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 811-21162
Name of Fund: Merrill Lynch Core Principal Protected Fund
Merrill Lynch Principal Protected Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, Merrill Lynch
Core Principal Protected 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: 04/30/03
Date of reporting period: 11/01/02 - 04/30/03
Item 1 - Attach shareholder report
[LOGO] Merrill Lynch Investment Managers
Semi-Annual Report
April 30, 2003
Merrill Lynch
Core Principal
Protected Fund
www.mlim.ml.com
Merrill Lynch Core Principal Protected Fund
DEAR SHAREHOLDER
We are pleased to provide to you this first semi-annual report to shareholders
for Merrill Lynch Core Principal Protected Fund. During the Guarantee Period,
the Fund will seek long-term capital growth to the extent permitted by a
strategy that seeks to use investments in equity securities and U.S. Treasury
bonds, including zero coupon bonds, and other fixed income instruments, to
protect the original principal value of the Fund (less sales charges,
redemptions, cash distributions and dividends and extraordinary expenses) at the
Guarantee Maturity Date. The Guarantee Period will run from the Fund's
commencement of operations (February 28, 2003) through and including the same
date seven years later (February 28, 2010). In this and future reports to
shareholders, we will provide information on the Fund's performance and discuss
our investment strategy.
Effective April 14, 2003, the share class names for the Merrill Lynch family of
mutual funds were changed to be consistent with the standard share classes of
most other mutual fund families. As of that date, all Class A Shares were
redesignated Class I Shares. At the same time, Class D Shares were redesignated
Class A Shares. There were no changes to the Class B or Class C share class
labels. Trading symbols have not been changed nor have current eligibility rules
or pricing structures. This redesignation of share classes does not impact your
investment in any way.
Since inception (February 28, 2003) through April 30, 2003, Merrill Lynch Core
Principal Protected Fund's Class A, Class B, Class C and Class I Shares had
total returns of +2.00%, +1.90%, +1.90% and +2.00%, respectively. (Results shown
do not reflect sales charges and would be lower if sales charges were included.
Complete performance information can be found on pages 3 and 4 of this report to
shareholders.) The Fund's asset allocation as of April 30, 2003 was 41.9% in
equities and 58.1% in fixed income securities. We use a mathematical formula to
determine the allocation between these two components.
The equity portion of the Portfolio invests primarily in a diversified portfolio
of large cap companies that Fund management selects from among the securities
found in the Russell 1000 Index. Our investment process attempts to add value
through both security selection and portfolio construction. Security selection
involves the use of quantitative selection criteria including earnings momentum,
earnings surprise and valuation. These criteria are input into a proprietary
quantitative model and are subject to selective fundamental overrides. Portfolio
construction consists of an optimization process with risk management
controlling style, capitalization, sector and individual security selection.
Within the equity component of the Portfolio, our overweight and stock selection
in the consumer staples area was the largest contributor to performance since
inception. Poor stock selection in information technology and telecommunication
services had a negative impact on performance. At the individual stock level,
significant contributors to performance included CheckFree Corp., Countrywide
Credit Industries, Inc. and The Ryland Group, Inc. The Portfolio also benefited
from an underweight position in Altria Group Inc. (formerly Philip Morris
Companies Inc.). Detractors to performance included Valero Energy Corporation,
J.C. Penney Company, Inc., Sprint Corp. (PCS Group) and BMC Software, Inc. Our
largest equity purchases since inception included J.P. Morgan Chase & Co., First
Data Corporation, Marathon Oil Corporation and Valero Energy Corporation, while
our largest equity sales included The Procter & Gamble Company, Safeco
Corporation, AutoZone, Inc., Sara Lee Corporation and Ross Stores, Inc.
1
Merrill Lynch Core Principal Protected Fund April 30, 2003
The fixed income component of the Portfolio was invested in U.S. Treasury zero
coupon bonds set to mature close to the expiration of the Fund. The allocation
between the equity and bond components varied over the period, with the equity
allocation ranging from 30.4% of net assets to 42.4% and the fixed income
allocation ranging from 57.6% to 69.6% as we saw interest rates change in a
somewhat volatile market.
During the course of the period, within the equity component of the Portfolio we
increased our investments relative to the Fund's equity benchmark, the Russell
1000(R) Index, in technology, health care and telecommunication services and
reduced our holdings in materials, consumer staples and consumer discretionary.
The Portfolio's largest overweights were in information technology, health care
and consumer discretionary, while our largest underweights were in consumer
staples, utilities and financials. We are positioned for an improvement in
economic activity, continued positive earnings comparisons, and an eventual
uptick in interest rates. We attempt to own companies that we believe have
improving earnings momentum, a high probability of positive earnings surprises,
and reasonable valuations.
Economic Environment
To provide a larger context in which to view the portfolio, it is important to
understand that the economy has suffered a sharp loss of confidence this year.
The Conference Board survey showed that employment conditions are at risk of
deteriorating. Although new unemployment claims have not surged, jobs are still
seen as hard to get, indicating that new job creation is still weak. The risk is
that a new round of layoffs and investment cutbacks will occur if the business
sector sees final demand slipping. Consumption has slowed in the past two
months, partly owing to bad weather, but also because confidence was hit by the
deterioration in the geopolitical backdrop and energy price crunch. While there
has been a modest drop in oil and natural gas prices recently, the relief is not
sufficient to offset renewed concerns about employment.
Treasury securities remain overvalued, but are likely to remain so until
economic expectations stabilize and deflation fears ease. The Federal Reserve
Board is going to continue to focus on trying to boost the economy and will not
contemplate shifting from this stance until well after the economy has
strengthened. Corporate bonds have weathered a difficult economic patch in
recent months, underscoring the power of good value and improving corporate
balance sheets.
The Standard & Poor's 500 Index is roughly in the middle of its trading range
(800 - 950), and we remain hopeful that a test of the upper end will develop. A
break to the upside would likely occur if the economy and corporate earnings
improve in a sustainable fashion. While profits have managed to do a bit better
than expected, some of this has been driven by cutbacks in investment and labor,
which have been economically bearish. Continued strong productivity growth
helped to contain unit labor costs, while pricing power improved a bit. Profits
likely suffered a setback in the first quarter given the spike in energy costs
and softness in overall demand. The budding stability in pricing power will be
in jeopardy unless demand growth re-accelerates. The profit environment will
remain tough, but the corporate sector is still focused on boosting the bottom
line, raising the hope that better times loom once the drag from the war lifts
and oil prices correct further. Investors need to believe that corporate profits
will rise in a self-reinforcing fashion before they will shift funds into
equities, particularly given the lack of great value in the market. It could be
a few months before the economic data clarifies whether the economy is still on
a recovery track or has been delayed or derailed. Until then, equities are
likely to remain trendless. While other investments are not offering much
competition to stocks, investors also have lost considerable capital in the
equity market since March 2000, and will remain leery, absent clear evidence
that the world economy is healing.
The bottom line is that the economy has taken a hard blow this year, but it is
not yet down for the count. If the economy does not revive soon, then hopes for
another equity upleg are likely to be dashed. Worse, equities could break below
their October 2002 low if the economy falters. Investors are already deeply
pessimistic and monetary policy will stay highly reflationary, but these
conditions are not sufficient to spur a bull market in the absence of stronger
earnings. Importantly, investors and the business sector need greater confidence
and rising hopes for a more profitable future in order to take risks. The energy
market and geopolitical backdrop have punished risk-taking and only these
factors can help restore some vitality.
2
Merrill Lynch Core Principal Protected Fund April 30, 2003
In Conclusion
We appreciate your investment in Merrill Lynch Core Principal Protected Fund,
and we look forward to serving your financial needs in the months and years
ahead.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
President and Trustee
/s/ Robert C. Doll, Jr.
Robert C. Doll, Jr.
Senior Vice President and Portfolio Manager
May 27, 2003
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If you would like a copy, free of charge, of the most recent annual or quarterly
report of Ambac Assurance Corporation, the Guarantor; please contact the Fund at
1-800-MER-FUND.
