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
Merrill Lynch SmallCap Index Fund
Master SmallCap Index Series - file # 811-7885
Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, Merrill Lynch
SmallCap Index Fund, 800 Scudders Mill Road, Plainsboro, NJ 08536.
Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/02
Date of reporting period: 01/01/02 - 12/31/02
Item 1 - Is shareholder report attached? - Y
[LOGO] Merrill Lynch Investment Managers
Annual Report
December 31, 2002
Merrill Lynch
Small Cap
Index Fund
Merrill Lynch Index Funds, Inc.
www.mlim.ml.com
Merrill Lynch Small Cap Index Fund
Important
Tax Information
(unaudited)
All of the ordinary income distribution paid by Merrill Lynch Small Cap Index
Fund to shareholders of record on December 17, 2002, qualifies for the dividends
received deduction for corporations.
Please retain this information for your records.
Merrill Lynch Small Cap Index Fund, December 31, 2002
DEAR SHAREHOLDER
Fiscal Year in Review
For the year ended December 31, 2002, Merrill Lynch Small Cap Index Fund's Class
A and Class D Shares had total returns of -20.61% and -20.75%, respectively,
while the Russell 2000 Index posted a total return of -20.48%. (Complete
performance information can be found on pages 3 and 4 of this report to
shareholders.) In 2002, value outperformed growth with the Russell 2000 Value
Index posting a total return of -11.43% compared to a total return of -30.26%
for the unmanaged Russell 2000 Growth Index.
Ten of the 12 Russell sectors posted negative returns in 2002, further evidence
that the decline over the year was across the whole market, although some
sectors negatively affected performance more than others. The technology sector,
which entered the bear market in early 2000, continued to contribute to the
decline in 2002, with technology posting the worst return for the year at
- -46.54%. Sectors most resilient to the market decline were financial services at
+2.11% and integrated oils at +1.04%.
The first quarter of 2002 was quiet and uneventful relative to the rest of the
year. Extreme market volatility took a turn for the worse in the second quarter.
The excessive volatility was mainly a result of the successive failure of
high-profile companies and increased concerns about accounting standards.
Although U.S. markets experienced three weeks of consecutive gains in August,
the markets lost ground for the next five following weeks and closed with
negative returns for the third quarter. A significant rebound was seen among
large cap stocks in the fourth quarter with the Standard & Poor's 500 (S&P 500)
Index closing up 64.54 points at 879.82, with a total return of +8.44% for the
fourth quarter of 2002. The Russell 2000 Index also reached positive territory,
returning +6.16% in the fourth quarter. Better-than-estimated corporate earnings
reports and the belief that corporate earnings had bottomed spurned an
improvement in market conditions. The impressive fourth-quarter rally can also
be partially attributed to the promise of fiscal stimulus from the Federal
Reserve Board's lowering of interest rates late in 2002.
After cutting interest rates 11 consecutive times in 2001, the Federal Reserve
Board left interest rates unchanged at 1.75% until the fourth quarter of 2002.
At the November 6, 2002 Federal Open Market Committee meeting, the Federal
Reserve Board decided to lower its target rate by an unexpected 50 basis points
(.50%) to 1.25%. Economic data indicated that greater uncertainty, in part
attributable to heightened geopolitical risks, was inhibiting spending,
production and employment. In November 2002, the Governing Council of the
European Central Bank declined to match the half-point interest rate reduction
by the Federal Reserve Board and left its rate unchanged at 3.25%. However, at
its December 5 meeting, the European Central Bank cut interest rates by 50 basis
points to 2.75%, reflecting the persistently high degree of uncertainty. Over
time, the current accommodative stance of monetary policy, coupled with still
robust underlying growth in productivity, should be sufficient to foster an
improving business climate. However, considerable uncertainty persists about the
extent and timing of the expected pickup in production and employment, owing in
part to the emergence of heightened geopolitical risks.
With the worst returns of the year in September 2002, and the S&P 500 Index at
- -10.87% for the month, the fourth quarter of 2002 brought the positive returns
that investors were hoping for, but they did not come without volatility.
October and November were significantly positive months, but December again gave
way to negative returns. Looking forward to 2003, investor confidence remains
shaken with the possibility of a military confrontation with Iraq, unanticipated
high unemployment and disappointing holiday sales. Consumer confidence
unexpectedly fell in December for the sixth time in seven months as unemployment
threatened to undermine spending and U.S. economic growth early next year.
At December 31, 2002, Merrill Lynch Small Cap Index Fund had net assets of $65.3
million, compared to $80.8 million as of December 31, 2001.
The investment objective of the Fund is to seek to replicate the return of the
Russell 2000 Index before expenses. The Fund seeks to achieve its investment by
investing all of its assets in Master Small Cap Index Series. The Series is an
underlying equity portfolio in which most of the Series' assets are placed. In
addition, the Series maintains a long position in Russell 2000 futures contracts
that are used as a mechanism to invest daily cash inflows. The Series uses
futures as a way to maintain liquidity should the need arise in the event of
Fund redemptions. At December 31, 2002, the Series had an equity portfolio
valued at $173 million, which represented approximately 95% of the Series' net
assets. In addition, the Series held a long position in the Russell 2000 March
2003 futures contracts. Through its holdings of equities and futures contracts,
our goal is to be 100% invested in the Russell 2000 Index at all times.
In Conclusion
We thank you for your investment in Merrill Lynch Small Cap Index Fund, and we
look forward to assisting you with your investment needs in the months and years
ahead.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
President and Director/Trustee
February 3, 2003
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund, which offers two pricing
alternatives:
o Class A Shares do not incur a maximum initial sales charge (front-end
load) or deferred sales charge and bear no ongoing distribution or account
maintenance fees. Class A Shares are available only to eligible investors.
o Class D Shares do not incur a maximum initial sales charge or deferred
sales charge and bear no ongoing distribution fee. In addition, Class D
Shares are subject to an ongoing account maintenance fee of 0.25%.
None of the past results shown should be considered a representation of
future performance. Performance results do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. Figures shown in each of the following tables assume
reinvestment of all dividends and capital gains distributions at net asset
value on the ex-dividend date. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or
less than their original cost. Dividends paid to each class of shares will
vary because of the different levels of account maintenance, distribution
and transfer agency fees applicable to each class, which are deducted from
the income available to be paid to shareholders. The Fund's Administrator
and the Series' Investment Adviser voluntarily waived a portion of their
administrative and management fees, respectively. Without such waivers,
the Fund's performance would have been lower.
2 & 3
Merrill Lynch Small Cap Index Fund, December 31, 2002
PERFORMANCE DATA (concluded)
Recent
Performance
Results
============================================================================================
6-Month 12-Month Since Inception
As of December 31, 2002 Total Return Total Return Total Return
============================================================================================
ML Small Cap Index Fund Class A Shares* - 16.60% - 20.61% +17.31%
- --------------------------------------------------------------------------------------------
ML Small Cap Index Fund Class D Shares* - 16.57 - 20.75 +15.77
- --------------------------------------------------------------------------------------------
Russell 2000 Index** - 16.56 - 20.48 +20.17
============================================================================================
* Total investment returns are based on changes in net asset value for the
periods shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date. The Fund's
inception date is 4/09/97.
** This unmanaged Index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors.
Since inception total return is from 4/30/97.
Total Return Based on a $10,000 Investment--Class A & Class D Shares
A line graph depicting the growth of an investment in the Fund's Class A Shares
and Class D Shares compared to growth of an investment in the Russell 2000
Index. Values are from April 9, 1997 to December 2002.
4/09/97** 12/97 12/98 12/99 12/00 12/01 12/02
ML Small Cap Index
Fund+--Class A Shares* $10,000 $12,704 $12,305 $14,863 $14,505 $14,778 $11,732
ML Small Cap Index
Fund+--Class D Shares* $10,000 $12,687 $12,254 $14,760 $14,382 $14,608 $11,577
4/30/97** 12/97 12/98 12/99 12/00 12/01 12/02
Russell 2000 Index++ $10,000 $12,868 $12,540 $15,206 $14,747 $15,114 $12,018
* Assuming transaction costs and other operating expenses, including
advisory fees.
** Commencement of operations.
+ The Fund invests all of its assets in Master Small Cap Index Series of
Quantitative Master Series Trust. The Trust may invest in a statistically
selected sample of the stocks included in the Russell 2000 Index and other
types of financial instruments.
++ This unmanaged index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors.
The starting date for the Index in the graph is from 4/30/97.
Past performance is not predictive of future performance.
Average Annual
Total Return
% Return
================================================================================
Class A Shares
================================================================================
One Year Ended 12/31/02 - 20.61%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/02 - 1.58
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/02 + 2.83
- --------------------------------------------------------------------------------
% Return
================================================================================
Class D Shares
================================================================================
One Year Ended 12/31/02 - 20.75%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/02 - 1.81
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/02 + 2.59
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
MERRILL LYNCH
SMALL CAP
INDEX FUND As of December 31, 2002
===================================================================================================================================
Assets: Investment in Master Small Cap Index Series, at value (identified cost--$81,365,766) $ 65,273,772
Prepaid registration fees and other assets ......................................... 25,125
------------
Total assets ....................................................................... 65,298,897
------------
===================================================================================================================================
Liabilities: Payables:
Administrator .................................................................... $ 10,129
Distributor ...................................................................... 7,680 17,809
-----------
Accrued expenses and other liabilities ............................................. 35,489
------------
Total liabilities .................................................................. 53,298
------------
===================================================================================================================================
Net Assets: Net assets ......................................................................... $ 65,245,599
============
===================================================================================================================================
Net Assets Class A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized .... $ 373
Consist of: Class D Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized .... 414
Paid-in capital in excess of par ................................................... 89,279,245
Undistributed investment income--net ............................................... $ 14,788
Accumulated realized capital losses on investments from the Series--net ............ (7,957,227)
Unrealized depreciation on investments from the Series--net ........................ (16,091,994)
-----------
Total accumulated losses--net ...................................................... (24,034,433)
------------
Net assets ......................................................................... $ 65,245,599
============
===================================================================================================================================
Net Asset Class A--Based on net assets of $30,938,292 and 3,734,980 shares outstanding ....... $ 8.28
Value: ============
Class D--Based on net assets of $34,307,307 and 4,140,487 shares outstanding ....... $ 8.29
============
===================================================================================================================================
See Notes to Financial Statements.
4 & 5
Merrill Lynch Small Cap Index Fund, December 31, 2002
STATEMENT OF OPERATIONS
MERRILL LYNCH
SMALL CAP
INDEX FUND For the Year Ended December 31, 2002
===================================================================================================================================
Investment Income Net investment income allocated from the Series:
From the Series: Dividends (net of $408 foreign withholding tax) ............................ $ 935,222
Interest ................................................................... 51,337
Securities lending--net .................................................... 13,371
Expenses (net of $47,315 expense reimbursement) ............................ (60,696)
------------
Net investment income from the Series ...................................... 939,234
------------
===================================================================================================================================
Expenses: Administration fees ........................................................ $ 219,948
Account maintenance fees--Class D .......................................... 100,058
Printing and shareholder reports ........................................... 64,557
Transfer agent fees ........................................................ 43,790
Registration fees .......................................................... 23,109
Professional fees .......................................................... 18,355
Directors' fees and expenses ............................................... 1,394
Other ...................................................................... 6,970
------------
Total expenses before reimbursement ........................................ 478,181
Reimbursement of expenses .................................................. (59,602)
------------
Total expenses after reimbursement ......................................... 418,579
------------
Investment income--net ..................................................... 520,655
------------
===================================================================================================================================
Realized & Realized loss on investments from the Series--net .......................... (4,827,332)
Unrealized Loss Change in unrealized depreciation on investments from the Series--net ...... (13,639,196)
From the ------------
Series--Net: Total realized and unrealized losses on investments from the Series--net ... (18,466,528)
------------
Net Decrease in Net Assets Resulting from Operations ....................... $(17,945,873)
============
===================================================================================================================================
See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
For the Year
MERRILL LYNCH Ended December 31,
SMALL CAP ---------------------------
INDEX FUND Increase (Decrease) in Net Assets: 2002 2001
==================================================================================================================================
Operations: Investment income--net ..................................................... $ 520,655 $ 777,712
Realized loss on investments from the Series--net .......................... (4,827,332) (1,479,768)
Change in unrealized appreciation/depreciation on investments
from the Series--net ....................................................... (13,639,196) 2,436,600
------------ ------------
Net increase (decrease) in net assets resulting from operations ............ (17,945,873) 1,734,544
------------ ------------
==================================================================================================================================
Dividends to Investment income--net:
Shareholders: Class A .................................................................. (302,173) (396,508)
Class D .................................................................. (230,528) (349,787)
------------ ------------
Net decrease in net assets resulting from dividends to shareholders ........ (532,701) (746,295)
------------ ------------
==================================================================================================================================
Capital Share Net increase (decrease) in net assets derived from capital
Transactions: share transactions ......................................................... 2,902,479 (19,766,482)
------------ ------------
==================================================================================================================================
Net Assets: Total decrease in net assets ............................................... (15,576,095) (18,778,233)
Beginning of year .......................................................... 80,821,694 99,599,927
------------ ------------
End of year* ............................................................... $ 65,245,599 $ 80,821,694
============ ============
==================================================================================================================================
*Undistributed investment income--net ....................................... $ 14,788 $ 26,502
============ ============
==================================================================================================================================
See Notes to Financial Statements.
6 & 7
Merrill Lynch Small Cap Index Fund, December 31, 2002
FINANCIAL HIGHLIGHTS
Class A
The following per share data and ratios have been ---------------------------------------------------------
derived from information provided in the financial For the Year Ended
MERRILL LYNCH statements. December 31,
SMALL CAP ---------------------------------------------------------
INDEX FUND Increase (Decrease) in Net Asset Value: 2002 2001 2000 1999 1998
==================================================================================================================================
Per Share Net asset value, beginning of year ................ $ 10.53 $ 10.45 $ 11.78 $ 10.27 $ 12.28
Operating -------- -------- -------- -------- --------
Performance: Investment income--net ............................ .08++++ .10++++ .16 .15 .13
Realized and unrealized gain (loss) on investments
from the Series--net .............................. (2.25) .10 (.43) 1.94 (.59)
-------- -------- -------- -------- --------
Total from investment operations .................. (2.17) .20 (.27) 2.09 (.46)
-------- -------- -------- -------- --------
Less dividends and distributions:
Investment income--net .......................... (.08) (.12) (.17) (.14) (.13)
In excess of investment income--net ............. -- -- --++ -- (.01)
Realized gain on investments from the Series--net -- -- (.76) (.44) (1.41)
In excess of realized gain on investments from
the Series--net ................................. -- -- (.13) -- --
-------- -------- -------- -------- --------
Total dividends and distributions ................. (.08) (.12) (1.06) (.58) (1.55)
-------- -------- -------- -------- --------
Net asset value, end of year ...................... $ 8.28 $ 10.53 $ 10.45 $ 11.78 $ 10.27
======== ======== ======== ======== ========
==================================================================================================================================
Total Investment Based on net asset value per share ................ (20.61%) 1.88% (2.41%) 20.79% (3.14%)
Return: ======== ======== ======== ======== ========
==================================================================================================================================
Ratios to Average Expenses, net of reimbursement+ ................... .50% .50% .49% .50% .50%
Net Assets: ======== ======== ======== ======== ========
Expenses+ ......................................... .64% .63% .60% .61% .84%
======== ======== ======== ======== ========
Investment income--net ............................ .82% 1.02% 1.51% 1.50% 1.14%
======== ======== ======== ======== ========
==================================================================================================================================
Supplemental Net assets, end of year (in thousands) ............ $ 30,938 $ 36,317 $ 35,544 $ 30,911 $ 18,122
Data: ======== ======== ======== ======== ========
==================================================================================================================================
Class D
The following per share data and ratios have been ---------------------------------------------------------
derived from information provided in the financial For the Year Ended
statements. December 31,
---------------------------------------------------------
Increase (Decrease) in Net Asset Value: 2002 2001 2000 1999 1998
==================================================================================================================================
Per Share Net asset value, beginning of year ................ $ 10.53 $ 10.45 $ 11.77 $ 10.27 $ 12.28
Operating -------- -------- -------- -------- --------
Performance: Investment income--net ............................ .05++++ .08++++ .14 .12 .11
Realized and unrealized gain (loss) on investments
from the Series--net .............................. (2.23) .08 (.43) 1.94 (.60)
-------- -------- -------- -------- --------
Total from investment operations .................. (2.18) .16 (.29) 2.06 (.49)
-------- -------- -------- -------- --------
Less dividends and distributions:
Investment income--net .......................... (.06) (.08) (.14) (.12) (.11)
In excess of investment income--net ............. -- -- --++ -- --++
Realized gain on investments from the Series--net -- -- (.76) (.44) (1.41)
In excess of realized gain on investments from
the Series--net ................................. -- -- (.13) -- --
-------- -------- -------- -------- --------
Total dividends and distributions ................. (.06) (.08) (1.03) (.56) (1.52)
-------- -------- -------- -------- --------
Net asset value, end of year ...................... $ 8.29 $ 10.53 $ 10.45 $ 11.77 $ 10.27
======== ======== ======== ======== ========
==================================================================================================================================
Total Investment Based on net asset value per share ................ (20.75%) 1.57% (2.56%) 20.45% (3.41%)
Return: ======== ======== ======== ======== ========
==================================================================================================================================
Ratios to Average Expenses, net of reimbursement+ ................... .75% .75% .74% .74% .75%
Net Assets: ======== ======== ======== ======== ========
Expenses+ ......................................... .89% .88% .85% .86% 1.09%
======== ======== ======== ======== ========
Investment income--net ............................ .56% .78% 1.26% 1.24% .88%
======== ======== ======== ======== ========
==================================================================================================================================
Supplemental Net assets, end of year (in thousands) ............ $ 34,308 $ 44,505 $ 64,056 $ 45,640 $ 30,941
Data: ======== ======== ======== ======== ========
==================================================================================================================================
+ Includes the Fund's share of the Series' allocated expenses.
++ Amount is less than $.01 per share.
++++ Based on average shares outstanding.
See Notes to Financial Statements.
8 & 9
Merrill Lynch Small Cap Index Fund, December 31, 2002
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
SMALL CAP
INDEX FUND
1. Significant Accounting Policies:
Merrill Lynch Small Cap Index Fund (the "Fund") is part of Merrill Lynch Index
Funds, Inc. (the "Corporation"). The Fund is registered under the Investment
Company Act of 1940 as a non-diversified mutual fund. The Fund's financial
statements are prepared in conformity with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. The Fund seeks to achieve its investment
objective by investing all of its assets in Master Small Cap Index Series (the
"Series") of Quantitative Master Series Trust, which has the same investment
objective as the Fund. The value of the Fund's investment in the Series reflects
the Fund's proportionate interest in the net assets of the Series. The
performance of the Fund is directly affected by the performance of the Series.
The financial statements of the Series, including the Schedule of Investments,
are included elsewhere in this report and should be read in conjunction with the
Fund's financial statements. The percentage of the Series owned by the Fund at
December 31, 2002 was 35.9%. The Fund offers two classes of shares, Class A and
Class D. Shares of Class A and Class D 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 D Shares bear certain expenses related to the
account maintenance of such shares and have exclusive voting rights with respect
to matters relating to its account maintenance expenditures. Income, expenses
(other than expenses attributable to a specific class) and realized and
unrealized gains and losses on investments are allocated daily to each class
based on its relative net assets. The following is a summary of significant
accounting policies followed by the Fund.
(a) Valuation of investments -- The Fund records its investment in the Series at
fair value. Valuation of securities held by the Series is discussed in Note 1a
of the Series' Notes to Financial Statements, which are included elsewhere in
this report.
