UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-7899
811-7885
Name of Fund: Merrill Lynch International Index Fund
Master International Index Series
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, Merrill Lynch
International Index Fund, 800 Scudders Mill Road, Plainsboro, NJ 08536.
Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/03
Date of reporting period: 01/01/03 - 06/30/03
Item 1 - Attach shareholder report
[LOGO] Merrill Lynch Investment Managers
Semi-Annual Report
June 30, 2003
Merrill Lynch
International
Index Fund
Merrill Lynch Index Funds, Inc.
www.mlim.ml.com
Merrill Lynch International Index Fund
Officers and
Directors
Terry K. Glenn, President and Director/Trustee
Donald W. Burton, Director/Trustee
M. Colyer Crum, Director/Trustee
Laurie Simon Hodrick, Director/Trustee
Fred G. Weiss, Director/Trustee
Robert C. Doll, Jr., Senior Vice President
Richard J. Vella, Vice President
Donald C. Burke, Vice President and Treasurer
Brian D. Stewart, Secretary
Custodian
JPMorgan Chase Bank
4 Chase MetroTech Center, 18th Floor
Brooklyn, NY 11245
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
Merrill Lynch International Index Fund, June 30, 2003
DEAR SHAREHOLDER
Effective April 14, 2003, the share class names for the Merrill Lynch Family of
mutual funds were changed to be consistent with the standard share classes of
most other mutual fund families. As of that date, all Class A Shares were
redesignated as Class I Shares. At the same time, Class D Shares were
redesignated Class A Shares. Trading symbols have not been changed nor have
current eligibility rules or pricing structures. This redesignation of share
classes does not impact your investment in any way.
Investment Environment
The first quarter of 2003 brought negative returns and extreme volatility. The
U.S. markets lost ground consistently during the beginning of the quarter then
spiked on news of the start of war with Iraq. The downtrend returned after
investors realized that the conflict might last longer than anticipated,
potentially curbing business spending. Most indexes finished the first quarter
in negative territory. The second quarter of 2003 brought impressive gains and
what some are calling a "bull rally." The U.S. markets rose consistently over
the quarter, spurred by optimism that economic and profit growth will
accelerate. On June 16, 2003, the Standard & Poor's (S&P) 500 Index closed above
the 1,000 mark (at 1,010.74) for the first time since June 20, 2002. Most
indexes finished the six-month period ended June 30, 2003 in positive territory,
with the Dow Jones Industrial Average closing at 8,985.44, up 7.72% for the
period, and the S&P 500 Index closing at 974.50, up 10.76% for the period. The
NASDAQ Composite Index closed at 1,622.80, up an impressive 21.51%. Technology
stocks have outperformed the broader market on expectations that companies in
that sector will be among the first beneficiaries of an economic recovery.
The European stock markets were even more volatile than domestic, with the Dow
Jones Euro STOXX 50 closing at 2,491.51, up 1.39% in euros. The euro continued
to appreciate during the six-month period ended June 30, 2003, closing at a rate
of 1.1484, up 9.43%. Global markets saw positive returns for the six months
trailing as well, with the Morgan Stanley Capital International (MSCI) World
Index closing at 871.07, up 9.95%, in U.S. dollars.
Portfolio Matters
For the six months ended June 30, 2003, Merrill Lynch International Index Fund's
Class A and Class I Shares had total returns of +9.49% and +9.60%, respectively,
compared to the unmanaged benchmark MSCI Europe, Australasia, Far East (EAFE)
Index's total return of +9.47%. (Complete performance information can be found
on page 4 of this report to shareholders.) The Fund met its objective of closely
tracking the return of its benchmark. The best-performing countries for the
period were New Zealand, Spain and Austria, whereas The Netherlands was the
worst-performing country.
Turning to sector performance, all ten EAFE sectors posted a positive return for
the six-month period ended June 30, 2003. The top performer was information
technology, followed by telecommunications services and financials. Worst
performers included consumer staples and materials and energy.
Market Review
Investor confidence remained shaken early in 2003 with threats of terrorism,
nuclear tensions in North Korea, and unexpectedly high unemployment. The war in
Iraq left investors with inconsistent views about the market, and trading was
reactionary to news from the front lines. However, markets rallied following the
resolution of military affairs in Iraq, and investors became increasingly
bullish about the outlook for equities. The rise was notable for all sectors and
countries. It has been encouraging to see that the SARS virus appears to have
been brought under control in Hong Kong, Singapore, China and, hopefully,
Taiwan.
Despite unstable markets, the Federal Reserve Board left interest rates
unchanged at 1.25% at its January 29 and March 18, 2003 meetings. After leaving
interest rates unchanged again at its May 6 meeting, the Federal Reserve Board
lowered its target for the Federal Funds rate by 25 basis points (.25%) to 1% at
its June 25 meeting, bringing the rate to a 49-year low. The Federal Reserve
Board continues to use an accommodative stance of monetary policy, coupled with
an underlying growth in productivity, to provide ongoing support to economic
activity. The modest 25 basis point cut rather than the expected 50 basis point
cut leaves room for further Federal Reserve Board interest rate reductions in
the future. In response to the Federal Reserve Board's decision, financial
markets were initially disappointed, with long-term interest rates backing up
sharply and stock prices falling. This movement will likely be moderated by the
realization that the growth outlook will be strengthened.
Economic Outlook
Economic indicators for the current economy are ambiguous, but the economy may
strengthen and produce strong results for the second half of 2003. Many of the
geopolitical factors that may have exacerbated the slowdown in activity (war
fears, higher oil prices, poor weather and SARS) have been largely resolved.
While the economy is improving, the rate of change is only gradual. Data
indicates that further policy stimulus will hit the economy in the second half
of the year, but it is worth noting the lack of growth given the large cuts in
interest rates already seen. Additionally, a key factor is the concern about
whether consumers will continue to spend long enough to prop up the economy
until a corporate spending cycle emerges.
In Conclusion
We appreciate your investment in Merrill Lynch International Index Fund, and we
look forward to assisting you with your investment needs in the months and years
ahead.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
President and Director/Trustee
/s/ Richard J. Vella
Richard J. Vella
Vice President and
Senior Portfolio Manager
July 18, 2003
2 & 3
Merrill Lynch International Index Fund, June 30, 2003
PERFORMANCE DATA
About Fund
Performance
Effective April 14, 2003, Class A Shares were redesignated Class I Shares and
Class D Shares were redesignated Class A Shares. Investors are able to purchase
shares of the Fund through two pricing alternatives:
o Class A Shares do not incur a maximum initial sales charge or deferred
sales charge and bear no ongoing distribution fee. In addition, Class A
Shares are subject to an ongoing account maintenance fee of 0.25%.
o Class I Shares do not incur a maximum initial sales charge (front-end
load) or deferred sales charge and bear no ongoing distribution or account
maintenance fees. Class I Shares are available only to eligible investors.
None of the past results shown should be considered a representation of
future performance. Performance results do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. Figures shown in each of the following tables assume
reinvestment of all dividends and capital gains distributions at net asset
value on the ex-dividend date. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or
less than their original cost. Dividends paid to each class of shares will
vary because of the different levels of account maintenance and transfer
agency fees applicable to each class, which are deducted from the income
available to be paid to shareholders. The Fund's Administrator and the
Series' Investment Adviser waived a portion of their administrative fee
and all of their management fee, respectively. In addition, the Investment
Adviser reimbursed a portion of its other expenses. Without such waiver
and reimbursement, the Fund's performance would have been lower.
Recent
Performance
Results
6-Month 12-Month Since Inception
As of June 30, 2003 Total Return Total Return Total Return
===================================================================================================
ML International Index Fund Class A Shares* +9.49% - 7.06% +3.12%
- ---------------------------------------------------------------------------------------------------
ML International Index Fund Class I Shares* +9.60 - 6.92 +4.68
- ---------------------------------------------------------------------------------------------------
MSCI EAFE Index -- Cap Weighted** +9.47 - 6.46 -2.77
===================================================================================================
* Total investment returns are based on changes in net asset values for the
periods shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date. The Fund's
inception date is 4/09/97. On 12/14/01, the Fund changed its benchmark
index from the MSCI EAFE Index--GDP Weighted to the MSCI EAFE Index--Cap
Weighted. Accordingly, the Fund's since inception total returns reflects
investment performance prior to 12/14/01 when the Fund's benchmark was the
MSCI EAFE Index--GDP Weighted.
** This unmanaged capitalization-weighted Index is comprised of equity
securities of companies from various industrial sectors whose primary
trading markets are located outside the United States and that are
selected from among the larger-capitalization companies in such markets.
Since inception total return is from 4/30/97.
Average Annual
Total Return
Class A Shares % Return
================================================================================
One Year Ended 6/30/03 -7.06%
- --------------------------------------------------------------------------------
Five Years Ended 6/30/03 -4.80
- --------------------------------------------------------------------------------
Inception (4/09/97) through 6/30/03 +0.49
- --------------------------------------------------------------------------------
Class I Shares % Return
================================================================================
One Year Ended 6/30/03 -6.92%
- --------------------------------------------------------------------------------
Five Years Ended 6/30/03 -4.56
- --------------------------------------------------------------------------------
Inception (4/09/97) through 6/30/03 +0.74
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
MERRILL LYNCH
INTERNATIONAL
INDEX FUND As of June 30, 2003
==============================================================================================================================
Assets: Investment in Master International Index Series, at value
(identified cost--$96,277,580) ..................................... $ 95,346,471
Prepaid registration fees and other assets ......................... 23,533
-------------
Total assets ....................................................... 95,370,004
-------------
==============================================================================================================================
Liabilities: Payables:
Administrator .................................................... $ 27,728
Distributor ...................................................... 15,875
Other affiliates ................................................. 3,583 47,186
-------------
Accrued expenses and other liabilities ............................. 55,385
-------------
Total liabilities .................................................. 102,571
-------------
==============================================================================================================================
Net Assets: Net assets ......................................................... $ 95,267,433
=============
==============================================================================================================================
Net Assets Class A Shares of Common Stock, $.0001 par value, 125,000,000 shares
Consist of: authorized ......................................................... $ 961
Class I Shares of Common Stock, $.0001 par value, 125,000,000 shares
authorized ......................................................... 271
Paid-in capital in excess of par ................................... 105,637,721
Undistributed investment income--net ............................... $ 1,270,155
Accumulated realized capital losses on investments and foreign
currency transactions from the Series--net ......................... (10,710,566)
Unrealized depreciation on investments and foreign currency
transactions from the Series--net .................................. (931,109)
-------------
Total accumulated losses--net ...................................... (10,371,520)
-------------
Net assets ......................................................... $ 95,267,433
=============
==============================================================================================================================
Net Asset Class A--Based on net assets of $74,263,498 and 9,606,882 shares
Value: outstanding ........................................................ $ 7.73
=============
Class I--Based on net assets of $21,003,935 and 2,705,607 shares
outstanding ........................................................ $ 7.76
=============
==============================================================================================================================
See Notes to Financial Statements.
4 & 5
Merrill Lynch International Index Fund, June 30, 2003
STATEMENT OF OPERATIONS
MERRILL LYNCH
INTERNATIONAL
INDEX FUND For the Six Months Ended June 30, 2003
==============================================================================================================================
Investment Income Net investment income allocated from the Series:
From the Series--Net: Dividends (net of $191,853 foreign withholding tax) ............. $ 1,497,949
Interest ......................................................... 12,028
Securities lending--net .......................................... 23,201
Expenses (net of $8,793 waiver of expenses) ...................... (51,967)
-------------
Net investment income from the Series .............................. 1,481,211
-------------
==============================================================================================================================
Expenses: Administration fees ................................................ $ 142,867
Account maintenance fee--Class A ................................... 80,971
Printing and shareholder reports ................................... 25,377
Transfer agent fees ................................................ 24,002
Registration fees .................................................. 17,085
Professional fees .................................................. 11,688
Directors' fees and expenses ....................................... 576
Other .............................................................. 3,727
-------------
Total expenses before waiver of expenses ........................... 306,293
Waiver of expenses ................................................. (7,761)
-------------
Total expenses after waiver of expenses ............................ 298,532
-------------
Investment income--net ............................................. 1,182,679
-------------
==============================================================================================================================
Realized & Realized gain (loss) from the Series on:
Unrealized Gain Investments--net ................................................. (1,394,562)
(Loss) from the Foreign currency transactions--net ............................... 356,128 (1,038,434)
Series--Net: -------------
Change in unrealized appreciation/depreciation on investments and
foreign currency transactions from the Series--net ................. 8,026,761
-------------
Total realized and unrealized gain on investments and foreign
currency transactions--net ......................................... 6,988,327
-------------
Net Increase in Net Assets Resulting from Operations ............... $ 8,171,006
=============
==============================================================================================================================
See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
For the Six For the
MERRILL LYNCH Months Ended Year Ended
INTERNATIONAL June 30, December 31,
INDEX FUND Increase (Decrease) in Net Assets: 2003 2002
============================================================================================================================
Operations: Investment income--net ........................................... $ 1,182,679 $ 1,243,593
Realized loss on investments and foreign currency transactions
from the Series--net ............................................. (1,038,434) (5,216,018)
Change in unrealized appreciation/depreciation on investments and
foreign currency transactions from the Series--net ............... 8,026,761 (10,906,818)
------------- -------------
Net increase (decrease) in net assets resulting from operations .. 8,171,006 (14,879,243)
------------- -------------
============================================================================================================================
Dividends & Investment income--net:
Distributions to Class A ........................................................ -- (1,068,837)
Shareholders: Class I ........................................................ -- (397,947)
Realized gain on investments from the Series--net:
Class A ........................................................ -- (64,318)
Class I ........................................................ -- (28,225)
------------- -------------
Net decrease in net assets resulting from dividends and
distributions to shareholders .................................... -- (1,559,327)
------------- -------------
============================================================================================================================
Capital Share Net increase in net assets derived from capital share transactions 5,016,209 19,315,936
Transactions: ------------- -------------
============================================================================================================================
Net Assets: Total increase in net assets ..................................... 13,187,215 2,877,366
Beginning of period .............................................. 82,080,218 79,202,852
------------- -------------
End of period* ................................................... $ 95,267,433 $ 82,080,218
============= =============
============================================================================================================================
* Undistributed investment income--net ............................. $ 1,270,155 $ 87,476
============= =============
============================================================================================================================
See Notes to Financial Statements.
