.0% 51,263 Cathay Pacific Airways 97,394 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.3% 224,500 BOC Hong Kong (Holdings) Limited 422,188 129,939 Bank of East Asia, Ltd. 399,176 47,953 Hang Seng Bank Limited 630,018 --------------- 1,451,382 ------------------------------------------------------------------------------------------------------------- Distributors--0.1% 158,719 Li & Fung Limited 271,905 ------------------------------------------------------------------------------------------------------------- Diversified Financial 114,000 Hong Kong Exchanges & Clearing Ltd. 247,424 Services--0.2% 52,577 Swire Pacific Limited 'A' 324,391 56,107 Wharf (Holdings) Ltd. 155,379 --------------- 727,194 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 324,195 PCCW Limited (a) 210,880 Services--0.0% ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.2% 131,687 CLP Holdings Limited 627,598 124,000 Hongkong Electric Holdings Limited 490,340 --------------- 1,117,938 ------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.0% 122,328 Johnson Electric Holdings Limited 155,990 ------------------------------------------------------------------------------------------------------------- Gas Utilities--0.1% 206,240 Hong Kong and China Gas Company Ltd. 314,795 ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 24,734 Shangri-La Asia Limited 23,257 Leisure--0.0% ------------------------------------------------------------------------------------------------------------- Household Durables--0.0% 8,280 Techtronic Industries Company Limited 22,983 ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.2% 153,989 Hutchison Whampoa Limited 1,135,539 ------------------------------------------------------------------------------------------------------------- Media--0.0% 3,610 i-CABLE Communications Limited 925 34,025 South China Morning Post Holdings Ltd. 15,011 5,646 Television Broadcasts Ltd. 28,508 --------------- 44,444 ------------------------------------------------------------------------------------------------------------- Real Estate--0.4% 12,000 Amoy Properties Limited 15,379 120,735 Cheung Kong (Holdings) Ltd. 960,300 43,491 Henderson Land Development Company Limited 192,146 225,636 New World Development Company Ltd. 181,646 48,421 Sino Land Company Limited 27,598 107,324 Sun Hung Kai Properties Ltd. 888,192 --------------- 2,265,261 ------------------------------------------------------------------------------------------------------------- Road & Rail--0.0% 24,500 MTR Corporation Limited 32,346 ------------------------------------------------------------------------------------------------------------- Semiconductors & 5,004 ASM Pacific Technology Limited 21,915 Semiconductor Equipment--0.0% ------------------------------------------------------------------------------------------------------------- Specialty Retail--0.0% 24,000 Esprit Holdings Limited 79,911 243,575 Giordano International Limited 112,946 --------------- 192,857 ------------------------------------------------------------------------------------------------------------- Textiles, Apparel & 85,353 Texwinca Holdings Limited 62,116 Luxury Goods--0.0%
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 23 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Hong Kong Transportation 18,465 Hopewell Holdings Limited $ 28,422 (concluded) Infrastructure--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Hong Kong 8,176,618 =================================================================================================================================== Ireland Airlines--0.0% 27,680 Ryanair Holdings PLC (a) 230,084 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.4% 68,954 Allied Irish Banks PLC 1,104,585 53,626 Bank of Ireland (Dublin) 731,878 26,151 Bank of Ireland (London) 356,244 --------------- 2,192,707 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.2% 42,944 CRH PLC (Dublin) 881,846 936 CRH PLC (London) 19,185 --------------- 901,031 ------------------------------------------------------------------------------------------------------------- Food Products--0.1% 35,829 Greencore Group PLC 160,435 4,710 Kerry Group PLC 'A' 88,520 --------------- 248,955 ------------------------------------------------------------------------------------------------------------- Household Durables--0.0% 25,516 Waterford Wedgwood PLC 7,081 6,958 Waterford Wedgwood PLC (Fully Paid Rights) 1,931 --------------- 9,012 ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.0% 3,189 DCC PLC 43,523 ------------------------------------------------------------------------------------------------------------- Insurance--0.0% 13,484 Irish Life & Permanent PLC 217,703 ------------------------------------------------------------------------------------------------------------- Media--0.0% 21,817 Independent News & Media PLC 51,735 ------------------------------------------------------------------------------------------------------------- Pharmaceuticals--0.0% 11,519 Elan Corporation PLC (a) 79,331 5,755 Elan Corporation PLC (ADR) (a)(b) 39,652 --------------- 118,983 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Ireland 4,013,733 =================================================================================================================================== Italy Aerospace & Defense--0.0% 312,371 Finmeccanica SpA 244,680 ------------------------------------------------------------------------------------------------------------- Automobiles--0.1% 43,688 Fiat SpA (a) 335,154 ------------------------------------------------------------------------------------------------------------- Capital Markets--0.1% 32,610 Banca Fideuram SpA 193,735 25,358 Mediobanca SpA 275,234 27,974 Mediolanum SpA 220,673 --------------- 689,642 ------------------------------------------------------------------------------------------------------------- Commercial Banks--1.0% 36,404 Banca Intesa SpA 104,234 52,096 Banca Monte dei Paschi di Siena SpA 164,607 150,302 Banca Nazionale del Lavoro (Ordinary) (a) 359,261 16,065 Banca Popolare di Milano (BPM) 105,411 17,934 Banche Populari Unite Scrl (a) 324,838 32,677 Banco Popolare di Verona e Novara Scrl 553,258 111,199 Capitalia SpA (a) 327,229 234,445 Intesa BCI SpA 916,724 77,657 San Paolo--IMI SpA 1,012,831 279,196 Unicredito Italiano SpA 1,507,262 --------------- 5,375,655 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.0% 5,565 Italcementi SpA 69,422 ------------------------------------------------------------------------------------------------------------- Diversified Financial 48,440 Fineco Group SpA (a) 34,124 Services--0.0% ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 683,210 Telecom Italia SpA (a) 2,025,153 Services--0.5% 381,540 Telecom Italia SpA-RNC (a) 777,228 --------------- 2,802,381 ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.2% 173,905 Enel SpA 1,182,324 ------------------------------------------------------------------------------------------------------------- Food Products--0.0% 58,944 Parmalat Finanziaria SpA 1
24 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Italy Gas Utilities--0.1% 86,966 Snam Rete Gas SpA $ 368,574 (concluded) ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 62,868 Snia SpA 156,298 Supplies--0.0% ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 4,473 Autogrill SpA (a) 64,065 Leisure--0.0% ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.0% 218,669 Pirelli & C. SpA 222,475 ------------------------------------------------------------------------------------------------------------- Insurance--0.4% 25,108 Alleanza Assicurazioni 274,896 63,087 Assicurazioni Generali 1,671,071 17,689 Riunione Adriatica di Sicurta SpA 301,212 --------------- 2,247,179 ------------------------------------------------------------------------------------------------------------- Internet Software & 21,154 Tiscali SpA (a) 147,902 Services--0.1% 171,874 Seat Pagine Gialle SpA (a) 163,679 --------------- 311,581 ------------------------------------------------------------------------------------------------------------- Media--0.1% 15,754 Gruppo Editoriale L'Espresso SpA 98,105 44,545 Mediaset SpA 529,280 5,198 Mondadori (Arnoldo) Editore SpA 46,590 225,866 Telecom Italia Media SpA (a) 112,306 --------------- 786,281 ------------------------------------------------------------------------------------------------------------- Multiline Retail--0.0% 5,245 La Rinascente SpA (a) 20,034 ------------------------------------------------------------------------------------------------------------- Oil & Gas--0.6% 172,908 ENI SpA 3,262,740 1,875 ENI SpA (ADR) (b) 178,087 --------------- 3,440,827 ------------------------------------------------------------------------------------------------------------- Textiles, Apparel & 5,296 Benetton Group SpA 60,856 Luxury Goods--0.1% 17,735 Bulgari SpA 164,398 4,858 Luxottica Group SpA 83,949 --------------- 309,203 ------------------------------------------------------------------------------------------------------------- Transportation 20,029 Autotrade Spa (a) 351,998 Infrastructure--0.1% ------------------------------------------------------------------------------------------------------------- Wireless Telecommunication 257,136 Telecom Italia Mobile (TIM) SpA 1,399,846 Services--0.3% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Italy 20,411,744 =================================================================================================================================== Japan Air Freight & Logistics--0.1% 37,000 Yamato Transport Co., Ltd. 435,700 ------------------------------------------------------------------------------------------------------------- Airlines--0.0% 28,000 Japan Airlines System Corporation 73,939 ------------------------------------------------------------------------------------------------------------- Auto Components--0.3% 51,000 Bridgestone Corp. 685,742 29,600 Denso Corporation 582,775 9,000 NGK Spark Plug Co., Ltd. 72,978 20,000 Sanden Corporation 123,169 7,000 Stanley Electric Co., Ltd. 135,532 6,000 TOYOTA INDUSTRIES CORPORATION 127,368 1,000 Toyoda Gosei Co., Ltd. 28,833 --------------- 1,756,397 ------------------------------------------------------------------------------------------------------------- Automobiles--2.0% 55,400 Honda Motor Co., Ltd. 2,460,614 171,400 Nissan Motor Co., Ltd. 1,957,578 192,000 Toyota Motor Corporation 6,485,397 9,000 Yamaha Motor Co., Ltd. 98,171 --------------- 11,001,760 ------------------------------------------------------------------------------------------------------------- Beverages--0.2% 31,000 Asahi Breweries Limited 282,607 38,000 Kirin Brewery Company, Ltd. 324,083 43,000 Sapporo Breweries Limited 118,363 20,000 Takara Shuzo Co., Ltd. 187,366 --------------- 912,419
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 25 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Japan Building Products--0.3% 47,000 Asahi Glass Company, Limited $ 385,929 (continued) 2,000 Central Glass Co., Ltd. 12,615 9,000 Daikin Industries, Ltd. 207,847 47,000 Nippon Sheet Glass Company, Ltd. 137,268 13,000 Tostem Corporation 251,096 33,000 Toto Limited 279,593 --------------- 1,274,348 ------------------------------------------------------------------------------------------------------------- Capital Markets--0.6% 101,000 Daiwa Securities Group Inc. 687,030 1,100 Jafco Co., Ltd. 86,423 108,000 The Nikko Securities Co., Ltd. 601,624 125,000 The Nomura Securities Co., Ltd. 2,128,627 --------------- 3,503,704 ------------------------------------------------------------------------------------------------------------- Chemicals--1.0% 70,000 Asahi Chemical Industry Co., Ltd. 380,144 3,000 Daicel Chemical Industries, Ltd. 12,373 30,000 Dainippon Ink and Chemicals, Inc. 57,106 3,000 Denki Kagaku Kogyo Kabushiki Kaisha 9,658 2,500 Hitachi Chemical Company, Ltd. 41,989 11,000 Ishihara Sangyo Kaisha, Ltd. 21,965 16,000 JSR Corporation 357,563 13,000 Kaneka Corporation 97,042 38,000 Kuraray Co., Ltd. 320,537 82,000 Mitsubishi Chemical Corporation 213,474 18,000 Mitsubishi Gas Chemical Company, Inc. 61,304 61,000 Mitsubishi Rayon Company, Ltd. 228,814 24,000 Mitsui Chemicals Inc. 139,965 18,000 Nissan Chemical Industries, Ltd. 160,399 12,810 Nitto Denko Corporation 681,319 27,200 Shin-Etsu Chemical Co., Ltd. 1,111,654 102,000 Showa Denko K.K. 229,374 24,000 Sumitomo Bakelite Company Limited 156,536 62,000 Sumitomo Chemical Co., Ltd. 255,706 86,000 Teijin Limited 252,776 107,000 Toray Industries, Inc. 447,289 3,000 Tosoh Corporation 10,021 78,000 Ube Industries, Ltd. 156,480 --------------- 5,403,488 ------------------------------------------------------------------------------------------------------------- Commercial Banks--1.6% 12,000 The 77 Bank, Ltd. 67,631 168,000 Ashikaga Financial Group, Inc. (a) 4,703 61,000 The Bank of Fukuoka, Ltd. 256,135 87,000 The Bank of Yokohama, Ltd. 404,274 24,000 The Chiba Bank, Ltd. 98,311 279,000 Daiwa Bank Holdings, Inc. (a) 351,451 13,000 The Gunma Bank Ltd. 58,104 5,000 Hokugin Financial Group, Inc. 6,765 23,000 The Joyo Bank, Ltd. 75,114 278 Mitsubishi Tokyo Financial Group, Inc. 2,168,592 26,000 Mitsui Trust Holdings, Inc. 145,321 457 Mizuho Financial Group, Inc. 1,385,882 30,000 The Shizuoka Bank, Ltd. 221,704 283 Sumitomo Mitsui Financial Group, Inc. 1,507,819 80,000 The Sumitomo Trust and Banking Co., Ltd. 470,281 4,000 The Suruga Bank, Ltd. 25,716 268 UFJ Holdings, Inc. 1,287,860 --------------- 8,535,663