(b) Investment income and expenses -- The Fund records daily its proportionate
share of the Series' income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
(c) Income taxes -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to shareholders. Therefore,
no Federal income tax provision is required. Under the applicable foreign tax
law, a withholding tax may be imposed on interest, dividends and capital gains
at various rates.
(d) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions -- Investment transactions in the Series are
accounted for on a trade date basis.
(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. These
reclassifications have no effect on net assets or net asset values per share.
There were no significant reclassifications in the current year.
2. Transactions with Affiliates:
The Corporation has entered into an Administration Agreement with Merrill Lynch
Investment Managers, L.P. ("MLIM"). The general partner of MLIM is Princeton
Services, Inc. ("PSI"), a wholly-owned subsidiary of Merrill Lynch & Co., Inc.
("ML & Co."), which is the limited partner. The Fund pays a monthly fee at an
annual rate of .29% of the Fund's average daily net assets for the performance
of administrative services (other than investment advice and related portfolio
activities) necessary for the operation of the Fund. For the year ended December
31, 2002, MLIM earned fees of $219,948, of which $59,602 were waived.
The Corporation has also entered into a Distribution Agreement and Distribution
Plan with FAM Distributors, Inc. ("FAMD" or the "Distributor"), a division of
Princeton Funds Distributor, Inc. ("PFD"), which is a wholly-owned subsidiary of
Merrill Lynch Group, Inc. Pursuant to the Distribution Plan adopted by the
Corporation in accordance with Rule 12b-1 under the Investment Company Act of
1940, the Fund pays the Distributor an ongoing account maintenance fee. The fee
is accrued daily and paid monthly at the annual rate of .25% based upon the
average daily net assets of Class D Shares.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., also provides account
maintenance services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account maintenance
services to Class D 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. Investments:
Increases and decreases in the Fund's investment in the Series for the year
ended December 31, 2002 were $22,473,486 and $20,522,966, respectively.
4. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
were $2,902,479 and $(19,766,482) for the years ended December 31, 2002 and
December 31, 2001, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2002 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 2,701,708 $ 27,194,327
Shares issued to shareholders in
reinvestment of dividends ................ 34,007 284,695
------------ ------------
Total issued ............................. 2,735,715 27,479,022
Shares redeemed .......................... (2,449,219) (23,979,176)
------------ ------------
Net increase ............................. 286,496 $ 3,499,846
============ ============
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2001 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 1,569,892 $ 16,038,334
Shares issued to shareholders in
reinvestment of dividends ................ 34,174 357,460
------------ ------------
Total issued ............................. 1,604,066 16,395,794
Shares redeemed .......................... (1,555,974) (15,760,933)
------------ ------------
Net increase ............................. 48,092 $ 634,861
============ ============
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class D Shares for the Year Dollar
Ended December 31, 2002 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 1,018,062 $ 9,600,650
Shares issued to shareholders in
reinvestment of dividends ................ 23,320 196,130
------------ ------------
Total issued ............................. 1,041,382 9,796,780
Shares redeemed .......................... (1,127,427) (10,394,147)
------------ ------------
Net decrease ............................. (86,045) $ (597,367)
============ ============
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Class D Shares for the Year Dollar
Ended December 31, 2001 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 1,349,324 $ 13,863,729
Shares issued to shareholders in
reinvestment of dividends ................ 28,578 298,930
---------- ------------
Total issued ............................. 1,377,902 14,162,659
Shares redeemed .......................... (3,283,262) (34,564,002)
---------- ------------
Net decrease ............................. (1,905,360) $(20,401,343)
========== ============
- -------------------------------------------------------------------------------
5. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2002 and December 31, 2001 was as follows:
- -------------------------------------------------------------------------------
12/31/2002 12/31/2001
- -------------------------------------------------------------------------------
Distributions paid from:
Ordinary income .......................... $532,701 $746,295
-------- --------
Total taxable distributions ................ $532,701 $746,295
======== ========
- -------------------------------------------------------------------------------
As of December 31, 2002, the components of accumulated losses on a tax basis
were as follows:
- -----------------------------------------------------------------------------
Undistributed ordinary income--net ...................... $ 14,788
Undistributed long-term capital gains--net .............. --
------------
Total undistributed earnings--net ....................... 14,788
Capital loss carryforward ............................... (6,541,438)*
Unrealized losses--net .................................. (17,507,783)**
------------
Total accumulated losses--net ........................... $(24,034,433)
============
- -----------------------------------------------------------------------------
* On December 31, 2002, the Fund had a net capital loss carryforward of
$6,541,438, of which $2,556,308 expires in 2009 and $3,985,130 expires in
2010. This amount will be available to offset like amounts of any future
taxable gains.
** The difference between book-basis and tax-basis net unrealized losses is
attributable primarily to the tax deferral of losses on wash sales, the
realization for tax purposes of unrealized gains (losses) on certain
futures contracts and the deferral of post-October capital losses for tax
purposes.
10 & 11
Merrill Lynch Small Cap Index Fund, December 31, 2002
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders,
Merrill Lynch Small Cap Index Fund
(One of the series constituting
Merrill Lynch Index Funds, Inc.):
We have audited the accompanying statement of assets and liabilities of Merrill
Lynch Small Cap Index Fund (one of the series constituting Merrill Lynch Index
Funds, Inc.) as of December 31, 2002, the related statements of operations for
the year then ended, changes in net assets for each of the years in the two-year
period then ended, and the financial highlights for each of the years presented.
These financial statements and the financial highlights are the responsibility
of the Fund's management. Our responsibility is to express an opinion on these
financial statements and the financial highlights based on our audits.
We conducted our audits in accordance with 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, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Merrill Lynch Small
Cap Index Fund of the Merrill Lynch Index Funds, Inc. as of December 31, 2002,
the results of its operations, the changes in its net assets, and the financial
highlights for the respective stated periods in conformity with accounting
principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 20, 2003
SCHEDULE OF INVESTMENTS (in U.S. dollars)
Master Small Cap Index Series
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Shares
Issue Held Value
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Common + 1-800 CONTACTS, INC. 2,200 $ 60,654
Stocks + 1-800-FLOWERS.COM, Inc. 2,824 17,650
1st Source Corporation 5,140 86,095
+ 3D Systems Corporation 2,989 23,314
+ 3TEC Energy Corporation 3,221 45,706
+ 4Kids Entertainment, Inc. 2,563 56,591
+ 7-Eleven, Inc. 6,779 50,842
+ II-VI Incorporated 2,286 36,713
+ @Road, Inc. 4,400 18,172
+ A.C. Moore Arts & Crafts, Inc. 4,100 52,111
+ A.M. Castle & Company 3,700 16,835
A.O. Smith Corporation 4,881 131,836
A. Schulman, Inc. 9,706 180,629
AAR Corp. 7,668 39,490
ABC Bancorp 4,300 55,685
+ ABIOMED, Inc. 7,064 25,713
ABM Industries, Inc. 10,770 166,935
+ ACT Manufacturing, Inc. 2,541 4
+ ADE Corporation 5,917 35,324
+ ADVO Systems, Inc. 5,290 173,671
+ AEP Industries Inc. 500 6,535
+ AFC Enterprises, Inc. 4,900 102,949
AGL Resources Inc. 16,385 398,156
+ ALARIS Medical, Inc. 4,000 24,400
+ AMC Entertainment Inc. 7,200 63,720
AMCOL International Corporation 4,473 25,943
AMCORE Financial, Inc. 6,218 134,931
+ AMERIGROUP Corporation 3,200 96,992
AMETEK, Inc. 9,878 380,204
+ ANADIGICS, Inc. 10,322 26,631
+ ANC Rental Corporation 8,374 419
+ ANSYS, Inc. 4,916 99,303
+ APAC Customer Services Inc. 7,538 17,639
+ ARIAD Pharmaceuticals, Inc. 8,419 20,206
+ ATMI, Inc. 7,757 143,660
+ AVANIR Pharmaceuticals (Class A) 7,700 7,700
+ AXT, Inc. 5,456 9,821
+ aaiPharma Inc. 4,000 56,080
+ Aaon, Inc. 1,700 31,331
Aaron Rents, Inc. 4,708 103,011
+ Abgenix, Inc. 21,300 156,981
+ Acacia Research--Acacia Technologies 4,331 10,438
+ Acacia Research--CombiMatrix 2,418 8,800
Acadia Realty Trust 6,701 49,721
+ Acclaim Entertainment Inc. 26,761 17,662
+ Acme Communications, Inc. 1,200 9,564
+ Actel Corp. 6,816 110,556
+ Acterna Corporation 7,800 1,248
Action Performance Companies, Inc. 4,900 93,100
+ Active Power, Inc. 13,800 24,564
+ Actuant Corporation (Class A) 2,200 102,190
+ Actuate Corporation 12,799 22,654
Acuity Brands, Inc. 11,160 151,106
+ Adelphia Business Solutions, Inc. 6,225 143
+ Administaff, Inc. 7,361 44,166
+ Adolor Corporation 8,600 117,992
+ Adtran, Inc. 6,400 210,560
+ Advanced Digital Information
Corporation 19,634 131,744
+ Advanced Energy Industries, Inc. 5,212 66,297
Advanced Marketing Services, Inc. 4,981 73,221
+ Advanced Neuromodulation Systems, Inc. 3,200 112,320
+ Advanced Power Technology, Inc. 500 1,625
+ Advanced Tissue Sciences, Inc. 16,190 664
Advanta Corp. (Class B) 5,000 46,950
+ The Advisory Board Company 2,200 65,780
+ Aeroflex Incorporated 16,412 113,243
+ Aeropostale, Inc. 2,900 30,653
+ Aether Systems, Inc. 14,400 54,144
+ Aftermarket Technology Corp. 3,400 49,300
+ Agile Software Corporation 11,002 85,155
Airborne, Inc. 12,601 186,873
+ Airgas, Inc. 15,513 267,599
+ AirGate PCS, Inc. 7,117 4,413
+ AirTran Holdings, Inc. 15,220 59,358
+ Akamai Technologies, Inc. 35,500 61,415
12 & 13
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
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Shares
Issue Held Value
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Common + Aksys, Ltd. 5,700 $ 30,210
Stocks Alabama National BanCorporation 2,421 105,314
(continued) Alamo Group Inc. 500 6,125
+ Alamosa Holdings, Inc. 18,725 9,737
+ Alaska Air Group, Inc. 6,099 132,043
+ Alaska Communications Systems
Holdings, Inc. 5,123 9,426
Albany International Corp. (Class A) 5,826 120,365
+ Albany Molecular Research, Inc. 6,587 97,428
+ Alderwoods Group, Inc. 9,400 44,453
Alexander & Baldwin, Inc. 12,292 317,011
+ Alexander's, Inc. 367 23,690
Alexandria Real Estate Equities, Inc. 4,856 206,866
+ Alexion Pharmaceuticals, Inc. 6,180 87,262
Alfa Corporation 10,240 122,993
Alico, Inc. 900 23,940
+ Align Technology, Inc. 6,400 17,670
+ Alkermes, Inc. 14,600 91,542
+ Allegiance Telecom, Inc. 21,900 14,673
Allegiant Bancorp, Inc. 2,400 43,750
+ Allen Telecom Inc. 7,984 75,608
+ Alliance Gaming Corporation 12,800 217,984
+ Alliance Imaging, Inc. 2,200 11,660
+ Alliance Semiconductor Corporation 9,241 36,317
+ Allos Therapeutics Inc. 5,300 39,856
+ Alloy, Inc. 8,067 88,334
+ Allscripts Healthcare Solutions, Inc. 6,741 16,111
Alpharma, Inc. (Class A) 7,525 89,623
+ Altiris, Inc. 2,200 35,024
+ Ambassadors Group, Inc. 500 6,471
+ Amerco 4,641 20,513
American Capital Strategies, Ltd. 12,689 273,956
American Financial Holdings, Inc. 7,154 213,762
+ American Healthways, Inc. 3,750 65,625
American Home Mortgage Holdings, Inc. 1,100 12,100
+ American Italian Pasta Company (Class A) 4,434 159,535
+ American Management Systems,
Incorporated 11,095 133,029
+ American Medical Security Group, Inc. 2,500 34,950
+ American Medical Systems Holdings, Inc. 6,500 105,365
American National Bankshares Inc. 2,100 54,600
+ American Pharmaceutical Partners, Inc. 3,300 58,740
+ American Physicians Capital, Inc. 2,671 50,242
American States Water Company 3,585 82,993
+ American Superconductor Corporation 8,962 26,976
+ American Tower Corporation (Class A) 44,600 157,438
American Woodmark Corporation 1,600 76,000
+ AmeriPath, Inc. 8,701 187,072
+ Ameristar Casinos, Inc. 4,100 57,810
+ Ameritrade Holding Corporation 43,900 248,474
Ameron International Corporation 800 44,120
Amli Residential Properties Trust 4,840 102,995
+ AmSurg Corp. 6,300 128,709
+ Amylin Pharmaceuticals, Inc. 17,925 289,310
Analogic Corporation 2,272 114,254
+ Anaren Microwave, Inc. 6,522 57,394
Anchor Bancorp, Inc. 6,437 133,568
Angelica Corporation 1,800 37,170
+ Anixter International Inc. 9,072 210,924
+ AnnTaylor Stores Corporation 11,941 243,835
+ AnswerThink Consulting Group, Inc. 12,179 30,448
+ Anteon International Corporation 3,900 93,600
Anthracite Capital, Inc. 13,300 144,970
+ Antigenics Inc. 7,713 78,981
Anworth Mortgage Asset Corporation 8,000 100,560
Apex Mortgage Capital, Inc. 11,000 71,940
+ Aphton Corporation 3,524 13,708
Apogee Enterprises, Inc. 9,800 87,720
+ Applera Corporation--Celera
Genomics Group 18,500 176,675
+ Applica Incorporated 5,896 29,480
+ Applied Films Corporation 2,800 55,972
Applied Industrial Technologies, Inc. 6,707 126,762
+ Applied Molecular Evolution 3,200 6,560
+ Apria Healthcare Group Inc. 11,100 246,864
+ Arbitron Inc. 8,158 273,293
Arch Chemicals, Inc. 5,456 99,572
Arch Coal, Inc. 12,100 261,239
Arctic Cat Inc. 5,743 91,888
+ Arden Group, Inc. (Class A) 432 26,145
+ Arena Pharmaceuticals, Inc. 5,800 37,758
Argonaut Group, Inc. 6,166 90,949
+ Argosy Gaming Company 6,225 117,839
+ Ariba, Inc. 73,700 182,776
+ Arkansas Best Corporation 6,641 172,540
+ Armor Holdings, Inc. 7,216 99,364
+ ArQule, Inc. 6,211 18,944
+ Array BioPharma Inc. 3,900 21,645
+ Arris Group Inc. 21,000 74,970
Arrow Financial Corporation 1,858 57,171
Arrow International, Inc. 2,654 107,938
+ Artesyn Technologies, Inc. 15,467 59,393
+ ArthroCare Corporation 6,420 63,237
+ Artisan Components, Inc. 3,800 58,634
+ Asbury Automotive Group Inc. 600 5,046
+ Ascent Media Group, Inc. (Class A) 1,398 1,566
+ Ascential Software Corporation 67,981 163,154
+ AsianInfo Holdings, Inc. 9,397 59,577
+ Aspect Communications Corporation 12,500 35,500
+ Aspen Technology, Inc. 10,708 30,304
Associated Estates Realty Corporation 4,700 31,725
+ Astec Industries, Inc. 4,417 43,861
+ AstroPower, Inc. 5,500 43,945
+ Asyst Technologies, Inc. 10,841 79,681
+ AtheroGenics, Inc. 5,200 38,532
+ Atlantic Coast Airlines Holdings, Inc. 10,923 131,404
+ Atlas Air, Inc. 4,798 7,245
Atmos Energy Corporation 11,338 264,402
+ Atrix Laboratories, Inc. 6,600 101,237
+ Atwood Oceanics, Inc. 3,227 97,133
+ Audiovox Corporation (Class A) 3,885 40,175
+ August Technology Corp. 1,200 6,072
+ Aurora Food Inc. 6,879 5,366
+ Avanex Corporation 10,678 11,191
+ Avatar Holdings Inc. 1,200 27,600
+ Avenue A, Inc. 6,100 17,690
+ Aviall, Inc. 3,800 30,590
+ Avid Technology, Inc. 7,894 181,167
+ Avigen, Inc. 5,878 33,563
Avista Corporation 13,475 155,771
+ Avocent Corporation 11,594 257,619
+ Axcelis Technologies, Inc. 30,500 171,075
+ Aztar Corporation 8,391 119,823
+ BARRA, Inc. 4,759 144,340
+ BE Aerospace, Inc. 13,300 48,412
BEI Techologies, Inc. 2,532 28,333
+ BKF Capital Group, Inc. 1,000 17,650
BSB Bancorp, Inc. 1,941 40,703
+ BWAY Corporation 500 9,890
Baldor Electric Company 7,871 155,452
Baldwin & Lyons, Inc. (Class B) 2,426 57,132
+ Bally Total Fitness Holding Corporation 7,441 52,757
The Banc Corporation 6,200 48,112
BancFirst Corporation 1,045 49,115
Bandag, Incorporated 2,574 99,562
Bank Mutual Corporation 2,300 53,199
Bank of Granite Corp. 3,986 69,755
Bank of the Ozarks, Inc. 600 14,064
BankAtlantic Bancorp, Inc. (Class A) 13,442 127,027
+ BankUnited Financial Corporation (Class A) 7,173 116,059
Banner Corporation 2,213 41,737
Banta Corporation 7,894 246,845
Barnes Group Inc. 3,957 80,525
Bassett Furniture Industries, Incorporated 2,100 30,072
+ Bay View Capital Corporation 18,314 105,306
Beasley Broadcast Group, Inc. (Class A) 2,833 33,883
+ Beazer Homes USA, Inc. 3,717 225,250
+ bebe stores, inc. 1,840 24,656
Bedford Property Investors, Inc. 3,799 97,596
Bel Fuse Inc. 2,259 45,519
Belden Inc. 7,069 107,590
+ Bell Microproducts Inc. 4,820 26,703
+ Benchmark Electronics, Inc. 7,191 206,094
+ Benihana Inc. (Class A) 2,070 27,945
+ Bentley Pharmaceuticals, Inc. 2,000 16,100
Berkshire Hills Bancorp, Inc. 1,100 25,905
Berry Petroleum Company (Class A) 3,701 63,102
+ Beverly Enterprises, Inc. 25,226 71,894
+ BioMarin Pharmaceutical Inc. 8,648 60,968
+ Biopure Corporation 7,072 26,308
+ Bio-Rad Laboratories, Inc. (Class A) 4,828 186,844
+ Bio-Reference Laboratories, Inc. 800 4,936
+ BioReliance Corporation 400 9,268
+ Biosite Diagnostics Incorporated 3,649 124,139
+ Bio-Technology General Corp. 17,467 55,912
Black Box Corporation 5,488 245,862
Black Hills Corporation 8,500 225,420
Blair Corporation 1,600 37,312
Blyth, Inc. 9,779 261,686
Bob Evans Farms, Inc. 10,880 254,048
+ Boca Resorts, Inc. (Class A) 6,657 71,230
+ The Bombay Company, Inc. 13,200 66,000
+ Bone Care International, Inc. 1,810 17,611
14 & 15
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
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Shares