6 & 7
Merrill Lynch International Index Fund, June 30, 2003
FINANCIAL HIGHLIGHTS
Class A++
The following per share data and ratios have been --------------------------------------------------------
derived from information provided in the financial For the Six For the Year Ended
MERRILL LYNCH statements. Months Ended December 31,
INTERNATIONAL June 30, ------------------------------------------
INDEX FUND Increase (Decrease) in Net Asset Value: 2003 2002 2001 2000 1999
===================================================================================================================================
Per Share Net asset value, beginning of period ................. $ 7.06 $ 8.62 $ 11.33 $ 15.13 $ 12.05
Operating -------- -------- -------- -------- --------
Performance: Investment income--net@ .............................. .10 .11 .08 .09 .08
Realized and unrealized gain (loss) on investments and
foreign currency transactions from the Series--net ... .57 (1.53) (2.64) (2.80) 3.61
-------- -------- -------- -------- --------
Total from investment operations ..................... .67 (1.42) (2.56) (2.71) 3.69
-------- -------- -------- -------- --------
Less dividends and distributions:
Investment income--net ............................. -- (.13) (.08) (.02) (.07)
In excess of investment income--net ................ -- -- -- -- --
Realized gain on investments from the Series--net .. -- (.01) (.07) (.53) (.54)
In excess of realized gain on investments from the
Series--net ........................................ -- -- -- (.54) --
-------- -------- -------- -------- --------
Total dividends and distributions .................... -- (.14) (.15) (1.09) (.61)
-------- -------- -------- -------- --------
Net asset value, end of period ....................... $ 7.73 $ 7.06 $ 8.62 $ 11.33 $ 15.13
======== ======== ======== ======== ========
===================================================================================================================================
Total Investment Based on net asset value per share ................... 9.49%@@ (16.21%) (22.60%) (18.00%) 30.95%
Return: ======== ======== ======== ======== ========
===================================================================================================================================
Ratios to Average Expenses, net of waiver of expenses+ ................. .89%* .84% .89% .89% .89%
Net Assets: ======== ======== ======== ======== ========
Expenses+ ............................................ .93%* .92% 1.05% .96% .95%
======== ======== ======== ======== ========
Investment income--net ............................... 2.76%* 1.43% .82% .67% .65%
======== ======== ======== ======== ========
===================================================================================================================================
Supplemental Net assets, end of period (in thousands) ............. $ 74,263 $ 62,310 $ 52,836 $ 46,623 $ 30,480
Data: ======== ======== ======== ======== ========
Portfolio turnover of the Series ..................... 10.11% 19.52% 30.19% 5.89% .00%
======== ======== ======== ======== ========
===================================================================================================================================
Class I+++
The following per share data and ratios have been --------------------------------------------------------
derived from information provided in the financial For the Six For the Year Ended
statements. Months Ended December 31,
June 30, ------------------------------------------
Increase (Decrease) in Net Asset Value: 2003 2002 2001 2000 1999
===================================================================================================================================
Per Share Net asset value, beginning of period ................. $ 7.08 $ 8.64 $ 11.36 $ 15.13 $ 12.04
Operating -------- -------- -------- -------- --------
Performance: Investment income--net@ .............................. .11 .14 .12 .14 .13
Realized and unrealized gain (loss) on investments and
foreign currency transactions from the Series--net ... .57 (1.55) (2.67) (2.82) 3.59
-------- -------- -------- -------- --------
Total from investment operations ..................... .68 (1.41) (2.55) (2.68) 3.72
-------- -------- -------- -------- --------
Less dividends and distributions:
Investment income--net ............................. -- (.14) (.10) (.02) (.09)
In excess of investment income--net ................ -- -- -- -- --
Realized gain on investments from the Series--net .. -- (.01) (.07) (.53) (.54)
In excess of realized gain on investments from the
Series--net ........................................ -- -- -- (.54) --
-------- -------- -------- -------- --------
Total dividends and distributions .................... -- (.15) (.17) (1.09) (.63)
-------- -------- -------- -------- --------
Net asset value, end of period ....................... $ 7.76 $ 7.08 $ 8.64 $ 11.36 $ 15.13
======== ======== ======== ======== ========
===================================================================================================================================
Total Investment Based on net asset value per share ................... 9.60%@@ (16.06%) (22.45%) (17.80%) 31.29%
Return: ======== ======== ======== ======== ========
===================================================================================================================================
Ratios to Average Expenses, net of waiver of expenses+ ................. .64%* .58% .64% .65% .64%
Net Assets: ======== ======== ======== ======== ========
Expenses+ ............................................ .68%* .67% .81% .71% .69
======== ======== ======== ======== ========
Investment income--net ............................... 2.99%* 1.72% 1.18% 1.02% 1.05%
======== ======== ======== ======== ========
===================================================================================================================================
Supplemental Net assets, end of period (in thousands) ............. $ 21,004 $ 19,770 $ 26,367 $ 37,387 $104,427
Data: ======== ======== ======== ======== ========
Portfolio turnover of the Series ..................... 10.11% 19.52% 30.19% 5.89% .00%
======== ======== ======== ======== ========
===================================================================================================================================
* Annualized
+ Includes the Fund's share of the GDP Series' and Series' allocated
expenses.
++ Effective April 14, 2003, Class D Shares were redesignated Class A Shares.
+++ Effective April 14, 2003, Class A Shares were redesignated Class I Shares.
@ Based on average shares outstanding.
@@ Aggregate total investment return.
See Notes to Financial Statements.
8 & 9
Merrill Lynch International Index Fund, June 30, 2003
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
INTERNATIONAL
INDEX FUND
1. Significant Accounting Policies:
Merrill Lynch International Index Fund (the "Fund") is part of Merrill Lynch
Index Funds, Inc. (the "Corporation"). The Fund is registered under the
Investment Company Act of 1940, as amended, as a non-diversified mutual fund.
The Fund seeks to achieve its investment objective by investing all of its
assets in Master International Index Series (the "Series") of the Quantitative
Master Series Trust, which has the same investment objective as the Fund. The
value of the Fund's investment in the Series reflects the Fund's proportionate
interest in the net assets of the Series. The performance of the Fund is
directly affected by the performance of the Series. The financial statements of
the Series, including the Schedule of Investments, are included elsewhere in
this report and should be read in conjunction with the Fund's financial
statements. The Fund's financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America, which
may require the use of management accruals and estimates. 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 Series owned by the Fund at June 30, 2003 was 53.4%. The Fund
offers two classes of shares, Class A and Class I. Effective April 14, 2003,
Class A Shares were redesignated Class I Shares and Class D Shares were
redesignated Class A Shares. The Fund's financial statements and financial
highlights contained within this report reflect the new share class
redesignation. Shares of Class A and Class I are sold without the imposition of
a front-end or deferred sales charge. Both classes of shares have identical
voting, dividend, liquidation and other rights and the same terms and
conditions, except that Class A Shares bear certain expenses related to the
account maintenance of such shares and have exclusive voting rights with respect
to matters relating to its account maintenance expenditures. The following is a
summary of significant accounting policies followed by the Fund.
(a) Valuation of investments -- The Fund records its investment in the Series at
fair value. Valuation of securities held by the Series is discussed in Note 1a
of the Series' Notes to Financial Statements, which are included elsewhere in
this report.
(b) Investment income and expenses -- The Fund records daily its proportionate
share of the Series' income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
(c) Income taxes -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to shareholders. Therefore,
no Federal income tax provision is required. Under the applicable foreign tax
law, a withholding tax may be imposed on interest, dividends and capital gains
at various rates.
(d) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions -- Investment transactions in the Series are
accounted for on a trade date basis.
2. Transactions with Affiliates:
The Corporation has entered into an Administration Services Agreement with
Merrill Lynch Investment Managers, L.P. ("MLIM"). The general partner of MLIM is
Princeton Services, Inc. ("PSI"), a wholly-owned subsidiary of Merrill Lynch &
Co., Inc. ("ML & Co."), which is the limited partner. The Fund pays a monthly
fee at an annual rate of .34% of the Fund's average daily net assets for the
performance of administrative services (other than investment advice and related
portfolio activities) necessary for the operation of the Fund. For the six
months ended June 30, 2003, MLIM earned fees of $142,867 of which $7,761 was
waived.
The Corporation has also entered into a Distribution Agreement and Distribution
Plan with FAM Distributors, Inc. ("FAMD" or the "Distributor"), a wholly-owned
subsidiary of Merrill Lynch Group, Inc. Pursuant to the Distribution Plan
adopted by the Corporation in accordance with Rule 12b-1 under the Investment
Company Act of 1940, the Fund pays the Distributor ongoing account maintenance
fees. The fees are accrued daily and paid monthly at the annual rate of .25%
based upon the average daily net assets of Class A Shares.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., also provides account
maintenance services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account maintenance
services to Class A shareholders.
Financial Data Services, Inc. ("FDS"), an indirect, wholly-owned subsidiary of
ML & Co., is the Fund's transfer agent.
Certain officers and/or directors of the Fund are officers and/or directors of
MLIM, PSI, FAMD, FDS, and/or ML & Co.
3. Capital Share Transactions:
Net increase in net assets derived from capital share transactions was
$5,016,209 and $19,315,936 for the six months ended June 30, 2003, and the year
ended December 31, 2002, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Class A Shares for the Six Months Dollar
Ended June 30, 2003+ Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 1,248,269 $ 8,857,983
Shares redeemed .......................... (466,859) (3,241,890)
------------ ------------
Net increase ............................. 781,410 $ 5,616,093
============ ============
- -------------------------------------------------------------------------------
+ Effective April 14, 2003, Class D Shares were redesignated Class A Shares.
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2002+ Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 4,396,623 $ 34,902,021
Shares issued to shareholders
in reinvestment of dividends and
distributions ............................ 157,663 1,101,783
------------ ------------
Total issued ............................. 4,554,286 36,003,804
Shares redeemed .......................... (1,861,709) (14,766,684)
------------ ------------
Net increase ............................. 2,692,577 $ 21,237,120
============ ============
- -------------------------------------------------------------------------------
+ Effective April 14, 2003, Class D Shares were redesignated Class A Shares.
- -------------------------------------------------------------------------------
Class I Shares for the Six Months Dollar
Ended June 30, 2003+ Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 566,561 $ 4,042,331
Shares redeemed .......................... (652,819) (4,642,215)
------------ ------------
Net decrease ............................. (86,258) $ (599,884)
============ ============
- -------------------------------------------------------------------------------
+ Effective April 14, 2003, Class A Shares were redesignated Class I Shares.
- -------------------------------------------------------------------------------
Class I Shares for the Year Dollar
Ended December 31, 2002+ Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 1,262,185 $ 10,249,011
Shares issued to shareholders
in reinvestment of dividends
and distributions ........................ 57,314 402,502
------------ ------------
Total issued ............................. 1,319,499 10,651,513
Shares redeemed .......................... (1,579,132) (12,572,697)
------------ ------------
Net decrease ............................. (259,633) $ (1,921,184)
============ ============
- -------------------------------------------------------------------------------
+ Effective April 14, 2003, Class A Shares were redesignated Class I Shares.
4. Capital Loss Carryforward:
On December 31, 2002, the Fund had a net capital loss carryforward of
$7,367,638, all of which expires in 2010. This amount will be available to
offset like amounts of any future taxable gains.
5. Subsequent Event:
The Fund paid an ordinary income dividend in the amount of $.015778 per share on
July 22, 2003 to shareholders of record on July 16, 2003.
10 & 11
June 30, 2003
SCHEDULE OF INVESTMENTS (in U.S. dollars)
Master International Index Series
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Australia Beverages--0.2% 15,506 Coca-Cola Amatil Limited $ 59,379
83,121 Foster's Brewing Group Limited 234,687
8,843 Southcorp Limited 16,724
-----------
310,790
------------------------------------------------------------------------------------------------------------------
Biotechnology--0.0% 3,407 CSL Limited 27,305
------------------------------------------------------------------------------------------------------------------
Capital Markets--0.1% 10,694 Macquarie Bank Limited 206,552
------------------------------------------------------------------------------------------------------------------
Chemicals--0.0% 5,805 Orica Limited 42,163
------------------------------------------------------------------------------------------------------------------
Commercial Banks--1.7% 50,236 Australia and New Zealand Banking Group Ltd. 626,989
40,816 Commonwealth Bank of Australia 808,879
45,536 National Australia Bank Limited 1,023,048
60,555 Westpac Banking Corporation Limited 659,932
-----------
3,118,848
------------------------------------------------------------------------------------------------------------------
Commercial Services & 44,098 Brambles Industries Limited 135,155
Supplies--0.1%
------------------------------------------------------------------------------------------------------------------
Construction 19,286 Boral Limited 65,447
Materials--0.2% 36,728 CSR Limited 47,785
8,663 James Hardie Industries NV 40,901
36,728 Rinker Group Limited 129,070
-----------
283,203
------------------------------------------------------------------------------------------------------------------
Containers & 25,946 Amcor Limited 141,294
Packaging--0.1%
------------------------------------------------------------------------------------------------------------------
Diversified Financial 10,318 Suncorp-Metway Limited 80,269
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified 52,103 Telstra Corporation Limited 153,749
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Food & Staples 28,979 Coles Myer Limited 136,043
Retailing--0.3% 39,044 Woolworths Limited 327,834
-----------
463,877
------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.1% 20,023 Australian Gas Light Company Limited 147,041
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 993 Cochlear Limited 21,510
Supplies--0.0% 7,344 Pacific Dunlop Limited (a) 28,813
-----------
50,323
------------------------------------------------------------------------------------------------------------------
Health Care Providers & 33,090 Mayne Nickless Limited 60,806
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 77,973 Aristocrat Leisure Limited 69,549
Leisure--0.1% 19,869 TABCORP Holdings Limited 143,512
-----------
213,061
------------------------------------------------------------------------------------------------------------------
IT Services--0.0% 11,639 Computershare Limited 14,597
------------------------------------------------------------------------------------------------------------------
Industrial 10,979 Wesfarmers Limited 186,286
Conglomerates--0.1%
------------------------------------------------------------------------------------------------------------------
Insurance--0.2% 27,802 AMP Limited 92,668
24,564 Insurance Australia Group Limited 56,011
30,223 QBE Insurance Group Limited 188,908
-----------
337,587
------------------------------------------------------------------------------------------------------------------
Media--0.3% 31,318 John Fairfax Holdings Limited 60,490
52,723 The News Corporation Limited 396,017
-----------
456,507
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.6% 42,215 Alumina Limited 115,228
105,585 BHP Billiton Limited 611,803
27,058 BHP Steel Limited 67,505
20,996 Newcrest Mining Limited 107,719
23,360 OneSteel Limited 30,079
4,633 Rio Tinto Limited 90,759
42,215 WMC Resources Limited (a) 99,373
-----------
1,122,466