26 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Japan Commercial Services & 2,000 Benesse Corporation $ 48,801 (continued) Supplies--0.4% 50,000 Dai Nippon Printing Co., Ltd. 702,155 5,000 Kokuyo Co., Ltd. 54,353 500 Meitec Corp. 19,222 17,000 Secom Co., Ltd. 634,506 50,000 Toppan Printing Co., Ltd. 520,202 --------------- 1,979,239 ------------------------------------------------------------------------------------------------------------- Computers & Peripherals--0.5% 117,000 Fujitsu Limited (a) 689,969 12,000 Mitsumi Electric Company, Ltd. 132,127 113,000 NEC Corporation 831,921 5,700 Seiko Epson Corporation 265,933 220,000 Toshiba Corporation 833,442 --------------- 2,753,392 ------------------------------------------------------------------------------------------------------------- Construction & 15,000 COMSYS Holdings Corporation 96,016 Engineering--0.2% 23,000 JGC Corporation 239,937 88,000 Kajima Corporation 285,752 9,000 Kinden Corporation 42,409 14,000 Nishimatsu Construction Co., Ltd. 46,375 25,000 Obayashi Corporation 111,738 16,000 Shimizu Corporation 60,913 76,000 Taisei Corporation 277,988 3,000 Toda Corporation 8,482 --------------- 1,169,610 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.1% 67,000 Sumitomo Osaka Cement Co., Ltd. 131,287 83,000 Taiheiyo Cement Corporation 234,665 --------------- 365,952 ------------------------------------------------------------------------------------------------------------- Consumer Finance--0.3% 3,500 Acom Co., Ltd. 158,720 2,000 Aiful Corporation 146,310 14,000 Credit Saison Co., Ltd. 316,133 7,000 Orix Corporation 578,707 4,700 Promise Co., Ltd. 204,805 3,520 Takefuji Corporation 164,554 --------------- 1,569,229 ------------------------------------------------------------------------------------------------------------- Containers & Packaging--0.0% 10,000 Toyo Seikan Kaisha, Ltd. 139,778 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 395 Nippon Telegraph & Telephone Corporation (NTT) 1,905,524 Services--0.3% ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.8% 40,700 Chubu Electric Power Company, Incorporated 848,787 43,000 Kansai Electric Power Company, Inc. 753,513 23,600 Kyushu Electric Power Company, Incorporated 405,849 25,100 Tohoku Electric Power Co., Inc. 416,186 87,500 Tokyo Electric Power 1,918,681 --------------- 4,343,016 ------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.3% 59,000 The Furukawa Electric Co., Ltd. 195,988 35,000 Fujikura Ltd. 206,401 16,000 Matsushita Electric Works, Ltd. 143,772 103,000 Mitsubishi Electric Corporation 427,685 51,000 Sumitomo Electric Industries 455,893 3,000 Ushio Inc. 49,799 --------------- 1,479,538 ------------------------------------------------------------------------------------------------------------- Electronic Equipment & 15,000 Alps Electric Co., Ltd. 219,464 Instruments--1.2% 15,000 Anritsu Corp. (a) 100,075 29,000 Citizen Watch Co. 266,539 8,000 Dainippon Screen Mfg. Co., Ltd. 54,717 1,500 Hirose Electric Co., Ltd. 172,156 191,000 Hitachi Ltd. 1,151,311 9,000 Hoya Corporation 826,351
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 27 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Japan Electronic Equipment & 1,900 Keyence Corporation $ 400,495 (continued) Instruments (concluded) 10,700 Kyocera Corporation 712,867 1,200 Mabuchi Motor Co., Ltd. 92,377 14,800 Murata Manufacturing Co., Ltd. 799,589 1,800 Nidec Corporation 171,820 56,000 Oki Electric Industry Company, Limited (a) 218,942 11,000 Omron Corporation 223,243 9,200 TDK Corporation 662,723 13,000 Taiyo Yuden Co., Ltd. 169,945 22,000 Yokogawa Electric Corporation 317,775 --------------- 6,560,389 ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.5% 5,400 FamilyMart Co., Ltd. 122,945 24,000 Ito-Yokado Co., Ltd. 754,689 19,000 JUSCO Co., Ltd. 636,465 2,400 Lawson Inc. 81,963 5,600 Matsumotokiyoshi Co., Ltd. 125,669 27,000 Seven-Eleven Japan Co., Ltd. 818,793 4,000 Uny Co., Ltd. 41,056 --------------- 2,581,580 ------------------------------------------------------------------------------------------------------------- Food Products--0.2% 48,000 Ajinomoto Co., Inc. 552,244 24,000 Kikkoman Corporation 170,645 1,000 Nichirei Corporation 3,238 10,000 Nippon Meat Packers, Inc. 97,789 13,000 Nisshin Seifun Group Inc. 115,723 9,800 Nissin Food Products Co., Ltd. 244,154 500 Snow Brand Milk Products Co., Ltd. (a) 1,442 3,000 Yakult Honsha Co., Ltd. 46,888 7,000 Yamazaki Baking Co., Ltd. 58,067 --------------- 1,290,190 ------------------------------------------------------------------------------------------------------------- Gas Utilities--0.2% 177,000 Osaka Gas Co. 478,959 210,000 Tokyo Gas Co. 748,530 --------------- 1,227,489 ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 19,000 Olympus Optical Co., Ltd. 412,196 Supplies--0.1% 14,400 Terumo Corporation 273,435 --------------- 685,631 ------------------------------------------------------------------------------------------------------------- Health Care Providers & 200 Nichii Gakkan Company 11,346 Services--0.0% 500 Suzuken Co., Ltd. 16,236 --------------- 27,582 ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 1,900 Oriental Land Co., Ltd 117,188 Leisure--0.0% 2,000 Skylark Co., Ltd. 33,032 --------------- 150,220 ------------------------------------------------------------------------------------------------------------- Household Durables--1.3% 22,000 Casio Computer Co., Ltd. 232,789 3,700 Daito Trust Construction Co., Ltd. 109,788 41,000 Daiwa House Industry Co., Ltd. 436,130 144,000 Matsushita Electric Industrial Company, Ltd. 1,991,304 13,800 Pioneer Corporation 381,151 122,000 Sanyo Electric Co., Ltd. 637,492 25,000 Sekisui Chemical Co., Ltd. 127,368 26,000 Sekisui House, Ltd. 268,564 69,000 Sharp Corporation 1,088,728 61,500 Sony Corporation 2,129,001 --------------- 7,402,315 ------------------------------------------------------------------------------------------------------------- Household Products--0.2% 44,000 Kao Corporation 895,027 4,600 Uni-Charm Corporation 226,201 --------------- 1,121,228
28 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Japan IT Services--0.2% 6,500 CSK Corporation $ 234,721 (continued) 73 NTT Data Corporation 275,870 20 Net One Systems Co., Ltd. 153,961 2,600 Nomura Research Institute, Ltd. 253,522 100 OBIC Co., Ltd. 20,118 400 Toyo Information Systems Co., Ltd. 13,511 --------------- 951,703 ------------------------------------------------------------------------------------------------------------- Insurance--0.5% 54 Daido Life Insurance Company 160,735 113 Millea Holdings, Inc. 1,476,159 103,000 Mitsui Sumitomo Insurance Company, Limited 845,759 42,000 The Yasuda Fire & Marine Insurance Co. Ltd. 345,265 --------------- 2,827,918 ------------------------------------------------------------------------------------------------------------- Internet Software & 16,100 Softbank Corp. 492,750 Services--0.1% ------------------------------------------------------------------------------------------------------------- Leisure Equipment & 2,100 BANDAI CO., LTD. 52,907 Products--0.3% 37,000 Fuji Photo Film 1,194,551 1,400 SANKYO CO., LTD. 44,415 3,500 Shimano Inc. 72,502 14,600 Yamaha Corporation 286,769 --------------- 1,651,144 ------------------------------------------------------------------------------------------------------------- Machinery--0.7% 35,000 Amada Co., Ltd. 182,234 13,000 Ebara Corporation 56,527 10,000 Fanuc Ltd. 599,048 5,000 Hino Motors, Ltd. 35,644 27,000 Ishikawajima--Harima Heavy Industries Co., Ltd. 38,546 146,000 Kawasaki Heavy Industries Ltd. 179,826 82,000 Komatsu Ltd. 520,295 12,000 Koyo Seiko Co. 123,281 47,000 Kubota Corporation 193,842 3,000 Kurita Water Industries Ltd. 36,195 41,000 Minebea Company Ltd. 208,118 236,000 Mitsubishi Heavy Industries, Ltd. (a) 656,228 96,000 Mitsui Engineering & Shipbuilding Co., Ltd. 158,552 13,000 NGK Insulators, Ltd. 97,042 14,000 NSK Limited 51,078 15,000 NTN Corporation 71,522 3,100 SMC Corporation 385,873 68,000 Sumitomo Heavy Industries, Ltd. 154,185 3,700 THK Co., Ltd. 75,264 8,000 Takuma Co., Ltd. 43,669 --------------- 3,866,969 ------------------------------------------------------------------------------------------------------------- Marine--0.2% 52,000 Kawasaki Kisen Kaisha, Ltd. 258,617 38,000 Mitsui O.S.K. Lines, Ltd. 185,444 87,000 Nippon Yusen Kabushiki Kaisha 393,720 --------------- 837,781 ------------------------------------------------------------------------------------------------------------- Media--0.0% 600 Asatsu-Dk Inc. 15,452 9 Dentsu Inc. 45,349 13 Fuji Television Network, Incorporated 70,356 5,000 Toho Co., Ltd. 63,637 4,000 Tokyo Broadcasting System, Inc. 63,712 --------------- 258,506
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 29 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Japan Metals & Mining--0.5% 7,000 Dowa Mining Co., Ltd. $ 37,622 (continued) 29,900 JFE Holdings, Inc. 816,063 35,000 Mitsubishi Materials Corporation 53,886 61,000 Mitsui Mining & Smelting Co., Ltd. 253,289 440,000 Nippon Steel Corporation 944,294 296,000 Sumitomo Metal Industries, Ltd. 292,768 47,000 Sumitomo Metal Mining Co. 348,652 --------------- 2,746,574 ------------------------------------------------------------------------------------------------------------- Multiline Retail--0.2% 9,000 The Daimaru, Inc. 49,967 6,000 Hankyu Department Stores, Inc. 40,198 20,000 Isetan Company Ltd. 220,211 31,000 Marui Co., Ltd. 390,501 16,000 Mitsukoshi, Ltd. (a) 65,093 30,000 Takashimaya Co., Ltd. 214,146 --------------- 980,116 ------------------------------------------------------------------------------------------------------------- Office Electronics--0.8% 59,000 Canon, Inc. 2,747,131 35,000 Konica Corporation 470,607 51,000 Ricoh Co., Ltd. 1,006,485 --------------- 4,224,223 ------------------------------------------------------------------------------------------------------------- Oil & Gas--0.2% 33,500 Nippon Mining Holdings, Inc. 116,908 99,000 Nippon Mitsubishi Oil Corp. 504,376 6,000 Showa Shell Sekiyu K.K. 48,764 35,000 Teikoku Oil Co., Ltd. 176,029 10,000 TonenGeneral Sekiyu K.K. 82,766 --------------- 928,843 ------------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.1% 49 Nippon Unipac Holding 252,841 72,000 Oji Paper Co., Ltd. 464,906 --------------- 717,747 ------------------------------------------------------------------------------------------------------------- Personal Products--0.1% 1,700 ADERANS Company Limited 27,427 96,000 Kanebo, Ltd. (a) 96,743 33,000 Shiseido Company, Limited 401,222 --------------- 525,392 ------------------------------------------------------------------------------------------------------------- Pharmaceuticals--1.1% 13,000 Chugai Pharmaceutical Co., Ltd. 186,927 23,000 Daiichi Pharmaceutical Co., Ltd. 414,416 19,000 Eisai Company, Ltd. 512,364 23,000 Fujisawa Pharmaceutical Co., Ltd. 490,389 8,000 Kaken Pharmaceutical Co., Ltd. 40,160 11,000 Kyowa Hakko Kogyo Co., Ltd. 70,001 30,800 Sankyo Company, Ltd. 579,099 26,000 Shionogi & Co., Ltd. 484,240 7,000 Taisho Pharmaceutical Company, Ltd. 125,147 64,000 Takeda Chemical Industries, Ltd. 2,538,024 25,000 Yamanouchi Pharmaceutical Co., Ltd. 776,803 --------------- 6,217,570 ------------------------------------------------------------------------------------------------------------- Real Estate--0.3% 31 Japan Real Estate Investment Corporation 196,118 80,000 Mitsubishi Estate Company, Limited 758,421 60,000 Mitsui Fudosan Co., Ltd. 541,943 22 Office Building Fund of Japan Incorporated 141,234 32,000 Sumitomo Realty & Development Co., Ltd. 281,870 --------------- 1,919,586
30 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Japan Road & Rail--0.6% 51 Central Japan Railway Company $ 440,664 (concluded) 266 East Japan Railway Company 1,253,429 15,000 Keihin Electric Express Railway Co., Ltd. 88,038 19,000 Keio Electric Railway Co., Ltd. 98,750 72,000 Kinki Nippon Railway Co., Ltd. 216,329 78,000 Nippon Express Co., Ltd. 368,275 13,000 Seino Transportation Co., Ltd. 107,474 26,000 Tobu Railway Co., Ltd. 92,918 86,000 Tokyu Corporation 441,355 55 West Japan Railway Company 216,059 --------------- 3,323,291 ------------------------------------------------------------------------------------------------------------- Semiconductors & 5,500 Advantest Corporation 436,223 Semiconductor Equipment--0.4% 14,000 Nikon Corporation 211,104 7,000 Rohm Company Ltd. 820,379 9,900 Tokyo Electron Limited 751,946 --------------- 2,219,652 ------------------------------------------------------------------------------------------------------------- Software--0.2% 3,600 Konami Co., Ltd. 104,805 5,200 Namco Ltd. 144,107 8,000 Nintendo Company Ltd. 746,478 900 Oracle Corporation Japan 46,608 14,800 Sega Enterprises Ltd. (a) 140,860 4,000 Trend Micro Incorporated (a) 107,306 --------------- 1,290,164 ------------------------------------------------------------------------------------------------------------- Specialty Retail--0.1% 2,800 Aoyamma Trading Co., Ltd. 55,389 1,300 Autobacs Seven Co., Ltd. 29,901 2,700 Fast Retailing Co., Ltd. 164,010 600 Shimamura Co., Ltd. 40,758 500 USS Co., Ltd. 35,364 8,000 Yamada Denki Co. Ltd. 268,732 --------------- 594,154 ------------------------------------------------------------------------------------------------------------- Textiles, Apparel & 1,000 Nisshinbo Industries Inc. 5,571 Luxury Goods--0.0% 13,000 Onward Kashiyama Co., Ltd. 157,693 2,000 Toyobo Co., Ltd. 4,367 5,000 Wacoal Corp. 41,196 1,600 World Co., Ltd. 50,910 --------------- 259,737 ------------------------------------------------------------------------------------------------------------- Tobacco--0.1% 64 Japan Tobacco, Inc. 468,788 ------------------------------------------------------------------------------------------------------------- Trading Companies & 76,000 ITOCHU Corporation 251,040 Distributors--0.4% 132,000 Marubeni Corporation 252,496 83,000 Mitsubishi Corporation 879,798 82,000 Mitsui & Co., Ltd. 660,315 35,000 Sumitomo Corporation 260,941 --------------- 2,304,590 ------------------------------------------------------------------------------------------------------------- Transportation 8,000 Mitsubishi Logistics Corp. 66,511 Infrastructure--0.0% ------------------------------------------------------------------------------------------------------------- Wireless Telecommunication 1,191 NTT DoCoMo, Inc. 2,700,504 Services--0.5% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Japan 112,023,533 =============================================================================================================