Issue Held Value
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Common + Borland Software Corporation 16,567 $ 203,774
Stocks + The Boston Beer Company, Inc. (Class A) 1,500 21,450
(continued) + Boston Communications Group, Inc. 3,221 40,939
Boston Private Financial Holdings, Inc. 6,493 128,951
BostonFed Bancorp, Inc. 1,800 48,060
Bowne & Co., Inc. 9,782 116,895
+ Boyd Gaming Corporation 8,715 122,446
+ The Boyds Collection, Ltd. 5,129 34,108
Boykin Lodging Company 3,132 29,221
+ Bradley Pharmaceuticals, Inc. 1,400 18,242
Brady Corporation 5,147 171,652
Brandywine Realty Trust 6,647 144,971
Briggs & Stratton Corporation 5,859 248,832
+ Bright Horizons Family Solutions, Inc. 2,502 70,356
+ BriteSmile, Inc. 3,450 1,139
+ Broadwing Inc. 58,000 204,160
Brookline Bancorp, Inc. 18,187 216,425
+ Brooks-PRI Automation, Inc. 10,488 120,192
+ Brookstone, Inc. 1,300 18,798
Brown Shoe Company, Inc. 5,179 123,416
+ Bruker Daltonics, Inc. 5,387 26,181
+ Brush Engineered Materials Inc. 7,311 40,211
Bryn Mawr Bank Corporation 1,600 58,608
+ Buca, Inc. 5,449 45,336
+ Buckeye Technologies Inc. 6,998 43,038
+ The Buckle, Inc. 1,249 22,482
Building Materials Holding Corporation 2,600 37,180
Burlington Coat Factory Warehouse Corporation 5,292 94,991
Burnham Pacific Properties, Inc. 13,778 10,471
Bush Industries, Inc. 3,908 18,915
Butler Manufacturing Company 1,100 21,285
C&D Technologies, Inc. 6,894 121,817
+ CACI International Inc. (Class A) 8,116 289,254
CARBO Ceramics Inc. 2,168 73,062
CB Bancshares, Inc. 1,500 63,780
CBL & Associates Properties, Inc. 6,373 255,239
CCBT Financial Companies Inc. 2,500 64,200
+ CCC Information Services Group Inc. 3,506 62,232
+ C-COR.net Corp. 10,534 34,973
+ CDI Corp. 3,701 99,853
CFS Bancorp, Inc. 3,500 50,050
CH Energy Group, Inc. 4,689 218,648
+ CIBER, Inc. 15,202 78,290
+ CIMA Labs Inc. 4,472 108,182
CIRCOR International, Inc. 1,800 28,620
+ CKE Restaurants, Inc. 12,300 52,890
CLARCOR Inc. 7,055 227,665
CNA Surety Corporation 3,086 24,225
+ CNET Networks, Inc. 39,300 106,503
+ CONMED Corporation 7,728 151,392
CPB Inc. 3,438 94,373
CPI Corp. 2,398 34,747
+ CSK Auto Corporation 6,934 76,274
+ CSS Industries, Inc. 1,075 35,583
CT Communications, Inc. 3,555 40,172
CTS Corporation 8,708 67,487
+ CUNO Incorporated 4,431 146,755
+ CV Therapeutics, Inc. 7,400 134,828
CVB Financial Corp. 6,988 177,705
+ Cable Design Technology 12,884 76,016
+ Cabot Microelectronics Corporation 6,300 297,360
Cabot Oil & Gas Corporation (Class A) 7,974 197,596
+ Cadiz Inc. 12,359 6,797
+ Cal Dive International, Inc. 11,337 266,420
Calgon Carbon Corporation 9,701 47,923
California First National Bancorp 2,300 29,440
+ California Pizza Kitchen, Inc. 5,000 126,000
California Water Service Group 3,796 89,927
+ Caliper Technologies Corp. 6,467 19,401
Cambrex Corporation 6,985 211,017
Camden National Corporation 1,500 36,300
+ Caminus Corporation 3,672 8,592
+ Cantel Medical Corp. 900 11,394
Capital Automotive 6,750 159,975
Capital City Bank Group, Inc. 1,982 77,675
Capitol Bancorp Ltd. 1,200 27,840
Capstead Mortgage Corporation 3,877 95,568
+ Capstone Turbine Corporation 22,500 20,250
Caraustar Industries, Inc. 7,674 72,750
+ Cardiac Science, Inc. 16,500 36,465
+ CardioDynamics International Corporation 7,132 21,895
Carlisle Companies Incorporated 9,136 378,048
+ Carmike Cinemas, Inc. 200 3,930
Carpenter Technology Corporation 5,226 65,064
+ Carreker Corporation 6,595 29,875
Cascade Bancorp 2,100 29,022
Cascade Corporation 1,300 20,735
Cascade Natural Gas Corporation 3,222 64,440
+ Casella Waste Systems, Inc. 4,878 43,365
Casey's General Stores, Inc. 12,907 157,594
Cash America International, Inc. 4,719 44,925
+ Catapult Communications Corporation 1,572 18,785
Cathay Bancorp, Inc. 3,908 148,465
The Cato Corporation (Class A) 4,297 92,772
+ Cell Genesys, Inc. 9,424 105,087
+ Cell Therapeutics, Inc. 12,031 87,465
+ Centene Corporation 2,200 73,898
+ Centennial Communications Corp. 1,526 3,983
Center Trust, Inc. 5,900 46,020
Centex Construction Products, Inc. 1,277 44,887
+ Centillium Communications, Inc. 9,409 21,264
+ Central Coast Bancorp 3,212 63,469
+ Central Garden & Pet Company 4,800 88,848
Central Parking Corporation 5,085 95,903
Central Vermont Public Service Corporation 3,403 62,207
+ Century Aluminum Company 5,302 39,288
Century Bancorp, Inc. (Class A) 1,400 37,128
+ Century Business Services, Inc. 17,933 47,522
+ Cepheid, Inc. 8,800 44,862
+ Ceres Group, Inc. 400 768
+ Cerus Corporation 3,425 73,638
+ Champion Enterprises, Inc. 14,227 40,547
+ Championship Auto Racing Teams, Inc. 4,832 17,878
+ Champs Entertainment, Inc. 700 6,657
+ Charles River Associates Incorporated 3,200 45,312
+ Charlotte Russe Holding Inc. 2,600 27,586
+ Charming Shoppes, Inc. 37,740 157,753
Charter Financial Corporation 500 15,540
Charter Municipal Mortgage
Acceptance Company 11,345 197,063
Chateau Communities, Inc. 7,508 172,684
+ Chattem, Inc. 3,400 69,870
+ Checkers Drive-In Restaurants, Inc. 900 5,634
+ Checkpoint Systems, Inc. 9,323 96,400
Chelsea Property Group, Inc. 9,374 312,248
Chemed Corporation 2,886 102,020
Chemical Financial Corporation 5,763 185,280
+ Cherokee Inc. 700 10,220
Chesapeake Corporation 3,692 65,902
Chesapeake Energy Corporation 42,287 327,301
+ Chicago Pizza & Brewery, Inc. 5,200 35,880
+ The Children's Place Retail Stores, Inc. 2,685 28,568
+ ChipPAC, Inc. 11,851 42,071
+ Chiquita Brands International, Inc. 9,200 121,992
Chittenden Corporation 8,446 215,204
+ Choice Hotels International, Inc. 6,679 151,613
+ Cholestech Corporation 2,600 18,096
+ Chordiant Software, Inc. 7,848 11,301
+ Christopher & Banks Corporation 6,652 138,029
Churchill Downs Incorporated 1,332 50,856
+ Ciphergen Biosystems, Inc. 3,100 10,695
+ Cirrus Logic, Inc. 19,300 55,584
Citizens First Bancorp, Inc. 1,600 33,694
+ Citizens, Inc. 6,155 46,163
City Holding Company 5,593 158,002
CityBank 2,099 51,950
Claire's Stores, Inc. 11,560 255,129
+ Clark/Bardes, Inc. 3,300 63,525
+ ClearOne Communications Inc. 1,100 4,895
Cleco Corporation 12,267 171,738
+ Cleveland-Cliffs Inc. 2,559 50,796
+ Closure Medical Corporation 1,113 11,664
Coachmen Industries, Inc. 2,907 45,931
Coastal Bancorp, Inc. 1,132 36,620
Coastal Financial Corporation 3,300 45,012
+ Cobalt Corporation 2,000 27,600
CoBiz Inc. 2,184 32,432
Coca-Cola Bottling Co. Consolidated 287 18,514
+ Cognex Corporation 10,456 192,704
+ Cognizant Technology Solutions Corporation 2,568 185,487
+ Coherent, Inc. 8,080 161,196
Cohu, Inc. 6,718 98,755
+ Coinstar, Inc. 6,692 151,574
+ Coldwater Creek Inc. 898 17,242
+ Cole National Corporation (Class A) 1,900 21,660
+ Collins & Aikman Corporation 6,778 30,162
Colonial Properties Trust 4,306 146,146
Columbia Bancorp 2,800 61,684
+ Columbia Banking System, Inc. 5,635 71,057
+ Columbia Laboratories, Inc. 7,604 25,549
+ Columbus McKinnon Corporation 5,500 21,016
16 & 17
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
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Shares
Issue Held Value
====================================================================================================
Common Comdisco Holding Company, Inc. 25,577 $ 2,097
Stocks + Comfort Systems USA, Inc. 7,000 23,450
(continued) The Commerce Group, Inc. 6,545 245,372
Commercial Federal Corporation 12,527 292,505
Commercial Metals Company 7,078 114,947
Commercial Net Lease Realty 10,375 159,049
Commonwealth Bancorp, Inc. 2,600 120,562
+ Commonwealth Telephone Enterprises, Inc. 3,533 126,623
+ CommScope, Inc. 13,188 104,185
Community Bank System, Inc. 2,600 81,510
Community Banks, Inc. 2,096 58,059
Community First Bankshares, Inc. 12,240 323,870
Community Trust Bancorp, Inc. 2,970 74,666
+ CompuCom Systems, Inc. 4,700 26,367
+ CompuCredit Corporation 3,289 23,253
+ Computer Horizons Corp. 13,100 42,837
+ Computer Network Technology Corporation 9,654 68,543
+ Computer Programs and Systems, Inc. 1,500 37,140
CompX International Inc. 2,551 21,352
+ Comstock Resources, Inc. 5,057 46,980
+ Conceptus, Inc. 5,500 65,890
+ Concord Camera Corp. 5,774 31,353
+ Concord Communications, Inc. 5,400 48,546
+ Concurrent Computer Corporation 15,579 44,868
Connecticut Bancshares, Inc. 2,700 103,815
Connecticut Water Service, Inc. 2,589 65,323
+ Connetics Corporation 10,002 120,224
+ Consolidated Graphics, Inc. 2,300 51,175
+ Constellation 3D, Inc. 2,000 20
Cooper Companies, Inc. 9,184 229,784
+ CoorsTek, Inc. 2,752 70,314
+ Corinthian Colleges, Inc. 11,138 421,685
+ Corixa Corporation 14,757 94,297
Corn Products International, Inc. 9,589 288,917
+ Cornell Companies, Inc. 2,400 21,600
Cornerstone Realty Income Trust, Inc. 14,003 111,464
+ The Corporate Executive Board Company 10,642 339,693
Corporate Office Properties Trust 3,800 53,314
Correctional Properties Trust 1,200 26,040
+ Corrections Corporation of America 7,394 126,807
Corus Bankshares, Inc. 2,976 129,932
+ CorVel Corporation 1,257 44,938
+ Cost Plus, Inc. 6,076 174,199
+ CoStar Group Inc. 3,550 65,498
Courier Corporation 600 27,504
+ Covance Inc. 18,391 452,235
+ Covansys Corporation 4,009 15,066
+ Covanta Energy Corporation 18,520 148
+ Covenant Transport, Inc. (Class A) 1,000 18,960
Crawford & Company (Class B) 8,009 40,045
+ Cray, Inc. 14,700 112,749
+ Credence Systems Corporation 16,368 152,713
+ Credit Acceptance Corporation 2,849 18,179
+ Cree, Inc. 20,500 335,175
Crompton Corporation 31,360 186,592
+ Cross Country, Inc. 10,200 142,290
+ Cross Media Marketing Corporation 1,000 550
Crown American Realty Trust 6,100 56,120
+ Crown Castle International Corp. 56,700 212,625
+ Crown Cork & Seal Company, Inc. 44,569 354,324
+ Crown Media Holdings, Inc. (Class A) 7,298 16,493
+ CryoLife, Inc. 8,228 56,197
Cubic Corporation 4,252 78,364
+ Cubist Pharmaceuticals, Inc. 9,267 76,267
+ Culp, Inc. 2,800 23,800
+ CuraGen Corporation 14,200 66,030
+ Curative Health Services, Inc. 3,800 65,550
Curtiss-Wright Corporation 2,967 189,354
+ Cyberonics, Inc. 6,769 124,550
+ Cytec Industries Inc. 12,093 329,897
D & K Healthcare Resources, Inc. 4,700 48,133
+ DDi Corp. 19,860 4,369
+ DHB Capital Group Inc. 1,600 2,656
+ DIANON Systems, Inc. 2,779 132,586
DIMON Incorporated 14,555 87,330
+ DJ Orthopedics Incorporated 200 752
DQE, Inc. 21,402 326,166
+ DRS Technologies, Inc. 5,668 177,578
+ DSP Group, Inc. 8,483 134,201
+ DVI, Inc. 2,507 18,928
+ Daisytek International Corporation 6,511 51,632
+ Daktronics, Inc. 3,299 44,141
Datascope Corp. 3,470 86,059
+ Datastream Systems, Inc. 4,511 28,870
+ Dave & Buster's, Inc. 2,000 17,300
Deb Shops, Inc. 500 11,105
+ deCODE GENETICS, INC. 7,100 13,135
+ Del Laboratories, Inc. 735 14,847
+ Del Monte Foods Company 14,848 114,330
+ dELiA*s Corp. (Class A) 8,800 3,960
Delphi Financial Group, Inc. (Class A) 3,480 132,101
Delta and Pine Land Company 10,478 213,856
+ Deltagen, Inc. 5,100 2,448
Deltic Timber Corporation 3,109 83,010
+ Denbury Resources Inc. 8,670 97,971
+ Dendrite International, Inc. 7,864 58,744
+ Department 56, Inc. 2,200 28,380
+ DiamondCluster International, Inc. (Class A) 7,719 24,238
+ Digene Corporation 4,224 48,407
+ Digimarc Corporation 2,637 29,904
+ Digital Insight Corporation 7,830 68,043
+ Digital River, Inc. 7,800 93,210
+ Digitas Inc. 2,428 8,401
Dime Community Bancshares 7,166 137,229
+ Dionex Corporation 5,131 152,442
+ Discovery Partners International 2,900 8,062
+ Diversa Corporation 6,978 63,151
+ divine, Inc. (Class A) 712 997
+ DocuCorp International, Inc. 1,200 7,945
+ Documentum, Inc. 11,177 175,032
+ Dollar Thrifty Automotive Group, Inc. 6,295 133,139
+ DoubleClick Inc. 32,700 185,082
Dover Downs Gaming & Entertainment, Inc. 2,278 20,707
Dover Motorsports, Inc. 7,640 35,526
+ The Dress Barn, Inc. 6,545 87,049
+ Drew Industries Incorporated 2,300 36,915
+ Drexler Technology Corporation 3,100 39,060
+ Dril-Quip, Inc. 1,688 28,527
+ Drugstore.com, Inc. 12,300 29,520
+ Duane Reade Inc. 6,628 112,676
+ Ducommun Incorporated 2,800 44,380
+ DuPont Photomasks, Inc. 2,908 67,611
+ Dura Automotive Systems, Inc. 5,053 50,732
+ Durect Corporation 5,400 10,908
+ Dycom Industries, Inc. 12,702 168,302
+ Dynacq International, Inc. 2,552 36,667
+ Dynamic Research Corporation 1,300 18,213
EDO Corporation 5,126 106,518
+ EGL, Inc. 9,995 142,429
+ EMCOR Group, Inc. 4,218 223,596
+ EMCORE Corporation 14,286 31,286
+ EMS Technologies, Inc. 2,200 34,344
+ EPIQ Systems, Inc. 2,145 32,861
+ EPIX Medical, Inc. 2,500 18,075
+ ESCO Technologies Inc. 3,966 146,742
+ ESS Technology, Inc. 10,929 68,743
+ E.piphany, Inc. 21,080 87,904
+ EarthLink, Inc. 34,500 188,025
+ EarthShell Corporation 8,256 4,788
East West Bancorp, Inc. 7,298 263,312
EastGroup Properties, Inc. 3,927 100,139
+ Echelon Corporation 7,313 81,979
+ Eclipsys Corporation 10,031 53,666
+ eFunds Corporation 13,588 123,787
+ El Paso Electric Company 13,508 148,588
+ Electro Rent Corporation 2,553 30,945
+ Electro Scientific Industries, Inc. 8,561 171,220
+ Electroglas, Inc. 12,920 19,897
+ Electronics Boutique Holdings Corp. 3,431 54,244
+ Electronics for Imaging, Inc. 14,939 242,923
+ Elizabeth Arden, Inc. 4,693 69,456
ElkCorp 6,351 109,872
+ Embarcadero Technologies, Inc. 2,230 13,313
+ Embrex, Inc. 1,100 12,241
Empire District Electric Company 7,268 132,278
+ Encore Acquisition Company 1,300 23,946
+ Encore Wire Corporation 2,500 22,625
+ Endo Pharmaceuticals Holdings, Inc. 4,500 34,646
+ Endocardial Solutions, Inc. 700 2,366
+ Endocare, Inc. 8,603 19,357
Energen Corporation 9,892 287,857
+ Energy Conversion Devices, Inc. 4,264 41,791
+ Energy Partners, Ltd. 6,200 66,340
EnergySouth, Inc. 1,900 53,580
Engineered Support Systems, Inc. 4,050 148,473
Ennis Business Forms, Inc. 3,300 38,346
+ Entegris Inc. 11,900 122,570
+ Enterasys Networks, Inc. 40,100 62,556
Entertainment Properties Trust 4,080 95,962
+ Entrust Technologies Inc. 12,200 40,992
+ Enzo Biochem, Inc. 5,729 80,206
+ Enzon, Inc. 13,200 220,704
18 & 19
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common + Eon Labs, Inc. 3,300 $ 62,403
Stocks Equity Inns Inc. 8,640 52,013
(continued) Equity One, Inc. 300 4,005
+ eResearch Technology, Inc. 2,900 48,575
+ Escalade, Incorporated 300 6,000
+ eSPEED, Inc. (Class A) 7,723 130,835
+ Esperion Therapeutics, Inc. 9,117 65,187
Essex Property Trust, Inc. 4,495 228,571
+ Esterline Technologies Corporation 5,090 89,940
+ eUniverse, Inc. 5,500 31,240
+ Euronet Worldwide, Inc. 5,300 39,803
+ Evergreen Resources, Inc. 4,996 224,071
+ Exact Sciences Corporation 2,400 25,992
+ Exar Corporation 11,227 139,215
+ Excel Technology, Inc. 1,873 33,508
+ Exelixis, Inc. 13,118 104,944
+ The Exploration Company of Delaware 1,800 5,364
+ ExpressJet Holdings, Inc. 7,100 72,775
+ Extreme Networks, Inc. 32,100 104,967
+ Exult Inc. 10,900 34,662
+ F5 Networks, Inc. 7,419 79,680
F&M Bancorp 2,572 82,304
+ F.A.O., Inc. 3,100 1,457
FBL Financial Group, Inc. (Class A) 2,325 45,268
FBR Asset Investment Corporation 5,200 176,280
+ FEI Company 6,155 94,110
+ FLIR Systems, Inc. 4,683 228,530
+ FMC Corporation 7,900 215,828
FNB Corporation 2,000 47,460
+ FPIC Insurance Group, Inc. 4,700 32,430
+ FSI International, Inc. 7,244 32,598
+ FTI Consulting, Inc. 5,994 240,659
+ Factory 2-U Stores Inc. 3,727 12,713
FactSet Research Systems Inc. 6,087 172,079
+ FalconStor Software, Inc. 9,909 38,447
Farmer Brothers Co. 171 52,839
Farmers Capital Bank Corporation 1,685 56,026
+ Federal Agricultural Mortgage Corporation 2,700 82,728
Federal Realty Investment Trust 11,530 324,224
Federal Signal Corporation 13,759 267,200
FelCor Lodging Trust Inc. 12,670 144,945
Ferro Corporation 8,476 207,069
Fidelity Bankshares, Inc. 3,548 63,509
+ Fidelity National Information
Solutions, Inc. 4,261 73,502
+ FileNET Corporation 9,282 113,240
+ Financial Federal Corporation 2,967 74,561
Financial Industries Corporation 1,500 21,360
Financial Institutions, Inc. 1,600 46,976
+ Finisar Corporation 43,800 41,610
+ The Finish Line, Inc. 6,733 71,033
+ Finlay Enterprises, Inc. 800 9,648
First Bancorp 1,924 45,233
First Busey Corporation 2,676 61,709
First Charter Corporation 7,823 140,814
First Citizens BancShares, Inc. (Class A) 1,547 149,440
First Commonwealth Financial Corporation 14,934 171,741
First Community Bancorp 2,300 75,741
First Community Bancshares, Inc. 2,540 78,130
+ First Consulting Group, Inc. 4,674 26,922
First Defiance Financial Corp. 2,700 51,030
First Essex Bancorp, Inc. 2,316 77,354
First Federal Capital Corp. 5,412 104,500
First Financial Bancorp 9,187 150,584
First Financial Bankshares, Inc. 3,012 114,456
First Financial Corporation 1,922 93,467
First Financial Holdings, Inc. 4,026 99,684
+ First Horizon Pharmaceutical Corporation 5,000 37,390
First Indiana Corporation 3,388 62,746
First Merchants Corporation 3,430 78,170
First National Corporation 2,530 60,720
First Niagara Financial Group, Inc. 2,868 74,912
First Oak Brook Bancshares, Inc. 700 21,994
The First of Long Island Corporation 500 18,250
First Place Financial Corp. 2,800 46,564
+ First Republic Bank 3,800 75,962
First Sentinel Bancorp Inc. 5,667 81,548
First South Bancorp, Inc. 1,400 49,812
First State Bancorporation 1,000 24,800
Firstbank Corp. 8,729 197,275
FirstFed America Bancorp, Inc. 1,400 34,790
+ FirstFed Financial Corp. 4,900 141,855
Fisher Communications, Inc. 1,100 57,992
Flagstar Bancorp, Inc. 4,225 91,260
+ Fleetwood Enterprises, Inc. 11,699 91,837
Fleming Companies, Inc. 15,940 104,726
Florida East Coast Industries, Inc. 6,481 150,359
Florida Rock Industries, Inc. 5,239 199,344
+ Flow International Corporation 7,400 18,870
Flowers Foods, Inc. 6,371 124,298
Flushing Financial Corporation 2,250 36,851
+ Foamex International Inc. 7,900 24,964
Focal Communications Corporation
(Warrants) (a) 221 2
+ Footstar, Inc. 3,936 27,395
+ Forrester Research, Inc. 4,681 2,883
+ Forward Air Corporation 3,388 65,761
+ Fossil, Inc. 6,555 133,329
+ Foundry Networks, Inc. 23,800 167,552
Franklin Electric Co., Inc. 1,830 87,858
Fred's, Inc. 6,890 177,073
+ FreeMarkets, Inc. 12,969 83,507
Fremont General Corporation 17,461 78,400
+ Friedman, Billings, Ramsey Group, Inc.