------------------------------------------------------------------------------------------------------------------
Oil & Gas--0.1% 1,355 Origin Energy Limited 3,680
24,995 Santos Limited 98,901
6,460 Woodside Petroleum Limited 53,635
-----------
156,216
------------------------------------------------------------------------------------------------------------------
Paper & Forest 377 Paperlinx Limited 1,158
Products--0.0%
------------------------------------------------------------------------------------------------------------------
Real Estate--0.5% 52,807 AMP Diversified Property Trust 108,016
112,770 Gandel Retail Trust 100,587
62,350 General Property Trust 122,100
18,698 Lend Lease Corporation Limited 104,707
43,171 Mirvac Group 128,550
46,236 Stockland Trust Group 155,351
4,962 Westfield Holdings Limited 48,585
92,935 Westfield Trust 215,028
-----------
982,924
------------------------------------------------------------------------------------------------------------------
Transportation 24,317 Macquarie Infrastructure Group 58,546
Infrastructure--0.1% 5,500 Patrick Corporation Limited 46,292
-----------
104,838
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia (Cost--$7,123,884)--4.9% 8,797,015
===================================================================================================================================
12 & 13
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Austria Building Products--0.0% 122 Wienerberger Baustoffindustrie AG $ 2,144
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.0% 53 RHI AG (a) 630
------------------------------------------------------------------------------------------------------------------
Containers & Packaging--0.1% 911 Mayr-Melnhof Karton AG 75,856
------------------------------------------------------------------------------------------------------------------
Diversified 3,644 Telekom Austria AG (a) 41,344
Telecommunication
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.0% 47 Oesterreichische Elektrizitaetswirtschafts-AG
"Verbund" 'A' 4,330
------------------------------------------------------------------------------------------------------------------
Machinery--0.0% 458 VA Technologie AG (a) 12,102
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.0% 390 Boehler-Uddeholm AG 21,555
------------------------------------------------------------------------------------------------------------------
Oil & Gas--0.0% 329 OMV AG 39,526
------------------------------------------------------------------------------------------------------------------
Transportation 1,446 Flughafen Wien AG 52,555
Infrastructure--0.0%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria (Cost--$199,801)--0.1% 250,042
===================================================================================================================================
Belgium Beverages--0.0% 2,492 Interbrew 55,374
------------------------------------------------------------------------------------------------------------------
Chemicals--0.1% 1,416 Solvay SA 97,564
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.2% 17,437 Dexia 220,462
2,802 KBC Bancassurance Holding 110,012
-----------
330,474
------------------------------------------------------------------------------------------------------------------
Construction & 4,785 Suez Lyonnaise des Eaux SA (a) 55
Engineering--0.0%
------------------------------------------------------------------------------------------------------------------
Distributors--0.0% 222 D'leteren SA 31,816
------------------------------------------------------------------------------------------------------------------
Diversified Financial 34,518 Fortis 599,338
Services--0.4% 2,091 Groupe Bruxelles Lambert SA 94,607
-----------
693,945
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1% 908 Electrabel SA 231,375
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.0% 1,022 Bekaert NV 47,766
------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 520 Barco NV (New Shares) 31,111
Instruments--0.0%
------------------------------------------------------------------------------------------------------------------
Food & Staples 1,048 Colruyt NV 72,449
Retailing--0.1% 592 Delhaize "Le Lion" SA 18,015
-----------
90,464
------------------------------------------------------------------------------------------------------------------
Food Products--0.0% 950 Delhaize "Le Lion" SA (ADR) (b) 29,127
------------------------------------------------------------------------------------------------------------------
Leisure Equipment & 5,023 Agfa Gevaert NV 106,653
Products--0.1%
------------------------------------------------------------------------------------------------------------------
Marine--0.0% 628 Compagnie Maritime Belge SA (CMB) 24,880
628 Exmar NV (a) 21,462
-----------
46,342
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.0% 1,057 Union Miniere SA 54,779
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.1% 4,104 UCB SA 112,448
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium (Cost--$2,134,930)--1.1% 1,959,293
===================================================================================================================================
Bermuda Specialty Retail--0.0% 21,785 Yue Yuen Industrial (Holdings) Limited 55,733
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Bermuda (Cost--$50,757)--0.0% 55,733
===================================================================================================================================
Denmark Beverages--0.0% 285 Carlsberg A/S 'B' 10,197
------------------------------------------------------------------------------------------------------------------
Chemicals--0.0% 2,267 Novozymes A/S 'B' 63,069
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.2% 14,837 Danske Bank 288,939
------------------------------------------------------------------------------------------------------------------
Commercial Services & 2,132 Group 4 Falck A/S 35,423
Supplies--0.0% 527 ISS A/S 18,815
-----------
54,238
------------------------------------------------------------------------------------------------------------------
Construction & 1,417 FLS Industries A/S 'B' (a) 11,826
Engineering--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified 3,905 TDC A/S 116,786
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.0% 820 NKT Holding A/S 11,343
3,906 Vestas Wind Systems A/S 44,674
-----------
56,017
------------------------------------------------------------------------------------------------------------------
Food Products--0.1% 555 A/S Det Ostasiatiske Kompagni 15,183
2,482 Danisco A/S 97,245
-----------
112,428
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 93 Coloplast A/S 'B' 7,187
Supplies--0.0% 1,530 William Demant A/S (a) 34,998
-----------
42,185
------------------------------------------------------------------------------------------------------------------
Household Durables--0.0% 464 Bang & Olufsen Holding A/S 'B' 12,622
------------------------------------------------------------------------------------------------------------------
Insurance--0.0% 907 Topdanmark A/S (a) 33,153
------------------------------------------------------------------------------------------------------------------
Marine--0.2% 47 A/S Dampskibsselskabet Svendborg 'B' 254,246
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.2% 502 H. Lundbeck A/S 10,164
10,122 Novo Nordisk A/S 'B' 354,343
-----------
364,507
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark (Cost--$1,300,341)--0.8% 1,420,213
===================================================================================================================================
14 & 15
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Finland Communications 1,270 Nokia Oyj 'A' (ADR) (b) $ 20,866
Equipment--1.3% 134,008 Nokia Oyj (Series A) 2,206,754
-----------
2,227,620
------------------------------------------------------------------------------------------------------------------
Diversified 4,700 HPY Holding--HTF Holding Oyj Abp (a) 40,371
Telecommunication 36,201 TeliaSonera AB 148,826
Services--0.1% -----------
189,197
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 3,019 Instrumentarium Corporation 114,753
Supplies--0.1%
------------------------------------------------------------------------------------------------------------------
IT Services--0.0% 3,005 Tietoenator Oyj 50,589
------------------------------------------------------------------------------------------------------------------
Insurance--0.1% 2,198 Pohjola Group PLC 'D' 37,634
11,884 Sampo Insurance Company Ltd. 'A' 87,204
-----------
124,838
------------------------------------------------------------------------------------------------------------------
Leisure Equipment & 1,968 Amer Group Ltd. 60,160
Products--0.0%
------------------------------------------------------------------------------------------------------------------
Machinery--0.0% 201 Kone Corporation 'B' 8,425
4,366 Metso Oyj 38,856
154 Wartsila Oyj 'B' 1,913
-----------
49,194
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.0% 447 Outokumpu Oyj 3,927
3,289 Rautaruukki Oyj (a) 14,163
-----------
18,090
------------------------------------------------------------------------------------------------------------------
Oil & Gas--0.1% 10,540 Fortum Corporation, the IVO-Neste Group 84,483
------------------------------------------------------------------------------------------------------------------
Paper & Forest 22,459 Stora Enso Oyj 'R' 250,944
Products--0.2% 14,736 UPM-Kymmene Oyj 215,080
-----------
466,024
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland (Cost--$3,550,276)--1.9% 3,384,948
===================================================================================================================================
France Aerospace & Defense--0.1% 4,658 European Aeronautic Defense and Space Company 57,127
5,228 Thomson CSF 155,192
-----------
212,319
------------------------------------------------------------------------------------------------------------------
Auto Components--0.2% 3,065 Compagnie Generale des Etablissements Michelin 'B' 119,670
3,198 Valeo SA 110,907
-----------
230,577
------------------------------------------------------------------------------------------------------------------
Automobiles--0.3% 6,516 PSA Peugeot Citroen 316,516
5,151 Renault SA 272,333
-----------
588,849
------------------------------------------------------------------------------------------------------------------
Beverages--0.1% 2,180 Pernod Ricard 194,514
------------------------------------------------------------------------------------------------------------------
Building Products--0.2% 7,976 Compagnie de Saint-Gobain 313,887
5,015 Lafarge SA (Rights) (e) 13,534
-----------
327,421
------------------------------------------------------------------------------------------------------------------
Chemicals--0.2% 2,984 Air Liquide 442,384
------------------------------------------------------------------------------------------------------------------
Commercial Banks--1.1% 24,727 BNP Paribas SA 1,256,489
10,307 Credit Agricole S.A. 195,886
7,748 Societe Generale 'A' 491,137
-----------
1,943,512
------------------------------------------------------------------------------------------------------------------
Commercial Services & 1,954 Societe BIC SA 76,067
Supplies--0.0%
------------------------------------------------------------------------------------------------------------------
Communications 38,404 Alcatel (a) 346,195
Equipment--0.2% 550 Sagem SA (New Shares) 44,211
-----------
390,406
------------------------------------------------------------------------------------------------------------------
Construction & 1,886 Societe Generale d'Entreprises SA 127,240
Engineering--0.1%
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.2% 298 Imetal SA 43,392
5,016 Lafarge SA (Ordinary) 293,751
-----------
337,143
------------------------------------------------------------------------------------------------------------------
Diversified 22,097 France Telecom SA (a) 542,012
Telecommunication
Services--0.3%
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.2% 13,495 Alstom (a) 46,491
5,791 Schneider SA 272,255
-----------
318,746
------------------------------------------------------------------------------------------------------------------
Energy Equipment & 733 Compagnie Francaise d'Etudes et de Construction
Service--0.0% (Technip SA) 64,141
------------------------------------------------------------------------------------------------------------------
Food & Staples 16,918 Carrefour SA 829,178
Retailing--0.5% 1,789 Etablissements Economiques du Casino
Guichard-Perrachon SA 139,699
-----------
968,877
------------------------------------------------------------------------------------------------------------------
Food Products--0.3% 3,584 Groupe Danone 495,940
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 2,316 Essilor International SA 93,298
Supplies--0.1%
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 5,124 Accor SA 185,351
Leisure--0.2% 3,743 Sodexho Alliance SA 101,009
-----------
286,360
------------------------------------------------------------------------------------------------------------------
16 & 17
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
France Household Durables--0.1% 6,869 Thomson Multimedia $ 105,936
(concluded) ------------------------------------------------------------------------------------------------------------------
IT Services--0.0% 2,001 Cap Gemini SA (a) 71,049
------------------------------------------------------------------------------------------------------------------
Insurance--0.3% 41,163 Axa638,611
Internet Software & 12,500 Wanadoo (a) 83,686
------------------------------------------------------------------------------------------------------------------
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Media--0.5% 3,917 Lagardere S.C.A. 170,253
3,608 Publicis SA 96,828
5,565 Societe Television Francaise 1 171,267
18,089 Vivendi Universal SA (a) 329,244
6,053 Vivendi Universal SA (ADR) (a)(b) 111,617
-----------
879,209
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.1% 10,996 Arcelor 128,040
1,951 Pechiney SA 'A' 70,036
-----------
198,076
------------------------------------------------------------------------------------------------------------------
Multi-Utilities & 24,765 Suez SA 394,163
Unregulated Power--0.3% 6,928 Vivendi Environment 142,408
-----------
536,571
------------------------------------------------------------------------------------------------------------------
Multiline Retail--0.1% 2,228 Pinault-Printemps-Redoute SA 167,839
------------------------------------------------------------------------------------------------------------------
Oil & Gas--1.6% 18,208 TotalFinaElf SA 2,751,644
939 TotalFinaElf SA 'B' 142,120
4,140 TotalFinaElf SA 'STRIP' (a) 48
-----------
2,893,812
------------------------------------------------------------------------------------------------------------------
Personal Products--0.4% 10,798 L'Oreal SA 761,353
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--1.0% 20,554 Aventis SA 1,130,828
11,420 Sanofi-Synthelabo SA 668,822
-----------
1,799,650
------------------------------------------------------------------------------------------------------------------
Real Estate--0.1% 2,142 Klepierre 105,770
113 Unibail (Union du Credit-Bail Immobilier) 8,370
-----------
114,140
------------------------------------------------------------------------------------------------------------------
Semiconductors & 17,662 STMicroelectronics NV 370,352
Semiconductor
Equipment--0.2%
------------------------------------------------------------------------------------------------------------------
Software--0.0% 718 Business Objects SA (a) 16,012
1,856 Dassault Systemes SA 60,956
-----------
76,968
------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 6,541 LVMH (Louis Vuitton Moet Hennessy) 324,415
Luxury Goods--0.2%
------------------------------------------------------------------------------------------------------------------
Wireless 6,902 Bouygues SA 190,539
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in France (Cost--$16,036,544)--9.4% 16,852,012
===================================================================================================================================
Germany Air Freight & Logistics--0.1% 16,358 Deutsche Post AG (Registered Shares) 240,256
------------------------------------------------------------------------------------------------------------------
Airlines--0.0% 5,765 Deutsche Lufthansa AG (Registered Shares) 67,526
------------------------------------------------------------------------------------------------------------------
Auto Components--0.1% 4,191 Continental AG 87,977
------------------------------------------------------------------------------------------------------------------
Automobiles--0.6% 25,764 DaimlerChrysler AG 899,417
5,122 Volkswagen AG 216,511
-----------
1,115,928
------------------------------------------------------------------------------------------------------------------
Biotechnology--0.0% 4,938 QIAGEN NV (a) 41,679
------------------------------------------------------------------------------------------------------------------
Building Products--0.0% 2,231 Buderus AG 74,297
------------------------------------------------------------------------------------------------------------------
Capital Markets--0.6% 16,030 Deutsche Bank AG (Registered Shares) 1,039,686
3,609 Marschollek, Lautenschlaeger und Partner AG (a) 53,877
-----------
1,093,563
------------------------------------------------------------------------------------------------------------------
Chemicals--0.8% 15,058 BASF AG 643,257
22,263 Bayer AG 515,916
3,341 Linde AG 123,693
-----------
1,282,866
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.2% 13,994 Bayerische Hypo- und Vereinsbank AG (a) 231,247
8,210 Commerzbank AG 114,832
-----------
346,079
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.0% 51 Heidelberger Zement AG (a) 1,136
1,346 Heidelberger Zement AG (a) 15
1,778 Heidelberger Zement AG 39,711
-----------
40,862
------------------------------------------------------------------------------------------------------------------
Diversified Financial 1,833 Deutsche Boerse AG 97,100
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Diversified 58,330 Deutsche Telekom AG (Registered Shares) (a) 890,207