- --------------------------------------------------------------------------------
PERFORMANCE DATA
About Fund Performance
Effective April 14, 2003, Class A Shares were redesignated Class I Shares and
Class D Shares were redesignated Class A Shares. Investors are able to purchase
shares of the Fund through multiple pricing alternatives:
o Class A Shares incur a maximum initial sales charge of 5.25% and an
account maintenance fee of 0.25% (but no distribution fee).
o Class B Shares are subject to a maximum contingent deferred sales charge
of 4% declining to 0% after six years. In addition, Class B Shares are
subject to a distribution fee of 0.75% and an account maintenance fee of
0.25%. These shares automatically convert to Class A Shares after
approximately eight years. (There is no initial sales charge for automatic
share conversions.)
o Class C Shares are subject to a distribution fee of 0.75% and an account
maintenance fee of 0.25%. In addition, Class C Shares are subject to a 1%
contingent deferred sales charge if redeemed within one year of purchase.
o Class I Shares incur a maximum initial sales charge (front-end load) of
5.25% and bear no ongoing distribution or account maintenance fees. Class
I Shares are available only to eligible investors.
None of the past results shown should be considered a representation of
future performance. Performance results do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. Figures shown in each of the following tables assume
reinvestment of all dividends and capital gains distributions at net asset
value on the ex-dividend date. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or
less than their original cost. Dividends paid to each class of shares will
vary because of the different levels of account maintenance, distribution
and transfer agency fees applicable to each class, which are deducted from
the income available to be paid to shareholders.
3
Merrill Lynch Core Principal Protected Fund April 30, 2003
PERFORMANCE DATA (concluded)
Aggregate Total Return
% Return Without % Return With
Sales Charge Sales Charge**
================================================================================
Class A Shares*
================================================================================
Inception (2/28/03)
through 4/30/03 +2.00% - 3.36%
- --------------------------------------------------------------------------------
* Maximum sales charge is 5.25%.
** Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
================================================================================
Class B Shares*
================================================================================
Inception (2/28/03)
through 4/30/03 +1.90% - 2.10%
- --------------------------------------------------------------------------------
* Maximum contingent deferred sales charge is 4% and is reduced to 0% after
six years.
** Assuming payment of applicable contingent deferred sales charge.
================================================================================
% Return % Return
Without CDSC With CDSC**
================================================================================
Class C Shares*
================================================================================
Inception (2/28/03)
through 4/30/03 +1.90% +0.90%
- --------------------------------------------------------------------------------
* Maximum contingent deferred sales charge is 1% and is reduced to 0% after
one year.
** Assuming payment of applicable contingent deferred sales charge.
================================================================================
% Return Without % Return With
Sales Charge Sales Charge**
================================================================================
Class I Shares*
================================================================================
Inception (2/28/03)
through 4/30/03 +2.00% - 3.36%
- --------------------------------------------------------------------------------
* Maximum sales charge is 5.25%.
** Assuming maximum sales charge.
Recent Performance Results
Since Inception
As of April 30, 2003 Total Return
================================================================================
ML Core Principal Protected Fund Class A Shares* +2.00%
- --------------------------------------------------------------------------------
ML Core Principal Protected Fund Class B Shares* +1.90
- --------------------------------------------------------------------------------
ML Core Principal Protected Fund Class C Shares* +1.90
- --------------------------------------------------------------------------------
ML Core Principal Protected Fund Class I Shares* +2.00
================================================================================
* Investment results shown do not reflect sales charges; results shown would
be lower if a sales charge was included. Total investment returns are
based on changes in net asset values for the periods shown, and assume
reinvestment of all dividends and capital gains distributions at net asset
value on the ex-dividend date. The Fund's inception date is 2/28/03.
4
Merrill Lynch Core Principal Protected Fund April 30, 2003
FINANCIAL INFORMATION
Merrill Lynch Core Principal Protected Fund
Statement of Net Assets as of April 30, 2003
Assets: Investment in Master Large Cap Core Portfolio, at value
(identified cost--$115,181,064) ................................... $123,571,155
Investment in U.S. Treasury STRIPS, 3.46% due 2/15/2010
(face amount--$196,900,000; identified cost--$156,000,162) ........ 154,439,500
------------
Total assets ...................................................... 278,010,655
------------
========================================================================================================================
Liabilities: Payables:
Distributor .................................................... $ 200,690
Financial warranty fee ......................................... 140,683
Investment adviser ............................................. 100,480
Other affiliates ............................................... 44,745 486,598
-----------
Accrued expenses .................................................. 110,678
------------
Total liabilities ................................................. 597,276
------------
========================================================================================================================
Net Assets: Net Assets ........................................................ $277,413,379
============
========================================================================================================================
Net Assets Class A Shares of Common Stock, $.10 par value, unlimited number of
Consist of: shares authorized ................................................. $ 195,135
Class B Shares of Common Stock, $.10 par value, unlimited number of
shares authorized ................................................. 1,357,058
Class C Shares of Common Stock, $.10 par value, unlimited number of
shares authorized ................................................. 1,023,505
Class I Shares of Common Stock, $.10 par value, unlimited number of
shares authorized ................................................. 147,355
Paid-in capital in excess of par .................................. 269,581,928
Accumulated investment loss--net .................................. $ (74,905)
Accumulated realized capital losses on investments and from the
Portfolio--net .................................................... (1,646,126)
Unrealized appreciation on investments and from the Portfolio--net 6,829,429
-----------
Total accumulated earnings--net ................................... 5,108,398
------------
Net assets ........................................................ $277,413,379
============
========================================================================================================================
Net Asset Value: Class A--Based on net assets of $19,901,393 and 1,951,350 shares
outstanding ....................................................... $ 10.20
============
Class B--Based on net assets of $138,226,041 and 13,570,577 shares
outstanding ....................................................... $ 10.19
============
Class C--Based on net assets of $104,250,990 and 10,235,054 shares
outstanding ....................................................... $ 10.19
============
Class I--Based on net assets of $15,034,955 and 1,473,549 shares
outstanding ....................................................... $ 10.20
============
========================================================================================================================
See Notes to Financial Statements.
5
Merrill Lynch Core Principal Protected Fund April 30, 2003
FINANCIAL INFORMATION (continued)
Merrill Lynch Core Principal Protected Fund
Statement of Operations for the Period February 28, 2003+ to April 30, 2003
Investment Interest .......................................................... $ 1,021,954
Income: Net investment income allocated from the Portfolio:
Dividends (net of $227 foreign withholding tax) ................ 138,785
Interest ....................................................... 1,785
Securities lending--net ........................................ 2,005
Expenses ....................................................... (93,776)
------------
Total income and net investment income from the Portfolio ......... 1,070,753
------------
========================================================================================================================
Expenses: Investment advisory fees .......................................... $ 348,670
Financial warranty fee ............................................ 290,558
Account maintenance and distribution fees--Class B ................ 231,354
Account maintenance and distribution fees--Class C ................ 174,670
Offering costs .................................................... 88,618
Transfer agent fees--Class B ...................................... 20,420
Transfer agent fees--Class C ...................................... 15,624
Accounting services ............................................... 15,229
Professional fees ................................................. 11,567
Account maintenance fees--Class A ................................. 8,354
Registration fees ................................................. 5,619
Printing and shareholder reports .................................. 5,617
Trustees' fees and expenses ....................................... 5,121
Transfer agent fees--Class A ...................................... 2,583
Transfer agent fees--Class I ...................................... 1,967
Custodian fees .................................................... 1,460
Pricing fees ...................................................... 704
Other ............................................................. 2,718
-----------
Total expenses before waiver ...................................... 1,230,853
Waiver of expenses ................................................ (85,195)
-----------
Total expenses after waiver ....................................... 1,145,658
------------
Investment loss--net .............................................. (74,905)
------------
========================================================================================================================
Realized & Realized loss from:
Unrealized Gain Investments--net ............................................... (515,007)
(Loss) on The Portfolio--net ............................................. (1,131,119) (1,646,126)
Investments and -----------
from The Unrealized appreciation/depreciation:
Portfolio--Net: Investments--net ............................................... (1,560,662)
The Portfolio--net ............................................. 8,390,091 6,829,429
----------- ------------
Total realized and unrealized gain on investments and from
the Portfolio--net ................................................ 5,183,303
------------
Net Increase in Net Assets Resulting from Operations .............. $ 5,108,398
============
========================================================================================================================
+ Commencement of operations.