(Class A) 4,358 40,791
Friedman's Inc. (Class A) 4,400 38,192
+ Frontier Airlines, Inc. 8,555 57,832
Frontier Financial Corporation 3,841 98,253
Frontier Oil Corporation 8,715 150,072
+ FuelCell Energy, Inc. 9,926 65,035
G & K Services, Inc. (Class A) 5,577 197,431
GBC Bancorp 3,334 64,546
+ GSI Commerce, Inc. 4,700 17,155
+ Gabelli Asset Management Inc. (Class A) 1,196 35,928
Gables Residential Trust 7,882 196,498
+ Gaiam, Inc. 400 4,148
+ Galyan's Trading Company 3,500 35,000
+ Gardner Denver Inc. 3,657 74,237
+ Gart Sports Company 2,400 46,440
+ Gartner Group, Inc. (Class A) 23,559 216,743
+ Gaylord Entertainment Company 6,455 132,973
GenCorp Inc. 9,271 73,426
+ Gene Logic Inc. 8,539 53,710
+ Genencor International Inc. 1,700 16,626
+ General Binding Corporation 900 7,632
General Cable Corporation 9,590 36,442
+ General Communication, Inc. (Class A) 10,739 72,059
+ Genesco Inc. 5,438 101,310
+ Genesee & Wyoming Inc. (Class A) 2,600 52,910
+ Genesis Health Ventures, Inc. 7,200 111,240
+ Genesis Microchip Incorporated 10,000 130,500
+ GenesisIntermedia, Inc. 3,300 0
+ The Genlyte Group Incorporated 3,873 120,683
+ Genta Incorporated 11,397 87,643
Gentiva Health Services, Inc. 8,490 74,797
+ Genzyme Corporation--Genzyme
Biosurgery Division 15,000 38,250
Georgia Gulf Corporation 8,437 195,232
German American Bancorp 3,486 54,207
+ Geron Corporation 5,929 21,344
Getty Realty Corporation 3,400 64,430
Gibraltar Steel Corporation 2,323 44,230
Glacier Bancorp, Inc. 3,600 84,855
Gladstone Capital Corporation 1,400 23,058
Glenborough Realty Trust Incorporated 4,739 84,449
Glimcher Realty Trust 9,856 174,944
+ Global Imaging Systems, Inc. 2,900 53,302
+ Global Industries, Ltd. 23,200 96,744
+ Global Power Equipment Group Inc. 5,400 26,622
+ GlobespanVirata, Inc. 36,716 161,918
Gold Banc Corporation 7,622 75,618
+ Golden Telecom, Inc. 3,392 42,909
+ Goody's Family Clothing, Inc. 5,700 25,308
The Gorman-Rupp Company 1,400 32,900
+ GrafTech International Ltd. 15,144 90,258
Granite Construction Incorporated 10,571 163,851
Granite State Bankshares, Inc. 2,000 87,380
+ Graphic Packaging International Corp. 4,700 26,508
Gray Television, Inc. (Class A) 3,803 45,066
Great American Financial Resources, Inc. 2,133 36,688
+ The Great Atlantic & Pacific Tea
Company, Inc. 6,931 55,864
Great Lakes Chemical Corporation 11,600 277,008
Great Lakes REIT, Inc. 3,827 63,719
Great Southern Bancorp, Inc. 1,539 56,558
+ Green Mountain Coffee, Inc. 911 13,765
Greif Bros. Corporation (Class A) 3,475 82,705
Grey Global Group Inc. 236 144,220
+ Grey Wolf, Inc. 42,443 169,348
+ Griffon Corporation 7,747 105,514
20 & 21
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common + Group 1 Automotive, Inc. 4,932 $ 117,776
Stocks + Guess?, Inc. 1,185 4,965
(continued) + Guilford Pharmaceuticals Inc. 7,836 31,187
+ Guitar Center, Inc. 4,639 76,822
+ Gulf Island Fabrication, Inc. 1,117 18,151
+ GulfMark Offshore, Inc. 4,200 61,950
+ The Gymboree Corporation 7,558 119,870
H.B. Fuller Company 8,940 231,367
HEICO Corporation (Class A) 2,726 28,923
+ HPL Technologies, Inc. 3,400 68
HRPT Properties Trust 35,688 294,069
+ Haemonetics Corporation 5,472 117,429
+ Hain Celestial Group, Inc. 7,557 114,866
+ Hall, Kinion & Associates, Inc. 1,900 10,623
Hancock Fabrics, Inc. 4,900 74,725
Hancock Holding Company 3,727 166,411
+ Handleman Company 7,261 83,502
+ Handspring, Inc. 7,300 6,935
+ Hanger Orthopedic Group, Inc. 4,800 63,120
+ Hanmi Financial Corporation 1,300 21,801
+ Hanover Compressor Company 12,800 117,504
Harbor Florida Bancshares, Inc. 6,817 153,519
Harleysville Group Inc. 7,762 205,150
Harleysville National Corporation 5,539 148,002
+ Harmonic Inc. 17,296 39,781
+ Harris Interactive Inc. 7,000 20,650
+ Harvard Bioscience, Inc. 2,604 8,588
+ Harvest Natural Resources, Inc. 7,700 49,665
Haverty Furniture Companies, Inc. 5,436 75,560
+ Hawthorne Financial Corporation 1,600 45,664
+ Hayes Lemmerz International, Inc. 3,443 689
+ Headwaters Incorporated 9,046 140,303
Health Care REIT, Inc. 11,669 315,646
Healthcare Realty Trust, Inc. 12,452 364,221
+ Healthcare Services Group, Inc. 1,500 19,560
+ HealthExtras, Inc. 3,200 12,960
+ HealthTronics Surgical Services, Inc. 3,200 25,635
+ Heartland Express, Inc. 8,128 186,221
+ Hecla Mining Company 28,700 145,222
+ Heidrick & Struggles International, Inc. 5,358 78,602
Helix Technology Corporation 8,061 90,283
Heritage Property Investment Trust 4,300 107,371
+ Herley Industries, Inc. 4,400 76,595
+ Hexcel Corporation 10,462 31,386
+ Hibbett Sporting Goods, Inc. 1,800 43,056
Hickory Tech Corporation 3,399 32,392
Hilb, Rogal and Hamilton Company 10,406 425,605
Hollinger International Inc. 14,029 142,535
Holly Corporation 1,900 41,515
+ Hollywood Casino Corporation 3,000 36,840
+ Hollywood Entertainment Corporation 15,507 234,156
+ Hologic, Inc. 6,700 81,807
Home Properties of New York, Inc. 6,820 234,949
+ HomeStore.com, Inc. 14,100 11,985
Hooper Holmes, Inc. 14,197 87,170
Horace Mann Educators Corporation 10,668 163,540
+ Horizon Offshore, Inc. 6,585 32,793
+ Horizon Organic Holding Corporation 1,000 16,190
+ Hot Topic, Inc. 8,954 204,868
+ The Houston Exploration Company 2,383 72,920
+ Hovnanian Enterprises, Inc. (Class A) 4,732 150,004
Hudson River Bancorp, Inc. 3,500 86,625
Hughes Supply, Inc. 6,190 169,111
Humboldt Bancorp 4,680 49,140
+ Hutchinson Technology Incorporated 7,917 163,882
+ Hydril Company 4,100 96,637
+ Hypercom Corporation 7,600 28,348
+ Hyperion Solutions Corporation 10,006 256,854
+ I-many, Inc. 11,708 16,625
IBERIABANK Corporation 1,600 64,256
+ ICT Group, Inc. 200 2,318
+ ICU Medical, Inc. 3,450 128,685
IDEX Corporation 8,481 277,329
+ IDEXX Laboratories, Inc. 9,724 323,809
+ IDX Systems Corporation 4,927 83,907
+ IGEN International, Inc. 4,376 187,512
+ IHOP Corp. 5,248 125,952
+ ILEX Oncology, Inc. 8,824 62,297
+ IMCO Recycling Inc. 1,600 13,008
+ IMPATH Inc. 5,598 110,393
+ IMPCO Technologies, Inc. 3,854 18,075
+ IMPSAT Fiber Networks Inc. 2,453 17
+ INAMED Corporation 4,027 124,032
IRT Property Company 11,313 134,285
+ ITLA Capital Corporation 2,000 66,460
+ ITT Educational Services, Inc. 12,958 305,161
+ ITXC Corp. 4,714 10,936
+ IXYS Corporation 2,193 15,483
+ Identix Incorporated 25,930 133,540
+ iDine Rewards Network Inc. 3,600 38,124
+ iGATE Capital Corporation 2,300 6,026
+ Illumina, Inc. 4,600 15,502
+ Imagistics International Inc. 4,224 84,480
+ Imation Corp. 10,478 367,568
+ Imclone Systems 15,300 162,501
+ Immucor, Inc. 3,500 70,875
+ ImmunoGen, Inc. 14,427 44,724
+ Immunomedics, Inc. 13,609 62,874
Impac Mortgage Holdings, Inc. 13,700 157,550
+ Impax Laboratories, Inc. 6,000 24,060
+ Incyte Genomics, Inc. 20,824 94,957
Independence Holding Company 1,900 40,793
Independent Bank Corp. (Massachusetts) 2,745 62,586
Independent Bank Corp. (Michigan) 2,940 88,964
+ Indevus Pharmaceuticals, Inc. 13,488 28,851
+ Inet Technologies, Inc. 1,700 10,370
+ InFocus Corporation 11,866 73,095
+ Infogrames, Inc. 1,853 3,280
+ Infonet Services Corporation (Class B) 12,600 24,948
+ Informatica Corporation 16,700 96,192
+ Information Holdings Inc. 3,618 56,151
+ Information Resources, Inc. 6,900 11,040
+ Inforte Corp. 3,300 25,575
+ infoUSA Inc. 5,761 28,632
Ingles Markets, Incorporated (Class A) 4,064 47,829
+ Inhale Therapeutic Systems 17,200 138,976
+ Inktomi Corporation 51,257 82,011
Innkeepers USA Trust 6,792 52,027
+ Input/Output, Inc. 13,046 55,446
+ Inrange Technologies Corporation (Class B) 100 235
+ Insight Communications Company, Inc. 13,200 163,416
+ Insight Enterprises, Inc. 10,598 88,069
+ Insignia Financial Group, Inc. 7,972 57,797
+ Insituform Technologies, Inc. (Class A) 7,238 123,408
+ Insurance Auto Auctions, Inc. 3,965 65,779
Integra Bank Corporation 4,474 79,727
+ Integra LifeSciences Holdings 5,500 97,075
+ Integral Systems, Inc. 2,100 42,105
+ Integrated Defense Technologies, Inc. 1,200 17,400
+ Integrated Electrical Services, Inc. 6,497 25,013
+ Integrated Silicon Solution, Inc. 7,738 33,738
Inter Parfums, Inc. 3,500 27,090
+ The InterCept Group, Inc. 4,843 81,997
Interchange Financial Services
Corporation 3,400 54,740
+ InterDigital Communications Corporation 15,441 224,821
Interface, Inc. 12,721 39,053
+ Intergraph Corp. 13,387 237,753
+ Interland, Inc. 35,003 45,504
+ Intermagnetics General Corporation 3,856 75,732
Intermet Corporation 7,600 31,920
+ InterMune Inc. 7,614 194,233
International Bancshares Corporation 5,980 235,911
+ International Multifoods 4,444 94,168
+ International Specialty Products Inc. 2,365 24,147
+ Internet Security Systems, Inc. 10,600 194,298
Interpool, Inc. 1,683 27,029
+ Interpore International, Inc. 3,100 19,840
Interstate Bakeries Corporation 12,828 195,627
+ InterTAN, Inc. 6,779 48,470
Inter-Tel Inc. 5,777 120,797
+ Intertrust Technologies Corporation 21,788 92,163
+ Interwoven, Inc. 33,800 87,880
+ Intrado Inc. 4,900 48,652
+ Intuitive Surgical, Inc. 6,762 41,654
Invacare Corp. 7,422 247,153
+ Inverness Medical Innovations, Inc. 1,840 24,196
Investors Real Estate Trust 7,600 75,848
+ InVision Technologies, Inc. 3,800 100,168
+ Iomega Corporation 14,603 114,634
+ Ionics, Inc. 5,867 133,768
Irwin Financial Corporation 5,448 89,892
+ Isis Pharmaceuticals, Inc. 14,289 94,165
+ Isle of Capri Casinos, Inc. 5,475 72,489
+ Itron, Inc. 6,482 124,260
+ Ixia 6,229 22,736
+ j2 Global Communications, Inc. 1,900 36,176
+ J & J Snack Foods Corp. 1,800 64,278
+ J.B. Hunt Transport Services, Inc. 5,694 166,834
+ J. Jill Group Inc. 5,662 79,155
The J.M. Smucker Company 13,336 530,906
22 & 23
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common + JAKKS Pacific, Inc. 7,961 $ 107,235
Stocks + JDA Software Group, Inc. 9,308 89,915
(continued) JDN Realty Corporation 11,771 128,892
JLG Industries, Inc. 10,598 79,803
+ Jack in the Box Inc. 9,718 168,024
+ Jarden Corp. 3,800 90,706
Jefferies Group, Inc. 6,070 254,758
+ Jo-Ann Stores Inc. 4,100 94,177
John H. Harland Company 8,182 181,068
+ Johnson Outdoors Inc. (Class A) 1,900 18,753
+ Jones Lang Lasalle Inc. 9,108 140,081
+ Journal Register Co. 6,833 121,491
+ Joy Global Inc. 14,600 164,396
+ K2 Inc. 3,400 31,960
K-Swiss Inc. (Class A) 3,648 79,198
+ K-V Pharmaceutical Company (Class A) 6,000 139,200
+ Kadant Inc. 2,470 37,050
+ Kaiser Aluminum Corporation 5,249 304
Kaman Corp. (Class A) 6,494 71,434
Kansas City Life Insurance Company 1,042 39,492
+ Kansas City Southern Industries, Inc. 17,876 214,512
Kaydon Corp. 7,526 159,626
+ Keane, Inc. 14,458 129,977
Keithley Instruments, Inc. 1,701 21,263
Kellwood Co. 7,982 207,532
Kelly Services, Inc. (Class A) 4,868 120,288
+ Kendle International Inc. 4,000 35,204
Kennametal Inc. 10,303 355,247
+ Kenneth Cole Productions, Inc. (Class A) 2,092 42,468
+ Kensey Nash Corporation 1,100 20,097
+ Key Energy Services, Inc. 30,698 275,361
+ Keynote Systems, Inc. 5,438 41,981
+ Keystone Automotive Industries, Inc. 2,000 30,040
Keystone Property Trust 3,604 61,160
+ kforce.com, Inc. 4,096 17,285
Kilroy Realty Corporation 6,978 160,843
Kimball International (Class B) 8,274 117,905
+ Kindred Healthcare, Inc. 2,700 49,008
+ Kirby Corporation 5,430 148,728
+ Knight Trading Group, Inc. 25,600 122,624
+ Knight Transportation, Inc. 6,050 127,050
Koger Equity, Inc. 5,848 91,229
+ Kopin Corporation 19,500 76,440
+ Korn/Ferry International 10,968 82,041
+ Kos Pharmaceuticals, Inc. 1,566 29,754
+ Kosan Biosciences, Inc. 3,300 20,031
Kramont Realty Trust 5,300 77,645
+ Kroll Inc. 8,600 164,088
+ Kronos, Inc. 5,366 198,488
+ Kulicke and Soffa Industries 12,556 71,820
+ Kyphon Inc. 2,700 23,058
The L.S. Starrett Company (Class A) 2,800 46,480
LNR Property Corp. 7,044 249,358
LSB Bancshares, Inc. 3,500 56,700
LSI industries Inc. 4,150 57,478
LTC Properties 2,100 14,112
+ LTX Corporation 15,503 93,483
+ La Jolla Pharmaceutical Company 9,900 64,350
+ La Quinta Corporation 38,800 170,720
+ LabOne, Inc. 2,400 42,528
+ Labor Ready, Inc. 11,922 76,539
The Laclede Group, Inc. 4,648 112,482
+ Ladish Co., Inc. 4,800 38,688
Lakeland Bancorp, Inc. 3,427 61,240
Lakeland Financial Corporation 2,200 51,590
Lance, Inc. 7,100 84,057
LandAmerica Financial Group, Inc. 5,199 184,305
Landauer, Inc. 1,778 61,786
Landry's Restaurants, Inc. 6,296 133,727
+ Landstar System, Inc. 4,504 262,853
+ Lannett Company, Inc. 2,200 36,036
LaSalle Hotel Properties 3,420 47,880
+ Lattice Semiconductor Corporation 23,300 204,341
Lawson Products, Inc. 1,447 44,828
+ Lawson Software, Inc. 1,900 10,925
+ Learning Tree International, Inc. 3,930 53,841
+ LeCroy Corporation 900 9,990
Leeds Federal Bancshares, Inc. 1,000 31,900
+ Legato Systems, Inc. 25,679 129,165
+ LendingTree, Inc. 2,800 36,064
Lennox International Inc. 10,935 137,234
+ Lexar Media, Inc. 10,374 65,045
+ Lexicon Genetics Incorporated 7,605 35,972
Lexington Corporate Properties Trust 8,942 142,178
Libbey, Inc. 3,833 99,658
+ Liberate Technologies, Inc. 31,086 44,453
The Liberty Corporation 4,454 172,815
+ Lifecore Biomedical, Inc. 1,200 10,296
+ Lifeline Systems, Inc. 1,000 22,430
+ Ligand Pharmaceuticals Incorporated
(Class B) 16,816 90,302
+ Lightbridge, Inc. 9,691 59,600
Lincoln Electric Holdings, Inc. 9,092 210,480
Lindsay Manufacturing Co. 2,913 62,338
+ Linens 'n Things, Inc. 9,818 221,887
+ Liquidmetal Technologies 1,800 18,504
+ Lithia Motors, Inc. 2,300 36,087
+ Littelfuse Inc. 4,660 78,568
+ Local Financial Corp. 6,130 89,804
+ LodgeNet Entertainment Corporation 3,072 32,809
Lone Star Steakhouse & Saloon, Inc. 5,654 109,348
+ Lone Star Technology 8,158 121,473
Longs Drug Stores Corporation 7,983 165,567
Longview Fibre Company 14,921 107,879
+ LookSmart, Ltd. 14,300 35,464
+ Louisiana-Pacific Corporation 27,609 222,529
+ Luby's Cafeterias Inc. 5,718 16,639
Lufkin Industries, Inc. 1,000 23,450
+ Luminex Corporation 4,451 18,294
+ Lydall, Inc. 2,800 31,780
M/I Schottenstein Homes, Inc. 3,700 102,860
MAF Bancorp, Inc. 5,469 185,563
+ MAPICS, Inc. 2,100 14,595
MASSBANK Corp. 1,600 45,280
+ MAXIMUS, Inc. 4,404 114,944
MB Financial, Inc. 3,000 104,370
MCG Capital Corporation 8,000 85,920
+ MCSi, Inc. 7,938 37,706
MDC Holdings, Inc. 5,167 197,689
+ MEEMIC Holdings, Inc. 1,100 31,834
+ MEMC Electronic Materials, Inc. 15,225 115,253
MFA Mortgage Investments, Inc. 14,500 121,800
MGE Energy, Inc. 4,045 108,289
+ MGI Pharma, Inc. 6,802 49,315
+ MIM Corporation 7,500 43,500
+ MIPS Technologies, Inc. (Class A) 12,247 37,108
+ MPS Group, Inc. 24,605 136,312
+ MRO Software, Inc. 5,030 61,089
+ MRV Communications, Inc. 25,379 27,156
+ MSC.Software Corp. 7,000 54,040
+ MTR Gaming Group, Inc. 7,200 57,312
MTS Systems Corporation 4,600 46,092
Macatawa Bank Corporation 3,000 59,550
MacDermid, Inc. 6,567 150,056
Macerich Company 10,010 307,808
+ Macrovision Corporation 11,300 181,252
+ Magma Design Automation, Inc. 6,100 58,438
+ Magna Entertainment Corp. (Class A) 10,400 64,480
+ Magnetek, Inc. 4,037 17,924
+ Magnum Hunter Resources, Inc. 16,672 99,198
+ Mail-Well, Inc. 15,760 39,400
Main Street Banks, Inc. 1,900 36,480
MainSource Financial Group, Inc. 2,520 60,508
+ Manhattan Associates, Inc. 6,139 145,249
The Manitowoc Co., Inc. 6,911 176,231
+ ManTech International Corporation
(Class A) 2,800 53,396
Manufactured Home Communities, Inc. 3,694 109,453
+ Manufacturers' Services Limited 2,200 12,188
+ Manugistics Group, Inc. 14,700 35,280
+ MapInfo Corporation 3,990 22,145
Marcus Corporation 5,079 72,122
Marine Products Corp. 500 4,925
+ MarineMax, Inc. 1,000 11,810
+ Martek Biosciences Corporation 6,412 161,326
+ Martha Stewart Living Omnimedia, Inc.