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 31 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Netherlands Air Freight & Logistics--0.1% 29,130 TNT Post Group NV $ 682,320 ------------------------------------------------------------------------------------------------------------- Beverages--0.1% 14,233 Heineken NV 541,995 ------------------------------------------------------------------------------------------------------------- Chemicals--0.2% 17,506 Akzo Nobel NV 675,685 7,963 DSM NV 392,023 --------------- 1,067,708 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.5% 109,324 ABN AMRO Holding NV 2,557,969 ------------------------------------------------------------------------------------------------------------- Commercial Services & 7,896 Vedior NV 'A' 123,499 Supplies--0.0% ------------------------------------------------------------------------------------------------------------- Diversified Financial 6,783 Euronext NV 171,714 Services--0.6% 125,433 ING Groep NV 2,925,395 --------------- 3,097,109 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 149,083 KPN NV (a) 1,150,841 Services--0.2% ------------------------------------------------------------------------------------------------------------- Energy Equipment & 2,943 IHC Caland NV 159,623 Service--0.0% ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.1% 86,704 Koninklijke Ahold NV (a) 660,559 ------------------------------------------------------------------------------------------------------------- Food Products--0.5% 8,682 Koninklijke Numico NV (a) 239,937 42,182 Unilever NV 'A' 2,758,746 --------------- 2,998,683 ------------------------------------------------------------------------------------------------------------- Household Durables--0.5% 93,743 Koninklijke (Royal) Philips Electronics NV 2,737,321 ------------------------------------------------------------------------------------------------------------- Insurance--0.3% 96,204 Aegon NV 1,423,400 ------------------------------------------------------------------------------------------------------------- Media--0.3% 54,034 Reed Elsevier NV 671,335 13,773 VNU NV 435,183 24,904 Wolters Kluwer NV 'A' 389,517 --------------- 1,496,035 ------------------------------------------------------------------------------------------------------------- Office Electronics--0.0% 194 Oce NV 2,973 ------------------------------------------------------------------------------------------------------------- Oil & Gas--1.5% 150,203 Royal Dutch Petroleum Company 7,919,371 ------------------------------------------------------------------------------------------------------------- Real Estate--0.0% 1,655 Corio NV 64,087 1,648 Rodamco Europe NV 95,974 169 Wereldhave NV 12,652 --------------- 172,713 ------------------------------------------------------------------------------------------------------------- Semiconductors & 37,151 ASM Lithography Holding NV (a) 736,646 Semiconductor Equipment--0.1% ------------------------------------------------------------------------------------------------------------- Specialty Retail--0.0% 1,228 Vendex KBB NV 17,116 ------------------------------------------------------------------------------------------------------------- Trading Companies & 30,280 Hagemeyer NV 68,367 Distributors--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in the Netherlands 27,614,248 =================================================================================================================================== New Zealand Construction Materials--0.0% 20,926 Fletcher Building Limited 58,253 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 149,502 Telecom Corporation of New Zealand Limited 527,095 Services--0.1% ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.0% 31,055 Contact Energy Limited 109,694 ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 1,054 Fisher & Paykel Industries Limited 8,754 Supplies--0.0% ------------------------------------------------------------------------------------------------------------- Household Durables--0.1% 48,724 Fisher & Paykel Appliances Holdings Limited 122,841 ------------------------------------------------------------------------------------------------------------- Insurance--0.0% 93,688 Tower Limited (a) 76,889 ------------------------------------------------------------------------------------------------------------- Multiline Retail--0.0% 16,257 The Warehouse Group Limited 54,648 ------------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.0% 7,526 Carter Holt Harvey Limited 9,289 9,927 Fletcher Challenge Forests (a) 8,864 --------------- 18,153
32 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== New Zealand Transportation 16,200 Auckland International Airport Limited $ 74,559 (concluded) Infrastructure--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in New Zealand 1,050,886 =================================================================================================================================== Norway Airlines--0.0% 2,392 SAS AB (a) 22,831 ------------------------------------------------------------------------------------------------------------- Beverages--0.1% 10,156 Orkla ASA 'A' 227,460 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.1% 56,656 DNB Holding ASA 378,115 ------------------------------------------------------------------------------------------------------------- Communications Equipment--0.0% 17,657 Tandberg ASA (a) 130,049 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 41,889 Telenor A/S 273,895 Services--0.1% 8,900 Telenor A/S (ADR) (b) 164,650 --------------- 438,545 ------------------------------------------------------------------------------------------------------------- Energy Equipment & 5,494 Aker Kvaerner ASA (a) 93,937 Service--0.0% 3,691 Smedvig ASA 'A' 28,018 --------------- 121,955 ------------------------------------------------------------------------------------------------------------- Insurance--0.0% 18,604 Storebrand ASA (a) 121,085 ------------------------------------------------------------------------------------------------------------- Machinery--0.0% 2,598 Tomra Systems ASA 15,660 ------------------------------------------------------------------------------------------------------------- Media--0.0% 3,568 Schibsted ASA 61,408 ------------------------------------------------------------------------------------------------------------- Oil & Gas--0.2% 5,880 Frontline Limited 152,462 11,455 Norsk Hydro ASA 706,812 23,291 Statoil ASA 261,695 --------------- 1,120,969 ------------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.0% 3,089 Norske Skogindustrier ASA 58,968 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Norway 2,697,045 =================================================================================================================================== Portugal Commercial Banks--0.1% 41,741 BPI-SGPS, SA (Registered Shares) 153,738 100,250 Banco Comercial Portugues, SA (BCP)(Registered Shares) 223,817 8,484 Banco Espirito Santo, SA (Registered Shares) 139,117 --------------- 516,672 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.0% 15,305 CIMPOR--Cimentos de Portugal, SGPS, SA 79,150 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 67,126 Portugal Telecom SA (Registered Shares) 675,662 Services--0.1% ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.1% 96,727 Eletricidade de Portugal, SA (EDP) 254,994 ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.0% 3,120 Jeronimo Martins SGPS, SA (a) 41,164 ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.0% 167,439 Sonae, S.G.P.S., SA (a) 139,392 ------------------------------------------------------------------------------------------------------------- Media--0.0% 2,349 PT Multimedia--Servicos de Telecomunicacoes e Multimedia, SGPS, SA (a) 45,629 ------------------------------------------------------------------------------------------------------------- Transportation 11,704 Brisa-Auto Estradas de Portugal, SA 78,243 Infrastructure--0.0% ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Portugal 1,830,906 =================================================================================================================================== Singapore Aerospace & Defense--0.0% 56,213 Singapore Technologies Engineering Ltd. 67,523 ------------------------------------------------------------------------------------------------------------- Air Freight & Logistics--0.0% 258,308 Singapore Post Limited 105,708 ------------------------------------------------------------------------------------------------------------- Airlines--0.0% 27,582 Singapore Airlines Limited 181,899 ------------------------------------------------------------------------------------------------------------- Beverages--0.0% 3,836 Fraser & Neave Limited 28,460 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.3% 70,751 DBS Group Holdings Limited 612,400 58,598 Oversea--Chinese Banking Corporation Ltd. 417,497 99,204 United Overseas Bank Ltd. 771,061 --------------- 1,800,958
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 33 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Singapore Computers & Peripherals--0.0% 5,907 Creative Technology Limited $ 62,259 (concluded) ------------------------------------------------------------------------------------------------------------- Distributors--0.0% 3,281 Cycle & Carriage Ltd. 11,205 ------------------------------------------------------------------------------------------------------------- Diversified Financial 147,000 Singapore Exchange Limited 146,282 Services--0.0% ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 373,718 Singapore Telecommunications, Ltd. 431,306 Services--0.1% ------------------------------------------------------------------------------------------------------------- Electronic Equipment & 17,000 Venture Manufacturing (Singapore) Ltd. 200,200 Instruments--0.1% ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & Leisure--0.0% 2,631 Overseas Union Enterprise Ltd. 10,767 ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.0% 1,766 Haw Par Corporation Ltd. 4,638 33,914 Keppel Corporation Ltd. 121,813 24,154 Sembcorp Industries Limited 17,920 --------------- 144,371 ------------------------------------------------------------------------------------------------------------- Marine--0.0% 128,873 Neptune Orient Lines Limited (a) 163,908 ------------------------------------------------------------------------------------------------------------- Media--0.1% 32,792 Singapore Press Holdings Ltd. 364,935 ------------------------------------------------------------------------------------------------------------- Real Estate--0.1% 33,833 Capitaland Limited 30,879 59,535 City Developments Limited 212,087 --------------- 242,966 ------------------------------------------------------------------------------------------------------------- Road & Rail--0.0% 104,816 ComfortDelGro Corporation Limited 50,300 ------------------------------------------------------------------------------------------------------------- Semiconductors & 127,000 Chartered Semiconductor Manufacturing Semiconductor Equipment--0.1% Limited (a) 129,371 1,120 Chartered Semiconductor Manufacturing Limited (ADR) (a)(b) 11,278 74,000 ST Assembly Test Services Limited (a) 92,375 --------------- 233,024 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Singapore 4,246,071 =================================================================================================================================== South Africa Beverages--0.1% 66,696 SABMiller PLC 691,302 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in South Africa 691,302 =================================================================================================================================== Spain Airlines--0.0% 61,946 Iberia Lineas Aereas de Espana SA 178,149 ------------------------------------------------------------------------------------------------------------- Biotechnology--0.0% 6,228 Zeltia, SA 43,992 ------------------------------------------------------------------------------------------------------------- Commercial Banks--1.3% 217,285 Banco Bilbao Vizcaya, SA 3,001,095 13,467 Banco Popular Espanol SA 803,467 293,793 Banco Santander Central Hispano SA 3,479,708 --------------- 7,284,270 ------------------------------------------------------------------------------------------------------------- Construction & 4,896 ACS, Actividades de Construccion y Engineering--0.1% Servicios, SA 239,000 662 Acciona SA 40,289 2,428 Fomento de Construcciones y Contratas SA 89,549 7,548 Grupo Ferrovial, SA 264,484 --------------- 633,322 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 323,337 Telefonica SA 4,747,273 Services--0.9% 1,081 Telefonica SA (ADR) (b) 47,769 --------------- 4,795,042 ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.5% 69,128 Endesa SA 1,329,718 59,526 Iberdrola SA 1,176,553 9,594 Union Electrica Fenosa, SA 180,190 --------------- 2,686,461 ------------------------------------------------------------------------------------------------------------- Gas Utilities--0.1% 10,404 Gas Natural SDG, SA 'E' 243,433 ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 14,152 NH Hoteles, SA (a) 162,619 Leisure--0.0%