Telecommunication
Services--0.5%
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.5% 16,212 E.On AG 833,485
------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 2,386 Epcos AG (a) 30,742
Instruments--0.0%
------------------------------------------------------------------------------------------------------------------
Food & Staples 1,160 Douglas Holding AG 25,043
Retailing--0.1% 1,873 Metro AG 60,547
-----------
85,590
------------------------------------------------------------------------------------------------------------------
Health Care Providers & 1,880 Fresenius Medical Care AG 93,048
Services--0.1% 1,654 Gehe AG 64,996
-----------
158,044
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 4,174 Preussag AG 62,072
Leisure--0.0%
------------------------------------------------------------------------------------------------------------------
18 & 19
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Germany Industrial 22,354 Siemens AG $ 1,096,631
(concluded) Conglomerates--0.6% 860 Siemens AG (ADR) (b) 42,011
-----------
1,138,642
------------------------------------------------------------------------------------------------------------------
Insurance--0.5% 7,265 Allianz AG (Registered Shares) 603,849
3,140 Muenchener Rueckversicherungs-Gesellschaft AG
(Registered Shares) 320,124
-----------
923,973
------------------------------------------------------------------------------------------------------------------
Machinery--0.0% 3,990 MAN AG 67,446
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.1% 9,157 Thyssen Krupp AG 105,575
------------------------------------------------------------------------------------------------------------------
Multi-Utilities & 11,991 RWE AG 362,010
Unregulated Power--0.2%
------------------------------------------------------------------------------------------------------------------
Multiline Retail--0.0% 1,640 Karstadt AG 35,105
------------------------------------------------------------------------------------------------------------------
Personal Products--0.1% 1,419 Beiersdorf AG 189,675
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.2% 977 Altana AG 61,639
2,378 Merck KGaA 69,089
4,520 Schering AG 221,013
-----------
351,741
------------------------------------------------------------------------------------------------------------------
Semiconductors & 10,701 Infineon Technologies AG (a) 103,469
Semiconductor
Equipment--0.1%
------------------------------------------------------------------------------------------------------------------
Software--0.4% 6,154 SAP AG (Systeme, Anwendungen, Produkte in der
Datenverarbeitung) 725,775
------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 1,302 Adidas-Salomon AG 111,344
Luxury Goods--0.1%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany (Cost--$12,011,917)--6.0% 10,663,028
===================================================================================================================================
Greece Beverages--0.1% 3,612 Hellenic Bottling Co. 59,646
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.2% 7,965 Alpha Credit Bank 138,845
1,959 Bank of Piraeus 14,892
1,938 Commercial Bank of Greece 33,872
4,179 EFG Eurobank Ergasias 62,962
4,068 National Bank of Greece SA 68,761
-----------
319,332
------------------------------------------------------------------------------------------------------------------
Communications 8,070 Intracom SA 53,564
Equipment--0.0%
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.0% 1,341 Titan Cement Company 48,508
------------------------------------------------------------------------------------------------------------------
Diversified 14,796 Hellenic Telecommunications Organization SA (OTE) 174,667
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 2,510 Greek Organization of Football Prognostics 25,595
Leisure--0.0%
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.0% 4,057 Viohalco, Hellenic Copper and Aluminum Industry SA 20,219
------------------------------------------------------------------------------------------------------------------
Wireless 4,650 Panafon Hellenic Telecom Co. 30,971
Telecommunication
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Greece (Cost--$809,855)--0.4% 732,502
===================================================================================================================================
Hong Kong Airlines--0.0% 51,263 Cathay Pacific Airways 69,024
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.3% 91,000 BOC Hong Kong (Holdings) Limited 91,605
34,339 Bank of East Asia, Ltd. 67,814
28,153 Hang Seng Bank Limited 297,843
-----------
457,262
------------------------------------------------------------------------------------------------------------------
Distributors--0.0% 56,719 Li & Fung Limited 73,098
------------------------------------------------------------------------------------------------------------------
Diversified Financial 42,000 Hong Kong Exchanges & Clearing Ltd. 60,322
Services--0.2% 41,077 Swire Pacific Limited 'A' 179,623
36,107 Wharf (Holdings) Ltd. 69,453
-----------
309,398
------------------------------------------------------------------------------------------------------------------
Diversified 34,195 PCCW Limited (a) 21,158
Telecommunication
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.3% 67,187 CLP Holdings Limited 293,797
55,500 Hongkong Electric Holdings Limited 217,782
-----------
511,579
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.1% 5,004 ASM Pacific Technology Limited 14,631
52,828 Johnson Electric Holdings Limited 65,373
-----------
80,004
------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.1% 102,240 Hong Kong and China Gas Company Ltd. 129,141
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 24,734 Shangri-La Asia Limited 15,700
Leisure--0.0%
------------------------------------------------------------------------------------------------------------------
Industrial 64,989 Hutchison Whampoa Limited 395,860
Conglomerates--0.2%
------------------------------------------------------------------------------------------------------------------
Media--0.0% 34,025 South China Morning Post Holdings Ltd. 13,417
5,646 Television Broadcasts Ltd. 20,236
-----------
33,653
------------------------------------------------------------------------------------------------------------------
Real Estate--0.3% 38,735 Cheung Kong (Holdings) Ltd. 232,962
28,491 Henderson Land Development Company Limited 81,840
57,637 New World Development Company Ltd. 22,358
48,421 Sino Land Company Limited 15,058
42,324 Sun Hung Kai Properties Ltd. 213,841
-----------
566,059
------------------------------------------------------------------------------------------------------------------
Specialty Retail--0.0% 16,000 Esprit Holdings Limited 39,086
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong (Cost--$3,498,502)--1.5% 2,701,022
===================================================================================================================================
20 & 21
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Ireland Airlines--.01% 27,680 Ryanair Holdings PLC (a) $ 199,300
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.5% 32,040 Allied Irish Banks PLC 486,405
26,151 Bank of Ireland 315,620
-----------
802,025
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.1% 936 CRH PLC 14,736
14,200 CRH PLC 221,769
-----------
236,505
------------------------------------------------------------------------------------------------------------------
Food Products--0.1% 16,409 Greencore Group PLC 54,645
4,710 Kerry Group PLC 'A' 72,801
-----------
127,446
------------------------------------------------------------------------------------------------------------------
Household Durables--0.0% 25,516 Waterford Wedgwood PLC 7,032
Industrial 3,189 DCC PLC 42,846
------------------------------------------------------------------------------------------------------------------
Conglomerates--0.0%
------------------------------------------------------------------------------------------------------------------
Insurance--0.1% 11,194 Irish Life & Permanent PLC 121,733
------------------------------------------------------------------------------------------------------------------
Media--0.0% 21,817 Independent News & Media PLC 38,833
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--0.0% 4,431 Elan Corporation PLC (a) 22,898
5,755 Elan Corporation PLC (ADR) (a)(b) 32,458
-----------
55,356
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland (Cost--$1,757,813)--0.9% 1,631,076
===================================================================================================================================
Italy Aerospace & Defense--0.0% 97,905 Finmeccanica SpA 62,735
------------------------------------------------------------------------------------------------------------------
Automobiles--0.0% 5,647 Fiat SpA (a) 41,061
------------------------------------------------------------------------------------------------------------------
Capital Markets--0.2% 1,700 Banca Fideuram SpA 9,285
20,672 Mediobanca SpA 206,289
10,572 Mediolanum SpA 59,075
-----------
274,649
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.9% 13,658 Banca Intesa SpA 31,400
80,547 Banca Nazionale del Lavoro (Ordinary) (a) 135,229
13,422 Banca Popolare di Milano (BPM) 58,801
81,420 Banca di Roma SpA (a) 143,520
7,339 Banca Popolare di Verona e Novara Scrl 100,290
117,406 Intesa BCI SpA 375,482
21,941 San Paolo-IMI SpA 203,911
96,070 Unicredito Italiano SpA 457,836
-----------
1,506,469
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.0% 5,565 Italcementi SpA 63,164
------------------------------------------------------------------------------------------------------------------
Diversified Financial 48,440 Fineco Group SpA (a) 26,011
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified 69,689 Telecom Italia SpA 630,855
Telecommunication 55,725 Telecom Italia SpA (Registered Shares) 305,241
Services--0.5% -----------
936,096
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.3% 71,623 Enel SpA 446,937
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.1% 74,074 Pirelli SpA (a) 75,025
------------------------------------------------------------------------------------------------------------------
Food Products--0.0% 22,512 Parmalat Finanziaria SpA 70,808
------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.0% 11,664 Snam Rete Gas SpA 45,809
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 26,845 Snia SpA 52,715
Supplies--0.0%
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 4,473 Autogrill SpA (a) 48,797
Leisure--0.0%
------------------------------------------------------------------------------------------------------------------
Insurance--0.6% 13,965 Alleanza Assicurazioni 132,784
28,636 Assicurazioni Generali 663,602
13,239 Riunione Adriatica di Sicurta SpA 200,832
-----------
997,218
------------------------------------------------------------------------------------------------------------------
Internet Software & 9,266 Tiscali SpA (a) 47,446
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Media--0.2% 15,754 Gruppo Editoriale L'Espresso SpA 62,450
11,887 Mediaset SpA 100,604
5,198 Mondadori (Arnoldo) Editore SpA 37,725
104,262 Seat Pagine Gialle SpA (a) 72,436
-----------
273,215
------------------------------------------------------------------------------------------------------------------
Oil & Gas--0.6% 62,764 ENI SpA 949,372
1,875 ENI SpA (ADR) (b) 142,575
-----------
1,091,947
------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 5,296 Benetton Group SpA 54,978
Luxury Goods--0.1% 4,032 Bulgari SpA 22,368
1,412 Luxottica Group SpA 19,333
-----------
96,679
------------------------------------------------------------------------------------------------------------------
Wireless 115,617 Telecom Italia Mobile (TIM) SpA 569,711
Telecommunication
Services--0.3%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy (Cost--$6,623,487)--3.8% 6,726,492
===================================================================================================================================
22 & 23
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Japan Air Freight & Logistics--0.1% 19,000 Yamato Transport Co., Ltd. $ 210,294
------------------------------------------------------------------------------------------------------------------
Airlines--0.0% 28,000 Japan Airlines System Corporation 61,095
------------------------------------------------------------------------------------------------------------------
Auto Components--0.4% 17,000 Bridgestone Corp. 230,772
17,600 Denso Corporation 278,932
9,000 NGK Spark Plug Co., Ltd. 63,111
20,000 Sanden Corporation 95,107
-----------
667,922
------------------------------------------------------------------------------------------------------------------
Automobiles--2.0% 22,400 Honda Motor Co., Ltd. 848,803
71,000 Nissan Motor Co., Ltd. 678,809
81,300 Toyota Motor Corporation 2,105,709
-----------
3,633,321
------------------------------------------------------------------------------------------------------------------
Beverages--0.3% 20,000 Asahi Breweries Limited 120,758
23,000 Kirin Brewery Company, Ltd. 161,666
43,000 Sapporo Breweries Limited 106,000
8,000 Takara Shuzo Co., Ltd. 43,173
-----------
431,597
------------------------------------------------------------------------------------------------------------------
Building Products--0.4% 15,000 Asahi Glass Company, Limited 93,067
8,000 Daikin Industries, Ltd. 146,908
23,000 Nippon Sheet Glass Company, Ltd. 68,957
9,000 Tostem Corporation 129,669
16,000 Toto Limited 95,007
-----------
533,608
------------------------------------------------------------------------------------------------------------------
Capital Markets--0.6% 39,000 Daiwa Securities Group Inc. 224,110
28,000 The Nikko Securities Co., Ltd. 112,396
53,000 The Nomura Securities Co., Ltd. 672,680
-----------
1,009,186
------------------------------------------------------------------------------------------------------------------
Chemicals--1.0% 43,000 Asahi Chemical Industry Co., Ltd. 122,832
3,000 Daicel Chemical Industries, Ltd. 9,519
30,000 Dainippon Ink and Chemicals, Inc. 60,712
3,000 Denki Kagaku Kogyo Kabushiki Kaisha 8,320
11,000 Ishihara Sangyo Kaisha, Ltd. 18,597
13,000 Kaneka Corporation 80,117
8,000 Kuraray Co., Ltd. 52,501
45,000 Mitsubishi Chemical Corporation 91,818
18,000 Mitsubishi Gas Chemical Company, Inc. 38,076
5,000 Mitsui Chemicals Inc. 23,111
16,000 Nissan Chemical Industries, Ltd. 85,547
5,800 Nitto Denko Corporation 189,831
10,600 Shin-Etsu Chemical Co., Ltd. 361,940
58,000 Showa Denko K.K. (a) 100,954
32,000 Sumitomo Chemical Co., Ltd. 100,471
22,000 Teijin Limited 54,966
37,000 Toray Industries, Inc. 85,971
3,000 Tosoh Corporation 6,696
13,000 Ube Industries, Ltd. 19,163
-----------
1,511,142
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.9% 12,000 The 77 Bank, Ltd. 54,466
5,000 The Bank of Fukuoka, Ltd. 19,196
26,000 The Bank of Yokohama, Ltd. 84,880
2,000 The Chiba Bank, Ltd. 7,096
152,000 Daiwa Bank Holdings, Inc. (a) 105,068
13,000 The Gunma Bank Ltd. 59,113
5,000 The Hokuriku Bank, Ltd. 7,662
23,000 The Joyo Bank, Ltd. 64,168
104 Mitsubishi Tokyo Financial Group, Inc. 470,306
22,000 Mitsui Trust Holdings, Inc. 48,370
130 Mizuho Financial Group, Inc. 102,744
18,000 The Shizuoka Bank, Ltd. 120,675
71 Sumitomo Mitsui Financial Group, Inc. 154,920
16,000 The Sumitomo Trust and Banking Co., Ltd. 55,299
98 UFJ Holdings, Inc. 143,644
-----------
1,497,607
------------------------------------------------------------------------------------------------------------------
Commercial Services & 2,000 Benesse Corporation 34,478
Supplies--0.3% 24,000 Dai Nippon Printing Co., Ltd. 253,841
5,000 Kokuyo Co., Ltd. 47,637
500 Meitec Corp. 15,199
7,500 Secom Co., Ltd. 219,863
14,000 Toppan Printing Co., Ltd. 100,271
-----------
671,289
------------------------------------------------------------------------------------------------------------------
Computers & 40,000 Fujitsu Limited (a) 163,898
Peripherals--0.4% 6,000 Mitsumi Electric Company, Ltd. 62,011
42,000 NEC Corporation (a) 209,869
400 Oracle Corporation Japan 14,391
79,000 Toshiba Corporation 271,722
-----------
721,891
------------------------------------------------------------------------------------------------------------------
Construction & 15,000 JGC Corporation 100,937
Engineering--0.1% 29,000 Kajima Corporation 68,832
9,000 Kinden Corporation 30,206
15,000 Nippon COMSYS Corporation 76,452
25,000 Obayashi Corporation 76,619
16,000 Shimizu Corporation 44,372
27,000 Taisei Corporation 53,067
3,000 Toda Corporation 6,446
-----------
456,931
------------------------------------------------------------------------------------------------------------------
24 & 25
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Japan Construction Materials--0.0% 2,000 Sumitomo Osaka Cement Co., Ltd. $ 3,931
(continued) 10,000 Taiheiyo Cement Corporation 17,156
-----------
21,087
------------------------------------------------------------------------------------------------------------------
Consumer Finance--0.4% 2,100 Acom Co., Ltd. 75,903
650 Aiful Corporation 27,716
6,500 Credit Saison Co., Ltd. 106,588
3,200 Orix Corporation 176,956
2,200 Promise Co., Ltd. 82,265
3,020 Takefuji Corporation 156,690
-----------
626,118
------------------------------------------------------------------------------------------------------------------
Containers & 5,000 Toyo Seikan Kaisha, Ltd. 46,762
Packaging--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified 163 Nippon Telegraph & Telephone Corporation (NTT) 639,375
Telecommunication
Services--0.4%
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.9% 22,000 Chubu Electric Power Company, Incorporated 401,249
23,500 Kansai Electric Power Company, Inc. 370,677
7,100 Kyushu Electric Power Company, Incorporated 110,513
16,900 Tohoku Electric Power Co., Inc. 249,964
31,900 Tokyo Electric Power 609,706
-----------
1,742,109
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.3% 16,000 Fujikura Ltd. (a) 52,767
35,000 The Furukawa Electric Co., Ltd. 114,262
4,000 Matsushita Electric Works, Ltd. 23,685
49,000 Mitsubishi Electric Corporation 159,151
14,000 Sumitomo Electric Industries 102,253
-----------
452,118
------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 8,000 Alps Electric Co., Ltd. 102,469