(Class A) 4,682 46,211
+ Marvel Enterprises, Inc. 6,800 61,064
Massey Energy Company 17,100 166,212
+ MasTec, Inc. 5,100 15,045
+ Material Sciences Corporation 2,000 25,880
+ Matria Healthcare, Inc. 2,100 18,249
+ MatrixOne, Inc. 13,697 58,897
Matthews International Corporation
(Class A) 7,073 157,947
+ Mattson Technology, Inc. 6,099 17,443
+ Maui Land & Pineapple Company, Inc. 1,863 29,510
+ Maverick Tube Corporation 10,763 140,242
+ Maxtor Corporation 55,100 278,806
+ Maxwell Shoe Company Inc. (Class A) 2,500 29,050
+ Maxygen Inc. 6,801 51,824
+ McDATA Corporation (Class A) 16,500 117,150
McGrath Rentcorp 1,905 44,272
+ Medarex, Inc. 22,800 90,060
+ MedCath Corporation 600 6,000
+ The Med-Design Corporation 3,326 26,801
+ Mediacom Communications Corporation 14,900 131,269
+ Medical Staffing Network Holdings, Inc. 1,200 19,200
24 & 25
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common + The Medicines Company 6,227 $ 99,757
Stocks + Medis Technologies Ltd. 4,360 21,800
(continued) + MedQuist Inc. 2,196 44,491
+ MedSource Technologies, Inc. 1,100 7,139
+ MemberWorks Incorporated 3,354 60,305
+ The Men's Wearhouse, Inc. 8,061 138,246
Mentor Corporation 6,072 233,772
+ Mentor Graphics Corporation 20,000 157,200
Merchants Bancshares, Inc. 1,900 42,826
+ Mercury Computer Systems, Inc. 6,056 184,829
+ Meridian Medical Technologies, Inc. 1,300 57,720
+ The Meridian Resource Corporation 9,211 8,290
Meristar Hospitality Corp. 12,158 80,243
+ Merit Medical Systems, Inc. 3,800 75,696
+ Meritage Corporation 2,200 74,030
+ Merix Corporation 3,673 30,853
+ Mesa Air Group, Inc. 8,556 34,823
+ Mesaba Holdings, Inc. 2,744 16,793
+ Mestek, Inc. 2,000 35,860
+ MetaSolv, Inc. 6,208 8,505
Methode Electronics 8,180 89,735
Metris Companies Inc. 7,700 19,019
+ Metro One Telecommunications, Inc. 6,392 41,228
+ Micromuse, Inc. 19,300 73,726
+ Micros Systems, Inc. 5,499 123,288
+ Microsemi Corporation 9,245 56,302
+ Microtune, Inc. 11,009 34,458
Mid-America Apartment Communities, Inc. 3,929 96,064
Mid-Atlantic Realty Trust 4,600 80,040
Mid-State Bancshares 7,050 115,775
+ Midas Group, Inc. 3,042 19,560
Middlesex Water Company 2,687 56,346
The Midland Company 1,858 35,302
+ Midway Games Inc. 9,474 39,507
Midwest Banc Holdings, Inc. 2,580 48,891
+ Midwest Express Holdings 2,630 14,071
Milacron Inc. 5,272 31,368
Millennium Chemicals Inc. 16,740 159,365
Mills Corp. 7,481 219,492
Mine Safety Appliances Company 1,742 56,180
Minerals Technologies, Inc. 5,353 230,982
Mission West Properties Inc. 4,200 41,580
+ Mobile Mini, Inc. 4,171 65,360
Modine Manufacturing Co. 8,694 153,710
+ Modtech Holdings, Inc. 900 8,730
+ Molecular Devices Corporation 4,437 73,077
+ Monaco Coach Corporation 6,824 112,937
+ Monarch Casino & Resort, Inc. 2,200 30,206
+ Monolithic System Technology, Inc. 4,100 49,528
+ Monro Muffler Brake, Inc. 600 10,140
+ Monterey Pasta Company 2,200 8,250
+ Moog Inc. (Class A) 4,406 136,762
+ Mossimo, Inc. 300 1,650
+ Mothers Work, Inc. 1,100 38,753
Movado Group, Inc. 1,700 31,977
+ Movie Gallery, Inc. 5,615 72,995
+ Mueller Industries, Inc. 8,082 220,235
+ Multimedia Games, Inc. 3,300 90,618
Myers Industries, Inc. 5,320 56,924
+ Mykrolis Corporation 12,700 92,710
+ Myriad Genetics, Inc. 7,400 108,040
NACCO Industries, Inc. (Class A) 1,487 65,086
NASB Financial Inc. 200 4,600
+ NATCO Group Inc. 5,700 35,796
NBC Capital Corporation 2,729 68,771
NBT Bancorp Inc. 8,013 136,782
+ NBTY Inc. 12,614 221,754
+ NCI Building Systems, Inc. 5,368 117,130
+ NCO Group, Inc. 6,261 99,863
NDCHealth Corporation 10,164 202,264
+ NEON Communications, Inc. 1,669 50
+ NIC Inc. 2,000 2,880
NL Industries, Inc. 2,434 41,378
NN, Inc. 2,565 25,624
+ NPS Pharmaceuticals, Inc. 8,123 204,456
+ NS Group, Inc. 3,855 25,135
NUI Corporation 5,883 101,541
+ NYFIX, Inc. 8,553 38,489
+ NYMAGIC, Inc. 1,700 33,065
+ Nabi Biopharmaceuticals 9,854 61,095
+ Nanometrics Incorporated 2,124 8,900
+ NaPro Bio Therapeutics, Inc. 9,200 6,256
Nara Bancorp, Inc. 2,100 43,617
Nash-Finch Company 4,777 36,926
+ Nassda Corporation 600 6,732
+ Nastech Pharmaceutical Company 1,300 11,115
+ National Beverage Corp. 1,895 28,994
National Health Investors, Inc. 5,429 88,058
National Health Realty, Inc. 2,800 40,880
+ National Healthcare Corporation 2,400 42,000
National Penn Bancshares, Inc. 4,562 121,128
National Presto Industries, Inc. 1,350 39,663
+ National Western Life Insurance
Company (Class A) 862 82,752
+ Nationwide Health Properties, Inc. 13,659 203,929
+ Natures Sunshine Products, Inc. 2,200 21,362
+ Nautica Enterprises, Inc. 7,666 85,169
+ The Nautilus Group, Inc. 8,463 113,066
+ Navigant Consulting, Inc. 9,923 58,546
+ Navigant International, Inc. 4,511 55,621
+ The Navigators Group, Inc. 2,000 45,900
+ Neoforma, Inc. 1,100 13,145
+ NeoPharm, Inc. 4,300 43,602
+ Neose Technologies, Inc. 4,363 38,700
+ Net.B@nk, Inc. 12,611 122,074
+ Net2Phone, Inc. 8,180 33,129
+ Netegrity, Inc. 9,955 32,384
+ NetFlix Inc. 2,400 26,424
+ NetIQ Corporation 11,974 147,879
+ NetRatings, Inc. 1,017 7,321
+ Netro Corporation 4,195 11,452
+ NetScout Systems, Inc. 3,285 14,290
+ NetScreen Technologies, Inc. 3,700 62,308
+ Network Plus Corp. 3,033 2
+ Neurocrine Biosciences, Inc. 7,732 353,043
+ Neurogen Corporation 2,398 8,705
New Century Financial Corporation 5,200 132,028
New England Business Services, Inc. 2,507 61,171
+ New Focus, Inc. 17,168 65,925
New Jersey Resources Corporation 7,774 245,581
+ Newpark Resources, Inc. 19,220 83,607
+ Newport Corporation 9,835 123,528
+ NewPower Holdings, Inc. 9,946 1,343
+ Next Level Communications, Inc. 11,400 9,234
+ NextCard, Inc. 7,215 29
+ Nextel Partners, Inc. 21,000 127,470
Nordson Corporation 6,210 154,194
+ Nortek Holdings, Inc. 2,530 115,748
North Pittsburgh Systems, Inc. 4,321 58,900
Northwest Bancorp, Inc. 2,667 39,445
Northwest Natural Gas Company 7,399 200,217
+ Northwest Pipe Company 2,700 46,710
Northwestern Corporation 9,791 49,738
+ Novadigm, Inc. 6,828 15,909
Novastar Financial, Inc. 3,600 111,708
+ Novell, Inc. 101,076 337,594
+ Noven Pharmaceuticals, Inc. 6,531 60,281
+ Nu Horizons Electronics Corp. 2,500 14,450
Nu Skin Enterprises, Inc. (Class A) 11,526 137,966
+ Nuance Communications Inc. 6,134 15,212
+ Nuevo Energy Company 4,611 51,182
+ Numerical Technologies, Inc. 4,309 14,909
+ O'Charley's Inc. 5,384 110,534
+ OMEGA Healthcare Investors, Inc. 2,200 8,228
+ ON Semiconductor Corporation 6,200 8,494
ONEOK, Inc. 16,091 308,947
+ ONYX Software Corporation 9,673 14,993
+ OPNET Technologies, Inc. 1,500 12,122
+ OSI Pharmaceuticals, Inc. 10,800 177,120
+ OSI Systems, Inc. 2,500 42,450
+ Oak Technology, Inc. 15,268 40,460
+ Oakley, Inc. 6,100 62,647
+ Oceaneering International, Inc. 6,704 165,857
OceanFirst Financial Corp. 2,596 58,280
Octel Corp. 2,000 31,600
+ Ocular Sciences, Inc. 5,914 91,785
+ Ocwen Financial Corporation 7,965 22,302
+ Odyssey Healthcare, Inc. 3,800 131,860
Odyssey Re Holdings Corp. 5,200 92,040
+ OfficeMax, Inc. 30,500 152,500
+ Offshore Logistics, Inc. 5,685 124,615
+ Ohio Casualty Corporation 16,115 208,689
+ Oil States International, Inc. 3,500 45,150
Old Second Bancorp, Inc. 1,888 69,856
Olin Corporation 15,514 241,243
Omega Financial Corporation 2,441 87,510
+ Omnicell, Inc. 2,100 5,565
+ OmniSky Corporation 300 0
+ OmniVision Technologies, Inc. 7,100 96,347
26 & 27
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common + Omnova Solutions Inc. 9,695 $ 39,071
Stocks + On Assignment, Inc. 7,425 63,261
(continued) Oneida Ltd. 4,164 45,929
+ Onyx Pharmaceuticals, Inc. 3,500 20,335
+ Openwave Systems Inc. 46,600 93,200
+ Oplink Communications, Inc. 29,919 23,636
+ Optical Communication Products, Inc. 1,283 1,386
+ Option Care, Inc. 4,881 38,853
+ OraSure Technologies, Inc. 9,459 51,552
+ Orbital Sciences Corporation 9,635 40,660
+ Oregon Steel Mills, Inc. 6,071 24,405
Oriental Financial Group Inc. 2,577 63,343
+ OrthoLogic Corp. 6,000 21,660
OshKosh B'Gosh, Inc. (Class A) 2,702 75,791
Oshkosh Truck Corporation 4,663 286,775
+ Osmonics, Inc. 4,300 72,842
Otter Tail Company 6,386 171,783
+ Overland Storage, Inc. 3,100 45,201
Overseas Shipholding Group, Inc. 7,798 139,584
+ Overstock.com, Inc. 1,700 22,100
+ Overture Services, Inc. 14,353 391,980
Owens & Minor, Inc. 9,298 152,673
Oxford Industries, Inc. 1,521 39,014
+ P.A.M. Transportation Services, Inc. 200 5,042
+ P.F. Chang's China Bistro, Inc. 4,708 170,900
P.H. Glatfelter Company 2,901 38,177
+ PAREXEL International Corporation 8,097 88,986
+ PC Connection, Inc. 1,059 5,369
+ PC-Tel, Inc. 5,826 39,500
+ PDF Solutions, Inc. 2,300 15,939
+ PDI, Inc. 2,421 26,125
+ PEC Solutions, Inc. 1,877 56,122
PFF Bancorp, Inc. 3,944 123,250
+ PICO Holdings, Inc. 3,297 44,279
+ PLATO Learning, Inc. 6,100 36,234
+ PLX Technology, Inc. 4,986 19,495
PMA Capital Corporation (Class A) 9,206 131,922
PNM Resources Inc. 10,919 260,091
+ POZEN Inc. 8,800 45,320
+ PRAECIS Pharmaceuticals Incorporated 18,817 61,155
+ PRG-Schultz International, Inc. 10,013 89,116
+ PRIMEDIA Inc. 35,100 72,306
PS Business Parks, Inc. 2,508 79,754
+ PSS World Medical, Inc. 21,573 147,559
+ PTEK Holdings, Inc. 11,000 48,400
Pacific Capital Bancorp 10,933 278,245
+ Pacific Gulf Resources 4,517 1,129
Pacific Northwest Bancorp 4,608 115,200
+ Pacific Sunwear of California, Inc. 12,852 227,352
+ Pacific Union Bank 4,200 48,342
+ PacifiCare Health Systems, Inc. 10,300 289,430
+ Packeteer, Inc. 6,507 44,638
+ Pain Therapeutics, Inc. 4,600 10,994
+ Palm Harbor Homes, Inc. 4,005 69,967
+ Palm, Inc. 7,810 122,617
Pan Pacific Retail Properties, Inc. 9,728 355,364
+ Panera Bread Company (Class A) 6,000 208,860
+ Papa John's International, Inc. 4,448 124,010
+ Paradyne Networks, Inc. 4,000 5,120
+ Parametric Technology Corporation 71,800 180,936
Park Electrochemical Corp. 4,849 93,101
+ Parker Drilling Company 28,781 63,894
+ ParkerVision, Inc. 1,869 15,251
Parkvale Financial Corporation 2,200 50,710
Parkway Properties, Inc. 1,704 59,776
Partners Trust Financial Group, Inc. 700 11,284
+ Party City Corporation 2,700 32,400
+ Pathmark Stores, Inc. 11,442 58,011
Patina Oil & Gas Corporation 7,326 231,868
+ Paxar Corporation 8,982 132,485
+ Paxson Communications Corporation 8,968 18,474
+ Payless ShoeSource, Inc. 6,800 349,996
Peapack-Gladstone Financial Corporation 2,000 68,500
+ Pediatrix Medical Group, Inc. 6,800 272,408
+ Peets Coffee & Tea Inc. 3,400 48,042
+ Pegasus Systems, Inc. 7,139 71,604
+ Pegasystems Inc. 500 2,555
Penford Corporation 1,000 14,090
Penn Engineering & Manufacturing Corp. 2,256 24,026
+ Penn National Gaming, Inc. 9,678 153,493
+ The Penn Traffic Company 1,100 3,850
Penn Virginia Corporation 2,179 79,207
PennFed Financial Services, Inc. 1,400 38,010
PennRock Financial Services Corp. 1,410 39,128
Pennsylvania Real Estate
Investment Trust 3,279 85,254
+ Penton Media, Inc. 4,304 2,927
+ Penwest Pharmaceuticals Co. 3,100 32,860
Peoples Bancorp Inc. 1,500 38,400
The Peoples Holding Company 1,555 63,366
The Pep Boys--Manny, Moe & Jack 12,510 145,116
+ Per-Se Technologies, Inc. 8,798 78,909
+ Peregrine Pharmaceuticals, Inc. 24,855 19,387
+ Pericom Semiconductor Corporation 4,993 41,492
+ Perrigo Company 18,815 228,602
+ Petroleum Helicopters, Inc.