See Notes to Financial Statements.
6
Merrill Lynch Core Principal Protected Fund April 30, 2003
FINANCIAL INFORMATION (continued)
Merrill Lynch Core Principal Protected Fund
Statement of Changes in Net Assets
For the Period
February 28,
2003+ to
Increase (Decrease) in Net Assets: April 30, 2003
=====================================================================================================================
Operations: Investment loss--net .......................................................... $ (74,905)
Realized loss on investments and from the Portfolio--net ...................... (1,646,126)
Unrealized appreciation/depreciation on investments and from the Portfolio--net 6,829,429
-------------
Net increase in net assets resulting from operations .......................... 5,108,398
-------------
=====================================================================================================================
Capital Share Net increase in net assets derived from capital share transactions ............ 272,304,881
Transactions: -------------
=====================================================================================================================
Net Assets: Total increase in net assets .................................................. 277,413,279
Beginning of period ........................................................... 100
-------------
End of period* ................................................................ $ 277,413,379
=============
=====================================================================================================================
* Accumulated investment loss--net .............................................. $ (74,905)
=============
=====================================================================================================================
+ Commencement of operations.
See Notes to Financial Statements.
7
Merrill Lynch Core Principal Protected Fund April 30, 2003
FINANCIAL INFORMATION (concluded)
Merrill Lynch Core Principal Protected Fund
Financial Highlights
The following per share data and ratios have been derived For the Period February 28, 2003+ to
from information provided in the financial statements. April 30, 2003
--------------------------------------------------
Increase (Decrease) in Net Asset Value: Class A* Class B Class C Class I*
===============================================================================================================================
Per Share Net asset value, beginning of period .............. $ 10.00 $ 10.00 $ 10.00 $ 10.00
Operating --------- --------- --------- ---------
Performance: Investment income (loss)--net ..................... .01 --@@ --@@ .01
Realized and unrealized gain on investments
and from the Portfolio--net ....................... .19 .19 .19 .19
--------- --------- --------- ---------
Total from investment operations .................. .20 .19 .19 .20
--------- --------- --------- ---------
Net asset value, end of period .................... $ 10.20 $ 10.19 $ 10.19 $ 10.20
========= ========= ========= =========
===============================================================================================================================
Total Investment Based on net asset value per share ................ 2.00%@ 1.90%@ 1.90%@ 2.00%@
Return:*** ========= ========= ========= =========
===============================================================================================================================
Ratios to Average Expenses, net of waiver++ ......................... 2.01%** 2.78%** 2.78%** 1.76%**
Net Assets: ========= ========= ========= =========
Expenses++ ........................................ 2.20%** 2.96%** 2.96%** 1.95%**
========= ========= ========= =========
Investment income (loss)--net ..................... .49%** (.27%)** (.27%)** .74%**
========= ========= ========= =========
===============================================================================================================================
Supplemental Net assets, end of period (in thousands) .......... $ 19,901 $ 138,226 $ 104,251 $ 15,035
Data: ========= ========= ========= =========
Portfolio turnover ................................ 19.40% 19.40% 19.40% 19.40%
========= ========= ========= =========
===============================================================================================================================
* Effective April 14, 2003, Class A Shares were redesignated Class I Shares
and Class D Shares were redesignated Class A Shares.
** Annualized.
*** Total investment returns exclude the effects of sales charges.
+ Commencement of operations.
++ Includes the Fund's share of the Portfolio's allocated expenses.
@ Aggregate total investment return.
@@ Amount is less than $(.01) per share.
See Notes to Financial Statements.
8
Merrill Lynch Core Principal Protected Fund April 30, 2003
NOTES TO FINANCIAL STATEMENTS
Merrill Lynch Core Principal Protected Fund
- --------------------------------------------------------------------------------
1. Significant Accounting Policies:
Merrill Lynch Core Principal Protected Fund (the "Fund") is part of Merrill
Lynch Principal Protected Trust (the "Trust"). Under the Investment Company Act
of 1940, the Fund is diversified and the Trust is registered as an open-end
management investment company. The Fund invests a portion of its assets in the
Master Large Cap Core Portfolio (the "Portfolio") of Master Large Cap Series
Trust. The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. The performance of
the Fund is directly affected by the performance of the Portfolio. The financial
statements of the Portfolio, including the Schedule of Investments, are included
elsewhere in this report and should be read in conjunction with the Fund's
financial statements. The Fund's financial statements are prepared in conformity
with accounting principles generally accepted in the United States of America,
which may require the use of management accruals and estimates. These unaudited
financial statements reflect all adjustments, which are, in the opinion of
management, necessary to a fair statement of the results for the interim period
presented. All such adjustments are of a normal, recurring nature. The
percentage of the Portfolio owned by the Fund at April 30, 2003 was 11.3%. The
Fund offers multiple classes of shares. Shares of the Fund were offered during
the initial offering period but will not be offered during the Guarantee Period
from February 28, 2003 through February 28, 2010 (the "Guarantee Maturity
Date"), except in connection with reinvestment of dividends and distributions.
The Fund will be offered on a continuous basis after this date. Effective April
14, 2003, Class A Shares were redesignated Class I Shares and Class D Shares
were redesignated Class A Shares. The Fund's financial statements and financial
highlights contained within this report reflect the new share class
redesignation. Shares of Class A and Class I are sold with a front-end sales
charge. Shares of Class B and Class C may be subject to a contingent deferred
sales charge. All classes of shares have identical voting, dividend, liquidation
and other rights and the same terms and conditions, except that Class A, Class B
and Class C Shares bear certain expenses related to the account maintenance of
such shares, and Class B and Class C Shares also bear certain expenses related
to the distribution of such shares. Each class has exclusive voting rights with
respect to matters relating to its account maintenance and distribution
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 investments in the
Portfolio at fair value. Valuation of securities held by the Portfolio is
discussed in Note 1a of the Portfolio's Notes to Financial Statements, which are
included elsewhere in this report.
Securities that are traded on stock exchanges or Nasdaq National are valued at
the last sale price or official closing price on the exchange on which such
securities are traded, as of the close of business on the day the securities are
being valued or, lacking any sales, at the last available bid price for long
positions, and at the last ask price for short positions. Securities traded in
the over-the-counter market are valued at the last available bid price prior to
the time of valuation. In cases where securities are traded on more than one
exchange, the securities are valued on the exchange designated by or under the
authority of the Board of Directors as the primary market. 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 available are valued at fair value as determined in
good faith by or under the direction of the Fund's Board of Directors.
Occasionally, events affecting the values of securities and other assets may
occur between the times at which valuations of such securities are determined
(that is, close of the market on which such securities trade) and the close of
business on the NYSE. If events (for example, company announcement, natural
disasters, market
9
Merrill Lynch Core Principal Protected Fund April 30, 2003
NOTES TO FINANCIAL STATEMENTS (continued)
Merrill Lynch Core Principal Protected Fund
- --------------------------------------------------------------------------------
volatility) occur during such periods that are expected to materially affect the
value for such securities, those securities may be valued at their fair market
value as determined in good faith by the Fund's Board of Directors or by the
investment adviser using a pricing service and/or procedures approved by the
Board of Directors of the Fund.