Instruments--1.1% 8,000 Anritsu Corp. (a) 43,639
13,000 Citizen Watch Co. 69,831
8,000 Dainippon Screen Mfg. Co., Ltd. (a) 39,176
900 Hirose Electric Co., Ltd. 74,428
87,000 Hitachi Ltd. 368,795
2,400 Hoya Corporation 165,297
1,300 Keyence Corporation 238,184
4,200 Kyocera Corporation 240,300
200 Mabuchi Motor Co., Ltd. 15,290
6,800 Murata Manufacturing Co., Ltd. 267,300
1,800 Nidec Corporation 118,876
8,000 Omron Corporation 134,916
2,100 TDK Corporation 103,710
6,000 Taiyo Yuden Co., Ltd. 58,463
8,000 Yokogawa Electric Corporation 61,761
-----------
2,102,435
------------------------------------------------------------------------------------------------------------------
Food & Staples 9,000 Ito-Yokado Co., Ltd. 215,490
Retailing--0.3% 9,000 JUSCO Co., Ltd. 206,121
2,000 Keio Electric Railway Co., Ltd. 9,128
1,000 Lawson Inc. 27,483
10,000 Seven-Eleven Japan Co., Ltd. 249,011
4,000 Uny Co., Ltd. 34,445
-----------
741,678
------------------------------------------------------------------------------------------------------------------
Food Products--0.2% 22,000 Ajinomoto Co., Inc. 210,702
1,000 Nichirei Corporation 3,489
10,000 Nippon Meat Packers, Inc. 94,441
2,800 Nissin Food Products Co., Ltd. 58,413
500 Snow Brand Milk Products Co., Ltd. (a) 1,253
2,000 Yakult Honsha Co., Ltd. 26,817
7,000 Yamazaki Baking Co., Ltd. 44,597
-----------
439,712
------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.2% 54,000 Osaka Gas Co. 133,567
56,000 Tokyo Gas Co. 160,899
-----------
294,466
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 9,000 Olympus Optical Co., Ltd. 186,259
Supplies--0.2% 7,600 Terumo Corporation 126,271
-----------
312,530
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 1,700 Oriental Land Co., Ltd 74,470
Leisure--0.0% 2,000 Skylark Co., Ltd. 23,735
-----------
98,205
------------------------------------------------------------------------------------------------------------------
Household Durables--1.4% 11,000 Casio Computer Co., Ltd. 70,264
2,000 Daito Trust Construction Co., Ltd. 42,057
15,000 Daiwa House Industry Co., Ltd. 103,186
60,000 Matsushita Electric Industrial Company, Ltd. 594,129
6,800 Pioneer Corporation 152,904
56,000 Sanyo Electric Co., Ltd. 191,680
25,000 Sekisui Chemical Co., Ltd. 84,531
12,000 Sekisui House, Ltd. 90,943
32,000 Sharp Corporation 410,677
23,700 Sony Corporation 667,133
-----------
2,407,504
------------------------------------------------------------------------------------------------------------------
Household Products--0.2% 17,000 Kao Corporation 316,427
400 Uni-Charm Corporation 17,289
-----------
333,716
------------------------------------------------------------------------------------------------------------------
26 & 27
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Japan IT Services--0.2% 3,200 CSK Corporation $ 87,146
(continued) 30 NTT Data Corporation 92,442
400 Toyo Information Systems Co., Ltd. 7,662
-----------
187,250
------------------------------------------------------------------------------------------------------------------
Insurance--0.4% 44 Millea Holdings, Inc. 336,390
38,000 Mitsui Marine and Fire Insurance Company, Ltd. 176,273
17,000 The Yasuda Fire & Marine Insurance Co. Ltd. 92,734
-----------
605,397
------------------------------------------------------------------------------------------------------------------
Internet Software & 10,100 Softbank Corp. 191,360
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Leisure Equipment & 11,000 Fuji Photo Film 317,885
Products--0.4% 16,000 Konica Corporation 182,153
3,500 Shimano Inc. 55,032
6,000 Yamaha Corporation 82,249
-----------
637,319
------------------------------------------------------------------------------------------------------------------
Machinery--0.6% 5,000 Amada Co., Ltd. 16,073
13,000 Ebara Corporation 45,688
2,100 Fanuc Ltd. 104,060
27,000 Ishikawajima-Harima Heavy Industries Co., Ltd. 30,356
61,000 Kawasaki Heavy Industries Ltd. 62,486
25,000 Komatsu Ltd. 95,773
12,000 Koyo Seiko Co. 85,846
39,000 Kubota Corporation 105,884
3,000 Kurita Water Industries Ltd. 33,204
17,000 Minebea Company Ltd. 67,391
72,000 Mitsubishi Heavy Industries, Ltd. 186,483
15,000 Mitsui Engineering & Shipbuilding Co., Ltd. 18,863
13,000 NGK Insulators, Ltd. 72,105
14,000 NSK Limited 44,539
3,000 NTN Corporation 11,093
2,200 SMC Corporation 185,234
30,000 Sumitomo Heavy Industries, Ltd. (a) 44,472
8,000 Takuma Co., Ltd. 38,909
-----------
1,248,459
------------------------------------------------------------------------------------------------------------------
Marine--0.1% 2,000 Kawasaki Kisen Kaisha, Ltd. 4,830
46,000 Nippon Yusen Kabushiki Kaisha 179,288
-----------
184,118
------------------------------------------------------------------------------------------------------------------
Media--0.0% 600 Asatsu-Dk Inc. 10,743
9 Dentsu Inc. 28,032
13 Fuji Television Network, Incorporated 45,905
5,000 Toho Co., Ltd. 43,889
4,000 Tokyo Broadcasting System, Inc. 48,736
-----------
177,305
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.3% 4,000 Dowa Mining Co., Ltd. 15,357
9,100 JFE Holdings, Inc. 136,415
35,000 Mitsubishi Materials Corporation 44,889
20,000 Mitsui Mining & Smelting Co., Ltd. 59,130
198,000 Nippon Steel Corporation 272,080
107,000 Sumitomo Metal Industries, Ltd. 73,962
19,000 Sumitomo Metal Mining Co. 72,788
-----------
674,621
------------------------------------------------------------------------------------------------------------------
Multiline Retail--0.1% 9,000 The Daimaru, Inc. 36,127
6,000 Hankyu Department Stores, Inc. 34,928
8,000 Isetan Company Ltd. 53,900
6,000 Marui Co., Ltd. 53,317
16,000 Mitsukoshi, Ltd. 42,107
19,000 Takashimaya Co., Ltd. 94,466
-----------
314,845
------------------------------------------------------------------------------------------------------------------
Office Electronics--0.8% 23,000 Canon, Inc. 1,055,424
21,000 Ricoh Co., Ltd. 343,136
-----------
1,398,560
------------------------------------------------------------------------------------------------------------------
Oil & Gas--0.1% 33,500 Nippon Mining Holdings, Inc. 72,538
54,000 Nippon Mitsubishi Oil Corp. 234,304
6,000 Showa Shell Sekiyu K.K. 43,073
-----------
349,915
------------------------------------------------------------------------------------------------------------------
Paper & Forest 22 Nippon Unipac Holding 85,930
Products--0.2% 27,000 Oji Paper Co., Ltd. 118,051
-----------
203,981
------------------------------------------------------------------------------------------------------------------
Personal Products--0.1% 7,000 Kanebo, Ltd. (a) 8,278
15,000 Shiseido Company, Limited 145,784
-----------
154,062
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--1.2% 8,900 Chugai Pharmaceutical Co., Ltd. 101,100
8,000 Daiichi Pharmaceutical Co., Ltd. 104,202
6,000 Eisai Company, Ltd. 123,423
10,000 Fujisawa Pharmaceutical Co., Ltd. 187,383
8,000 Kaken Pharmaceutical Co., Ltd. 42,907
7,000 Kyowa Hakko Kogyo Co., Ltd. 37,776
13,000 Sankyo Company, Ltd. 155,253
8,000 Shionogi & Co., Ltd. 108,399
4,000 Taisho Pharmaceutical Company, Ltd. 57,764
23,000 Takeda Chemical Industries, Ltd. 848,553
6,000 Yamanouchi Pharmaceutical Co., Ltd. 156,402
-----------
1,923,162
------------------------------------------------------------------------------------------------------------------
28 & 29
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Japan Real Estate--0.4% 21 Japan Real Estate Investment Corporation $ 113,329
(concluded) 19,000 Mitsubishi Estate Company, Limited 128,645
23,000 Mitsui Fudosan Co., Ltd. 146,917
22 Office Building Fund of Japan Incorporated 120,375
17,000 Sumitomo Realty & Development Co., Ltd. 75,603
-----------
584,869
------------------------------------------------------------------------------------------------------------------
Road & Rail--0.7% 31 Central Japan Railway Company 222,028
92 East Japan Railway Company 409,144
15,000 Keihin Electric Express Railway Co., Ltd. 73,329
39,000 Kinki Nippon Railway Co., Ltd. 101,337
37,000 Nippon Express Co., Ltd. 143,594
13,000 Seino Transportation Co., Ltd. 74,379
6,000 Tobu Railway Co., Ltd. 17,039
33,000 Tokyu Corporation 106,359
46 West Japan Railway Company 174,308
-----------
1,321,517
------------------------------------------------------------------------------------------------------------------
Semiconductors & 2,000 Advantest Corporation 88,611
Semiconductor 10,000 Nikon Corporation 82,365
Equipment--0.5% 2,800 Rohm Company Ltd. 305,243
4,400 Tokyo Electron Limited 208,503
-----------
684,722
------------------------------------------------------------------------------------------------------------------
Software--0.1% 2,600 Konami Co., Ltd. 46,554
3,100 Namco Ltd. 49,466
2,600 Nintendo Company Ltd. 189,032
4,800 Sega Enterprises Ltd. (a) 34,099
4,000 Trend Micro Incorporated (a) 62,128
-----------
381,279
------------------------------------------------------------------------------------------------------------------
Specialty Retail--0.0% 2,800 Aoyamma Trading Co., Ltd. 37,310
1,300 Autobacs Seven Co., Ltd. 24,306
1,000 Fast Retailing Co., Ltd. 30,897
600 Shimamura Co., Ltd. 33,129
600 Yamada Denki Co. Ltd. 13,242
-----------
138,884
------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 1,000 Nisshinbo Industries Inc. 4,580
Luxury Goods--0.0% 4,000 Onward Kashiyama Co., Ltd. 32,313
2,000 Toyobo Co., Ltd. 3,481
5,000 Wacoal Corp. 38,934
1,600 World Co., Ltd. 30,314
-----------
109,622
------------------------------------------------------------------------------------------------------------------
Tobacco--0.1% 25 Japan Tobacco, Inc. 135,124
------------------------------------------------------------------------------------------------------------------
Trading Companies & 35,000 ITOCHU Corporation 88,028
Distributors--0.5% 61,000 Marubeni Corporation 79,250
22,000 Mitsubishi Corporation 152,621
47,000 Mitsui & Co., Ltd. 235,636
21,000 Sumitomo Corporation 96,889
-----------
652,424
------------------------------------------------------------------------------------------------------------------
Transportation 8,000 Mitsubishi Logistics Corp. 48,370
Infrastructure--0.0%
------------------------------------------------------------------------------------------------------------------
Wireless 489 NTT DoCoMo, Inc. 1,058,838
Telecommunication
Services--0.6%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan (Cost--$39,717,175)--19.6% 35,029,701
===================================================================================================================================
Netherlands Air Freight & Logistics--0.1% 10,581 TNT Post Group NV 183,718
------------------------------------------------------------------------------------------------------------------
Beverages--0.1% 6,000 Heineken NV 212,904
------------------------------------------------------------------------------------------------------------------
Chemicals--0.2% 8,649 Akzo Nobel NV 229,232
1,361 DSM NV 57,390
-----------
286,622
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.5% 46,408 ABN AMRO Holding NV 887,322
------------------------------------------------------------------------------------------------------------------
Commercial Services & 7,896 Vedior NV 'A' 71,545
Supplies--0.1%
------------------------------------------------------------------------------------------------------------------
Diversified Financial 49,607 ING Groep NV 861,898
Services--0.5%
------------------------------------------------------------------------------------------------------------------
Diversified 52,705 KPN NV (a) 373,432
Telecommunication
Services--0.2%
------------------------------------------------------------------------------------------------------------------
Energy Equipment & 926 IHC Caland NV 47,278
Service--0.0%
------------------------------------------------------------------------------------------------------------------
Food & Staples 17,283 Koninklijke Ahold NV 143,493
Retailing--0.1%
------------------------------------------------------------------------------------------------------------------
Food Products--0.6% 7,546 Koninklijke Numico NV 116,117
16,207 Unilever NV 'A' 869,520
-----------
985,637
------------------------------------------------------------------------------------------------------------------
Household Durables--0.4% 37,983 Koninklijke (Royal) Philips Electronics NV (a) 722,310
------------------------------------------------------------------------------------------------------------------
30 & 31
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Netherlands Insurance--0.2% 40,525 Aegon NV $ 405,801
(concluded) Media--0.3% 14,552 Elsevier NV 171,620
7,054 VNU NV 217,335
10,798 Wolters Kluwer NV 'A' 130,199
-----------
519,154
------------------------------------------------------------------------------------------------------------------
Office Electronics--0.0% 194 Oce NV 2,003
------------------------------------------------------------------------------------------------------------------
Oil & Gas--1.6% 62,651 Royal Dutch Petroleum Company 2,908,027
------------------------------------------------------------------------------------------------------------------
Real Estate--0.0% 1,655 Corio NV 53,253
------------------------------------------------------------------------------------------------------------------
Semiconductors & 15,150 ASM Lithography Holding NV (a) 143,877
Semiconductor
Equipment--0.1%
------------------------------------------------------------------------------------------------------------------
Specialty Retail--0.0% 1,228 Vendex KBB NV 14,215
------------------------------------------------------------------------------------------------------------------
Trading Companies & 2,945 Hagemeyer NV 11,329
Distributors--0.0%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands
(Cost--$10,725,151)--5.0% 8,833,818
===================================================================================================================================
New Zealand Construction Materials--0.0% 20,926 Fletcher Building Limited 44,962
------------------------------------------------------------------------------------------------------------------
Diversified 62,565 Telecom Corporation of New Zealand Limited 191,934
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.1% 31,055 Contact Energy Limited 91,815
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 1,054 Fisher & Paykel Industries Limited 7,615
Supplies--0.0%
------------------------------------------------------------------------------------------------------------------
Household Durables--0.0% 1,098 Fisher & Paykel Appliances Holdings Limited 8,775
------------------------------------------------------------------------------------------------------------------
Multiline Retail--0.0% 16,257 The Warehouse Group Limited 49,301
------------------------------------------------------------------------------------------------------------------
Paper & Forest 7,526 Carter Holt Harvey Limited 7,887
Products--0.0% 9,927 Fletcher Challenge Forests (a) 6,684
-----------
14,571
------------------------------------------------------------------------------------------------------------------
Transportation 16,200 Auckland International Airport Limited 58,139
Infrastructure--0.1%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand (Cost--$312,613)--0.3% 467,112
===================================================================================================================================
Norway Airlines--0.0% 2,392 SAS AB (a) 12,924
------------------------------------------------------------------------------------------------------------------
Beverages--0.0% 2,153 Orkla ASA 'A' 37,283
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.1% 22,060 DNB Holding ASA 108,796
------------------------------------------------------------------------------------------------------------------
Communications 2,592 Tandberg ASA (a) 13,430
Equipment--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified 8,900 Telenor A/S (ADR) (b) 113,475
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Energy Equipment & 4,090 Aker Kvaerner ASA (a) 53,963
Service--0.1% 3,691 Smedvig ASA 'A' 23,470
-----------
77,433
------------------------------------------------------------------------------------------------------------------
Insurance--0.0% 18,604 Storebrand ASA (a) 74,742
------------------------------------------------------------------------------------------------------------------
Machinery--0.0% 2,598 Tomra Systems ASA 11,157
------------------------------------------------------------------------------------------------------------------
Media--0.0% 3,568 Schibsted ASA 49,429
------------------------------------------------------------------------------------------------------------------
Oil & Gas--0.2% 5,649 Norsk Hydro ASA 277,817
------------------------------------------------------------------------------------------------------------------
6,904 Statoil ASA 58,821
-----------
336,638
------------------------------------------------------------------------------------------------------------------
Paper & Forest 3,089 Norske Skogindustrier ASA 46,217
Products--0.0%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway (Cost--$978,317)--0.5% 881,524
===================================================================================================================================
Portugal Commercial Banks--0.3% 41,741 BPI-SGPS, SA (Registered Shares) 117,916
48,091 Banco Comercial Portugues, SA (BCP) (Registered Shares) 84,495
8,484 Banco Espirito Santo, SA (Registered Shares) 125,680
-----------
328,091
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.0% 15,305 CIMPOR--Cimentos de Portugal, SGPS, SA 58,175
------------------------------------------------------------------------------------------------------------------
Diversified 22,054 Portugal Telecom SA (Registered Shares) 158,032
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.0% 34,389 Eletricidade de Portugal, SA (EDP) 73,452
------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing--0.0% 3,120 Jeronimo Martins SGPS, SA (a) 24,686
------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates--0.0% 2,561 Sonae, S.G.P.S., SA (a) 1,441
------------------------------------------------------------------------------------------------------------------
Media--0.0% 2,349 PT Multimedia-Servicos de Telecomunicacoes e Multimedia,