34 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Spain IT Services--0.0% 16,892 Amadeus Global Travel Distribution SA 'A' $ 109,730 (concluded) 15,720 Indra Sistemas, SA 201,655 --------------- 311,385 ------------------------------------------------------------------------------------------------------------- Insurance--0.1% 12,979 Corporacion Mapfre SA 183,847 ------------------------------------------------------------------------------------------------------------- Media--0.0% 3,173 Antena 3 Television, SA (a) 139,839 ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.0% 2,745 Acerinox SA 129,425 ------------------------------------------------------------------------------------------------------------- Oil & Gas--0.2% 69,964 Repsol--YPF, SA 1,364,332 ------------------------------------------------------------------------------------------------------------- Real Estate--0.0% 4,963 Vallehermoso SA 75,121 ------------------------------------------------------------------------------------------------------------- Specialty Retail--0.1% 11,949 Industria de Disenso Textil, SA 242,657 ------------------------------------------------------------------------------------------------------------- Tobacco--0.1% 23,779 Altadis (a) 674,857 ------------------------------------------------------------------------------------------------------------- Transportation 16,075 Autopistas, Concesionaria Espanola SA 243,112 Infrastructure--0.1% ------------------------------------------------------------------------------------------------------------- Water Utilities--0.0% 34 Sociedad General de Aguas de Barcelona, SA 496 3,496 Sociedad General de Aguas de Barcelona, SA (a) 52,167 --------------- 52,663 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Spain 19,444,526 =================================================================================================================================== Sweden Airlines--0.0% 1,680 SAS AB (a) 15,937 ------------------------------------------------------------------------------------------------------------- Auto Components--0.0% 11,597 Trelleborg AB 'B' 188,574 ------------------------------------------------------------------------------------------------------------- Building Products--0.1% 29,631 Assa Abloy AB 'B' 352,098 ------------------------------------------------------------------------------------------------------------- Commercial Banks--0.5% 158,820 Nordbanken Holding AB 1,191,928 41,519 Skandinaviska Enskilda Banken (SEB) 'A' 611,651 45,462 Svenska Handelsbanken AB 928,789 --------------- 2,732,368 ------------------------------------------------------------------------------------------------------------- Commercial Services & 28,878 Securitas AB 'B' 389,305 Supplies--0.1% ------------------------------------------------------------------------------------------------------------- Communications 1,082,901 Telefonaktiebolaget LM Ericsson AB 'B' (a) 1,941,465 Equipment--0.4% 1,407 Telefonaktiebolaget LM Ericsson (Sponsored ADR) (a)(b) 24,904 --------------- 1,966,369 ------------------------------------------------------------------------------------------------------------- Construction & 28,123 Skanska AB 'B' 248,191 Engineering--0.0% ------------------------------------------------------------------------------------------------------------- Diversified Financial 1,010 OM Gruppen AB 12,563 Services--0.0% ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 5,553 Tele2 AB 'B' (a) 296,353 Services--0.1% 65,817 Telia AB 343,936 --------------- 640,289 ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 2,151 Getinge AB 'B' 20,627 Supplies--0.0% 850 Nobel Biocare Holding AG 82,929 --------------- 103,556 ------------------------------------------------------------------------------------------------------------- Health Care Providers & 4,167 Gambro AB 'A' 34,458 Services--0.0% 3,981 Gambro AB 'B' 32,920 --------------- 67,378 ------------------------------------------------------------------------------------------------------------- Household Durables--0.1% 25,494 Electrolux AB 'B' 559,817 ------------------------------------------------------------------------------------------------------------- IT Services--0.0% 4,275 WM--Data AB 'B' (a) 9,209 ------------------------------------------------------------------------------------------------------------- Insurance--0.1% 80,836 Skandia Forsakrings AB 294,345
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 35 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Sweden Machinery--0.4% 11,276 Alfa Laval AB $ 171,601 (concluded) 10,541 Atlas Copco AB 'A' 377,233 2,672 Atlas Copco AB 'B' 87,082 8,620 SKF AB 'B' 333,045 18,995 Sandvik AB 654,700 3,880 Volvo AB 'A' 113,780 19,796 Volvo AB 'B' 605,273 --------------- 2,342,714 ------------------------------------------------------------------------------------------------------------- Media--0.0% 5,819 Eniro AB 55,802 2,810 Modern Times Group MTG AB 'B' (a) 59,166 --------------- 114,968 ------------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.1% 277 Billerud 4,177 945 Holmen AB 'B' 33,556 16,415 Svenska Cellulosa AB (SCA) 'B' 670,717 --------------- 708,450 ------------------------------------------------------------------------------------------------------------- Real Estate--0.0% 11,038 Drott AB 'B' 209,399 ------------------------------------------------------------------------------------------------------------- Specialty Retail--0.2% 38,616 Hennes & Mauritz AB 'B' 917,729 ------------------------------------------------------------------------------------------------------------- Tobacco--0.1% 34,658 Swedish Match AB 354,032 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Sweden 12,227,291 =================================================================================================================================== Switzerland Biotechnology--0.1% 415 Serono SA 'B' 295,961 ------------------------------------------------------------------------------------------------------------- Building Products--0.0% 53 Geberit AG (Registered Shares) 26,055 ------------------------------------------------------------------------------------------------------------- Capital Markets--1.7% 89,468 Credit Suisse Group 3,273,440 88,833 UBS AG (Registered Shares) 6,083,812 --------------- 9,357,252 ------------------------------------------------------------------------------------------------------------- Chemicals--0.4% 6,377 Ciba Specialty Chemicals AG (Registered Shares) 493,454 5,516 Clariant AG (Registered Shares) (a) 81,396 632 Givaudan (Registered Shares) 328,073 5,078 Lonza Group AG (Registered Shares) 291,931 9,410 Syngenta AG 633,801 --------------- 1,828,655 ------------------------------------------------------------------------------------------------------------- Commercial Services & 9,197 Adecco SA (Registered Shares) 591,196 Supplies--0.1% 211 SGS Societe Generale de Surveillance Holding SA 'R' 132,392 --------------- 723,588 ------------------------------------------------------------------------------------------------------------- Computers & Peripherals--0.0% 4,597 Logitech International SA (Registered Shares) (a) 198,860 ------------------------------------------------------------------------------------------------------------- Construction Materials--0.1% 13,268 Holcim Ltd. (Registered Shares) 617,940 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 1,961 Swisscom AG (Registered Shares) 646,928 Services--0.1% ------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.1% 140,822 ABB Ltd. (a) 713,931 ------------------------------------------------------------------------------------------------------------- Electronic Equipment & 1,763 Kudelski SA (Bearer) (a) 58,232 Instruments--0.0% ------------------------------------------------------------------------------------------------------------- Food Products--1.4% 30,278 Nestle SA (Registered Shares) 7,564,910 ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 225 Synthes--Stratec Inc. 222,680 Supplies--0.0% ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 35 Kuoni Reisen Holding AG 11,716 Leisure--0.0% ------------------------------------------------------------------------------------------------------------- Insurance--0.6% 25,321 Swiss Re (Registered Shares) 1,709,564 9,957 Zurich Financial Services AG 1,433,067 --------------- 3,142,631 ------------------------------------------------------------------------------------------------------------- Machinery--0.0% 133 Sulzer AG (Registered Shares) 35,811
36 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== Switzerland Pharmaceuticals--2.5% 178,523 Novartis AG (Registered Shares) $ 8,105,168 (concluded) 53,046 Roche Holding AG 5,350,708 1,683 Roche Holding AG (Bearer) 233,381 --------------- 13,689,257 ------------------------------------------------------------------------------------------------------------- Semiconductors & 444 Unaxis Holding AG 'R' 62,916 Semiconductor Equipment--0.0% ------------------------------------------------------------------------------------------------------------- Textiles, Apparel & 38,662 Compagnie Financiere Richemont AG 'A' 928,451 Luxury Goods--0.2% 2,838 Swatch Group AG 'B' 340,767 2,276 Swatch Group AG (Registered Shares) 54,289 --------------- 1,323,507 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in Switzerland 40,520,830 =================================================================================================================================== United Kingdom Aerospace & Defense--0.2% 247,638 BAE Systems PLC 745,868 3,528 Cobham PLC 73,704 130,020 Rolls-Royce Group PLC 412,559 --------------- 1,232,131 ------------------------------------------------------------------------------------------------------------- Air Freight & Logistics--0.1% 28,554 Ocean Group PLC 377,491 ------------------------------------------------------------------------------------------------------------- Airlines--0.0% 56,417 British Airways PLC (a) 234,813 ------------------------------------------------------------------------------------------------------------- Auto Components--0.0% 53,109 GKN PLC 253,845 ------------------------------------------------------------------------------------------------------------- Automobiles--0.0% 1,025 TI Automotive Limited 'A' (a) 0 ------------------------------------------------------------------------------------------------------------- Beverages--0.6% 217,167 Diageo PLC 2,857,399 53,098 Scottish & Newcastle PLC 359,540 --------------- 3,216,939 ------------------------------------------------------------------------------------------------------------- Biotechnology--0.0% 22,849 Celltech Group PLC (a) 154,614 ------------------------------------------------------------------------------------------------------------- Building Products--0.0% 53,235 Pilkington PLC 91,249 ------------------------------------------------------------------------------------------------------------- Capital Markets--0.3% 42,212 3i Group PLC 466,619 59,627 Amvescap PLC 433,103 2,797 Close Brothers Group PLC 36,752 23,228 Man Group PLC 607,508 4,105 Schroders PLC 46,443 --------------- 1,590,425 ------------------------------------------------------------------------------------------------------------- Chemicals--0.2% 42,591 BOC Group PLC 650,745 77,044 Imperial Chemical Industries PLC 274,462 --------------- 925,207 ------------------------------------------------------------------------------------------------------------- Commercial Banks--5.2% 464,282 Barclays PLC 4,141,130 270,818 HBOS PLC 3,507,566 757,122 HSBC Holdings PLC 11,900,087 4,900 HSBC Holdings PLC (ADR) (b) 386,218 381,951 Lloyds TSB Group PLC 3,063,200 2,530 Lloyds TSB Group PLC (ADR) (b) 82,351 198,926 Royal Bank of Scotland Group PLC 5,861,532 --------------- 28,942,084 ------------------------------------------------------------------------------------------------------------- Commercial Services & 31,990 Brambles Industries PLC 116,538 Supplies--0.3% 45,055 Bunzl PLC 344,196 64,682 Capita Group PLC 281,371 153,608 Hays PLC 329,978 112,491 Rentokil Initial PLC 382,614 2,405 Serco Group PLC 7,405 --------------- 1,462,102 ------------------------------------------------------------------------------------------------------------- Construction & 18,532 AMEC PLC 86,255 Engineering--0.0% 30,308 BICC PLC 118,549 --------------- 204,804