(b) Derivative financial instruments -- The Fund may engage in various portfolio
investment strategies both to increase the return of the Fund and to hedge, or
protect, its exposure to interest rate movement and movements in the securities
markets. Losses may arise due to changes in the value of the contract or if the
counterparty does not perform under the contract.
o Financial futures contracts -- The Fund may purchase or sell financial futures
contracts and options on such futures contracts. Futures contracts are contracts
for delayed delivery of securities at a specific future date and at a specific
price or yield. Upon entering into a contract, the Fund deposits and maintains
as collateral such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Fund 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 Fund as unrealized gains or losses. When the contract is
closed, the Fund 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 Fund is authorized to write and purchase call and put options.
When the Fund writes an option, an amount equal to the premium received by the
Fund is reflected as an asset and an equivalent liability. The amount of the
liability is subsequently marked to market to reflect the current 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 Fund enters into a closing
transaction), the Fund realizes a gain or loss on the option to the extent of
the premiums received or paid (or gain or loss to the extent the cost of the
closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(c) Security transactions, investment income and expenses -- Security
transactions are recorded on the dates the transactions are entered into (the
trade dates). Investment transactions in the Portfolio are accounted for on a
trade date basis. 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. The Fund
amortizes all premiums and discounts on debt securities. The Fund records daily
its proportionate share of the Portfolio's income, expenses and realized and
unrealized gains and losses. In addition, the Fund accrues its own expenses.
(d) Income taxes -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no Federal income tax provision is required.
(e) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(f) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
2. Investment Advisory Agreements and Transactions with Affiliates:
The Fund 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. The Fund has also entered into a
Distribution Agreement and Distribution Plans with FAM Distributors, Inc.
("FAMD" or the "Distributor"), which is a wholly-owned subsidiary of Merrill
Lynch Group, Inc.
FAM is responsible for the management of the Fund's portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
10
Merrill Lynch Core Principal Protected Fund April 30, 2003
Merrill Lynch Core Principal Protected Fund
- --------------------------------------------------------------------------------
to the operations of the Fund. For such services, the Fund pays a monthly fee at
the annual rate of .75% of the Fund's average daily net assets. FAM has entered
into a contractual arrangement with the Fund under which the expenses incurred
by each class of shares of the Fund (excluding distribution and/or account
maintenance fees) will not exceed 1.99%. This arrangement has a one-year term
and is renewable. For the six months ended April 30, 2003, FAM earned fees of
$348,670, of which $85,195 was waived.
Pursuant to the Distribution Plans adopted by the Fund in accordance with Rule
12b-1 under the Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance and distribution fees. The fees are accrued daily
and paid monthly at annual rates based upon the average daily net assets of the
shares as follows:
- -------------------------------------------------------------------------------
Account Distribution
Maintenance Fee Fee
- -------------------------------------------------------------------------------
Class A .............................. .25% --
Class B .............................. .25% .75%
Class C .............................. .25% .75%
- -------------------------------------------------------------------------------
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 and distribution services to the Fund. The ongoing account
maintenance fee compensates the Distributor and MLPF&S for providing account
maintenance services to Class A, Class B and Class C shareholders. The ongoing
distribution fee compensates the Distributor and MLPF&S for providing
shareholder and distribution-related services to Class B and Class C
shareholders.
The Trust, on behalf of the Fund, and FAM have entered into a Financial Warranty
Agreement with Ambac Assurance Corporation ("Ambac"). The Financial Warranty
Agreement is intended to make sure that on the Guarantee Maturity Date, each
shareholder of the Fund will be entitled to redeem his or her shares for an
amount no less than the initial value of that shareholder's account (less
expenses and sales charges not covered by the Financial Warranty Agreement),
provided that all dividends and distributions received from the Fund have been
reinvested and no shares have been redeemed (the "Guaranteed Amount"). The Fund
will pay to Ambac, under the Financial Warranty Agreement, an annual fee equal
to .625% of the Fund's average daily net assets during the Guarantee Period. If
the value of the Fund's assets on the Guarantee Maturity Date is insufficient to
result in the value of each shareholder's account being at least equal to the
shareholder's Guaranteed Amount, Ambac will pay the Fund an amount sufficient to
make sure that each shareholder's account can be redeemed for an amount equal to
his or her Guaranteed Amount.
Financial Data Services, Inc. ("FDS"), an indirect, wholly-owned subsidiary of
ML & Co., is the Fund's transfer agent.
For the period February 28, 2003 to April 30, 2003, FAMD earned underwriting
discounts and MLPF&S earned dealer concessions on sales of the Fund's Class A
and Class I Shares as follows:
- --------------------------------------------------------------------------------
FAMD MLPF&S
- --------------------------------------------------------------------------------
Class A ............................ $ 38,711 $690,440
Class I ............................ $ 2,442 $ 40,216
- --------------------------------------------------------------------------------
Certain officers and/or directors of the Fund are officers and/or directors of
FAM, FAMD, FDS, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
period February 28, 2003 to April 30, 2003 were $325,345,804 and $53,512,204,
respectively.
Net realized losses for the period February 28, 2003 to April 30, 2003 and net
unrealized gains (losses) as of April 30, 2003 were as follows:
- --------------------------------------------------------------------------------
Realized Unrealized
Losses Gains (Losses)
- --------------------------------------------------------------------------------
Long-term investments .................. $ (515,007) $(1,560,662)
Investments in the Portfolio ........... (1,131,119) 8,390,091
----------- -----------
Total .................................. $(1,646,126) $ 6,829,429
=========== ===========
- --------------------------------------------------------------------------------
As of April 30, 2003, net unrealized depreciation for Federal income tax
purposes aggregated $6,829,429, of which $8,390,091 related to appreciated
securities and $1,560,662 related to depreciated securities. At April 30, 2002,
the aggregate cost of investments for Federal income tax purposes was
$271,181,226.
11
Merrill Lynch Core Principal Protected Fund April 30, 2003
NOTES TO FINANCIAL STATEMENTS (concluded)
Merrill Lynch Core Principal Protected Fund
- --------------------------------------------------------------------------------
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions was
$272,304,881 for the period February 28, 2003 to April 30, 2003.
Transactions in capital shares for each class were as follows:
- --------------------------------------------------------------------------------
Class A Shares for the
Period February 28, 2003+ Dollar
to April 30, 2003++ Shares Amount
- --------------------------------------------------------------------------------
Shares sold .................... 1,988,596 $ 19,884,086
Shares redeemed ................ (37,246) (372,050)
------------- -------------
Net increase ................... 1,951,350 $ 19,512,036
============= =============
- --------------------------------------------------------------------------------
+ Commencement of Operations.
++ Effective April 14, 2003, Class D Shares were redesignated Class A Shares.
- --------------------------------------------------------------------------------
Class B Shares for the
Period February 28, 2003+ Dollar
to April 30, 2003 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .................... 13,955,048 $ 139,540,407
Shares redeemed ................ (384,471) (3,831,251)
------------- -------------
Net increase ................... 13,570,577 $ 135,709,156
============= =============
- --------------------------------------------------------------------------------
+ Commencement of Operations.
- --------------------------------------------------------------------------------
Class C Shares for the
Period February 28, 2003+ Dollar
to April 30, 2003 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .................... 10,405,734 $ 104,056,138
Shares redeemed ................ (170,680) (1,707,262)
------------- -------------
Net increase ................... 10,235,054 $ 102,348,876
============= =============
- --------------------------------------------------------------------------------
+ Commencement of Operations.
- --------------------------------------------------------------------------------
Class I Shares for the
Period February 28, 2003+ Dollar
to April 30, 2003++ Shares Amount
- --------------------------------------------------------------------------------
Shares sold .................... 1,541,171 $ 15,411,337
Shares redeemed ................ (67,622) (676,524)
------------- -------------
Net increase ................... 1,473,549 $ 14,734,813
============= =============
- --------------------------------------------------------------------------------
+ Commencement of Operations.
++ Effective April 14, 2003, Class A Shares were redesignated Class I Shares.