SGPS, SA (a) 41,136
------------------------------------------------------------------------------------------------------------------
Transportation 11,704 Brisa--Auto Estradas de Portugal, SA 65,857
Infrastructure--0.0%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Portugal (Cost--$853,320)--0.4% 750,870
===================================================================================================================================
32 & 33
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Singapore Aerospace & Defense--0.0% 56,213 Singapore Technologies Engineering Ltd. $ 55,543
------------------------------------------------------------------------------------------------------------------
Airlines--0.1% 20,582 Singapore Airlines Limited 121,552
------------------------------------------------------------------------------------------------------------------
Beverages--0.0% 4,263 Fraser & Neave Limited 20,819
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.4% 26,751 DBS Group Holdings Limited 156,465
32,598 Oversea-Chinese Banking Corporation Ltd. 185,111
43,204 United Overseas Bank Ltd. 304,219
-----------
645,795
------------------------------------------------------------------------------------------------------------------
Computers & Peripherals--0.0% 5,907 Creative Technology Limited 47,296
------------------------------------------------------------------------------------------------------------------
Distributors--0.0% 2,461 Cycle & Carriage Ltd. 6,903
------------------------------------------------------------------------------------------------------------------
Diversified 103,718 Singapore Telecommunications, Ltd. 88,935
Telecommunication
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 11,000 Venture Manufacturing (Singapore) Ltd. 100,568
Instruments--0.1%
------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 2,631 Overseas Union Enterprise Ltd. 10,458
Leisure--0.0%
------------------------------------------------------------------------------------------------------------------
Industrial 1,766 Haw Par Corporation Ltd. 4,352
Conglomerates--0.1% 33,914 Keppel Corporation Ltd. 94,366
24,154 Sembcorp Industries Limited 17,557
-----------
116,275
------------------------------------------------------------------------------------------------------------------
Marine--0.0% 18,873 Neptune Orient Lines Limited (a) 15,861
------------------------------------------------------------------------------------------------------------------
Media--0.0% 5,792 Singapore Press Holdings Ltd. 60,189
------------------------------------------------------------------------------------------------------------------
Real Estate--0.0% 33,833 Capitaland Limited 23,823
20,535 City Developments Limited 51,775
-----------
75,598
------------------------------------------------------------------------------------------------------------------
Road & Rail--0.0% 104,816 ComfortDelGro Corporation Limited (a) 47,914
------------------------------------------------------------------------------------------------------------------
Semiconductors & 13,000 Chartered Semiconductor Manufacturing Limited (a) 6,718
Semiconductor 1,120 Chartered Semiconductor Manufacturing
Equipment--0.0% Limited (ADR) (a)(b) 5,768
-----------
12,486
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore (Cost--$1,659,325)--0.8% 1,426,192
===================================================================================================================================
South Africa Beverages--0.1% 27,200 SABMiller PLC 182,117
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in South Africa (Cost--$194,019)--0.1% 182,117
===================================================================================================================================
Spain Airlines--0.0% 15,500 Iberia Lineas Aereas de Espana SA 30,081
------------------------------------------------------------------------------------------------------------------
Biotechnology--0.0% 6,228 Zeltia, SA 42,053
------------------------------------------------------------------------------------------------------------------
Commercial Banks--1.3% 83,773 Banco Bilbao Vizcaya, SA 880,236
5,888 Banco Popular Espanol SA 297,505
132,471 Banco Santander Central Hispano SA 1,160,699
-----------
2,338,440
------------------------------------------------------------------------------------------------------------------
Construction & 1,897 ACS, Actividades de Construccion y Servicios, SA 80,928
Engineering--0.1% 2,428 Fomento de Construcciones y Contratas SA 67,837
6,180 Grupo Dragados SA 124,407
-----------
273,172
------------------------------------------------------------------------------------------------------------------
Diversified 138,653 Telefonica SA 1,609,736
Telecommunication 1,081 Telefonica SA (ADR) (b) 37,370
Services--0.9% -----------
1,647,106
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.5% 25,765 Endesa SA 431,382
20,100 Iberdrola SA 348,074
8,715 Union Electrica Fenosa, SA 147,616
-----------
927,072
------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.1% 6,184 Gas Natural SDG, SA 'E' 124,274
------------------------------------------------------------------------------------------------------------------
IT Services--0.0% 835 Amadeus Global Travel Distribution SA 'A' 4,785
------------------------------------------------------------------------------------------------------------------
Insurance--0.1% 7,932 Corporacion Mapfre SA 84,711
------------------------------------------------------------------------------------------------------------------
Internet Software & 12,990 Terra Networks, SA (a) 78,613
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.1% 2,745 Acerinox SA 104,906
------------------------------------------------------------------------------------------------------------------
Oil & Gas--0.2% 27,190 Repsol-YPF, SA 440,878
------------------------------------------------------------------------------------------------------------------
Real Estate--0.0% 4,963 Vallehermoso SA 55,055
------------------------------------------------------------------------------------------------------------------
Specialty Retail--0.1% 5,665 Industria de Disenso Textil, SA 142,468
------------------------------------------------------------------------------------------------------------------
Tobacco--0.1% 6,366 Altadis 163,168
------------------------------------------------------------------------------------------------------------------
Transportation 6,334 Autopistas, Concesionaria Espanola SA 88,520
Infrastructure--0.1%
------------------------------------------------------------------------------------------------------------------
Water Utilities--0.0% 3,496 Sociedad General de Aguas de Barcelona, SA 47,774
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain (Cost--$5,373,299)--3.7% 6,593,076
===================================================================================================================================
Sweden Airlines--0.0% 1,680 SAS AB (a) 9,218
------------------------------------------------------------------------------------------------------------------
Auto Components--0.0% 358 Trelleborg AB (Class B) 3,824
------------------------------------------------------------------------------------------------------------------
Building Products--0.1% 8,188 Assa Abloy AB 'B' 79,272
------------------------------------------------------------------------------------------------------------------
Commercial Banks--0.5% 81,914 Nordbanken Holding AB 394,991
19,255 Skandinaviska Enskilda Banken (SEB) 'A' 196,039
21,104 Svenska Handelsbanken AB 345,364
-----------
936,394
------------------------------------------------------------------------------------------------------------------
34 & 35
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
Sweden Commercial Services & 12,631 Securitas AB 'B' $ 129,388
(concluded) Supplies--0.1%
------------------------------------------------------------------------------------------------------------------
Communications 1,407 Telefonaktiebolaget LM Ericsson (Sponsored ADR) (a)(b) 14,956
Equipment--0.2% 380,392 Telefonaktiebolaget LM Ericsson AB 'B' (a) 408,669
-----------
423,625
------------------------------------------------------------------------------------------------------------------
Construction & 11,713 Skanska AB 'B' 66,869
Engineering--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified Financial 1,010 OM Gruppen AB 7,192
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified 3,784 Tele2 AB 'B' (a) 140,630
Telecommunication 28,554 Telia AB 118,426
Services--0.2% -----------
259,056
------------------------------------------------------------------------------------------------------------------
Health Care Providers & 3,981 Gambro AB 'B' 26,358
Services--0.0%
------------------------------------------------------------------------------------------------------------------
Household Durables--0.1% 9,442 Electrolux AB 'B' 186,364
------------------------------------------------------------------------------------------------------------------
IT Services--0.0% 4,275 WM-Data AB 'B' (a) 6,515
------------------------------------------------------------------------------------------------------------------
Insurance--0.0% 26,306 Skandia Forsakrings AB 69,996
------------------------------------------------------------------------------------------------------------------
Machinery--0.4% 6,014 Atlas Copco AB 'A' 152,135
4,117 SKF AB 'B' 118,805
8,210 Sandvik AB 214,866
1,148 Volvo AB 'A' 24,093
8,230 Volvo AB 'B' 180,948
-----------
690,847
------------------------------------------------------------------------------------------------------------------
Media--0.0% 2,810 Modern Times Group MTG AB 'B' (a) 43,177
------------------------------------------------------------------------------------------------------------------
Paper & Forest 277 Billerud 3,235
Products--0.2% 7,546 Svenska Cellulosa AB (SCA) 'B' 257,819
-----------
261,054
------------------------------------------------------------------------------------------------------------------
Real Estate--0.0% 1,400 Drott AB 'B' 17,664
------------------------------------------------------------------------------------------------------------------
Specialty Retail--0.2% 16,531 Hennes & Mauritz AB 'B' 379,978
------------------------------------------------------------------------------------------------------------------
Tobacco--0.1% 11,456 Swedish Match AB 86,582
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden (Cost--$4,190,200)--2.1% 3,683,373
===================================================================================================================================
Switzerland Biotechnology--0.1% 291 Serono SA 'B' 171,006
------------------------------------------------------------------------------------------------------------------
Capital Markets--1.7% 33,776 Credit Suisse Group 888,941
37,606 UBS AG (Registered Shares) 2,091,921
-----------
2,980,862
------------------------------------------------------------------------------------------------------------------
Chemicals--0.4% 2,833 Ciba Specialty Chemicals AG (Registered Shares) 171,500
1,294 Clariant AG (Registered Shares) (a) 11,846
345 Givaudan (Registered Shares) 145,177
2,834 Lonza Group AG (Registered Shares) 129,717
2,268 Syngenta AG 113,689
-----------
571,929
------------------------------------------------------------------------------------------------------------------
Commercial Services & 4,777 Adecco SA (Registered Shares) 196,786
Supplies--0.1% 62 SGS Societe Generale de Surveillance Holding SA 'R' 24,213
-----------
220,999
------------------------------------------------------------------------------------------------------------------
Computers & Peripherals--0.0% 269 Logitech International SA (Registered Shares) (a) 10,088
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.1% 4,220 Holcim Ltd. (Registered Shares) 155,927
------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 988 Swisscom AG (Registered Shares) 280,817
Services--0.2%
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.1% 43,465 ABB Ltd. (a) 142,792
------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 1,763 Kudelski SA (Bearer) (a) 31,953
Instruments--0.0%
------------------------------------------------------------------------------------------------------------------
Food Products--1.4% 12,235 Nestle SA (Registered Shares) 2,524,589
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 528 Centerpulse AG (Registered Shares) (a) 142,081
Supplies--0.1% 55 Synthes-Stratec Inc. 39,508
-----------
181,589
------------------------------------------------------------------------------------------------------------------
Insurance--0.6% 10,042 Swiss Re (Registered Shares) 556,386
4,302 Zurich Financial Services AG 512,918
-----------
1,069,304
------------------------------------------------------------------------------------------------------------------
Machinery--0.0% 133 Sulzer AG (Registered Shares) 18,582
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--2.6% 71,573 Novartis AG (Registered Shares) 2,832,168
22,362 Roche Holding AG 1,754,060
911 Roche Holding AG (Bearer) 111,979
-----------
4,698,207
------------------------------------------------------------------------------------------------------------------
Semiconductors & 136 Unaxis Holding AG 'R' 11,069
Semiconductor
Equipment--0.0%
------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 15,784 Compagnie Financiere Richemont AG 'A' 255,191
Luxury Goods--0.1% 449 Swatch Group AG 'B' 40,689
2,276 Swatch Group AG (Registered Shares) 41,418
-----------
337,298
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland
(Cost--$13,689,447)--7.5% 13,407,011
===================================================================================================================================
36 & 37
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
United Kingdom Aerospace & Defense--0.2% 111,566 BAE Systems PLC $ 262,343
74,522 Rolls-Royce Group PLC 157,712
-----------
420,055
------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics--0.1% 9,717 Ocean Group PLC 99,735
------------------------------------------------------------------------------------------------------------------
Airlines--0.0% 16,342 British Airways PLC (a) 40,855
------------------------------------------------------------------------------------------------------------------
Auto Components--0.1% 21,805 GKN PLC 80,059
------------------------------------------------------------------------------------------------------------------
Automobiles--0.0% 1,025 TI Automotive Limited 'A' (a) 0
------------------------------------------------------------------------------------------------------------------
Beverages--0.6% 88,284 Diageo PLC 942,561
16,039 Scottish & Newcastle PLC 97,001
-----------
1,039,562
------------------------------------------------------------------------------------------------------------------
Biotechnology--0.1% 14,811 Celltech Group PLC (a) 83,830
------------------------------------------------------------------------------------------------------------------
Building Products--0.0% 53,235 Pilkington PLC 58,198
------------------------------------------------------------------------------------------------------------------
Capital Markets--0.2% 23,991 3i Group PLC 223,676
9,940 Amvescap PLC 68,562
2,797 Close Brothers Group PLC 29,885
12,480 Man Group PLC 246,303
4,105 Schroders PLC 42,658
-----------
611,084
------------------------------------------------------------------------------------------------------------------
Chemicals--0.1% 18,186 BOC Group PLC 233,325
21,892 Imperial Chemical Industries PLC 44,343
-----------
277,668
------------------------------------------------------------------------------------------------------------------
Commercial Banks--5.8% 188,577 Barclays PLC 1,400,310
118,418 HBOS PLC 1,532,970
310,085 HSBC Holdings PLC 3,663,674
4,900 HSBC Holdings PLC (ADR) (b) 289,639
145,116 Lloyds TSB Group PLC 1,030,289
2,530 Lloyds TSB Group PLC (ADR) (b) 73,395
83,854 Royal Bank of Scotland Group PLC 2,352,317
-----------
10,342,594
------------------------------------------------------------------------------------------------------------------
Commercial Services & 31,990 Brambles Industries PLC 86,573
Supplies--0.3% 5,197 Bunzl PLC 36,426
29,810 Capita Group PLC 111,172
13,844 Chubb PLC 17,248
68,298 Hays PLC 108,194
66,396 Rentokil Initial PLC 207,348
2,405 Serco Group PLC 6,350
-----------
573,311
------------------------------------------------------------------------------------------------------------------
Construction & 18,532 AMEC PLC 79,509
Engineering--0.1% 30,308 BICC PLC 96,525
-----------
176,034
------------------------------------------------------------------------------------------------------------------
Construction Materials--0.1% 8,834 BPB PLC 44,753
28,353 Hanson PLC 158,022
7,554 RMC Group PLC 57,558
-----------
260,333
------------------------------------------------------------------------------------------------------------------
Consumer Finance--0.0% 7,073 Provident Financial PLC 74,406
------------------------------------------------------------------------------------------------------------------
Containers & 16,452 Rexam PLC 103,435
Packaging--0.1%
------------------------------------------------------------------------------------------------------------------
Diversified 263,060 BT Group PLC 884,455
Telecommunication 900 BT Group PLC (ADR) (b) 30,294
Services--0.6% 48,379 Cable & Wireless PLC 90,211
-----------
1,004,960
------------------------------------------------------------------------------------------------------------------
Electric Utilities--0.4% 29,957 Scottish and Southern Energy PLC 308,465
50,102 ScottishPower PLC 300,940
993 ScottishPower PLC (ADR) (b) 24,140
-----------
633,545
------------------------------------------------------------------------------------------------------------------
Electrical Equipment--0.0% 1,460 Kidde PLC 2,048
------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 12,308 Electrocomponents PLC 65,906
Instruments--0.0%
------------------------------------------------------------------------------------------------------------------
Food & Staples 20,529 Boots Group PLC 219,685
Retailing--0.8% 31,443 J Sainsbury PLC 131,789
38,721 Safeway PLC 164,531