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 37 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== United Kingdom Construction Materials--0.2% 24,591 BPB PLC $ 152,755 (continued) 65,536 Hanson PLC 481,303 27,241 RMC Group PLC 340,139 --------------- 974,197 ------------------------------------------------------------------------------------------------------------- Consumer Finance--0.1% 7,713 Cattles PLC 46,151 27,106 Provident Financial PLC 315,648 --------------- 361,799 ------------------------------------------------------------------------------------------------------------- Containers & Packaging--0.1% 51,551 Rexam PLC 394,745 ------------------------------------------------------------------------------------------------------------- Distributors--0.0% 2,786 Grafton Group PLC (Units) 19,152 ------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 619,292 BT Group PLC 2,086,989 Services--0.5% 900 BT Group PLC (ADR) (b) 30,798 199,338 Cable & Wireless PLC 476,388 --------------- 2,594,175 ------------------------------------------------------------------------------------------------------------- Electric Utilities--0.3% 70,358 Scottish and Southern Energy PLC 847,653 145,245 ScottishPower PLC 967,889 993 ScottishPower PLC (ADR) (b) 26,990 --------------- 1,842,532 ------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.0% 21,146 Kidde PLC 40,315 ------------------------------------------------------------------------------------------------------------- Electronic Equipment & 18,858 Electrocomponents PLC 109,716 Instruments--0.0% ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.8% 64,828 Boots Group PLC 801,919 121,991 J Sainsbury PLC 682,991 61,840 Safeway PLC 314,396 508,579 Tesco PLC 2,346,642 --------------- 4,145,948 ------------------------------------------------------------------------------------------------------------- Food Products--0.6% 163,625 Cadbury Schweppes PLC 1,201,678 16,627 Tate & Lyle PLC 92,718 206,940 Unilever PLC 1,929,139 --------------- 3,223,535 ------------------------------------------------------------------------------------------------------------- Gas Utilities--0.2% 280,287 Centrica PLC 1,058,705 ------------------------------------------------------------------------------------------------------------- Health Care Equipment & 57,488 Nycomed Amersham PLC 787,793 Supplies--0.2% 3,902 Seton Scholl Healthcare Group PLC 23,051 76,015 Smith & Nephew PLC 638,548 --------------- 1,449,392 ------------------------------------------------------------------------------------------------------------- Health Care Providers & 6,950 Alliance Unichem PLC 64,572 Services--0.0% ------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 10,260 Carnival PLC 413,440 Leisure--0.7% 143,144 Compass Group PLC 973,748 6,905 Enterprise Inns PLC 125,340 139,555 Hilton Group PLC 561,481 54,538 InterContinental Hotels Group PLC 516,469 59,088 Mitchells & Butlers PLC 237,997 61,262 Rank Group PLC 306,249 14,274 Whitbread PLC 183,723 41,924 William Hill PLC 320,465 --------------- 3,638,912 ------------------------------------------------------------------------------------------------------------- Household Durables--0.3% 25,956 Barratt Developments PLC 252,306 1,852 The Berkeley Group PLC 29,175 41,012 George Wimpey PLC 274,032 70,475 MFI Furniture Group PLC 190,503 30,369 Persimmon PLC 291,941 64,362 Taylor Woodrow PLC 307,631 --------------- 1,345,588
38 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== United Kingdom Household Products--0.2% 39,375 Reckitt Benckiser PLC $ 890,958 (continued) ------------------------------------------------------------------------------------------------------------- IT Services--0.1% 68,362 Logica PLC 313,594 ------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.1% 9,108 FKI PLC 17,446 48,442 Smiths Industries PLC 573,209 49,452 Tomkins PLC 236,809 --------------- 827,464 ------------------------------------------------------------------------------------------------------------- Insurance--0.7% 166,073 AVIVA PLC 1,457,493 77,344 Friends Provident PLC 182,764 417,796 Legal & General Group PLC 749,788 157,248 Prudential Corporation PLC 1,329,373 250,361 Royal & Sun Alliance Insurance Group PLC 395,522 --------------- 4,114,940 ------------------------------------------------------------------------------------------------------------- Internet & Catalog Retail--0.2% 79,508 The Great Universal Stores PLC 1,100,933 ------------------------------------------------------------------------------------------------------------- Machinery--0.0% 11,268 IMI PLC 68,028 127,264 Invensys PLC (a) 41,577 --------------- 109,605 ------------------------------------------------------------------------------------------------------------- Media--1.1% 75,089 Aegis Group PLC 132,740 84,368 British Sky Broadcasting Group PLC ("BSkyB") (a) 1,061,751 38,415 Carlton Communications PLC 158,168 13,386 Daily Mail and General Trust 'A' 157,916 23,009 EMAP PLC 352,995 79,366 EMI Group PLC 225,547 231,571 Granada PLC 505,747 61,367 Pearson PLC 683,306 102,968 Reed Elsevier NV 861,274 118,189 Reuters Group PLC 497,204 32,987 United Business Media PLC 289,353 92,877 WPP Group PLC 911,957 44,342 Yell Group PLC 242,106 --------------- 6,080,064 ------------------------------------------------------------------------------------------------------------- Metals & Mining--0.7% 189,602 Billiton PLC 1,656,351 10,644 Johnson Matthey PLC 186,923 73,401 Rio Tinto PLC (Registered Shares) 2,027,485 --------------- 3,870,759 ------------------------------------------------------------------------------------------------------------- Multi-Utilities & 120,985 International Power PLC (a) 267,478 Unregulated Power--0.4% 223,473 National Grid Group PLC 1,601,202 51,067 United Utilities PLC 452,975 8,249 United Utilities PLC 'A' (a) 44,965 --------------- 2,366,620 ------------------------------------------------------------------------------------------------------------- Multiline Retail--0.3% 183,509 Marks & Spence Group PLC 949,391 24,093 Next PLC 484,351 --------------- 1,433,742 ------------------------------------------------------------------------------------------------------------- Oil & Gas--3.5% 258,589 BG Group PLC 1,327,404 1,564,903 BP Amoco PLC 12,690,402 3,849 BP Amoco PLC (ADR) (b) 189,948 685,809 Shell Transport & Trading Company 5,101,101 --------------- 19,308,855 ------------------------------------------------------------------------------------------------------------- Pharmaceuticals--2.8% 121,778 AstraZeneca Group PLC 5,842,428 800 Glaxo Wellcome PLC (ADR) (b) 37,296 426,044 GlaxoSmithKline PLC (a) 9,762,345 --------------- 15,642,069
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 39 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Common Stocks (in U.S. dollars) =================================================================================================================================== United Kingdom Real Estate--0.3% 44,958 The British Land Company PLC $ 470,013 (concluded) 50,795 Canary Wharf Group PLC (a) 243,467 11,899 Hammerson PLC 137,924 39,255 Land Securities Group PLC 697,102 9,912 Liberty International PLC 121,103 18,432 Slough Estates PLC 144,935 --------------- 1,814,544 ------------------------------------------------------------------------------------------------------------- Road & Rail--0.0% 36,196 FirstGroup PLC 177,218 34,620 Stagecoach Holdings PLC 48,650 --------------- 225,868 ------------------------------------------------------------------------------------------------------------- Semiconductors & 105,247 ARM Holdings PLC (a) 242,104 Semiconductor Equipment--0.0% ------------------------------------------------------------------------------------------------------------- Software--0.1% 27,041 Misys PLC 102,503 107,224 The Sage Group PLC 337,347 --------------- 439,850 ------------------------------------------------------------------------------------------------------------- Specialty Retail--0.3% 169,820 Dixons Group PLC 422,565 185,732 Kingfisher PLC 925,980 24,040 Kesa Electricals PLC 110,708 79,661 Signet Group PLC 146,883 --------------- 1,606,136 ------------------------------------------------------------------------------------------------------------- Tobacco--0.5% 107,342 British American Tobacco PLC 1,479,620 57,489 Imperial Tobacco Group PLC 1,132,054 --------------- 2,611,674 ------------------------------------------------------------------------------------------------------------- Trading Companies & 46,322 Wolseley PLC 655,095 Distributors--0.1% ------------------------------------------------------------------------------------------------------------- Transportation 11,911 Associated British Ports Holdings PLC 95,738 Infrastructure--0.2% 88,730 BAA PLC 788,244 12,221 BBA Group PLC 54,584 35,201 The Peninsular and Oriental Steam Navigation Company 144,935 --------------- 1,083,501 ------------------------------------------------------------------------------------------------------------- Water Utilities--0.1% 17,147 Kelda Group PLC 143,963 32,272 Severn Trent PLC 432,710 --------------- 576,673 ------------------------------------------------------------------------------------------------------------- Wireless Telecommunication 4,779,923 Vodafone Group PLC 11,851,148 Services--2.2% 12,490 Vodafone Group PLC (ADR) (b) 312,750 --------------- 12,163,898 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in the United Kingdom 137,427,933 =================================================================================================================================== United States Capital Markets--0.1% 2,000 I Shares MSCI EAFE Index Fund 273,020 ------------------------------------------------------------------------------------------------------------- Computers & Peripherals--0.0% 70,000 Datacraft Asia Limited 88,200 ------------------------------------------------------------------------------------------------------------- Total Common Stocks in the United States 361,220 ============================================================================================================= Total Investments in Common Stocks (Cost--$478,561,797)--95.8% 530,280,961 =============================================================================================================
40 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Schedule of Investments (continued) Master International Index Series
Value Country Industry* Shares Held Preferred Stocks (in U.S. dollars) =================================================================================================================================== Australia Media--0.2% 128,437 The News Corporation Limited $ 967,709 760 The News Corporation Limited (Convertible) (ADR) (b) 22,990 --------------- 990,699 ------------------------------------------------------------------------------------------------------------- Total Preferred Stocks in Australia 990,699 =================================================================================================================================== Germany Automobiles--0.1% 760 Porsche AG 451,053 5,476 Volkswagen AG 198,581 --------------- 649,634 ------------------------------------------------------------------------------------------------------------- Health Care Providers & 542 Fresenius Medical Care AG 27,312 Services--0.0% ------------------------------------------------------------------------------------------------------------- Household Products--0.1% 3,170 Henkel KGaA 247,906 ------------------------------------------------------------------------------------------------------------- Media--0.0% 4,900 ProSieben Sat.1 Media AG 81,893 ------------------------------------------------------------------------------------------------------------- Multi-Utilities & 2,033 RWE AG 71,673 Unregulated Power--0.0% ------------------------------------------------------------------------------------------------------------- Total Preferred Stocks in Germany 1,078,418 =================================================================================================================================== New Zealand Paper & Forest Products--0.0% 18,827 Fletcher Challenge Forests Ltd. (a) 16,811 ------------------------------------------------------------------------------------------------------------- Total Preferred Stocks in New Zealand 16,811 ============================================================================================================= Total Investments in Preferred Stocks (Cost--$1,816,921)--0.4% 2,085,928 ============================================================================================================= Warrants (c) =================================================================================================================================== France Electrical Equipment--0.0% 13,495 Alstom 511 ------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.0% 133 Casino Guichard--Perrach SA 91 ------------------------------------------------------------------------------------------------------------- Total Warrants in France 602 =================================================================================================================================== Hong Kong Electronic Equipment & 600 QPL International Holdings Limited 1 Instruments--0.0% ------------------------------------------------------------------------------------------------------------- Total Warrants in Hong Kong 1 ============================================================================================================= Total Investments in Warrants (Cost--$19,521)--0.0% 603 =============================================================================================================
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 41 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (continued) Master International Index Series
Beneficial Value Interest Short-Term Securities (in U.S. dollars) ================================================================================================================================== US$9,920,757 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (d) $ 9,920,757 ------------------------------------------------------------------------------------------------------------- Total Investments in Short-Term Securities (Cost--$9,920,757)--1.8% 9,920,757 ================================================================================================================================== Total Investments (Cost--$490,318,996)--98.0% 542,288,249 Variation Margin on Financial Futures Contracts***--0.2% 875,496 Unrealized Appreciation on Forward Foreign Exchange Contracts**--0.1% 532,884 Other Assets Less Liabilities--1.7% 9,432,341 ------------ Net Assets--100% $553,128,970 ============