5. Short-Term Borrowings:
The Fund, along with certain other funds managed by MLIM and its affiliates, is
a party to a $500,000,000 credit agreement with Bank One, N.A. and certain other
lenders. The Fund may borrow under the credit agreement to fund shareholder
redemptions and for other lawful purposes other than for leverage. The Fund may
borrow up to the maximum amount allowable under the Fund's current prospectus
and statement of additional information, subject to various other legal,
regulatory or contractual limits. The Fund pays a commitment fee of .09% per
annum based on the Fund's pro rata share of the unused portion of the credit
agreement. Amounts borrowed under the credit agreement bear interest at a rate
equal to, at each fund's election, the Federal Funds rate plus .50% or a base
rate as determined by Bank One, N.A. The Fund did not borrow under the credit
agreement during the period February 28, 2003 to April 30, 2003.
OFFICERS AND TRUSTEES OF THE PROTECTED TRUST
Terry K. Glenn, President and Trustee
David O. Beim, Trustee
James T. Flynn, Trustee
Todd Goodwin, Trustee
George W. Holbrook, Jr., Trustee
W. Carl Kester, Trustee
Karen P. Robards, Trustee
Donald C. Burke, Vice President and Treasurer
Phillip S. Gillespie, Secretary
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109-3661
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
12
Merrill Lynch Core Principal Protected Fund April 30, 2003
SCHEDULE OF INVESTMENTS (in U.S. dollars)
Master Large Cap Core Portfolio
========================================================================================================================
Percent of
Industry* Shares Held Common Stocks Value Net Assets
========================================================================================================================
Consumer Discretionary
========================================================================================================================
Hotels, Restaurants 361,000 Applebee's International, Inc. $ 9,891,400 0.9%
& Leisure 330,000 +GTECH Holdings Corporation 11,111,100 1.0
134,000 +International Game Technology 11,564,200 1.1
370,000 +Mandalay Resort Group 9,775,400 0.9
- ------------------------------------------------------------------------------------------------------------------------
Household Durables 546,000 +American Greetings Corporation (Class A) 7,949,760 0.7
170,000 Centex Corporation 11,223,400 1.0
191,000 Fortune Brands, Inc. 9,244,400 0.8
30,000 +NVR, Inc. 10,732,500 1.0
111,000 Pulte Corporation 6,436,890 0.6
210,000 The Ryland Group, Inc. 11,388,300 1.0
- ------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail 13,000 +eBay Inc. 1,206,010 0.1
- ------------------------------------------------------------------------------------------------------------------------
Leisure Equipment 250,000 Hasbro, Inc. 4,000,000 0.4
& Products 550,000 Mattel, Inc. 11,957,000 1.1
- ------------------------------------------------------------------------------------------------------------------------
Multiline Retail 600,000 J.C. Penney Company, Inc. 10,236,000 1.0
150,000 Wal-Mart Stores, Inc. 8,448,000 0.8
- ------------------------------------------------------------------------------------------------------------------------
Specialty Retail 350,000 +Abercrombie & Fitch Co. (Class A) 11,508,000 1.1
810,000 +AutoNation, Inc. 11,218,500 1.0
634,000 The Gap, Inc. 10,543,420 1.0
620,000 +Staples, Inc. 11,804,800 1.1
- ------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 270,000 +Coach, Inc. 11,747,700 1.1
Luxury Goods 350,000 Liz Claiborne, Inc. 11,385,500 1.0
350,000 +Reebok International Ltd. 10,871,000 1.0
46,000 +The Timberland Company (Class A) 2,299,540 0.2
========================================================================================================================
Total Consumer Discretionary (Cost--$195,239,492) 216,542,820 19.9
========================================================================================================================
Consumer Staples
========================================================================================================================
Beverages 419,000 Coca-Cola Enterprises Inc. 8,166,310 0.7
50,000 +Constellation Brands, Inc. (Class A) 1,340,500 0.2
- ------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 159,000 +Whole Foods Market, Inc. 9,438,240 0.9
- ------------------------------------------------------------------------------------------------------------------------
Food Products 260,000 +Dean Foods Company 11,317,800 1.0
- ------------------------------------------------------------------------------------------------------------------------
Household Products 50,000 The Procter & Gamble Company 4,492,500 0.4
========================================================================================================================
Total Consumer Staples (Cost--$30,851,413) 34,755,350 3.2
========================================================================================================================
Energy
========================================================================================================================
Oil & Gas 560,000 Exxon Mobil Corporation 19,712,000 1.9
520,000 Marathon Oil Corporation 11,840,400 1.1
150,000 Pogo Producing Company 5,940,000 0.5
70,000 Sunoco, Inc. 2,604,700 0.2
========================================================================================================================
Total Energy (Cost--$40,325,423) 40,097,100 3.7
========================================================================================================================
Financials
========================================================================================================================
Commercial Banks 282,000 Bank of America Corporation 20,882,100 1.9
184,000 Banknorth Group, Inc. 4,393,920 0.4
46,000 First Tennessee National Corporation 2,014,800 0.2
71,000 Golden West Financial Corporation 5,354,820 0.5
243,000 GreenPoint Financial Corp. 11,605,680 1.1
87,000 Independence Community Bank Corp. 2,275,050 0.2
360,000 New York Community Bancorp, Inc. 12,499,200 1.1
70,000 Popular, Inc. 2,557,800 0.2
13
Merrill Lynch Core Principal Protected Fund April 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Large Cap Core Portfolio (continued)
========================================================================================================================
Percent of
Industry* Shares Held Common Stocks Value Net Assets
========================================================================================================================
Financials (concluded)
========================================================================================================================
Commercial Banks 676,000 U.S. Bancorp $ 14,973,400 1.4%
(concluded) 190,000 Wachovia Corporation 7,259,900 0.7
55,000 Washington Federal, Inc. 1,199,000 0.1
409,000 Washington Mutual, Inc. 16,155,500 1.5
- ------------------------------------------------------------------------------------------------------------------------
Diversified Financial 160,000 The Bear Stearns Companies Inc. 10,694,400 1.0
Services 375,000 Citigroup Inc. 14,718,750 1.3
170,000 Countrywide Credit Industries, Inc. 11,492,000 1.1
270,000 Fannie Mae 19,545,300 1.8
620,000 J.P. Morgan Chase & Co. 18,197,000 1.7
- ------------------------------------------------------------------------------------------------------------------------
Insurance 100,000 American International Group, Inc. 5,795,000 0.5
140,000 Berkley (W.R.) Corporation 6,501,600 0.6
270,000 MetLife, Inc. 7,757,100 0.7
========================================================================================================================
Total Financials (Cost--$175,580,623) 195,872,320 18.0
========================================================================================================================
Health Care
========================================================================================================================
Biotechnology 110,000 +Invitrogen Corporation 3,597,000 0.3
- ------------------------------------------------------------------------------------------------------------------------
Health Care Equipment 300,000 Bausch & Lomb Incorporated 10,548,000 1.0
& Supplies 180,000 C.R. Bard, Inc. 11,408,400 1.0
35,000 DENTSPLY International Inc. 1,310,750 0.1
323,000 +Fisher Scientific International Inc. 9,305,630 0.9
313,000 +STERIS Corporation 7,105,100 0.7
77,000 Stryker Corporation 5,159,770 0.5
198,000 +Varian Medical Systems, Inc. 10,664,280 1.0
- ------------------------------------------------------------------------------------------------------------------------
Health Care Providers 390,000 +AdvancePCS 11,723,400 1.1
& Services 214,000 Aetna Inc. (New Shares) 10,657,200 1.0
361,000 +DaVita, Inc. 7,443,820 0.7
75,000 +Express Scripts, Inc. (Class A) 4,422,000 0.4
640,000 +Humana Inc. 7,072,000 0.6
296,000 Omnicare, Inc. 7,849,920 0.7
286,000 +Oxford Health Plans, Inc. 8,371,220 0.8
570,000 +Service Corporation International 1,926,600 0.2
140,000 +WellPoint Health Networks Inc. 10,631,600 1.0
- ------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals 179,000 +Barr Laboratories, Inc. 9,952,400 0.9
220,000 +Forest Laboratories, Inc. 11,378,400 1.0
200,000 Johnson & Johnson 11,272,000 1.0
200,000 +Medicis Pharmaceutical (Class A) 11,528,000 1.1
470,000 Merck & Co., Inc. 27,344,600 2.4
665,000 Pfizer Inc. 20,448,750 1.9
370,000 +Watson Pharmaceuticals, Inc. 10,755,900 1.0
========================================================================================================================
Total Health Care (Cost--$218,201,964) 231,876,740 21.3
========================================================================================================================
Industrials
========================================================================================================================
Air Freight & Logistics 250,000 Ryder System, Inc. 6,210,000 0.6
- ------------------------------------------------------------------------------------------------------------------------
Commercial Services 193,000 +Apollo Group, Inc. (Class A) 10,460,407 1.0