(Voting Shares) 1,300 38,532
+ PetroQuest Energy, Inc. 13,086 54,307
+ Pharmaceutical Resources, Inc. 5,100 151,980
+ Pharmacopeia, Inc. 8,285 73,902
+ Philadelphia Consolidated Holding Corp. 4,856 171,902
Phillips-Van Heusen Corporation 6,754 78,076
+ Phoenix Technologies Ltd. 6,062 34,978
+ Photon Dynamics, Inc. 4,562 104,014
+ Photronics, Inc. 7,179 98,352
Piedmont Natural Gas Company, Inc. 9,141 323,134
Pilgrim's Pride Corporation 2,969 24,346
+ Pinnacle Entertainment, Inc. 6,964 48,261
+ Pinnacle Holdings Inc. 10,081 91
+ Pinnacle Systems, Inc. 16,291 221,721
Pioneer-Standard Electronics, Inc. 9,863 90,542
+ Pixelworks, Inc. 9,564 55,471
+ Plains Exploration & Production Company 7,150 69,713
+ Plains Resources Inc. 7,150 84,728
+ Planar Systems Inc. 4,229 87,244
+ Plantronics, Inc. 10,010 151,451
+ Playboy Enterprises, Inc. (Class B) 3,707 37,552
+ Playtex Products, Inc. 6,376 62,995
+ Plexus Corporation 12,961 113,798
+ Plug Power Inc. 3,200 14,368
+ PolyMedica Corporation 3,057 94,278
PolyOne Corporation 22,967 90,031
+ Pomeroy Computer Resources, Inc. 1,700 19,890
Pope & Talbot, Inc. 5,744 81,909
Port Financial Corp. 1,899 84,733
+ Portal Software, Inc. 31,200 25,210
+ Possis Medical, Inc. 4,988 89,784
Post Properties, Inc. 10,386 248,225
Potlatch Corporation 7,797 186,192
+ Powell Industries, Inc. 1,931 32,980
+ Power Integrations, Inc. 7,232 122,944
+ Power-One, Inc. 18,500 104,895
+ Powerwave Technologies, Inc. 21,577 116,516
+ PracticeWorks, Inc. 3,700 29,230
+ Pre-Paid Legal Services, Inc. 4,648 121,778
Prentiss Properties Trust 9,350 264,418
Presidential Life Corporation 7,893 78,377
+ Presstek, Inc. 12,740 58,731
+ Price Communications Corporation 13,704 189,526
+ Price Legacy Corporation 9,900 27,720
+ Priceline.com Incorporated 36,100 57,760
+ PriceSmart, Inc. 1,116 25,925
+ Prima Energy Corporation 2,743 61,333
+ Prime Hospitality Corp. 13,090 106,684
+ Prime Medical Services, Inc. 5,300 45,951
+ The Princeton Review, Inc. 2,500 12,375
+ Priority Healthcare Corporation
(Class B) 7,400 171,680
+ Private Media Group, Inc. 8,017 26,055
PrivateBancorp, Inc. 1,700 64,345
+ ProAssurance Corporation 5,923 124,383
+ ProBusiness Services, Inc. 5,791 57,910
+ Progenics Pharmaceuticals, Inc. 900 5,994
+ Progress Software Corporation 9,908 128,309
+ ProQuest Company 5,174 101,410
Prosperity Bancshares, Inc. 2,700 51,300
+ Protection One, Inc. 3,300 6,600
+ Protein Design Labs, Inc. 24,100 204,850
+ Proton Energy Systems, Inc. 8,434 25,302
Provident Bancorp, Inc. 900 27,945
Provident Bancshares Corporation 7,014 162,101
+ Province Healthcare Company 13,136 127,813
+ Proxim Corporation (Class A) 32,034 27,870
+ ProxyMed, Inc. 600 6,264
Pulitzer Inc. 2,855 128,332
+ Q-Med, Inc. 700 4,382
+ QRS Corporation 2,928 19,325
+ QuadraMed Corporation 5,800 15,196
Quaker Chemical Corporation 1,800 41,760
+ Quaker City Bancorp, Inc. 1,500 49,395
+ Quaker Fabric Corporation 4,602 31,984
Quanex Corporation 4,305 144,218
+ Quanta Services, Inc. 10,500 36,750
+ Quantum Corporation-DLT &
Storage Systems 34,800 92,916
+ Quest Software, Inc. 9,600 98,976
28 & 29
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common + Quicksilver Resources Inc. 2,810 $ 63,028
Stocks + Quidel Corporation 4,600 15,957
(continued) + Quiksilver, Inc. 6,275 167,292
Quixote Corporation 1,900 34,314
+ Quovadx, Inc. 4,000 9,680
R & G Financial Corportation (Class B) 4,841 112,553
+ R.H. Donnelley Corporation 7,233 211,999
RAIT Investment Trust 5,300 114,480
+ RARE Hospitality International, Inc. 5,518 152,407
+ RCN Corporation 16,900 8,957
+ REMEC, Inc. 17,540 68,055
+ REX Stores Corporation 1,400 14,294
RFS Hotel Investors, Inc. 9,020 97,957
RLI Corp. 3,754 104,737
+ RMH Teleservices, Inc. 2,200 23,100
RPC, Inc. 3,200 37,120
+ RSA Security Inc. 11,600 69,484
+ RTI International Metals, Inc. 4,513 45,581
+ Racing Champions Ertl Corporation 3,200 43,680
+ Radiant Systems, Inc. 4,357 41,958
+ Radiologix, Inc. 4,300 9,933
+ RadiSys Corporation 4,042 32,255
+ RailAmerica, Inc. 7,802 55,940
+ Rainbow Technologies, Inc. 6,923 49,638
+ Raindance Communications, Inc. 9,600 31,008
+ Ralcorp Holdings, Inc. 7,295 183,396
+ Rambus Inc. 23,084 154,894
Ramco-Gershenson Properties Trust 1,500 29,625
+ Range Resources Corporation 11,237 60,680
+ Rayovac Corporation 7,864 104,827
+ Raytech Corporation 10,200 58,140
+ Read-Rite Corporation 35,290 12,352
Realty Income Corporation 9,039 316,365
+ Red Hat, Inc. 30,997 183,192
+ Redback Networks Inc. 45,200 37,968
Redwood Trust, Inc. 3,795 105,121
Regal-Beloit Corporation 6,751 139,746
+ Regeneron Pharmaceuticals, Inc. 10,119 187,303
+ Regent Communications, Inc. 7,271 42,972
Regis Corporation 13,235 343,978
+ Register.com, Inc. 7,200 32,400
+ RehabCare Group, Inc. 4,295 81,949
Reliance Steel & Aluminum Co. 6,947 144,775
+ RemedyTemp, Inc. (Class A) 2,800 39,200
+ Remington Oil & Gas Corporation 6,920 113,557
+ Renaissance Learning, Inc. 3,649 68,966
+ Rent-Way, Inc. 6,178 21,623
Republic Bancorp, Inc. 14,273 167,993
Republic Bancorp, Inc. (Class A) 3,909 44,054
+ Republic Bancshares, Inc. 2,534 49,793
+ Res-Care, Inc. 1,400 5,081
+ Research Frontiers Incorporated 2,304 19,215
+ ResMed Inc. 8,300 253,731
Resource America, Inc. (Class A) 4,349 39,189
+ Resources Connection, Inc. 6,316 146,594
+ Respironics, Inc. 10,290 313,135
+ Restoration Hardware, Inc. 6,100 30,561
+ Retek Inc. 13,300 36,176
+ Revlon, Inc. (Class A) 6,537 20,003
Richardson Electronics, Ltd. 200 1,732
+ Rigel Pharmaceuticals, Inc. 3,000 3,270
Riggs National Corporation 4,101 63,524
+ Right Management Consultants, Inc. 5,715 75,724
+ Rita Medical Systems, Inc. 1,600 8,080
+ Riverstone Networks, Inc. 39,400 83,528
Riviana Foods Inc. 1,787 48,287
Roadway Express, Inc. 3,731 137,338
Roanoke Electric Steel Corporation 4,100 38,950
Robbins & Myers, Inc. 3,312 60,941
+ The Robert Mondavi Corporation (Class A) 3,242 100,502
Rock-Tenn Company (Class A) 2,880 38,822
+ Rogers Corporation 4,555 101,349
Rollins, Inc. 4,112 104,650
Roper Industries, Inc. 8,321 304,549
+ Roxio, Inc. 6,396 30,509
Royal Bancshares of Pennsylvania, Inc. 2,029 43,421
Royal Gold, Inc. 5,000 124,605
Ruddick Corporation 7,769 106,358
+ Rudolph Technologies, Inc. 3,173 60,795
Russ Berrie and Company, Inc. 2,947 99,550
Russell Corporation 7,417 124,160
+ Ryan's Family Steak Houses, Inc. 12,900 146,415
Ryerson Tull, Inc. 4,893 29,847
S&T Bancorp, Inc. 6,863 171,925
S.Y. Bancorp, Inc. 1,300 48,230
+ S1 Corporation 19,422 86,622
+ SBS Technologies, Inc. 3,988 36,530
+ SCM Microsystems, Inc. 4,534 19,269
+ SCP Pool Corporation 5,673 165,652
+ SCS Transportation, Inc. 6,182 61,264
+ SEACOR SMIT Inc. 4,908 218,406
SEMCO Energy, Inc. 6,487 39,571
+ SERENA Software, Inc. 5,097 80,482
+ SIPEX Corporation 5,761 21,316
+ SITEL Corporation 16,488 19,786
SJW Corp. 558 43,552
SL Green Realty Corp. 8,032 253,811
+ SONICblue Incorporated 24,932 11,219
+ SOURCECORP, Incorporated 4,453 82,781
+ SPS Technologies, Inc. 2,944 69,920
+ SPSS Inc. 2,589 36,220
+ SRA International, Inc. (Class A) 2,000 54,180
+ SS&C Technologies, Inc. 1,100 11,716
SWS Group, Inc. 3,904 52,938
+ Safeguard Scientifics, Inc. 29,647 40,320
+ Saga Communications, Inc. (Class A) 3,433 65,227
+ Salem Communications Corporation
(Class A) 2,683 66,994
+ Salix Pharmaceuticals, Ltd. 3,700 25,863
+ Salton, Inc. 3,696 35,555
+ Sanchez Computer Associates, Inc. 1,599 4,605
Sanderson Farms, Inc. 1,500 31,365
+ SanDisk Corporation 17,000 345,100
Sandy Spring Bancorp, Inc. 3,514 110,691
+ Sangamo Biosciences, Inc. 2,300 6,923
+ SangStat Medical Corporation 8,039 90,841
Santander BanCorp 1,358 17,654
+ Sapient Corporation 28,492 58,409
Sauer-Danfoss, Inc. 2,273 17,957
Saul Centers, Inc. 2,322 55,264
+ Saxon Capital, Inc. 9,000 112,590
+ ScanSoft, Inc. 16,200 84,240
+ ScanSource, Inc. 1,700 83,810
Schawk, Inc. 4,200 41,622
Schnitzer Steel Industries, Inc. (Class A) 2,200 45,980
+ School Specialty, Inc. 5,054 100,979
Schweitzer-Manduit International, Inc. 4,320 105,840
+ Scientific Games Corporation 10,800 78,408
+ Scios Inc. 12,900 420,282
Seaboard Corporation 12 2,880
+ SeaChange International, Inc. 7,908 48,634
Seacoast Banking Corporation of Florida 3,150 59,346
Seacoast Financial Services Corporation 7,102 142,118
+ Seattle Genetics, Inc. 2,000 6,200
Second Bancorp, Incorporated 2,317 61,400
+ Secure Computing Corporation 9,488 60,818
+ SeeBeyond Technology Corporation 14,727 35,787
+ Select Medical Corporation 3,900 52,611
Selective Insurance Group, Inc. 8,111 204,235
+ Seminis, Inc. (Class A) 7,700 22,176
+ Semitool, Inc. 3,441 21,369
Senior Housing Properties Trust 11,714 124,285
Sensient Technologies Corporation 13,457 302,379
+ Sepracor Inc. 21,200 205,004
+ Sequa Corporation (Class A) 1,365 53,385
+ Sequenom Inc. 7,281 13,106
+ Serologicals Corporation 6,972 76,692
+ Service Corporation International 82,000 272,240
+ Sharper Image Corporation 2,600 45,318
Shenandoah Telecommunications Company 600 29,352
+ Shoe Carnival, Inc. 1,200 16,813
+ Shop At Home, Inc. 6,300 16,821
+ ShopKo Stores, Inc. 9,198 114,515
+ Shuffle Master, Inc. 5,800 110,838
+ Shurgard Storage Centers, Inc. (Class A) 10,389 325,591
+ Sierra Health Services, Inc. 6,926 83,181
Sierra Pacific Resources 26,877 174,701
+ Silgan Holdings Inc. 3,300 81,444
+ Silicon Graphics, Inc. 55,207 62,384
+ Silicon Image, Inc. 18,176 109,056
+ Silicon Laboratories Inc. 7,100 135,468
+ Silicon Storage Technology, Inc. 20,558 83,054
+ Siliconix Incorporated 1,700 39,780
Simmons First National Corporation (Class A) 2,100 76,965
+ Simpson Manufacturing Co., Inc. 4,066 133,771
+ Sinclair Broadcast Group, Inc. (Class A) 9,864 114,718
+ Sirius Satellite Radio Inc. 8,727 5,585
Sizeler Property Investors, Inc. 1,600 14,864
+ Skechers U.S.A., Inc. (Class A) 5,755 48,860
Skyline Corporation 1,401 41,329
+ Skyworks Solutions, Inc. 40,733 351,118
+ Smart & Final Inc. 2,629 13,671
+ Sola International Inc. 6,300 81,900
Solutia Inc. 29,754 108,007
30 & 31
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common + Somera Communications, Inc. 11,274 $ 30,440
Stocks + Sonic Corp. 11,276 231,045
(continued) + Sonic Innovations, Inc. 1,200 4,572
+ SonicWALL, Inc. 13,941 50,606
+ SonoSite, Inc. 5,215 68,160
+ Sonus Networks, Inc. 58,700 58,700
+ Sotheby's Holdings, Inc. (Class A) 11,536 103,824
+ SoundView Technology Group, Inc. 21,644 32,466
The South Financial Group, Inc. 12,238 252,837
South Jersey Industries, Inc. 3,266 107,843
Southern Peru Limited 4,302 61,949
+ Southern Union Company 10,455 172,508
Southwest Bancorp, Inc. 1,900 49,381
+ Southwest Bancorporation of Texas, Inc. 8,824 254,219
Southwest Gas Corporation 8,690 203,780
Southwest Water Company 4,095 54,259
+ Southwestern Energy Company 7,424 85,005
+ Sovran Self Storage, Inc. 4,104 116,389
+ Spanish Broadcasting System, Inc. (Class A) 11,384 81,965
Spartan Motors, Inc. 3,800 43,244
Spartech Corporation 5,054 104,264
+ Specialty Laboratories, Inc. 1,824 17,620
+ SpectraLink Corporation 4,280 30,730
+ SpeechWorks International Inc. 5,576 15,501
+ Speedway Motorsports, Inc. 3,155 81,336
+ Spherion Corporation 16,829 112,754
+ Spiegel, Inc. (Class A) 8,960 3,226
+ Spinnaker Exploration Company 6,787 149,653
+ The Sports Authority, Inc. 8,200 57,400
+ Sports Resorts International, Inc. 4,900 28,763
St. Francis Capital Corporation 2,100 49,182
St. Mary Land & Exploration Company 8,726 218,150
+ Stage Stores, Inc. 5,100 107,304
+ Stamps.com Inc. 10,207 47,667
Standard Commercial Corporation 2,200 39,820
+ Standard Microsystems Corporation 4,860 94,624
Standard Motor Products, Inc. 1,900 24,700
Standard Pacific Corp. 9,130 225,967
The Standard Register Company 4,345 78,210
Standex International Corporation 3,131 74,643
+ Stanley Furniture Company, Inc. 800 18,600
+ StarMedia Network, Inc. 8,765 1
+ StarTek, Inc. 2,440 67,344
State Auto Financial Corporation 2,512 38,936
State Bancorp, Inc. 3,300 59,400
Staten Island Bancorp, Inc. 15,384 309,834
+ Station Casinos, Inc. 10,021 177,372
+ The Steak 'n Shake Company 5,128 51,280
+ Steel Dynamics, Inc. 10,097 121,467
+ Stein Mart, Inc. 5,524 33,696
+ Steinway Musical Instruments, Inc. 1,200 19,524
Stepan Company 1,755 43,875
+ Stericycle, Inc. 10,284 332,986
Sterling Bancorp 2,328 61,273
Sterling Bancshares, Inc. 11,076 135,349
Sterling Financial Corporation (PA) 4,150 98,148
+ Sterling Financial Corporation (Spokane) 2,400 45,168
+ Steve Madden, Ltd. 3,612 65,269
+ Stewart & Stevenson Services, Inc. 9,424 133,255
+ Stewart Enterprises, Inc. (Class A) 24,824 138,294
+ Stewart Information Services Corporation 4,022 86,030
+ Stillwater Mining Company 11,317 60,546
+ Stone Energy Corporation 6,578 219,442
+ Stoneridge, Inc. 3,487 41,495
+ StorageNetworks, Inc. 26,200 30,392
+ Stratex Networks, Inc. 23,971 52,976
+ Stratos Lightwave, Inc. 2,121 9,330
+ Strattec Security Corporation 600 28,764
Strayer Education, Inc. 2,992 172,040
The Stride Rite Corporation 11,535 82,706
Sturm, Ruger & Company, Inc. 5,678 54,338
Suffolk Bancorp 2,800 88,536
Summit Bancshares, Inc. 2,300 44,850
Summit Properties Inc. 6,319 112,478
Sun Bancorp, Inc. 2,300 42,046
+ Sun Bancorp, Inc. (NJ) 3,400 45,220
Sun Communities, Inc. 4,743 173,451
+ Sunrise Assisted Living, Inc. 5,237 130,349
+ SuperGen, Inc. 8,582 31,153
+ Superior Energy Services, Inc. 11,605 95,161
Superior Financial Corp. 3,100 56,950
Superior Industries International, Inc. 6,499 268,799
+ Supertex, Inc. 1,867 27,800
+ SureBeam Corporation (Class A) 17,286 69,835
SureWest Communications 3,300 122,760
+ SurModics, Inc. 4,163 119,395
Susquehanna Bancshares, Inc. 10,904 227,250
+ Swift Energy Company 7,917 76,557
+ Sybron Dental Specialties, Inc. 10,200 151,980
+ Sycamore Networks, Inc. 46,500 134,385
+ Sykes Enterprises, Incorporated 10,761 35,296
+ Sylvan Learning Systems, Inc. 10,128 166,099
+ Symyx Technologies 6,279 79,053
+ Synaptics Incorporated 600 4,560
+ Syncor International Corporation 4,606 127,724
+ Synplicity, Inc. 5,300 20,034
+ Syntel, Inc. 883 18,552
+ Syntroleum Corporation 11,509 19,911
Sypris Solutions, Inc. 600 6,126
+ Systems & Computer Technology Corporation 8,492 73,031
+ TALK America Holdings, Inc. 7,633 42,745
TALX Corporation 4,320 55,814
+ TBC Corporation 4,700 56,447
+ TETRA Technologies, Inc. 4,661 99,605
+ THQ Inc. 12,125 160,656
+ TIBCO Software Inc. 21,800 134,724
+ TRC Companies, Inc. 2,500 32,825
+ TTM Technologies, Inc. 2,200 7,280
+ Take-Two Interactive Software, Inc. 11,214 263,417
Tanger Factory Outlet Centers, Inc. 1,561 48,391
+ Tanox, Inc. 6,945 62,852
Tasty Baking Company 800 6,960
Taubman Centers, Inc. 9,508 154,315
+ Techne Corporation 12,529 357,928
+ Technical Olympic USA, Inc. 300 4,443
Technitrol, Inc. 10,461 168,840
Tecumseh Products Company (Class A) 4,828 213,060
+ Tejon Ranch Co. 1,315 39,056
+ Tekelec 14,300 149,435
+ Teledyne Technologies Incorporated 8,634 135,381
+ TeleTech Holdings, Inc. 11,089 80,506
+ Telik, Inc. 8,032 93,653
+ Tellium, Inc. 12,300 7,872
Tennant Company 2,637 85,966
+ Tenneco Automotive Inc. 8,800 35,552
+ Terayon Communication Systems, Inc. 17,776 36,441
+ Terex Corporation 12,743 141,957
+ Terra Industries, Inc. 16,900 25,857
+ Tesoro Petroleum Corporation 19,765 89,338
+ Tetra Tech, Inc. 15,431 188,258
+ Texas Biotechnology Corporation 9,796 13,714
Texas Industries, Inc. 6,045 146,893
Texas Regional Bancshares, Inc. (Class A) 6,168 219,217
+ Theragenics Corporation 6,932 27,936
+ Therasense, Inc. 7,400 61,790
+ Therma-Wave Inc. 7,031 7,383
+ Thomas & Betts Corporation 12,352 208,749
Thomas Industries Inc. 3,899 101,608
+ Thomas Nelson, Inc. 900 9,018
Thor Industries, Inc. 4,342 149,495
+ Thoratec Laboratories Corporation 12,447 94,971
Thornburg Mortgage, Inc. 13,400 269,340
+ Three-Five Systems, Inc. 5,156 33,256
+ Tier Technologies, Inc. (Class B) 4,900 78,400
+ Time Warner Telecom Inc. (Class A) 15,100 31,861
+ TiVo Inc. 5,094 26,642
+ Tollgrade Communications, Inc. 3,741 43,882
+ Tom Brown, Inc. 10,415 261,417
Tompkins Trustco, Inc. 1,700 74,970
+ Too Inc. 9,166 215,584
+ The Topps Company, Inc. 10,391 90,402
The Toro Company 3,199 204,416
+ Touch America Holdings, Inc. 30,394 11,854
+ Tower Automotive, Inc. 16,071 72,319
Town & Country Trust 3,063 64,629
+ Tractor Supply Company 4,300 161,680
+ Trammell Crow Company 6,978 62,802
+ Trans World Entertainment Corporation 5,730 20,800
+ Transaction Systems Architects, Inc.