(a) Non-income producing security. (b) American Depositary Receipts (ADR). (c) Warrants entitle the Series to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date. (d) Investments in companies considered to be an affiliate of the Series (such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the Investment Company Act of 1940) are as follows:
----------------------------------------------------------------------------------------------------------- Net Interest Affiliate Activity Income ----------------------------------------------------------------------------------------------------------- Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $5,831,683 $68,538 -----------------------------------------------------------------------------------------------------------
* 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. These industry classifications are unaudited. ** Forward foreign exchange contracts as of December 31, 2003 were as follows:
----------------------------------------------------------------------------------------------------------- Foreign Unrealized Currency Settlement Appreciation Purchased Date (Depreciation) ----------------------------------------------------------------------------------------------------------- CHF 1,500,000 January 2004 $ 54,669 (euro) 4,290,000 January 2004 296,574 HK$ 40,000 January 2004 (2) (pound) 1,940,000 January 2004 127,011 SEK 1,000,000 January 2004 3,370 (Y) 415,000,000 January 2004 51,262 ----------------------------------------------------------------------------------------------------------- Total Unrealized Appreciation on Forward Foreign Exchange Contracts--Net (US$ Commitment--$13,578,596) $532,884 ========
*** Financial futures contracts purchased as of December 31, 2003 were as follows:
----------------------------------------------------------------------------------------------------------- Number of Expiration Unrealized Contracts Issue Exchange Date Face Value Gains (Losses) ----------------------------------------------------------------------------------------------------------- 221 EURO DJ EURO STOXX 50 March 2004 $7,530,992 $159,954 67 FTSE LIFFE March 2004 $5,233,890 123,236 10 HANG SENG Hong Kong January 2004 $ 804,073 9,725 1 IBEX 35 PLUS MEFF January 2004 $ 94,644 2,385 2 MIB 30 MSE March 2004 $ 345,807 (7,424) 34 OMX Stockholm January 2004 $ 293,631 7,903 24 SPI 200 Sydney March 2004 $1,469,545 23,190 68 TOPIX Tokyo March 2004 $6,322,991 307,596 ----------------------------------------------------------------------------------------------------------- Total Unrealized Gains--Net $626,565 ========
See Notes to Financial Statements. 42 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Statement of Assets and Liabilities Master International Index Series As of December 31, 2003 ========================================================================================================================= Assets - ------------------------------------------------------------------------------------------------------------------------- Investments, at value (including securities loaned of $38,710,300) (identified cost--$490,318,996) ................................. $ 542,288,249 Cash held as collateral for loaned securities ..................... 40,553,857 Cash on deposit for financial futures contracts ................... 1,980,200 Foreign cash (cost--$6,820,303) ................................... 7,028,256 Unrealized appreciation on forward foreign exchange contracts ..... 533,016 Receivables: Variation margin ............................................... $ 875,496 Contributions .................................................. 868,854 Dividends ...................................................... 495,009 Securities sold ................................................ 92,492 Forward foreign exchange contracts ............................. 74,070 Interest ....................................................... 17,791 2,423,712 ------------- Prepaid expenses and other assets ................................. 940 ------------- Total assets ...................................................... 594,808,230 ------------- ========================================================================================================================= Liabilities - ------------------------------------------------------------------------------------------------------------------------- Collateral on securities loaned, at value ......................... 40,553,857 Unrealized depreciation on forward foreign exchange contracts ..... 132 Payables: Withdrawals .................................................... 1,095,007 Other affiliates ............................................... 2,054 Investment adviser ............................................. 745 Forward foreign exchange contracts ............................. 301 1,098,107 ------------- Accrued expenses and other liabilities ............................ 27,164 ------------- Total liabilities ................................................. 41,679,260 ------------- ========================================================================================================================= Net Assets - ------------------------------------------------------------------------------------------------------------------------- Net assets ........................................................ $ 553,128,970 ============= ========================================================================================================================= Net Assets Consist of - ------------------------------------------------------------------------------------------------------------------------- Investors' capital ................................................ $ 499,731,665 Unrealized appreciation on investments and foreign currency transactions--net ............................................... 53,397,305 ------------- Net Assets ........................................................ $ 553,128,970 =============
See Notes to Financial Statements. MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 43 [LOGO] Merrill Lynch Investment Managers Statement of Operations Master International Index Series For the Year Ended December 31, 2003 ========================================================================================================================= Investment Income - ------------------------------------------------------------------------------------------------------------------------- Dividends (net of $523,812 foreign withholding tax) ............... $ 4,743,131 Interest .......................................................... 102,643 Securities lending--net ........................................... 84,428 ------------- Total income ...................................................... 4,930,202 ------------- ========================================================================================================================= Expenses - ------------------------------------------------------------------------------------------------------------------------- Professional fees ................................................. $ 88,300 Custodian fees .................................................... 54,755 Accounting services ............................................... 31,856 Investment advisory fees .......................................... 21,203 Trustees' fees and expenses ....................................... 2,763 Printing and shareholder reports .................................. 2,175 Other ............................................................. 14,626 ------------- Total expenses before waiver ...................................... 215,678 Waiver of expenses ................................................ (17,696) ------------- Total expenses after waiver ....................................... 197,982 ------------- Investment income--net ............................................ 4,732,220 ------------- ========================================================================================================================= Realized & Unrealized Gain (Loss) on Investments & Foreign Currency Transactions--Net - ------------------------------------------------------------------------------------------------------------------------- Realized gain (loss) from: Investments--net ............................................... (2,237,884) Foreign currency transactions--net ............................. 1,391,706 (846,178) ------------- Change in unrealized appreciation/depreciation on: Investments--net ............................................... 78,574,573 Foreign currency transactions--net ............................. 561,411 79,135,984 ------------------------------- Total realized and unrealized gain on investments and foreign currency transactions--net .............................. 78,289,806 ------------- Net Increase in Net Assets Resulting from Operations .............. $ 83,022,026 =============
See Notes to Financial Statements. 44 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Statements of Changes in Net Assets Master International Index Series
For the Year Ended December 31, ------------------------------- Increase (Decrease) in Net Assets: 2003 2002 ========================================================================================================================= Operations - ------------------------------------------------------------------------------------------------------------------------- Investment income--net ............................................ $ 4,732,220 $ 4,256,606 Realized loss on investments and foreign currency transactions--net (846,178) (15,497,931) Change in unrealized appreciation/depreciation on investments and foreign currency transactions--net .......................... 79,135,984 (23,022,788) ------------------------------- Net increase (decrease) in net assets resulting from operations ... 83,022,026 (34,264,113) ------------------------------- ========================================================================================================================= Capital Transactions - ------------------------------------------------------------------------------------------------------------------------- Proceeds from contributions ....................................... 364,659,614 85,092,571 Fair value of withdrawals ......................................... (61,373,002) (79,519,958) ------------------------------- Net increase in net assets derived from capital transactions ...... 303,286,612 5,572,613 ------------------------------- ========================================================================================================================= Net Assets - ------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets ........................... 386,308,638 (28,691,500) Beginning of year ................................................. 166,820,332 195,511,832 ------------------------------- End of year ....................................................... $ 553,128,970 $ 166,820,332 ===============================
See Notes to Financial Statements. MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 45 [LOGO] Merrill Lynch Investment Managers Financial Highlights Master International Index Series
For the Period December 30, For the Year Ended December 31, 1999+ to The following ratios have been derived ---------------------------------------------------- December 31, from information provided in the financial statements. 2003 2002 2001 2000 1999 =================================================================================================================================== Total Investment Return** - ----------------------------------------------------------------------------------------------------------------------------------- Total investment return ................ 38.97% (15.81%) (21.77%) -- -- ==================================================================== =================================================================================================================================== Ratios to Average Net Assets - ----------------------------------------------------------------------------------------------------------------------------------- Expenses, net of waiver ................ .09% .08% .08% .08% .08%* ==================================================================== Expenses ............................... .10% .16% .39% 1.34% .63%* ==================================================================== Investment income--net ................. 2.23% 2.21% 1.20% 1.55% 2.14%* ==================================================================== =================================================================================================================================== Supplemental Data - ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $553,129 $166,820 $195,512 $ 15,763 $ 10,054 ==================================================================== Portfolio turnover ..................... 8.55% 19.52% 30.19% 5.89% .00% ====================================================================