& Supplies 91,000 +Career Education Corporation 5,471,830 0.5
430,000 +CheckFree Corp. 11,855,100 1.0
380,000 First Data Corporation 14,907,400 1.4
255,000 H & R Block, Inc. 9,848,100 0.9
- ------------------------------------------------------------------------------------------------------------------------
14
Merrill Lynch Core Principal Protected Fund April 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master Large Cap Core Portfolio (continued)
========================================================================================================================
Percent of
Industry* Shares Held Common Stocks Value Net Assets
========================================================================================================================
Industrials (concluded)
========================================================================================================================
Industrial Conglomerates 870,000 General Electric Company $ 25,621,500 2.4%
- ------------------------------------------------------------------------------------------------------------------------
Oil & Gas 300,000 Valero Energy Corporation 11,025,000 1.0
- ------------------------------------------------------------------------------------------------------------------------
Road & Rail 560,000 Norfolk Southern Corporation 11,877,600 1.1
========================================================================================================================
Total Industrials (Cost--$101,375,237) 107,276,937 9.9
========================================================================================================================
Information Technology
========================================================================================================================
Communications 470,000 +Advanced Fibre Communications, Inc. 7,191,000 0.7
Equipment 194,000 +Cisco Systems, Inc. 2,917,760 0.3
450,000 +Emulex Corporation 9,220,500 0.8
1,086,000 +Juniper Networks, Inc. 11,098,920 1.0
410,000 QUALCOMM Inc. 13,074,900 1.2
530,000 +UTStarcom, Inc. 11,538,630 1.1
- ------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals 558,000 +Dell Computer Corporation 16,131,780 1.5
1,010,000 Hewlett-Packard Company 16,463,000 1.5
86,000 International Business Machines Corporation 7,301,400 0.7
170,000 +Lexmark International Group, Inc. (Class A) 12,666,700 1.2
504,000 +Storage Technology Corporation 12,458,880 1.1
- ------------------------------------------------------------------------------------------------------------------------
Electronic Equipment 364,000 +Thermo Electron Corporation 6,613,880 0.6
& Instruments
- ------------------------------------------------------------------------------------------------------------------------
IT Services 530,000 +Unisys Corporation 5,512,000 0.5
- ------------------------------------------------------------------------------------------------------------------------
Office Electronics 1,260,000 +Xerox Corporation 12,423,600 1.1
- ------------------------------------------------------------------------------------------------------------------------
Semiconductors & 270,000 Intel Corporation 4,968,000 0.5
Semiconductor Equipment
- ------------------------------------------------------------------------------------------------------------------------
Software 1,010,000 +BEA Systems, Inc. 10,817,100 1.0
670,000 +BMC Software, Inc. 9,996,400 0.9
43,000 Fair, Isaac and Company, Incorporated 2,239,440 0.2
180,000 +Macromedia, Inc. 2,269,800 0.2
700,000 Microsoft Corporation 17,899,000 1.7
167,000 +Oracle Corporation 1,983,960 0.2
280,000 +Symantec Corporation 12,306,000 1.1
120,000 +Synopsys, Inc. 5,836,800 0.5
========================================================================================================================
Total Information Technology (Cost--$204,658,562) 212,929,450 19.6
========================================================================================================================
Telecommunication Services
========================================================================================================================
Diversified 1,050,000 Sprint Corporation 12,085,500 1.1
Telecommunication 50,000 Verizon Communications 1,869,000 0.2
Services
- ------------------------------------------------------------------------------------------------------------------------
Wireless 357,000 +Nextel Communications, Inc. (Class A) 5,280,030 0.4
Telecommunication 2,380,000 +Sprint Corp. (PCS Group) 8,330,000 0.8
Services
========================================================================================================================
Total Telecommunication Services (Cost--$31,219,883) 27,564,530 2.5
========================================================================================================================
15
Merrill Lynch Core Principal Protected Fund April 30, 2003
SCHEDULE OF INVESTMENTS (concluded) (in U.S. dollars)
Master Large Cap Core Portfolio (concluded)
========================================================================================================================
Shares Held/ Percent of
Industry* Beneficial Interest Common Stocks Value Net Assets
========================================================================================================================
Materials
========================================================================================================================
Containers & Packaging 182,000 Ball Corporation $ 10,221,120 0.9%
413,000 +Pactiv Corporation 8,474,760 0.8
========================================================================================================================
Total Materials (Cost--$16,893,054) 18,695,880 1.7
========================================================================================================================
Total Common Stocks (Cost--$1,014,345,651) 1,085,611,127 99.8
========================================================================================================================
Short-Term Securities
========================================================================================================================
$ 661,873 Merrill Lynch Liquidity Series, LLC Cash Sweep
Series I (a) 661,873 0.0
149,410,532 Merrill Lynch Liquidity Series, LLC Money Market
Series (a)(b) 149,410,532 13.7
99,607,018 Merrill Lynch Premier Institutional Fund (a)(b) 99,607,018 9.2
========================================================================================================================
Total Short-Term Securities (Cost--$249,679,423) 249,679,423 22.9
========================================================================================================================
Total Investments (Cost--$1,264,025,074) 1,335,290,550 122.7
Liabilities in Excess of Other Assets (247,006,054) (22.7)
-------------- -----
Net Assets $1,088,284,496 100.0%
============== =====
========================================================================================================================
* For Portfolio compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio
management. This definition may not apply for purposes of this report,
which may combine such industry sub-classifications for reporting ease.
+ Non-income producing security.
(a) 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:
Dividend/
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash
Sweep Series I $ 661,873 $22,575
Merrill Lynch Liquidity Series, LLC Money
Market Series 149,410,532 42,447
Merrill Lynch Premier Institutional Fund 99,607,018 36,432
--------------------------------------------------------------------------
(b) Security was purchased with the cash proceeds from securities loans.
See Notes to Financial Statements.
16
Merrill Lynch Core Principal Protected Fund April 30, 2003
FINANCIAL INFORMATION
Master Large Cap Core Portfolio
Statement of Assets and Liabilities as of April 30, 2003
Assets: Investments, at value (including securities loaned of $241,818,321)
(identified cost--$1,264,025,074) ................................. $ 1,335,290,550
Cash .............................................................. 601,967
Receivables:
Securities sold ................................................ $ 8,310,642
Contributions .................................................. 4,015,596
Dividends ...................................................... 447,440
Interest ....................................................... 6,207
Securities lending--net ........................................ 5,303 12,785,188
-----------
Prepaid expenses and other assets ................................. 34,598
---------------
Total assets ...................................................... 1,348,712,303
---------------
============================================================================================================================
Liabilities: Collateral on securities loaned, at value ......................... 249,017,550
Payables:
Securities purchased ........................................... 9,313,345
Withdrawals .................................................... 1,565,648
Investment adviser ............................................. 466,577
Other liabilities .............................................. 7,416 11,352,986
-----------
Accrued expenses and other liabilities ............................ 57,271
---------------
Total liabilities ................................................. 260,427,807
---------------
============================================================================================================================
Net Assets: Net assets ........................................................ $ 1,088,284,496
===============
============================================================================================================================
Net Assets Investors' capital ................................................ $ 1,017,019,020
Consist of: Unrealized appreciation on investments--net ....................... 71,265,476
---------------
Net assets ........................................................ $ 1,088,284,496
===============
============================================================================================================================
See Notes to Financial Statements.