(Class A) 10,185 66,202
+ Transcontinental Realty Investors, Inc. 2,100 37,044
+ Transkaryotic Therapies, Inc. 8,440 83,556
+ Transmeta Corporation 36,600 42,822
+ TransMontaigne Inc. 5,931 27,520
Tredegar Corporation 6,445 96,675
Tremont Corporation 800 23,840
+ Trex Company, Inc. 1,509 53,268
+ Triad Guaranty Inc. 2,776 102,323
+ Triangle Pharmaceuticals, Inc. 9,106 54,090
+ Triarc Companies, Inc. 3,825 100,368
32 & 33
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Small Cap Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common TriCo Bancshares 2,200 $ 54,120
Stocks + Trico Marine Services, Inc. 7,706 25,661
(continued) + Trikon Technologies, Inc. 2,800 14,000
+ Trimble Navigation Limited 8,104 101,219
+ Trimeris, Inc. 4,038 173,997
Trinity Industries, Inc. 9,950 188,652
+ TriPath Imaging, Inc. 7,332 19,650
+ Tripos, Inc. 2,700 19,791
+ TriQuint Semiconductor, Inc. 40,336 171,025
+ Triton PCS Holdings, Inc. (Class A) 3,300 12,969
+ Triumph Group, Inc. 3,279 104,731
+ The TriZetto Group, Inc. 6,908 42,415
+ Tropical Sportswear Int'l Corporation 2,600 23,322
Troy Financial Corporation 1,745 47,080
TrustCo Bank Corp NY 22,116 238,410
The Trust Company of New Jersey 5,380 149,731
+ Tuesday Morning Corporation 2,490 42,579
+ Tularik Inc. 12,495 93,213
Tupperware Corporation 16,074 242,396
+ Turnstone Systems, Inc. 7,886 21,292
+ Tweeter Home Entertainment Group, Inc. 6,430 37,165
+ Tyler Technologies, Inc. 6,400 26,688
+ U.S. Concrete, Inc. 8,100 44,307
+ U.S. Industries, Inc. 22,750 59,832
+ U.S. Physical Therapy, Inc. 3,650 40,697
U.S. Restaurant Properties, Inc. 5,700 80,256
+ U.S. Xpress Enterprises, Inc. (Class A) 3,200 28,032
U.S.B. Holding Co., Inc. 3,284 58,127
+ UAL Corporation 22,700 32,461
UCBH Holdings, Inc. 5,649 239,800
UGI Corporation 8,456 316,170
+ UICI 10,939 170,101
UIL Holdings Corporation 3,900 135,993
UMB Financial Corporation 4,176 159,778
+ UNOVA, Inc. 12,009 72,054
+ URS Corporation 7,277 103,552
+ US Oncology, Inc. 20,723 179,668
+ US Unwired Inc. (Class A) 21,280 10,427
USEC Inc. 20,559 123,765
USFreightways Corporation 8,402 241,557
+ USG Corporation 10,700 90,415
+ USinternetworking, Inc. 4,300 0
+ UbiquiTel Inc. 17,100 6,840
+ Ulticom, Inc. 2,440 18,276
+ Ultimate Electronics, Inc. 2,619 26,583
+ Ultratech Stepper, Inc. 7,390 72,710
Umpqua Holdings Corporation 7,370 134,503
+ Unifi, Inc. 14,372 75,453
UniFirst Corporation 1,400 28,280
+ Unilab Corporation 6,000 109,800
Union Bankshares Corporation 3,000 81,750
UniSource Energy Corporation 8,383 144,942
+ Unit Corporation 11,708 217,183
+ United Auto Group, Inc. 4,031 50,266
United Bankshares, Inc. 11,005 319,816
United Community Banks, Inc. 4,000 97,480
United Community Financial Corp. 9,073 78,481
+ United Defense Industries, Inc. 6,700 156,110
United Fire & Casualty Company 1,500 50,175
United Industrial Corporation 3,900 62,400
United National Bancorp 6,091 140,397
+ United Natural Foods, Inc. 6,190 156,916
+ United Online, Inc. 5,000 79,705
+ United Stationers, Inc. 9,149 263,500
+ United Surgical Partners
International, Inc. 4,900 76,543
+ United Therapeutics Corporation 5,146 85,938
Unitil Corporation 800 19,840
+ Universal American Financial Corp. 6,800 39,569
+ Universal Compression Holdings, Inc. 4,726 90,408
Universal Corporation 8,156 301,446
+ Universal Display Corporation 4,407 34,771
+ Universal Electronics Inc. 3,886 37,850
Universal Forest Products, Inc. 4,034 86,009
Universal Health Realty Income Trust 2,427 63,709
Unizan Financial Corp. 6,219 122,825
+ Urban Outfitters, Inc. 2,600 61,282
+ Urologix, Inc. 3,625 11,999
Urstadt Biddle Properties (Class A) 5,500 60,940
+ VCA Antech, Inc. 4,200 63,000
+ VISX, Incorporated 13,686 131,112
+ VIVUS, Inc. 7,500 27,975
+ Vail Resorts, Inc. 1,756 26,638
Valhi, Inc. 6,100 50,630
Valmont Industries, Inc. 3,658 70,965
Value Line, Inc. 400 17,376
+ ValueClick, Inc. 15,600 43,524
+ ValueVision International, Inc. (Class A) 5,856 87,723
+ Vans, Inc. 6,883 39,095
+ Varian Inc. 8,035 230,524
+ Varian Semiconductor Equipment
Associates, Inc. 8,842 210,095
+ Vastera, Inc. 7,700 43,513
Vector Group Ltd. 7,438 86,429
+ Veeco Instruments Inc. 6,727 77,764
+ Ventana Medical Systems, Inc. 2,880 66,384
Ventas, Inc. 18,405 210,737
+ Verint Systems Inc. 2,300 46,414
+ Veritas DGC Inc. 10,297 81,346
+ Verity, Inc. 7,467 99,991
+ Versicor, Inc. 5,006 54,015
Vesta Insurance Group, Inc. 5,000 13,750
+ Vialta, Inc. 85 26
+ ViaSat, Inc. 6,601 76,175
+ Viasys Healthcare Inc. 6,400 95,296
+ Viasystems Group, Inc. 12,148 5
+ Vical Incorporated 8,292 28,773
+ Vicor Corporation 5,796 47,823
+ Viewpoint Corporation 8,541 15,972
+ Vignette Corporation 59,600 73,129
Vintage Petroleum, Inc. 14,883 157,016
+ Virage Logic Corporation 2,500 25,075
+ Virbac Corporation 5,400 30,294
Virco Mfg. Corporation 2,640 26,928
Virginia Financial Group, Inc. 2,700 80,460
Vital Signs, Inc. 1,724 51,513
+ VitalWorks Inc. 11,800 45,430
+ Vitesse Semiconductor Corporation 55,500 121,268
+ Vitria Technology, Inc. 21,200 15,900
+ Volt Information Sciences, Inc. 1,559 26,659
+ W.R. Grace & Co. 14,500 28,420
+ WCI Communities, Inc. 1,100 11,220
WD-40 Company 4,989 131,809
+ WESCO International, Inc. 4,058 22,278
+ WFS Financial Inc. 2,047 42,805
WGL Holdings Inc. 14,973 358,154
W Holding Company, Inc. 13,277 217,875
+ W-H Energy Services, Inc. 7,957 116,093
+ WMS Industries Inc. 5,312 79,574
WPS Resources Corporation 9,604 372,827
WSFS Financial Corporation 1,991 65,643
+ Wabash National Corporation 6,745 56,523
Wabtec Corporation 8,539 119,887
+ Wackenhut Corrections Corporation 1,200 13,332
Wallace Computer Services, Inc. 10,801 232,329
Walter Industries, Inc. 7,402 80,312
Warwick Community Bancorp, Inc. 1,700 48,161
Washington Real Estate Investment Trust 9,865 251,557
Washington Trust Bancorp, Inc. 3,800 74,214
+ Waste Connections, Inc. 8,412 324,787
+ WatchGuard Technologies, Inc. 6,062 38,682
+ Water Pik Technologies, Inc. 1,700 12,495
Watsco, Inc. 3,765 61,671
+ Watson Wyatt & Company Holdings 4,725 102,769
Watts Industries, Inc. (Class A) 4,536 71,397
Wausau--Mosinee Paper Corporation 10,842 121,647
Waypoint Financial Corp. 11,400 202,920
+ WebEx Communications, Inc. 6,331 94,965
+ webMethods, Inc. 14,220 116,888
+ Websense, Inc. 6,651 142,072
Weis Markets, Inc. 3,100 96,255
Wellman, Inc. 9,118 123,002
+ Wellsford Real Properties Inc. 2,600 40,976
Werner Enterprises, Inc. 12,012 258,618
WesBanco, Inc. 6,063 141,813
West Coast Bancorp 3,400 51,510
+ West Marine, Inc. 3,800 52,022
West Pharmaceutical Services, Inc. 3,838 93,647
Westar Energy, Inc. 17,600 174,240
Westcorp 2,836 59,556
+ Western Digital Corporation 54,182 346,223
Western Gas Resources, Inc. 5,913 217,894
+ Western Wireless Corporation (Class A) 18,700 99,110
Westfield Financial, Inc. 400 6,200
+ WestPoint Stevens Inc. 10,498 6,194
+ Westport Resources Corporation 5,806 120,765
+ The Wet Seal, Inc. (Class A) 8,575 92,275
+ White Electronic Designs Corporation 3,800 29,070
+ Whitehall Jewellers, Inc. 3,500 33,250
+ Wild Oats Markets, Inc. 6,529 67,379
+ William Lyon Homes, Inc. 700 15,281
+ Wilson Greatbatch Technologies, Inc. 6,500 189,800
+ Wilsons The Leather Experts Inc. 5,799 28,995
+ Wind River Systems, Inc. 21,200 86,920
Winnebago Industries, Inc. 2,995 117,494
34 & 35
Merrill Lynch Small Cap Index Fund, December 31, 2002
SCHEDULE OF INVESTMENTS (concluded) (in U.S. dollars)
Master Small Cap Index Series (concluded)
------------------------------------------------------------------------------
Shares
Issue Held Value
====================================================================================================
Common Winston Hotels, Inc. 4,955 $ 38,649
Stocks Wintrust Financial Corporation 4,800 150,336
(concluded) + Wireless Facilities, Inc. 6,713 40,345
+ Witness Systems, Inc. 3,800 13,072
Wolverine World Wide, Inc. 11,272 170,320
+ Women First HealthCare, Inc. 2,800 12,771
Woodhead Industries, Inc. 2,611 29,504
Woodward Governor Company 2,993 130,195
+ World Acceptance Corporation 4,500 34,245
World Fuel Services Corporation 1,700 34,850
+ World Wrestling Federation
Entertainment, Inc. 2,568 20,672
Worthington Industries, Inc. 20,541 313,045
+ Wright Medical Group, Inc. 5,300 92,533
+ Wyndham International, Inc. 35,361 8,133
+ XM Satellite Radio Holdings Inc. (Class A) 18,207 48,977
+ XO Communications, Inc. (Class A) 53,600 2,841
X-Rite, Incorporated 5,917 41,360
+ Xicor, Inc. 5,734 21,388
+ The Yankee Candle Company, Inc. 7,783 124,528
Yardville National Bancorp 1,100 18,964
+ Yellow Corporation 8,863 223,268
+ Young Broadcasting Inc. (Class A) 4,508 59,370
+ Young Innovations, Inc. 600 13,962
Zenith National Insurance Corp. 2,437 57,318
+ Zoll Medical Corporation 2,861 102,052
+ Zomax Incorporated 8,508 36,159
+ Zoran Corporation 8,046 113,207
+ Zygo Corporation 3,295 23,032
+ Zymogentics, Inc. 1,100 10,890
------------------------------------------------------------------------------
Total Common Stocks (Cost--$214,450,606)--95.0% 172,838,603
====================================================================================================
Partnership
Interest Short-Term Securities
====================================================================================================
$2,917,060 Merrill Lynch Liquidity Series,
LLC Cash Sweep Series I* 2,917,060
====================================================================================================
Total Short-Term Securities (Cost--$2,917,060)--1.6% 2,917,060
====================================================================================================
Total Investments (Cost--$217,367,666)--96.6% 175,755,663
Variation Margin on Financial Futures Contracts**--(0.1%) (255,126)
Other Assets Less Liabilities--3.5% 6,414,934
------------
Net Assets--100.0% $181,915,471
============
====================================================================================================
(a) 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.
+ Non-income producing security.
* Investments in companies considered to be an affiliate of the Fund (such
companies are defined as "Affiliated Companies" in Section 2 (a)(3) of the
Investment Company Act of 1940) are as follows:
--------------------------------------------------------------------------
Net Net Interest
Affiliate Activity Cost Income
--------------------------------------------------------------------------
Merrill Lynch Liquidity Series,
LLC Cash Sweep Series I $2,917,060 $2,917,060 $7,083
--------------------------------------------------------------------------
** Financial futures contracts purchased as of December 31, 2002 were as
follows:
--------------------------------------------------------------------------
Number of Expiration
Contracts Issue Date Value
--------------------------------------------------------------------------
45 Russell 2000 March 2003 $8,622,000
--------------------------------------------------------------------------
(Total Contract Price--$8,649,582) $8,622,000
==========
--------------------------------------------------------------------------
See Notes to Financial Statements.
STATEMENT OF ASSETS AND LIABILITIES
MASTER
SMALL CAP
INDEX SERIES As of December 31, 2002
==========================================================================================================================
Assets: Investments, at value (including securities loaned of $4,837,342)
(identified cost--$217,367,666) ................................. $ 175,755,663
Investments held as collateral for loaned securities, at value .. 5,253,650
Cash on deposit for financial futures contracts ................. 480,000
Receivables:
Contributions ................................................. $ 6,399,424
Dividends ..................................................... 271,034
Investment adviser ............................................ 85,524
Loaned securities income ...................................... 12,968
Securities sold ............................................... 9,462
Interest ...................................................... 4,574 6,782,986
-----------
Prepaid expenses ................................................ 1,371
-----------
Total assets .................................................... 188,273,670
-----------
==========================================================================================================================
Liabilities: Collateral on securities loaned, at value ....................... 5,253,650
Payables:
Withdrawals ................................................... 495,468
Securities purchased .......................................... 288,769
Variation margin .............................................. 255,126
Custodian bank ................................................ 36,285 1,075,648
-----------
Accrued expenses ................................................ 28,901
-----------
Total liabilities ............................................... 6,358,199
=============
==========================================================================================================================
Net Assets: Net assets ...................................................... $ 181,915,471
=============
==========================================================================================================================
Net Assets Investors' capital .............................................. $ 223,555,056
Consist of: Unrealized depreciation on investments--net ..................... (41,639,585)
-----------
Net assets ...................................................... $ 181,915,471
=============
==========================================================================================================================
See Notes to Financial Statements.
36 & 37
Merrill Lynch Small Cap Index Fund, December 31, 2002
STATEMENT OF OPERATIONS
MASTER
SMALL CAP
INDEX SERIES For the Year Ended December 31, 2002
==============================================================================================================================
Investment Income: Dividends (net of $1,022 foreign withholding tax) ................ $ 2,396,237
Interest ......................................................... 127,093
Securities lending--net .......................................... 34,978
-------------
Total income ..................................................... 2,558,308
-------------
==============================================================================================================================
Expenses: Professional fees ................................................ $ 149,435
Custodian fees ................................................... 46,705
Accounting services .............................................. 37,486
Investment advisory fees ......................................... 19,128
Trustees' fees and expenses ...................................... 14,625
Printing and shareholder reports ................................. 603
Other ............................................................ 5,207
-------------
Total expenses before reimbursement .............................. 273,189
Reimbursement of expenses ........................................ (120,169)
-------------
Total expenses after reimbursement ............................... 153,020
-------------
Investment income--net ........................................... 2,405,288
-------------
==============================================================================================================================
Realized & Realized loss from investments--net .............................. (12,560,901)
Unrealized Change in unrealized depreciation on investments--net ............ (35,615,150)
Loss on -------------
Investments--Net: Total realized and unrealized loss on investments--net ........... (48,176,051)
-------------
Net Decrease in Net Assets Resulting from Operations ............. $ (45,770,763)
=============
==============================================================================================================================
See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended
MASTER December 31,
SMALL CAP -------------------------------
INDEX SERIES Increase (Decrease) in Net Assets: 2002 2001
==============================================================================================================================
Operations: Investment income--net ........................................... $ 2,405,288 $ 2,780,462
Realized gain (loss) on investments--net ......................... (12,560,901) 1,032,521
Change in unrealized appreciation/depreciation on investments--net (35,615,150) 61,370
------------- -------------
Net increase (decrease) in net assets resulting from operations .. (45,770,763) 3,874,353
------------- -------------
==============================================================================================================================
Capital Proceeds from contributions ...................................... 105,968,467 138,087,587
Transactions: Fair value of withdrawals ........................................ (61,250,024) (128,237,981)
------------- -------------
Net increase in net assets derived from capital transactions ..... 44,718,443 9,849,606
------------- -------------
==============================================================================================================================
Net Assets: Total increase (decrease) in net assets .......................... (1,052,320) 13,723,959
Beginning of year ................................................ 182,967,791 169,243,832
------------- -------------
End of year ...................................................... $ 181,915,471 $ 182,967,791
============= =============
==============================================================================================================================
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS
MASTER
SMALL CAP The following ratios have been derived For the Year Ended December 31,
INDEX SERIES from information provided in the -----------------------------------------------------------------
financial statements. 2002 2001 2000 1999 1998
===================================================================================================================================
Total Investment (20.19%) 2.37% -- -- --
Return:* ========== ========== ========== ========== ==========
===================================================================================================================================
Ratios to Average Expenses, net of reimbursement ....... .08% .08% .09% .14% .17%
Net Assets: ========== ========== ========== ========== ==========
Expenses ............................. .14% .13% .13% .17% .28%
========== ========== ========== ========== ==========
Investment income--net ............... 1.26% 1.45% 1.90% 1.83% 1.46%
========== ========== ========== ========== ==========
===================================================================================================================================
Supplemental Net assets, end of year (in thousands) $ 181,915 $ 182,968 $ 169,244 $ 114,799 $ 83,831
Data: ========== ========== ========== ========== ==========
Portfolio turnover ................... 39.00% 48.50% 50.51% 51.20% 48.16%
========== ========== ========== ========== ==========
===================================================================================================================================
* Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See Notes to Financial Statements.