233,934 Tesco PLC 846,362
-----------
1,362,367
------------------------------------------------------------------------------------------------------------------
Food Products--0.5% 70,284 Cadbury Schweppes PLC 415,205
8,252 Tate & Lyle PLC 46,638
75,508 Unilever PLC 601,192
-----------
1,063,035
------------------------------------------------------------------------------------------------------------------
Gas Utilities--0.3% 150,436 Centrica PLC 436,285
------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 27,874 Nycomed Amersham PLC 209,168
Supplies--0.2% 3,902 Seton Scholl Healthcare Group PLC 18,930
23,723 Smith & Nephew PLC 136,328
-----------
364,426
------------------------------------------------------------------------------------------------------------------
38 & 39
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
United Kingdom Hotels, Restaurants & 6,324 Carnival PLC $ 192,125
(continued) Leisure--0.7% 62,507 Compass Group PLC 337,029
69,991 Hilton Group PLC 212,512
28,847 InterContinental Hotels Group PLC (a) 204,691
40,487 Mitchells & Butlers PLC (a) 156,165
29,178 Rank Group PLC 119,889
1,813 Whitbread PLC 20,284
-----------
1,242,695
------------------------------------------------------------------------------------------------------------------
Household Durables--0.1% 546 Barratt Developments PLC 3,892
21,841 George Wimpey PLC 106,321
1,561 Taylor Woodrow PLC 5,178
-----------
115,391
------------------------------------------------------------------------------------------------------------------
Household Products--0.2% 21,576 Reckitt Benckiser PLC 395,912
------------------------------------------------------------------------------------------------------------------
IT Services--0.1% 45,320 Logica PLC 107,129
------------------------------------------------------------------------------------------------------------------
Industrial 9,108 FKI PLC 11,986
Conglomerates--0.2% 13,554 Smiths Industries PLC 157,234
40,701 Tomkins PLC 152,459
-----------
321,679
------------------------------------------------------------------------------------------------------------------
Insurance--0.7% 67,201 AVIVA PLC 466,577
32,421 Friends Provident PLC 60,722
191,597 Legal & General Group PLC 265,577
60,807 Prudential Corporation PLC 368,250
72,384 Royal & Sun Alliance Insurance Group PLC 165,729
-----------
1,326,855
------------------------------------------------------------------------------------------------------------------
Internet & Catalog 35,771 The Great Universal Stores PLC 400,797
------------------------------------------------------------------------------------------------------------------
Retail--0.2%
------------------------------------------------------------------------------------------------------------------
Machinery--0.0% 11,268 IMI PLC 55,782
127,264 Invensys PLC 43,051
-----------
98,833
------------------------------------------------------------------------------------------------------------------
Media--1.3% 75,089 Aegis Group PLC 98,197
43,678 British Sky Broadcasting Group PLC ("BSkyB") (a) 483,985
38,415 Carlton Communications PLC 96,037
3,119 Daily Mail and General Trust 'A' 29,337
5,946 EMAP PLC 83,940
37,723 EMI Group PLC 75,943
45,137 Granada PLC 67,779
18,799 Pearson PLC 175,580
47,511 Reed Elsevier PLC 395,333
40,508 Reuters Group PLC 117,479
19,481 United Business Media PLC 97,404
31,038 WPP Group PLC 243,282
-----------
1,964,296
------------------------------------------------------------------------------------------------------------------
Metals & Mining--0.6% 78,487 Billiton PLC 413,154
3,020 Johnson Matthey PLC 44,004
33,847 Rio Tinto PLC (Registered Shares) 636,719
-----------
1,093,877
------------------------------------------------------------------------------------------------------------------
Multi-Utilities & 62,528 International Power PLC (a) 133,361
Unregulated Power--0.5% 81,872 National Grid Group PLC 555,265
10,623 United Utilities PLC 103,249
-----------
791,875
------------------------------------------------------------------------------------------------------------------
Multiline Retail--0.3% 52,033 Marks & Spence Group PLC 271,110
11,491 Next PLC 194,643
-----------
465,753
------------------------------------------------------------------------------------------------------------------
Oil & Gas--4.0% 103,543 BG Group PLC 458,763
652,016 BP Amoco PLC 4,521,568
3,849 BP Amoco PLC (ADR) (b) 161,735
299,741 Shell Transport & Trading Company 1,978,469
-----------
7,120,535
------------------------------------------------------------------------------------------------------------------
Pharmaceuticals--3.2% 50,744 AstraZeneca Group PLC 2,034,764
800 Glaxo Wellcome PLC (ADR) (b) 32,432
185,087 GlaxoSmithKline PLC 3,735,300
-----------
5,802,496
------------------------------------------------------------------------------------------------------------------
Real Estate--0.2% 23,225 The British Land Company PLC 184,246
11,328 Canary Wharf Group PLC 47,854
6,585 Hammerson PLC 53,842
18,331 Land Securities Group PLC 236,395
4,393 Liberty International PLC 44,908
473 Slough Estates PLC 2,667
-----------
569,912
------------------------------------------------------------------------------------------------------------------
Road & Rail--0.1% 20,287 FirstGroup PLC 90,387
18,574 Stagecoach Holdings PLC 19,003
-----------
109,390
------------------------------------------------------------------------------------------------------------------
40 & 41
June 30, 2003
SCHEDULE OF INVESTMENTS (continued) (in U.S. dollars)
Master International Index Series (continued)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
United Kingdom Semiconductors & 33,823 ARM Holdings PLC (a) $ 37,395
(concluded) Semiconductor
Equipment--0.0%
------------------------------------------------------------------------------------------------------------------
Software--0.2% 27,041 Misys PLC 114,678
45,501 The Sage Group PLC 121,635
-----------
236,313
------------------------------------------------------------------------------------------------------------------
Specialty Retail--0.5% 43,124 Dixons Group PLC 93,933
98,210 Kingfisher PLC 449,314
79,661 Signet Group PLC 118,636
-----------
661,883
------------------------------------------------------------------------------------------------------------------
Tobacco--0.6% 53,717 British American Tobacco PLC 609,407
26,877 Imperial Tobacco Group PLC 480,322
-----------
1,089,729
------------------------------------------------------------------------------------------------------------------
Trading Companies & 17,741 Wolseley PLC 196,218
Distributors--0.1%
------------------------------------------------------------------------------------------------------------------
Transportation 5,600 Associated British Ports Holdings PLC 36,686
Infrastructure--0.2% 38,222 BAA PLC 309,368
5,728 BBA Group PLC 19,660
11,523 The Peninsular and Oriental Steam Navigation Company 44,684
-----------
410,398
------------------------------------------------------------------------------------------------------------------
Water Utilities--0.1% 15,680 Severn Trent PLC 176,980
------------------------------------------------------------------------------------------------------------------
Wireless 1,943,571 Vodafone Group PLC 3,800,510
Telecommunication 12,490 Vodafone Group PLC (ADR) (b) 245,428
Services--2.2% -----------
4,045,938
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United Kingdom
(Cost--$50,970,539)--26.9% 47,956,010
===================================================================================================================================
United States Computers & 29,000 Datacraft Asia Limited 29,000
Peripherals--0.0%
------------------------------------------------------------------------------------------------------------------
Diversified Financial 2,000 I Shares MSCI EAFE Index Fund 216,620
Services--0.1%
------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United States
(Cost--$300,860)--0.1% 245,620
===================================================================================================================================
Total Investments in Common Stocks
(Cost--$184,062,372)--97.8% 174,629,800
===================================================================================================================================
Preferred Stocks
===================================================================================================================================
Australia Media--0.2% 55,904 The News Corporation Limited 344,552
760 The News Corporation Limited (Convertible) (ADR) (b) 19,038
------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in Australia (Cost--$344,411)--0.2% 363,590
===================================================================================================================================
Germany Automobiles--0.1% 359 Porsche AG 152,123
2,741 Volkswagen AG 82,185
-----------
234,308
------------------------------------------------------------------------------------------------------------------
Household Products--0.1% 1,908 Henkel KGaA 118,120
------------------------------------------------------------------------------------------------------------------
Media--0.0% 4,900 ProSieben Sat.1 Media AG 32,636
------------------------------------------------------------------------------------------------------------------
Multi-Utilities & 2,033 RWE AG 54,723
Unregulated Power--0.0%
------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in Germany (Cost--$517,573)--0.2% 439,787
===================================================================================================================================
New Zealand Paper & Forest 18,827 Fletcher Challenge Forests Ltd. (a) 12,786
Products--0.0%
------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks in New Zealand
(Cost--$12,820)--0.0% 12,786
===================================================================================================================================
Total Investments in Preferred Stocks
(Cost--$874,804)--0.4% 816,163
===================================================================================================================================
Warrants (c)
===================================================================================================================================
France Food & Staples 133 Casino Guichard-Perrachon 21
Retailing--0.0% 133 Casino Guichard-Perrachon 122
------------------------------------------------------------------------------------------------------------------
Total Warrants in France (Cost--$1,580)--0.0% 143
===================================================================================================================================
Hong Kong Electronic Equipment 600 QPL International Holdings Limited 3
& Instruments--0.0%
------------------------------------------------------------------------------------------------------------------
Total Warrants in Hong Kong (Cost--$0)--0.0% 3
===================================================================================================================================
Total Investments in Warrants (Cost--$1,580)--0.0% 146
===================================================================================================================================
42 & 43
June 30, 2003
SCHEDULE OF INVESTMENTS (concluded) (in U.S. dollars)
Master International Index Series (concluded)
------------------------------------------------------------------------------------------------------------------
Shares
COUNTRY Industries* Held Common Stocks Value
===================================================================================================================================
United States US$ 126,669 Merrill Lynch Liquidity Series, LLC Cash Sweep
Series I (e) $ 126,669
------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost--$126,669)--0.1% 126,669
===================================================================================================================================
Total Investments (Cost--$185,065,425)--98.3%175,572,778
Variation Margin on Financial Futures Contracts***--0.3% 573,188
Unrealized Depreciation on Forward Foreign Exchange Contracts**--0.0% (45,335)
Other Assets Less Liabilities--1.4% 2,516,360
------------
Net Assets--100.0% $178,616,991
============
===================================================================================================================================
* For Series compliance purposes, "Industries" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease.
** Forward foreign exchange contracts as of June 30, 2003 were as follows:
--------------------------------------------------------------------------
Foreign Unrealized
Currency Expiration Appreciation
Purchased Date (Depreciation)
--------------------------------------------------------------------------
A$ 450,000 July 2003 $ 3,330
CHF 575,000 July 2003 (8,343)
(E) 875,000 July 2003 (10,026)
(pound) 525,000 July 2003 (14,744)
(Y) 85,000,000 July 2003 (15,423)
SEK 1,000,000 July 2003 (801)
--------------------------------------------------------------------------
Total Unrealized Depreciation on
Forward Foreign Exchange Contracts--Net
(US$ Commitment--$3,474,492) $ (46,007)
---------
--------------------------------------------------------------------------
Foreign Unrealized
Currency Expiration Appreciation
Sold Date (Depreciation)
--------------------------------------------------------------------------
CHF 125,000 July 2003 $ 100
(E) 225,000 July 2003 (678)
(pound) 150,000 July 2003 243
(Y) 35,000,000 July 2003 1,007
--------------------------------------------------------------------------
Total Unrealized Appreciation on
Forward Foreign Exchange Contracts--Net
(US$ Commitment--$890,011) $ 672
---------
--------------------------------------------------------------------------
Total Unrealized Depreciation on
Forward Foreign Exchange Contracts--Net $ (45,335)
=========
--------------------------------------------------------------------------
*** Financial futures contracts purchased as of June 30, 2003 were as follows:
--------------------------------------------------------------------------
Number of Expiration
Contracts Issue Exchange Date Value
--------------------------------------------------------------------------
54 EURO DJ EURO September 2003 $1,505,004
2 FTSE LIFFE September 2003 132,474
2 SPI 200 SFE September 2003 101,201
15 TOPIX Toyko September 2003 1,128,669
--------------------------------------------------------------------------
Total Financial Futures Contracts Purchased
(Total Contract Price--$2,858,989) $2,867,348
==========
--------------------------------------------------------------------------
(a) Non-income producing security.
(b) American Depositary Receipts (ADR).
(c) Warrants entitle the Series to purchase a predetermined number of shares
of common stock and are non-income producing. The purchase price and
number of shares are subject to adjustment under certain conditions until
the expiration date.
(d) The rights may be exercised until 07/03/2003.
(e) Investments in companies considered to be an affiliate of the Series (such
companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
--------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I $(3,962,405) $24,085
--------------------------------------------------------------------------
See Notes to Financial Statements.
STATEMENT OF ASSETS AND LIABILITIES
MASTER
INTERNATIONAL
INDEX SERIES As of June 30, 2003
=============================================================================================================================
Assets: Investments, at value (including securities loaned of $19,972,573)
(identified cost--$185,065,425) ................................... $ 175,572,778
Cash held as collateral for loaned securities ..................... 21,102,830
Cash on deposit for financial futures contracts ................... 846,990
Cash .............................................................. 307,538
Foreign cash (cost--$1,476,824) ................................... 1,498,784
Receivables:
Variation margin ................................................ $ 573,188
Dividends ....................................................... 545,600
Contributions ................................................... 285,047
Securities sold ................................................. 75,647
Interest ........................................................ 3,659 1,483,141
-------------
Prepaid expenses .................................................. 1,265
-------------
Total assets ...................................................... 200,813,326
-------------
=============================================================================================================================
Liabilities: Collateral on securities loaned, at value ......................... 21,102,830
Unrealized depreciation on forward foreign exchange contracts ..... 45,335
Payables:
Withdrawals ..................................................... 854,475
Securities purchased ............................................ 83,634
Forward foreign exchange contracts .............................. 81,307
Investment adviser .............................................. 1,618
Other affiliates ................................................ 950 1,021,984
-------------
Accrued expenses and other liabilities ............................ 26,186
-------------
Total liabilities ................................................. 22,196,335
-------------
=============================================================================================================================
Net Assets: Net assets ........................................................ $ 178,616,991
=============
=============================================================================================================================
Net Assets Investors' capital ................................................ $ 188,092,903
Consist of: Unrealized depreciation on investments and foreign currency
transactions--net ................................................. (9,475,912)
-------------
Net assets ........................................................ $ 178,616,991
=============
=============================================================================================================================
See Notes to Financial Statements.