17
Merrill Lynch Core Principal Protected Fund April 30, 2003
FINANCIAL INFORMATION (continued)
Master Large Cap Core Portfolio
Statement of Operations for the Six Months Ended April 30, 2003
Investment Dividends (net of $2,560 foreign withholding tax) ................. $ 5,116,582
Income: Interest .......................................................... 23,255
Securities lending--net ........................................... 78,879
---------------
Total income ...................................................... 5,218,716
---------------
============================================================================================================================
Expenses: Investment advisory fees .......................................... $ 2,288,116
Accounting services ............................................... 171,815
Custodian fees .................................................... 39,251
Professional fees ................................................. 27,217
Trustees' fees and expenses ....................................... 19,797
Pricing fees ...................................................... 495
Other ............................................................. 7,952
-----------
Total expenses .................................................... 2,554,643
---------------
Investment income--net ............................................ 2,664,073
---------------
============================================================================================================================
Realized & Unreal- Realized loss on investments--net ................................. (56,255,353)
ized Gain (Loss) on Change in unrealized appreciation/depreciation on investments--net 72,348,209
Investments--Net: ---------------
Total realized and unrealized gain on investments--net ............ 16,092,856
---------------
Net Increase in Net Assets Resulting from Operations .............. $ 18,756,929
===============
============================================================================================================================
See Notes to Financial Statements.
18
Merrill Lynch Core Principal Protected Fund April 30, 2003
FINANCIAL INFORMATION (concluded)
Master Large Cap Core Portfolio
Statements of Changes in Net Assets
For the Six For the
Months Ended Year Ended
April 30, October 31,
Increase (Decrease) in Net Assets: 2003 2002
=================================================================================================================================
Operations: Investment income--net ........................................... $ 2,664,073 $ 5,341,068
Realized loss on investments--net ................................ (56,255,353) (128,219,700)
Change in unrealized appreciation/depreciation on investments--net 72,348,209 56,457,791
--------------- ---------------
Net increase (decrease) in net assets resulting from operations .. 18,756,929 (66,420,841)
--------------- ---------------
=================================================================================================================================
Capital Transactions: Proceeds from contributions ...................................... 342,272,578 272,000,014
Fair value of net asset contributions ............................ -- 269,997,441
Fair value of withdrawals ........................................ (146,448,959) (14,709,088)
--------------- ---------------
Net increase in net assets derived from capital transactions ..... 195,823,619 527,288,367
--------------- ---------------
=================================================================================================================================
Net Assets: Total increase in net assets ..................................... 214,580,548 460,867,526
Beginning of period .............................................. 873,703,948 412,836,422
--------------- ---------------
End of period .................................................... $ 1,088,284,496 $ 873,703,948
=============== ===============
=================================================================================================================================
See Notes to Financial Statements.
Master Large Cap Core Portfolio
Financial Highlights
For the
Period
For the Six For the Year Ended Dec. 22,
Months Ended October 31, 1999+ to
The following ratios have been derived from April 30, ------------------------------ Oct. 31,
information provided in the financial statements. 2003 2002 2001 2000
=================================================================================================================================
Total Investment Total investment return ................ 1.24% (8.13%) -- --
Return:** ------------- ------------- ------------- -------------
=================================================================================================================================
Ratios to Average Expenses, net of reimbursement ......... .56%* .57% .67% 1.09%*
Net Assets: ============= ============= ============= =============
Expenses ............................... .56%* .57% .67% 1.17%*
============= ============= ============= =============
Investment income (loss)--net .......... .58%* .83% .59% (.20%)*
============= ============= ============= =============
=================================================================================================================================
Supplemental Net assets, end of period (in thousands) $ 1,088,284 $ 873,704 $ 412,836 $ 186,265
Data: ============= ============= ============= =============
Portfolio turnover ..................... 59.37% 150.18% 162.28% 79.18%
============= ============= ============= =============
=================================================================================================================================
* Annualized.
** Total investment return is required to be disclosed for fiscal years
beginning after December 15, 2000.
+ Commencement of operations.
See Notes to Financial Statements.
19
Merrill Lynch Core Principal Protected Fund April 30, 2003
NOTES TO FINANCIAL STATEMENTS
Master Large Cap Core Portfolio
- --------------------------------------------------------------------------------
1. Significant Accounting Policies:
Master Large Cap Core Portfolio (the "Portfolio") is part of Master Large Cap
Series Trust (the "Trust"). The Portfolio is registered under the Investment
Company Act of 1940 and is organized as a Delaware statutory trust. The
Declaration of Trust permits the Trustees to issue nontransferable interests in
the Portfolio, subject to certain limitations. The Portfolio's financial
statements are prepared in conformity with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. These unaudited financial statements reflect
all adjustments, which are, in the opinion of management, necessary to a fair
statement of the results for the interim period presented. All such adjustments
are of normal, recurring nature. The following is a summary of significant
accounting policies followed by the Portfolio.
(a) Valuation of investments -- Portfolio securities that are traded on stock
exchanges or Nasdaq National are valued at the last sale price or official
closing price on the exchange on which such securities are traded, as of the
close of business on the day the securities are being valued or, lacking any
sales, at the last available bid price for long positions, and at the last
available ask price for short positions. Securities traded in the
over-the-counter market are valued at the last available bid 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. Occasionally, events
affecting the values of the securities and other assets may occur between the
times at which valuations of such securities are determined (that is, close of
the market on which such securities trade) and the close of business on the
NYSE. If events (for example, company announcement, natural disasters, market
volatility) occur during such periods that are expected to materially affect the
value for such securities, those securities may be valued at their fair market
value as determined in good faith by the Trust's Board of Trustees or by the
investment adviser using a pricing service and/or procedures approved by the
Board of Trustees of the Trust.
(b) Derivative financial instruments -- The Portfolio may engage in various
portfolio investment strategies both to increase the return of the Fund and to
hedge, or protect, its exposure to interest rate movement and movements in the
securities markets. Losses may arise due to changes in the value of the contract
or if the counterparty does not perform under the contract.
o Financial futures contracts -- The Portfolio may purchase or sell financial
futures contracts and options on such futures contracts. Upon entering into a
contract, the Portfolio deposits and maintains as collateral such initial margin
as required by the exchange on which the transaction is effected. Pursuant to
the contract, the Portfolio agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in value of the contract. Such
receipts or payments are known as variation margin and are recorded by the
Portfolio as unrealized gains or losses. When the contract is closed, the
Portfolio records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed.
o Options -- The Portfolio is authorized to purchase and write call and put
options. When the Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or 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.
20
Merrill Lynch Core Principal Protected Fund April 30, 2003
Master Large Cap Core Portfolio
- --------------------------------------------------------------------------------
o Forward foreign exchange contracts -- The Portfolio is authorized to enter
into forward foreign exchange contracts as a hedge against either specific
transactions or portfolio positions. The contract is marked-to-market daily and
the change in market value is recorded by the Portfolio as an unrealized gain or
loss. When the contract is closed, the Portfolio records a realized gain or loss
equal to the difference between the value at the time it was opened and the
value at the time it was closed.
o Foreign currency options and futures -- The Portfolio may also purchase or
sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions may be
effected with respect to hedges on non-U.S. dollar-denominated securities owned
by the Portfolio, sold by the Portfolio but not yet delivered, or committed or
anticipated to be purchased by the Portfolio.
(c) Foreign currency transactions -- Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
(d) Income taxes -- The Portfolio is classified as a partnership for Federal
income tax purposes. As such, each investor in the Portfolio is treated as owner
of its proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Portfolio. 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 Portfolio's assets will be managed so
an investor in the Portfolio can satisfy the requirements of subchapter M of the
Internal Revenue Code.