38 & 39
Merrill Lynch Small Cap Index Fund, December 31, 2002
NOTES TO FINANCIAL STATEMENTS
MASTER
SMALL CAP
INDEX SERIES
1. Significant Accounting Policies:
Master Small Cap Index Series (the "Series") is part of Quantitative Master
Series Trust (the "Trust"). The Trust is registered under the Investment Company
Act of 1940 and is organized as a Delaware business trust. The Declaration of
Trust permits the Trustees to issue nontransferable interests in the Trust,
subject to certain limitations. The Series' financial statements are prepared in
conformity with accounting principles generally accepted in the United States of
America, which may require the use of management accruals and estimates. The
following is a summary of significant accounting policies followed by the
Series.
(a) Valuation of investments -- Portfolio securities that are traded on stock
exchanges are valued at the last sale price as of the close of business on the
day the securities are being valued or, lacking any sales, at the closing bid
price. Securities traded in the over-the-counter market are valued at the last
quoted bid price at the close of trading on the New York Stock Exchange on each
day by brokers that make markets in the securities. Securities traded in the
NASDAQ National Market System are valued at the last sale price prior to the
time of valuation. Portfolio securities that are traded both in the
over-the-counter market and on a stock exchange are valued according to the
broadest and most representative market. Options written or purchased are valued
at the last sale price in the case of exchange-traded options. In the case of
options traded in the over-the-counter market, valuation is the last asked price
(options written) or the last bid price (options purchased). Short-term
securities are valued at amortized cost, which approximates market value. Other
investments, including futures contracts and related options, are stated at
market value. Securities and assets for which market quotations are not readily
available are valued at fair market value, as determined in good faith by or
under the direction of the Trust's Board of Trustees.
(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.
o Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts as a proxy for a direct
investment in securities underlying the Series' index. Upon entering into a
contract, the Series deposits and maintains as collateral such initial margin as
required by the exchange on which the transaction is effected. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as variation margin and are recorded by the Series as
unrealized gains or losses. When the contract is closed, the Series records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
o Options -- The Series is authorized to purchase and write call and put
options. When the Series writes an option, an amount equal to the premium
received by the Series is reflected as an asset and an equivalent liability. The
amount of the liability is subsequently marked to market to reflect the current
market value of the option written. When a security is purchased or sold through
an exercise of an option, the related premium paid (or received) is added to (or
deducted from) the basis of the security acquired or deducted from (or added to)
the proceeds of the security sold. When an option expires (or the Series enters
into a closing transaction), the Series realizes a gain or loss on the option to
the extent of the premiums received or paid (or a gain or loss to the extent
that the cost of the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(c) Income taxes -- The Series is classified as a partnership for Federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Accordingly, as a "pass through"
entity, the Series pays no income dividends or capital gains distributions.
Therefore, no Federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest, dividends and
capital gains at various rates. It is intended that the Series' assets will be
managed so an investor in the Series can satisfy the requirements of subchapter
M of the Internal Revenue Code.
(d) Security transactions and investment income -- Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(e) Custodian bank -- The Series recorded an amount payable to the custodian
bank reflecting an overnight overdraft, which resulted from management estimates
of available cash.
(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 an amount
equal to at least 100% of the current market value of the loaned securities.
Where the Series receives securities as collateral for the loaned securities, it
collects a fee from the borrower. The Series typically receives the income on
the loaned securities but does not receive the income on the collateral. Where
the Series receives cash collateral, it may invest such collateral and retain
the amount earned on such investment, net of any amount rebated to the borrower.
Loans of securities are terminable at any time and the borrower, after notice,
is required to return borrowed securities within five business days. The Series
may pay reasonable finder's, lending agent, administrative and custodial fees in
connection with its loans. In the event that the borrower defaults on its
obligation to return borrowed securities because of insolvency or for any other
reason, the Series could experience delays and costs in gaining access to the
collateral. The Series also could suffer a loss where the value of the
collateral falls below the market value of the borrowed securities, in the event
of borrower default or in the event of losses on investments made with cash
collateral.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML
& Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series' net
assets. FAM has entered into a contractual arrangement with the Series under
which the expenses incurred by the Series will not exceed .08%. Effective
January 1, 2003, the limit was increased from .08% to .09%. This arrangement
expires December 31, 2003 and is renewable. FAM reimbursed the Series for
expenses of $120,169.
Merrill Lynch Trust Company, an indirect, wholly-owned Subsidiary of ML & Co.,
is the Series' Custodian.
The Trust has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., or its
affiliates. Pursuant to that order, the Trust also has retained Merrill Lynch
Investment Advisors, LLC ("MLIA"), an affiliate of FAM, as the securities
lending agent for a fee based on a share of the returns on investment of cash
collateral. MLIA may, on behalf of the Trust and Series, invest cash collateral
received by the Series for such loans, among other things, in a private
investment company managed by MLIA or in registered money market funds advised
by FAM or its affiliates. As of December 31, 2002, cash collateral of $2,784,435
was invested in the Money Market Series of the Merrill Lynch Liquidity Series,
LLC and $2,469,215 was invested in the Merrill Lynch Premier Institutional Fund.
As of December 31, 2002, the Series lent securities with a value of $475,396 to
MLPF&S or its affiliates. For the year ended December 31, 2002, MLIA received
$15,370 in securities lending agent fees from the Series.
In addition, MLPF&S received $24 in commissions on the execution of Portfolio
security transactions for the Series for the year ended December 31, 2002.
40 & 41
Merrill Lynch Small Cap Index Fund, December 31, 2002
NOTES TO FINANCIAL STATEMENTS (concluded)
MASTER
SMALL CAP
INDEX SERIES
For the year ended December 31, 2002, the Series reimbursed FAM $4,759 for
certain accounting services.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2002 were $118,149,718 and $71,093,835, respectively.
Net realized losses for the year ended December 31, 2002 and net unrealized
losses as of December 31, 2002 were as follows:
- --------------------------------------------------------------------------------
Realized Unrealized
Losses Losses
- --------------------------------------------------------------------------------
Long-term investments ................ $(10,056,188) $(41,612,003)
Financial futures contracts .......... (2,504,713) (27,582)
------------ ------------
Total ................................ $(12,560,901) $(41,639,585)
============ ============
- --------------------------------------------------------------------------------
As of December 31, 2002, net unrealized depreciation for Federal income tax
purposes aggregated $44,987,098, of which $16,733,679 related to appreciated
securities and $61,720,777 related to depreciated securities. At December 31,
2002, the aggregate cost of investments for Federal income tax purposes was
$220,742,761.
4. Short-Term Borrowings:
The Series, along with certain other funds managed by FAM and its affiliates, is
a party to a credit agreement with Bank One, N.A. and certain other lenders.
Effective November 29, 2002, in conjunction with the renewal for one year at the
same terms, the total commitment was reduced from $1,000,000,000 to
$500,000,000. The Series may borrow under the credit agreement to fund partner
withdrawals 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. The Fund did not borrow under the
credit agreement during the year ended December 31, 2002.
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Investors,
Master Small Cap Index Series
(One of the series constituting
Quantitative Master Series Trust):
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Small Cap Index Series (one of the series
constituting Quantitative Master Series Trust) as of December 31, 2002, the
related statements of operations for the year then ended, and changes in net
assets for each of the two years in the two-year period then ended, and the
financial highlights for each of the years presented. These financial statements
and the financial highlights are the responsibility of the Trust's management.
Our responsibility is to express an opinion on these financial statements and
the financial highlights based on our audits.
We conducted our audits in accordance with 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. Our procedures included confirmation of
securities owned at December 31, 2002 by correspondence with the custodian and
brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Master Small Cap
Index Series of the Quantitative Master Series Trust as of December 31, 2002,
the results of its operations, the changes in its net assets, and the financial
highlights for the respective stated periods in conformity with accounting
principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 20, 2003
42 & 43
Merrill Lynch Small Cap Index Fund, December 31, 2002
OFFICERS AND DIRECTORS/TRUSTEES
Number of Other
Position(s) Portfolios in Directorships
Held Length Fund Complex Held by
with Fund of Time Overseen by Director/
Name Address & Age /Trust Served Principal Occupation(s) During Past 5 Years Director/Trustee Trustee
====================================================================================================================================
Interested Director/Trustee
====================================================================================================================================
Terry K. Glenn* P.O. Box 9011 President 1999 to Chairman, Americas Region since 2001 and 117 Funds None
Princeton, NJ and present Executive Vice President since 1983 of Fund 162 Portfolios
08543-9011 Director/ and Asset Management, L.P. ("FAM") and Merrill
Age: 62 Trustee 1997 to Lynch Investment Managers, L.P. ("MLIM");
present President of Merrill Lynch Mutual Funds since
1999; President of FAM Distributors, Inc.
("FAMD") since 1986 and Director thereof since
1991; Executive Vice President and Director of
Princeton Services, Inc. ("Princeton Services")
since 1993; President of Princeton
Administrators, L.P. since 1988; 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 act as investment adviser. Mr. Glenn is an "interested person," as described in the
Investment Company Act, of each Fund based on his positions as Chairman (Americas Region) and Executive Vice
President of FAM and MLIM; President of FAMD; Executive Vice President of Princeton Services; and President
of 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.
====================================================================================================================================
Number of Other
Position(s) Portfolios in Directorships
Held Length Fund Complex Held by
with Fund of Time Overseen by Director/
Name Address & Age /Trust Served* Principal Occupation(s) During Past 5 Years Director/Trustee Trustee
====================================================================================================================================
Independent Directors/Trustees
====================================================================================================================================
Donald W. Burton P.O. Box 9095 Director/ 2002 to General Partner of The Burton Partnership, 23 Funds ITC Delta-
Princeton, NJ Trustee present Limited Partnership since 1979; Managing 34 Portfolios Com, Inc.;
08543-9095 General Partner of the South Atlantic Venture ITC Holding
Age: 58 Fund II and III, Limited Partnerships and Company,
Chairman of South Atlantic Private Equity Inc.;
Fund IV, Limited Partnership since 1983; Knology,
Member of the Investment Advisory Council of Inc.; Main-
the Florida State Board of Administration Bancorp,
since 2001. N.A.; Pri-
Care, Inc.;
Symbion,
Inc.
====================================================================================================================================
M. Colyer Crum P.O. Box 9095 Director/ 2000 to James R. Williston Professor of Investment 23 Funds Cambridge
Princeton, NJ Trustee present Management Emeritus, Harvard Business School 34 Portfolios Bancorp
08543-9095 since 1996.
Age: 70
====================================================================================================================================
Laurie Simon P.O. Box 9095 Director/ 2000 to Professor of Finance and Economics, Graduate 23 Funds None
Hodrick Princeton, NJ Trustee present School of Business, Columbia University since 34 Portfolios
08543-9095 1998; Associate Professor of Finance and
Age: 40 Economics, Graduate School of Business,
Columbia University from 1996 to 1998.
====================================================================================================================================
J. Thomas P.O. Box 9095 Director/ 2000 to Managing Partner of the Witt Touchton Company 23 Funds TECO
Touchton Princeton, NJ Trustee present and its predecessor, The Witt Co., since 1972; 34 Portfolios Energy, Inc.
08543-9095 Trustee Emeritus of Washington and Lee
Age: 64 University.
====================================================================================================================================
Fred G. Weiss P.O. Box 9095 Director/ 2000 to Managing Director of FGW Associates since 1997. 23 Funds Watson
Princeton, NJ Trustee present 34 Portfolios Pharma-
08543-9095 ceuticals,
Age: 61 Inc.
====================================================================================================================
* 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)
Held Length
with Fund of Time
Name Address & Age /Trust Served* Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Trust Officers
====================================================================================================================================
Donald C. Burke P.O. Box 9011 Vice 1997 to First Vice President of FAM and MLIM since 1997 and Treasurer thereof
Princeton, NJ President present since 1999; Senior Vice President and Treasurer of Princeton Services since
08543-9011 and and 1999; Vice President of FAMD since 1999; Director of MLIM Taxation
Age: 42 Treasurer 1999 to since 1990.
present
====================================================================================================================================
Robert C. P.O. Box 9011 Senior 1999 to President and Global Chief Investment Officer of MLIM and member of the
Doll, Jr. Princeton, NJ Vice present Executive Management Committee of ML & Co., Inc. since 2001; Chief
08543-9011 President Investment Officer, Senior Vice President and Co-Head of MLIM Americas
Age: 49 from 1999 to 2001; Chief Investment Officer of Oppenheimer Funds, Inc.
from 1987 to 1999 and Executive Vice President from 1991 to 1999.
====================================================================================================================================
44 & 45
Merrill Lynch Small Cap Index Fund, December 31, 2002
OFFICERS AND DIRECTORS/TRUSTEES (concluded)
Position(s)
Held Length
with Fund of Time
Name Address & Age /Trust Served* Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Trust Officers (concluded)
====================================================================================================================================
Richard Vella P.O. Box 9011 Senior 1999 to Senior Portfolio Manager and Head of Global Index and Enhanced Index
Princeton, NJ Vice present products for Merrill Lynch Quantitative Advisors since 1999; Managing
08543-9011 President Director and Head of the Global Index and Enhanced Index business at
Age: 46 Bankers Trust from 1984 to 1999.
=====================================================================================================================
Stephen M. Benham P.O. Box 9011 Secretary 2002 to Vice President (Legal Advisory) of MLIM since 2000; Associate with
Princeton, NJ present Kirkpatrick & Lockhart LLP from 1997 to 2000.
08543-9011
Age: 43
==================================================================================================================
* Officers of the Fund/Trust serve at the pleasure of the Board of Directors/Trustees.
====================================================================================================================================
Further information about the Fund's Officers and Directors/Trustees is
available in the Fund's Statement of Additional Information, which can be
obtained without charge by calling 1-800-MER-FUND.
Custodian
Merrill Lynch Trust Company
800 Scudders Mill Road
Plainsboro, NJ 08536
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
- --------------------------------------------------------------------------------
Effective January 1, 2003, J. Thomas Touchton, Director/Trustee of Merrill Lynch
Small Cap Index Fund, retired. The Fund's/Trust's Board of Directors/Trustees
wishes Mr. Touchton well in his retirement.
- --------------------------------------------------------------------------------
46
[LOGO] Merrill Lynch Investment Managers
[GRAPHICS OMITTED]
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.
Merrill Lynch Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011
[RECYCLED LOGO] Printed on post-consumer recycled paper #Index 3--12/02
Item 2 - Did registrant adopt a code of ethics, as of the end of the period
covered by this report, that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party? If not, why not? Briefly describe any amendments or
waivers that occurred during the period. State here if code of
ethics/amendments/waivers are on website and give website address-.
State here if fund will send code of ethics to shareholders without
charge upon request-- N/A (not answered until July 15, 2003 and only
annually for funds)
Item 3 - Did the registrant's board of directors determine that the registrant
either: (i) has at least one audit committee financial expert serving
on its audit committee; or (ii) does not have an audit committee
financial expert serving on its audit committee? If yes, disclose name
of financial expert and whether he/she is "independent," (fund may, but
is not required, to disclose name/independence of more than one
financial expert) If no, explain why not. -N/A (not answered until July
15, 2003 and only annually for funds)
Item 4 - Disclose annually only (not answered until December 15, 2003)
(a) Audit Fees - Disclose aggregate fees billed for each of the last two
fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's
annual financial statements or services that are
normally provided by the accountant in connection with
statutory and regulatory filings or engagements for
those fiscal years. N/A.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of the
last two fiscal years for assurance and related
services by the principal accountant that are
reasonably related to the performance of the
audit of the registrant's financial statements
and are not reported under paragraph (a) of this
Item. Registrants shall describe the nature of
the services comprising the fees disclosed under
this category. N/A.
(c) Tax Fees - Disclose aggregate fees billed in each of the last two
fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and
tax planning. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
N/A.
(d) All Other Fees - Disclose aggregate fees billed in each of the last
two fiscal years for products and services provided
by the principal accountant, other than the services
reported in paragraphs (a) through (c) of this Item.
Registrants shall describe the nature of the
services comprising the fees disclosed under this
category. N/A.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. N/A.
(e)(2) Disclose the percentage of services described in each of paragraphs
(b) through (d) of this Item that were approved by the audit
committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X. N/A.
(f) If greater than 50%, disclose the percentage of hours expended on
the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were
attributed to work performed by persons other than the principal
accountant's full-time, permanent employees. N/A.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the adviser
that provides ongoing services to the registrant for each of the
last two fiscal years of the registrant. N/A.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to
the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence. N/A.
Items 5-6 - Reserved
Item 7 - For closed-end funds that contain voting securities in their portfolio,
describe the policies and procedures that it uses to determine how to
vote proxies relating to those portfolio securities. N/A.
Item 8 -- Reserved
Item 9(a) - Disclose the conclusions of the registrant's principal executive
officer or officers and principal financial officer or officers, or
persons performing similar functions, about the effectiveness of the
registrant's disclosure controls and procedures (as defined in Rule
30a-2(c) under the Act (17 CFR 270.30a-2(c))) based on their
evaluation of these controls and procedures as of a date within 90
days of the filing date of the report that includes the disclosure
required by this paragraph. N/A.
Item 9(b) -- There were no significant changes in the registrant's internal
controls or in other factors that could significantly affect
these controls subsequent to the date of their evaluation,
including any corrective actions with regard to significant
deficiencies and material weaknesses.
Item 10 - Exhibits
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon
request without charge. N/A.
10(b) - Attach certifications (4 in total pursuant to Sections 302 and 906 for
CEO/CFO). 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 Small Cap Index Fund
By: /s/ Terry K. Glenn
----------------------------------
Terry K. Glenn,
President of
Merrill Lynch Small Cap Index Fund
Date: February 24, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Terry K. Glenn
----------------------------------
Terry K. Glenn,
President of
Merrill Lynch Small Cap Index Fund
Date: February 24, 2003
By: /s/ Donald C. Burke
----------------------------------
Donald C. Burke
Chief Financial Officer of
Merrill Lynch Small Cap Index Fund
Date: February 24, 2003