44 & 45
June 30, 2003
STATEMENT OF OPERATIONS
MASTER
INTERNATIONAL
INDEX SERIES For the Six Months Ended June 30, 2003
=============================================================================================================================
Investment Income: Dividends (net of $385,076 foreign withholding tax) ............... $ 2,983,719
Interest .......................................................... 40,693
Securities lending--net ........................................... 46,521
-------------
Total income ...................................................... 3,070,933
-------------
=============================================================================================================================
Expenses: Professional fees ................................................. $ 48,644
Custodian fees .................................................... 39,133
Accounting services ............................................... 17,100
Investment advisory fees .......................................... 8,420
Trustees' fees and expenses ....................................... 1,282
Printing and shareholder reports .................................. 696
Other ............................................................. 6,513
-------------
Total expenses before reimbursement ............................... 121,788
Reimbursement of expenses ......................................... (17,696)
-------------
Total expenses after reimbursement ................................ 104,092
-------------
Investment income--net ............................................ 2,966,841
-------------
=============================================================================================================================
Realized & Realized gain (loss) from:
Unrealized Gain Investments--net ................................................ (2,775,543)
(Loss) on Foreign currency transactions--net .............................. 718,557 (2,056,986)
Investments & -------------
Foreign Currency Change in unrealized appreciation/depreciation on:
Transactions--Net: Investments--net ................................................ 16,509,484
Foreign currency transactions--net .............................. (246,717) 16,262,767
------------- -------------
Total realized and unrealized gain on investments and foreign
currency transactions--net ........................................ 14,205,781
-------------
Net Increase in Net Assets Resulting from Operations .............. $ 17,172,622
=============
=============================================================================================================================
See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
For the Six For the
MASTER Months Ended Year Ended
INTERNATIONAL June 30, December 31,
INDEX SERIES Increase (Decrease) in Net Assets: 2003 2002
=============================================================================================================================
Operations: Investment income--net ............................................ $ 2,966,841 $ 4,256,606
Realized loss on investments and foreign currency transactions--net (2,056,986) (15,497,931)
Change in unrealized appreciation/depreciation on investments and
foreign currency transactions--net ................................ 16,262,767 (23,022,788)
------------- -------------
Net increase (decrease) in net assets resulting from operations ... 17,172,622 (34,264,113)
------------- -------------
=============================================================================================================================
Capital Proceeds from contributions ....................................... 27,347,229 85,092,571
Transactions: Fair value of withdrawals ......................................... (32,723,192) (79,519,958)
------------- -------------
Increase (decrease) in net assets derived from net capital
contributions ..................................................... (5,375,963) 5,572,613
------------- -------------
=============================================================================================================================
Net Assets: Total increase (decrease) in net assets ........................... 11,796,659 (28,691,500)
Beginning of period ............................................... 166,820,332 195,511,832
------------- -------------
End of period ..................................................... $ 178,616,991 $ 166,820,332
============= =============
=============================================================================================================================
See Notes to Financial Statements.
46 & 47
June 30, 2003
FINANCIAL HIGHLIGHTS
For the
For the Period
Six Months For the Year Ended Dec. 30,
MASTER Ended December 31, 1999+ to
INTERNATIONAL The following ratios have been derived from June 30, --------------------------------- Dec. 31,
INDEX SERIES FUND information provided in the financial statements 2003 2002 2001 2000 1999
==================================================================================================================================
Total Investment 10.25%@ (15.81%) (21.77%) -- --
Return: ========= ========= ========= ========= =========
==================================================================================================================================
Ratios to Average Expenses, net of reimbursement .................... .12%* .08% .08% .08% .08%*
Net Assets: ========= ========= ========= ========= =========
Expenses .......................................... .14%* .16% .39% 1.34% .63%*
========= ========= ========= ========= =========
Investment income--net ............................ 3.52%* 2.21% 1.20% 1.55% 2.14%*
========= ========= ========= ========= =========
==================================================================================================================================
Supplemental Net assets, end of period (in thousands) .......... $ 178,617 $ 166,820 $ 195,512 $ 15,763 $ 10,054
Data: ========= ========= ========= ========= =========
Portfolio turnover ................................ 10.11% 19.52% 30.19% 5.89% .00%
========= ========= ========= ========= =========
==================================================================================================================================
* Annualized.
+ Commencement of operations.
@ Aggregated total investment return.
See Notes to Financial Statements.
NOTES TO FINANCIAL STATEMENTS
MASTER
INTERNATIONAL
INDEX SERIES
1. Significant Accounting Policies:
Master International Index Series (the "Series") is part of Quantitative Master
Series Trust (the "Trust"). The Trust is registered under the Investment Company
Act of 1940, as amended, and is organized as a Delaware statutory trust. The
Declaration of Trust permits the Trustees to issue nontransferable interests in
the Series, subject to certain limitations. The Series' financial statements are
prepared in conformity with accounting principles generally accepted in the
United States of America, which may require the use of management accruals and
estimates. These unaudited financial statements reflect all adjustments, which
are, in the opinion of management, necessary to a fair statement of the results
for the interim period presented. All such adjustments are of a normal,
recurring nature. The following is a summary of significant accounting policies
followed by the Series.
(a) Valuation of investments -- Portfolio securities that are traded on stock
exchanges or the Nasdaq National Market are valued at the last sale price or
official closing price on the exchange on which such securities are traded, as
of the close of business on the day the securities are being valued or, lacking
any sales, at the closing bid price for long positions, and at the last
available ask price for short positions. Securities traded in the
over-the-counter market are valued at the last quoted bid price at the close of
trading on the New York Stock Exchange on each day by brokers that make markets
in the securities. Securities traded in the Nasdaq National Market System are
valued at the last sale price prior to the time of valuation. Portfolio
securities that are traded both in the over-the-counter market and on a stock
exchange are valued according to the broadest and most representative market.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. In the case of options traded in the over-the-counter
market, valuation is the last asked price (options written) or the last bid
price (options purchased). Short-term securities are valued at amortized cost,
which approximates market value. Other investments, including futures contracts
and related options, are stated at market value. Securities and assets for which
market quotations are not readily available are valued at fair market value, as
determined in good faith by or under the direction of the Trust's Board of
Trustees.
(b) Derivative financial instruments -- The Series may engage in various
portfolio investment strategies to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract or if the counterparty does not perform
under the contract.
o Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts. Upon entering into a
contract, the Series deposits and maintains as collateral such initial margin as
required by the exchange on which the transaction is effected. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as variation margin and are recorded by the Series as
unrealized gains or losses. When the contract is closed, the Series records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
o Options -- The Series is authorized to purchase and write call and put
options. When the Series writes an option, an
48 & 49
June 30, 2003
NOTES TO FINANCIAL STATEMENTS (concluded)
MASTER
INTERNATIONAL
INDEX SERIES
amount equal to the premium received by the Series is reflected as an asset and
an equivalent liability. The amount of the liability is subsequently marked to
market to reflect the current market value of the option written. When a
security is purchased or sold through an exercise of an option, the related
premium paid (or received) is added to (or deducted from) the basis of the
security acquired or deducted from (or added to) the proceeds of the security
sold. When an option expires (or the Series enters into a closing transaction),
the Series realizes a gain or loss on the option to the extent of the premiums
received or paid (or a gain or loss to the extent that the cost of the closing
transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
o Forward foreign exchange contracts -- The Series 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 Series as an unrealized gain or
loss. When the contract is closed, the Series records a realized gain or loss
equal to the difference between the value at the time it was opened and the
value at the time it was closed.
o Foreign currency options and futures -- The Series may also purchase or sell
listed or over-the-counter foreign currency options, foreign currency futures
and related options on foreign currency futures as a short or long hedge against
possible variations in foreign exchange rates. Such transactions may be effected
with respect to hedges on non-U.S. dollar-denominated securities owned by the
Series, sold by the Series but not yet delivered, or committed or anticipated to
be purchased by the Series.
(c) Foreign currency transactions -- Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
(d) Income taxes -- The Series is classified as a "pass through" entity for
Federal income tax purposes. As such, each investor in the Series is treated as
owner of its proportionate share of the net assets, income, expenses and
realized and unrealized gains and losses of the Series. Therefore, no Federal
income tax provision is required. Under the applicable foreign tax law, a
withholding tax may be imposed on interest, dividends and capital gains at
various rates. It is intended that the Series' assets will be managed so an
investor in the Series can satisfy the requirements of subchapter M of the
Internal Revenue Code.
(e) Security transactions and investment income -- Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Series has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Securities lending -- The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in 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 Fund and any additional required collateral is delivered to the Fund on the
next business day. Where the Series receives securities as collateral for the
loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Series also could suffer a
loss where the value of the collateral falls below the market value of the
borrowed securities, in the event of borrower default or in the event of losses
on investments made with cash collateral.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML
& Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series' net
assets. FAM has entered into a contractual arrangement with the Series under
which the expenses incurred by the Series will not exceed .12%. This arrangement
expires December 31, 2003 and is renewable. For the six months ended June 30,
2003, FAM reimbursed the Series in the amount of $17,696.
For the six months ended June 30, 2003, the Series reimbursed FAM $2,104 for
certain accounting services.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 2003 were $18,603,180 and $14,949,064, respectively.
Net realized gains (losses) for the six months ended June 30, 2003 and
unrealized gains (losses) as of June 30, 2003 were as follows:
- --------------------------------------------------------------------------------
Realized Unrealized
Gains (Losses) Gains (Losses)
- --------------------------------------------------------------------------------
Investments:
Long-term .............................. $(2,473,804) $(9,492,647)
Financial futures contracts ............ (301,739) 8,359
----------- -----------
Total investments ........................ (2,775,543) (9,484,288)
----------- -----------
Currency transactions:
Forward foreign exchange
contracts ............................ (499,076) (45,335)
Foreign currency transactions .......... 1,217,633 53,711
----------- -----------
Total currency transactions .............. 718,557 8,376
----------- -----------
Total .................................... $(2,056,986) $(9,475,912)
=========== ===========
- --------------------------------------------------------------------------------
As of June 30, 2003, net unrealized depreciation for Federal income tax purposes
aggregated $12,200,476, of which $16,080,440 related to appreciated securities
and $28,280,916 related to depreciated securities. At June 30, 2003, the
aggregate cost of investments for Federal income tax purposes was $187,773,254.
4. Commitments:
At June 30, 2003, the Series had entered into foreign exchange contracts, in
addition to the contracts listed in the Schedule of Investments, under which it
had agreed to sell various foreign currencies with an approximate value of
$1,239,000.
5. Short-Term Borrowings:
The Series, along with certain other funds managed by FAM and its affiliates, is
a party to a $500,000,000 credit agreement with Bank One, N.A. and certain other
lenders. The Series may borrow under the credit agreement to fund shareholders
redemptions and for other lawful purposes other than for leverage. The Series
may borrow up to the maximum amount allowable under the Series' current
prospectus and statement of additional information, subject to various other
legal, regulatory or contractual limits. The Series pays a commitment fee of
..09% per annum based on the Series' pro rata share of the unused portion of the
credit agreement. Amounts borrowed under the credit agreement bear interest at a
rate equal to, at each fund's election, the Federal Funds rate plus .50% or a
base rate as determined by Bank One, N.A. On November 29, 2002, the credit
agreement was renewed for one year at the same terms, except that the commitment
was reduced from $1,000,000,000 to $500,000,000. The Series did not borrow under
the credit agreement during the six months ended June 30, 2003.
50 & 51
[LOGO] Merrill Lynch Investment Managers
This report is not authorized for use as an offer of sale or a solicitation of
an offer to buy shares of the Fund unless accompanied or preceded by the Fund's
current prospectus. Past performance results shown in this report should not be
considered a representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when redeemed, may be
worth more or less than their original cost. Statements and other information
herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-MER-FUND (1-800-637-3863); (2)
on www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's
website at http://www.sec.gov.
Merrill Lynch Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011
[RECYCLED LOGO] Printed on post-consumer recycled paper #Index 2--6/03
Item 2 - Did registrant adopt a code of ethics, as of the end of the period
covered by this report, that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party? If not, why not? Briefly describe any amendments or
waivers that occurred during the period. State here if code of
ethics/amendments/waivers are on website and give website address-.
State here if fund will send code of ethics to shareholders without
charge upon request-- N/A (annual requirement only and not required to
be answered until the registrant's fiscal year-end on or after July 15,
2003)
Item 3 - Did the registrant's board of directors determine that the registrant
either: (i) has at least one audit committee financial expert serving
on its audit committee; or (ii) does not have an audit committee
financial expert serving on its audit committee? If yes, disclose name
of financial expert and whether he/she is "independent," (fund may, but
is not required, to disclose name/independence of more than one
financial expert) If no, explain why not. -N/A (annual requirement only
and not required to be answered until the registrant's fiscal year-end
on or after July 15, 2003)
Item 4 - Disclose annually only (not answered until December 15, 2003)
(a) Audit Fees - Disclose aggregate fees billed for each of the last
two fiscal years for professional services rendered by
the principal accountant for the audit of the
registrant's annual financial statements or services
that are normally provided by the accountant in
connection with statutory and regulatory filings or
engagements for those fiscal years. N/A.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of the
last two fiscal years for assurance and
related services by the principal accountant
that are reasonably related to the performance
of the audit of the registrant's financial
statements and are not reported under
paragraph (a) of this Item. Registrants shall
describe the nature of the services comprising
the fees disclosed under this category. N/A.
(c) Tax Fees - Disclose aggregate fees billed in each of the last two
fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and
tax planning. Registrants shall describe the nature of
the services comprising the fees disclosed under this
category. N/A.
(d) All Other Fees - Disclose aggregate fees billed in each of the last
two fiscal years for products and services
provided by the principal accountant, other than
the services reported in paragraphs (a) through
(c) of this Item. Registrants shall describe the
nature of the services comprising the fees
disclosed under this category. N/A.
(e)(1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of
Regulation S-X. N/A.
(e)(2) Disclose the percentage of services described in each of
paragraphs (b) through (d) of this Item that were approved by
the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule
2-01 of Regulation S-X. N/A.
(f) If greater than 50%, disclose the percentage of hours expended on
the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were
attributed to work performed by persons other than the principal
accountant's full-time, permanent employees. N/A.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant for each
of the last two fiscal years of the registrant. N/A.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to
the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence. N/A.
Item 5 - If the registrant is a listed issuer as defined in Rule 10A-3 under the
Exchange Act, state whether or not the registrant has a
separately-designated standing audit committee established in
accordance with Section 3(a)(58)(A) of the Exchange Act. If the
registrant has such a committee, however designated, identify each
committee member. If the entire board of directors is acting as the
registrant's audit committee in Section 3(a)(58)(B) of the Exchange
Act, so state.
If applicable, provide the disclosure required by Rule 10A-3(d) under
the Exchange Act regarding an exemption from the listing standards for
audit committees. N/A
(Listed issuers must be in compliance with the new listing rules by the
earlier of their first annual shareholders meeting after January 2004,
or October 31, 2004 (annual requirement))
Item 6 - Reserved
Item 7 - For closed-end funds that contain voting securities in their portfolio,
describe the policies and procedures that it uses to determine how to
vote proxies relating to those portfolio securities. N/A
Item 8 -- Reserved
Item 9(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others
particularly during the period in which this report is being
prepared. The registrant's certifying officers have determined that
the registrant's disclosure controls and procedures are effective
based on our evaluation of these controls and procedures as of a
date within 90 days prior to the filing date of this report.
Item 9(b) -- There were no significant changes in the registrant's internal
controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and
material weaknesses.
Item 10 - Exhibits
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon request
without charge. N/A.
10(b) - Attach certifications pursuant to Section 302 of the Sarbanes-Oxley Act.
Attached hereto.
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
Merrill Lynch International Index Fund
By: /s/ Terry K. Glenn
---------------------------
Terry K. Glenn,
President of
Merrill Lynch International Index Fund
Date: August 21, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by
the following persons on behalf of the registrant and in the capacities
and on the dates indicated.
By: /s/ Terry K. Glenn
---------------------------
Terry K. Glenn,
President of
Merrill Lynch International Index Fund
Date: August 21, 2003
By: /s/ Donald C. Burke
---------------------------
Donald C. Burke,
Chief Financial Officer of
Merrill Lynch International Index Fund
Date: August 21, 2003
Attached hereto as a furnished exhibit are the certifications pursuant
to Section 906 of the Sarbanes-Oxley Act.