(e) Security transactions and investment income -- Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Securities lending -- The Portfolio may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Portfolio and any additional required collateral is delivered to the
Portfolio on the next business day. Where the Portfolio receives securities as
collateral for the loaned securities, it collects a fee from the borrower. The
Portfolio typically receives the income on the loaned securities but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Portfolio may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Portfolio
could experience delays and costs in gaining access to the collateral. The
Portfolio also could suffer a loss where the value 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 Portfolio's investments and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Portfolio. For such services, the
Portfolio pays a monthly fee based upon the average daily value of the
Portfolio's net assets at an annual rate of .50% of the average daily net assets
21
Merrill Lynch Core Principal Protected Fund April 30, 2003
NOTES TO FINANCIAL STATEMENTS (concluded)
Master Large Cap Core Portfolio
- --------------------------------------------------------------------------------
not exceeding $1 billion and .45% of average daily net assets in excess of $1
billion.
The Portfolio 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") or its affiliates. As of April 30, 2003,
the Portfolio lent securities with a value of $65,176,225 to MLPF&S or its
affiliates. Pursuant to that order, the Portfolio also has retained Merrill
Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of FAM, as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. MLIM, LLC may, on behalf of the Portfolio, invest cash
collateral received by the Portfolio for such loans, among other things, in a
private investment company managed by MLIM, LLC or in registered money market
funds advised by FAM or its affiliates. For the six months ended April 30, 2003,
MLIM, LLC received $34,485 in securities lending agent fees.
For the six months ended April 30, 2003, the Portfolio reimbursed FAM $10,958
for certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended April 30, 2003 were $744,780,077 and $548,242,667, respectively.
Net realized losses for the six months ended April 30, 2003 and net unrealized
gains as of April 30, 2003 were as follows:
- --------------------------------------------------------------------------------
Realized Unrealized
Losses Gains
- --------------------------------------------------------------------------------
Long-term investments ............... $(56,255,353) $ 71,265,476
------------ ------------
Total ............................... $(56,255,353) $ 71,265,476
============ ============
- --------------------------------------------------------------------------------
As of April 30, 2003, net unrealized appreciation for Federal income tax
purposes aggregated $52,178,308, of which $90,249,011 related to appreciated
securities and $38,070,703 related to depreciated securities. At April 30, 2003,
the aggregate cost of investments for Federal income tax purposes was
$1,283,112,242.
4. Short-Term Borrowings:
The Fund, along with certain other funds managed by MLIM and its affiliates, is
a party to a $500,000,000 credit agreement with Bank One, N.A. and certain other
lenders. The Fund may borrow under the credit agreement to fund shareholder
redemptions and for other lawful purposes other than for leverage. The Fund may
borrow up to the maximum amount allowable under the Fund's current prospectus
and statement of additional information, subject to various other legal,
regulatory or contractual limits. The Fund pays a commitment fee of .09% per
annum based on the Fund's pro rata share of the unused portion of the credit
agreement. Amounts borrowed under the credit agreement bear interest at a rate
equal to, at each fund's election, the Federal Funds rate plus .50% or a base
rate as determined by Bank One, N.A. On November 29, 2002, the credit agreement
was renewed for one year under the same terms, except that the commitment was
reduced from $1,000,000,000 to $500,000,000. The Fund did not borrow under the
credit agreement during the six months ended April 30, 2003.
22
Merrill Lynch Core Principal Protected Fund April 30, 2003
PORTFOLIO INFORMATION
As of April 30, 2003
Percent of
Ten Largest Equity Holdings Net Assets
- ------------------------------------------------------------------------------
Merck & Co., Inc. ............................................... 2.4%
General Electric Company ........................................ 2.4
Bank of America Corporation ..................................... 1.9
Pfizer Inc. ..................................................... 1.9
Exxon Mobil Corporation ......................................... 1.9
Fannie Mae ...................................................... 1.8
J.P. Morgan Chase & Co. ......................................... 1.7
Microsoft Corporation ........................................... 1.7
Hewlett-Packard Company ......................................... 1.5
Washington Mutual, Inc. ......................................... 1.5
- ------------------------------------------------------------------------------
Percent of
Five Largest Industries* Net Assets
- ------------------------------------------------------------------------------
Pharmaceuticals ................................................. 9.3%
Commercial Banks ................................................ 9.3
Diversified Financial Services .................................. 6.9
Health Care Providers & Services ................................ 6.5
Computers & Peripherals ......................................... 6.0
- ------------------------------------------------------------------------------
* For Portfolio compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Portfolio
management. This definition may not apply for purposes of this report,
which may combine such industry sub-classifications for reporting ease.
OFFICERS AND TRUSTEES OF THE MASTER TRUST
Terry K. Glenn, President and Trustee
James H. Bodurtha, Trustee
Joe Grills, Trustee
Herbert I. London, Trustee
Andre F. Perold, Trustee
Roberta Cooper Ramo, Trustee
Robert S. Salomon, Jr., Trustee
Stephen B. Swensrud, Trustee
Robert C. Doll, Jr., Senior Vice President and Portfolio Manager
Donald C. Burke, Vice President and Treasurer
Phillip S. Gillespie, Acting Secretary
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109-3661
23
[LOGO] Merrill Lynch Investment Managers
[GRAPHIC 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 Core Principal Protected Fund
Box 9011
Princeton, NJ
08543-9011
[RECYCLED LOGO] Printed on post-consumer recycled paper #CPP--4/03
Item 2 - Did registrant adopt a code of ethics, as of the end of the period
covered by this report, that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party? If not, why not? Briefly describe any amendments or
waivers that occurred during the period. State here if code of
ethics/amendments/waivers are on website and give website address-.
State here if fund will send code of ethics to shareholders without
charge upon request-- N/A (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.
Item 5 - If the registrant is a listed issuer as defined in Rule 10A-3 under the
Exchange Act, state whether or not the registrant has a
separately-designated standing audit committee established in
accordance with Section 3(a)(58)(A) of the Exchange Act. If the
registrant has such a committee, however designated, identify each
committee member. If the entire board of directors is acting as the
registrant's audit committee in Section 3(a)(58)(B) of the Exchange
Act, so state.
If applicable, provide the disclosure required by Rule 10A-3(d) under
the Exchange Act regarding an exemption from the listing standards for
audit committees.
(Listed issuers must be in compliance with the new listing rules by the
earlier of their first annual shareholders meeting after January 2004,
or October 31, 2004 (annual requirement))
Item 6 - Reserved
Item 7 - For closed-end funds that contain voting securities in their portfolio,
describe the policies and procedures that it uses to determine how to
vote proxies relating to those portfolio securities. N/A (not answered
until July 1, 2003)
Item 8 -- Reserved
Item 9(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others
particularly during the period in which this report is being
prepared. The registrant's certifying officers have determined that
the registrant's disclosure controls and procedures are effective
based on our evaluation of these controls and procedures as of a
date within 90 days prior to the filing date of this report.
Item 9(b) -- There were no significant changes in the registrant's internal
controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and
material weaknesses.
Item 10 - Exhibits
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon request
without charge. N/A.
10(b) - Attach certifications pursuant to Section 302 of the Sarbanes-Oxley Act.
Attached hereto.
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
Merrill Lynch Core Principal Protected Fund
By: /s/ Terry K. Glenn
---------------------------
Terry K. Glenn,
President of
Merrill Lynch Core Principal Protected Fund
Date: June 23, 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 Core Principal Protected Fund
Date: June 23, 2003
By: /s/ Donald C. Burke
---------------------------
Donald C. Burke,
Chief Financial Officer of
Merrill Lynch Core Principal Protected Fund
Date: June 23, 2003
Attached hereto as an exhibit are the certifications pursuant to
Section 906 of the Sarbanes-Oxley Act.