* Annualized. ** Total return is required to be disclosed for fiscal years beginning after December 15, 2000. + Commencement of operations. See Notes to Financial Statements. 46 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Notes to Financial Statements Master International Index Series 1. Significant Accounting Policies: Master International 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 Series, 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. The following is a summary of significant accounting policies followed by the Series. (a) Valuation of investments -- Equity securities that are held by the Series that are traded on stock exchanges or the Nasdaq National Market are valued at the last sale price or official close price on the exchange, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price for long positions, and at the last available ask price for short positions. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by or under the authority of the Board of Trustees of the Trust. Long positions traded in the over-the-counter ("OTC") market, Nasdaq Small Cap or Bulletin Board are valued at the last available bid price or yield equivalent obtained from one or more dealers or pricing services approved by the Board of Trustees of the Trust. Short positions traded in the OTC market are valued at the last available ask price. Portfolio securities that are traded both in the OTC market and on a stock exchange are valued according to the broadest and most representative market. Options written are valued at the last sale price in the case of exchange-traded options or, in the case of options traded in the OTC market, the last ask price. Options purchased are valued at their last sale price in the case of exchange-traded options or, in the case of options traded in the OTC market, the last bid price. Swap agreements are valued daily based upon quotations from market makers. Financial futures contracts and options thereon, which are traded on exchanges, are valued at their last sale price as of the close of such exchanges. Obligations with remaining maturities of 60 days or less are valued at amortized cost unless the Investment Adviser believes that this method no longer produces fair valuations. Repurchase agreements are valued at cost plus accrued interest. The Series employs pricing services to provide certain securities prices for the Series. Securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by or under the direction of the Board of Trustees of the Trust, including valuations furnished by the pricing services retained by the Series, which may use a matrix system for valuations. The procedures of a pricing service and its valuations are reviewed by the officers of the Series under the general supervision of the Trust's Board of Trustees. Such valuations and procedures will be reviewed periodically by the Board of Trustees of the Trust. Generally, trading in foreign securities, as well as U.S. government securities and money market instruments, is substantially completed each day at various times prior to the close of business on the New York Stock Exchange ("NYSE"). The values of such securities used in computing the net assets of the Series are determined as of such times. Foreign currency exchange rates also are generally determined prior to the close of business on the NYSE. Occasionally, events affecting the values of such securities and such exchange rates may occur between the times at which they are determined and the close of business on the NYSE that may not be reflected in the computation of the Series' net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such securities, those securities may be valued at their fair value as determined in good faith by the Trust's Board of Trustees or by the Investment Adviser using a pricing service and/or procedures approved by the Trust's Board of Trustees. (b) Derivative financial instruments -- The Series may engage in various portfolio investment strategies to provide liquidity or as a proxy for a direct investment in securities underlying the Series' index. Losses may arise due to changes in the value of the contract or if the counterparty does not perform under the contract. MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 47 [LOGO] Merrill Lynch Investment Managers Notes to Financial Statements (continued) Master International Index Series o Financial futures contracts -- The Series may purchase or sell financial futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Upon entering into a contract, the 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 may 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. o Forward foreign exchange contracts -- The Series may enter into forward foreign exchange contracts as a hedge against either specific transactions or portfolio positions. The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized gain or loss. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. o Foreign currency options and futures -- The Series may also purchase or sell listed or over-the-counter foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates. Such transactions may be effected with respect to hedges on non-U.S. dollar-denominated securities owned by the Series, sold by the Series but not yet delivered, or committed or anticipated to be purchased by the Series. (c) Foreign currency transactions -- Transactions denominated in foreign currencies are recorded at the exchange rate prevailing when recognized. Assets and liabilities denominated in foreign currencies are valued at the exchange rate at the end of the period. Foreign currency transactions are the result of settling (realized) or valuing (unrealized) assets or liabilities expressed in foreign currencies into U.S. dollars. Realized and unrealized gains or losses from investments include the effects of foreign exchange rates on investments. 48 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Notes to Financial Statements (continued) Master International Index Series (d) 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. (e) 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. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Series has determined the ex-dividend date. Interest income is recognized on the accrual basis. (f) 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 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 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 .12%. Effective January 1, 2003, the limit was increased from .08% to .12%. This arrangement expires December 31, 2004 and is renewable. For the year ended December 31, 2003, FAM earned fees of $21,203, of which $17,696 was waived. For the year ended December 31, 2003, the Series reimbursed FAM $3,886 for certain accounting services. Certain officers and/or trustees of the Trust are officers and/or directors of FAM, PSI, and/or ML & Co. MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 49 [LOGO] Merrill Lynch Investment Managers Notes to Financial Statements (concluded) Master International Index Series 3. Investments: Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2003 were $315,970,788 and $16,650,300, respectively. Net realized gains (losses) for the year ended December 31, 2003 and unrealized gains as of December 31, 2003 were as follows: - -------------------------------------------------------------------------------- Realized Unrealized Gains (Losses) Gains - -------------------------------------------------------------------------------- Investments: Long-term ............................. $(2,680,681) $51,969,253 Financial futures contracts ........... 442,797 626,565 ------------------------------- Total investments ....................... (2,237,884) 52,595,818 ------------------------------- Currency transactions: Forward foreign exchange contracts ........................... 913,418 532,884 Foreign currency transactions ......... 478,288 268,603 ------------------------------- Total currency transactions ............. 1,391,706 801,487 ------------------------------- Total ................................... $ (846,178) $53,397,305 =============================== As of December 31, 2003, net unrealized appreciation for Federal income tax purposes aggregated $47,799,512, of which $60,757,052 related to appreciated securities and $12,957,540 related to depreciated securities. At December 31, 2003, the aggregate cost of investments for Federal income tax purposes was $494,488,737. 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 shareholders redemptions and for other lawful purposes other than for leverage. The Series may borrow up to the maximum amount allowable under the Series' 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 28, 2003, the credit agreement was renewed for one year at the same terms. The Series did not borrow under the credit agreement during the year ended December 31, 2003. 50 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Independent Auditors' Report Master International Index Series To the Investors and Board of Trustees of Quantitative Master Series Trust: We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master International Index Series, one of the portfolios constituting the Quantitative Master Series Trust (the "Trust") as of December 31, 2003, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the respective periods then ended. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2003, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master International Index Series of the Quantitative Master Series Trust as of December 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the respective periods then ended, in conformity with accounting principles generally accepted in the United States of America. Deloitte & Touche LLP Princeton, New Jersey February 13, 2004 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 51 [LOGO] Merrill Lynch Investment Managers Officers and Directors/Trustees (unaudited)
Number of Portfolios in Other Public Fund Complex Directorships Position(s) Length Overseen by Held by Held with of Time Director/ Director/ Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee ==================================================================================================================================== Interested Director/Trustee - ------------------------------------------------------------------------------------------------------------------------------------ Terry K. P.O. Box 9011 President 2000 to President and Chairman of the Merrill Lynch Invest- 123 Funds None Glenn* Princeton, NJ and present ment Managers, L.P. ("MLIM")/Fund Asset 160 Portfolios 08543-9011 Director/ and Management, L.P. ("FAM")--Advised Funds since Age: 63 Trustee 1997 to 1999; Chairman (Americas Region) of MLIM from present 2000 to 2002; Executive Vice President of FAM and MLIM (which terms as used herein include their corporate predecessors) from 1983 to 2002; President of FAM Distributors, Inc. ("FAMD") from 1986 to 2002 and Director thereof from 1991 to 2002; Executive Vice President and Director of Princeton Services, Inc. ("Princeton Services") from 1993 to 2002; President of Princeton Administrators, L.P. from 1989 to 2002; Director of Financial Data Services, Inc. since 1985. ------------------------------------------------------------------------------------------------------------------------ * Mr. Glenn is a director, trustee or member of an advisory board of certain other investment companies for which FAM or MLIM acts as investment adviser. Mr. Glenn is an "interested person" as described in the Investment Company Act, of the Fund based on his former positions with FAM, MLIM, FAMD, Princeton Services and Princeton Administrators, L.P. The Director's/Trustee's term is unlimited. Directors/Trustees serve until their resignation, removal, or death, or until December 31 of the year in which they turn 72. As Fund President, Mr. Glenn serves at the pleasure of the Board of Directors/Trustees. ==================================================================================================================================== Independent Directors/Trustees* - ------------------------------------------------------------------------------------------------------------------------------------ Donald W. P.O. Box 9095 Director/ 2002 to Manager of The Burton Partnership, Limited 23 Funds ITC Delta- Burton Princeton, NJ Trustee present Partnership since 1979; Managing General Partner 36 Portfolios Com, Inc., 08543-9095 of the South Atlantic Venture Funds, Limited ITC Age: 59 Partnerships and Chairman of South Atlantic Financial Private Equity Fund IV, Limited Partnership since Services, 1983; Member of the Investment Advisory Council Knology, of the Florida State Board of Administration Inc., since 2001. PriCare, Inc., Symbion, Inc. - ------------------------------------------------------------------------------------------------------------------------------------ M. Colyer P.O. Box 9095 Director/ 2000 to James R. Williston Professor of Investment 24 Funds Cambridge Crum Princeton, NJ Trustee present Management Emeritus, Harvard Business 37 Portfolios Bancorp 08543-9095 School since 1996; Chairman and Director of Age: 71 Phaeton International, Ltd. from 1985 to present; Director of Cambridge Bancorp since 1969. - ------------------------------------------------------------------------------------------------------------------------------------ Laurie P.O. Box 9095 Director/ 2000 to Professor of Finance and Economics, Graduate 23 Funds None Simon Princeton, NJ Trustee present School of Business, Columbia University since 36 Portfolios Hodrick 08543-9095 1998; Associate Professor of Finance and Age: 41 Economics, Graduate School of Business, Columbia University from 1996 to 1998. - ------------------------------------------------------------------------------------------------------------------------------------
52 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 Officers and Directors/Trustees (unaudited) (concluded)
Number of Portfolios in Other Public Fund Complex Directorships Position(s) Length Overseen by Held by Held with of Time Director/ Director/ Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee ==================================================================================================================================== Independent Directors/Trustees* (concluded) - ------------------------------------------------------------------------------------------------------------------------------------ David H. P.O. Box 9095 Director/ 2003 to Consultant with Putnam Investments since 1993 23 Funds None Walsh Princeton, NJ Trustee present and employed in various capacities therewith from 36 Portfolios 08543-9095 1971 to 1992; Director of the National Audubon Age: 62 Society since 2000; Director of the American Museum of Fly Fishing since 1998. - ------------------------------------------------------------------------------------------------------------------------------------ Fred G. P.O. Box 9095 Director/ 2000 to Managing Director of FGW Associates since 1997; 23 Funds Watson Weiss Princeton, NJ Trustee present Vice President, Planning, Investment and Devel- 36 Portfolios Pharma- 08543-9095 opment of Warner Lambert Co. from 1979 to 1997; ceuticals, Age: 62 Director of BTG International, PLC since 2001; Inc. Director of KIMC Investment, Inc. since 2003; Director of Osmotica Holdings Corp. AVV since 2003. ------------------------------------------------------------------------------------------------------------------------ * The Director's/Trustee's term is unlimited. Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. - ------------------------------------------------------------------------------------------------------------------------------------ Position(s) Length Held with of Time Name Address & Age Fund/Trust Served* Principal Occupation(s) During Past 5 Years ==================================================================================================================================== Fund/Trust Officers - ------------------------------------------------------------------------------------------------------------------------------------ Donald C. P.O. Box 9011 Vice 1997 to First Vice President of FAM and MLIM since 1997 and Treasurer thereof since 1999; Burke Princeton, NJ President present Senior Vice President and Treasurer of Princeton Services since 1999; Vice 08543-9011 and and President of FAMD since 1999; Director of MLIM Taxation since 1990. Age: 43 Treasurer 1999 to present - ------------------------------------------------------------------------------------------------------------------------------------ Robert C. P.O. Box 9011 Senior Vice 1999 to President of MLIM and member of the Executive Management Committee of ML & Co., Doll, Jr. Princeton, NJ President present Inc. since 2001; Global Chief Investment Officer and Senior Portfolio Manager of 08543-9011 MLIM since 1999; Chief Investment Officer of Equities at Oppenheimer Funds, Inc. Age: 49 from 1990 to 1999 and Chief Investment Officer thereof from 1998 to 1999; Executive Vice President of Oppenheimer Funds, Inc. from 1991 to 1999. - ------------------------------------------------------------------------------------------------------------------------------------ Richard P.O. Box 9011 Vice 1999 to Managing Director and Head of Global Index and Enhanced Index products for Merrill Vella Princeton, NJ President present Lynch Quantitative Advisors since 1999; Managing Director and Head of the Global 08543-9011 Index and Enhanced Index business at Bankers Trust from 1984 to 1999. Age: 46 - ------------------------------------------------------------------------------------------------------------------------------------ Brian D. P.O. Box 9011 Secretary 2003 to Vice President (Legal Advisory) of MLIM since 2002; Attorney with Reed Smith from Stewart Princeton, NJ present 2001 to 2002; Attorney with Saul Ewing from 1999 to 2001. 08543-9011 Age: 34 ------------------------------------------------------------------------------------------------------------------------ * Officers of the Fund/Trust serve at the pleasure of the Board of Directors/Trustees. - ------------------------------------------------------------------------------------------------------------------------------------ Further information about the Fund's Officers and Directors is available in the Fund's Statement of Additional Information, which can be obtained without charge by calling 1-800-MER-FUND. - ------------------------------------------------------------------------------------------------------------------------------------
Custodian J.P. Morgan Chase Bank 4 Chase MetroTech Center, 18th Floor Brooklyn, NY 11245 Transfer Agent Financial Data Services, Inc. 4800 Deer Lake Drive East Jacksonville, FL 32246-6484 800-637-3863 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 53 [LOGO] Merrill Lynch Investment Managers Electronic Delivery The Fund offers electronic delivery of communications to its shareholders. In order to receive this service, you must register your account and provide us with e-mail information. To sign up for this service, simply access this website http://www.icsdelivery.com/live and follow the instructions. When you visit this site, you will obtain a personal identification number (PIN). You will need this PIN should you wish to update your e-mail address, choose to discontinue this service and/or make any other changes to the service. This service is not available for certain retirement accounts at this time. 54 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2003 [LOGO] Merrill Lynch Investment Managers www.mlim.ml.com 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 #Index 2 -- 12/03 Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the end of the period covered by this report, that applies to the registrant's principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. A copy of the code of ethics is available without charge upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863). Item 3 - Audit Committee Financial Expert - The registrant's board of directors has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: (1) Donald W. Burton, (2) M. Colyer Crum, (3) Laurie Simon Hodrick, (4) David H. Walsh and (5) Fred G. Weiss. The registrant's board of directors has determined that Laurie Simon Hodrick and M. Colyer Crum qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR. Ms. Hodrick has a thorough understanding of generally accepted accounting principals, financial statements, and internal controls and procedures for financial reporting. Ms. Hodrick earned a Ph.D. in economics and has taught courses in finance for over 15 years. Her M.B.A.-level course centers around the evaluation and analysis of firms' corporate financial statements. She has also taught in financial analysts' training programs. Ms. Hodrick has also worked with several prominent corporations in connection with the analysis of financial forecasts and projections and analysis of the financial statements of those companies, serving on the Financial Advisory Council of one of these major corporations. She has also served as the Treasurer and Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a number of articles in leading economic and financial journals and is the associate editor of two leading finance journals. M. Colyer Crum also possesses a thorough understanding of generally accepted accounting principals, financial statements, and internal controls and procedures for financial reporting through a combination of education and experience. Professor Crum was a professor of investment management at the Harvard Business School for 25 years. The courses taught by Professor Crum place a heavy emphasis on the analysis of underlying company financial statements with respect to stock selection and the analysis of credit risk in making loans. Professor Crum has also served on a number of boards of directors and has served on the audit committees, and in some cases chaired the audit committee, for several major corporations and financial institutions. For two such organizations, Professor Crum has performed extensive investment analysis of financial statements in connection with investment management decisions. From these experiences, he has gained significant experience with the establishment of reserves and accounting policies, differences between U.S. GAAP and Canadian GAAP and executive compensation issues. Item 4 - Principal Accountant Fees and Services (a) Audit Fees - 2003 -- $41,000 2002 -- $48,900 (b) Audit-Related Fees - 2003 -- $0 2002 -- $0 (c) Tax Fees - 2003 -- $21,700 2002 -- $26,900 The nature of the services include tax compliance, tax advice and tax planning. (d) All Other Fees - 2003 -- $0 2002 -- $0 (e)(1) The registrant's audit committee (the "Committee") has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the registrant's affiliated service providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC's auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis ("general pre-approval"). However, such services will only be deemed pre-approved provided that any individual project does not exceed $5,000 attributable to the registrant or $50,000 for the project as a whole. Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. (e)(2) 0% (f) N/A (g) 2003 -- $18,690,437 2002 -- $17,012,158 (h) The registrant's audit committee has considered that the provision of non-audit services that were rendered to the registrant's investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. Item 5 - Audit Committee of Listed Registrants - Not Applicable Item 6 - Reserved Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies - Not Applicable Item 8 - Reserved Item 9 - Controls and Procedures 9(a) - The registrant's certifying officers have reasonably designed such disclosure controls and procedures to ensure material information relating to the registrant is made known to us by others particularly during the period in which this report is being prepared. The registrant's certifying officers have determined that the registrant's disclosure controls and procedures are effective based on our evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report. 9(b) - There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Item 10 - Exhibits attached hereto 10(a) - Not Applicable 10(b) - Attached hereto Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Merrill Lynch International Index Fund and Master International Index Series By: /s/ Terry K. Glenn ------------------------------ Terry K. Glenn, President of Merrill Lynch International Index Fund and Master International Index Series Date: February 23, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Terry K. Glenn ------------------------------ Terry K. Glenn, President of Merrill Lynch International Index Fund and Master International Index Series Date: February 23, 2004 By: /s/ Donald C. Burke ------------------------------ Donald C. Burke, Chief Financial Officer of Merrill Lynch International Index Fund and Master International Index Series Date: February 23, 2004 EX-99.CERT 3 e400173_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 International Index Fund and Master International Index Series, certify that: 1. I have reviewed this report on Form N-CSR of Merrill Lynch International Index Fund and Master International Index Series (together, 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-3(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: February 23, 2004 /s/ Terry K. Glenn ------------------ Terry K. Glenn, President of Merrill Lynch International Index Fund and Master International Index Series 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 International Index Fund and Master International Index Series, certify that: 1. I have reviewed this report on Form N-CSR of Merrill Lynch International Index Fund and Master International Index Series (together, 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-3(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: February 23, 2004 /s/ Donald C. Burke ------------------- Donald C. Burke, Chief Financial Officer of Merrill Lynch International Index Fund and Master International Index Series EX-99.1350 CERT 4 e400173_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 International Index Fund and Master International Index Series (together, 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: February 23, 2004 /s/ Terry K. Glenn ------------------ Terry K. Glenn, President of Merrill Lynch International Index Fund and Master International Index Series 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 International Index Fund and Master International Index Series and will be retained by Merrill Lynch International Index Fund and Master International Index Series 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 International Index Fund and Master International Index Series (together, 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: February 23, 2004 /s/ Donald C. Burke ------------------- Donald C. Burke, Chief Financial Officer of Merrill Lynch International Index Fund and Master International Index Series 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 International Index Fund and Master International Index Series and will be retained by Merrill Lynch International Index Fund and Master International Index Series and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----