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 811-7885
Name of Fund: Master MidCap Index Series
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, Master MidCap
Index Series, 800 Scudders Mill Road, Plainsboro, NJ 08536.
Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/03
Date of reporting period: 01/01/03 - 06/30/03
Item 1 - Attach shareholder report
Master Mid Cap Index Series
During the period the fund generated net investment income of 1.06% as a
percentage of average net assets.
Contributors and Detractors from Performance:
The portfolio met its objective of closely tracking the return of its benchmark.
After a negative 1st quarter, the 2nd quarter of 2003 brought impressive gains
and what some are calling a "bull rally." The US markets rose consistently over
the quarter, spurred by optimism that economic and profit growth will
accelerate. On June 16th the S&P 500 closed above the 1,000 mark (at 1,010.74)
for the first time since June 20, 2002. Most indices finished the quarter in
positive territory, with the DJIA closing at 8,985.44, up 993.31 points or
12.43% for the quarter, and the S&P 500 closing at 974.50, 126.32 points or
14.89% for the quarter. The NASDAQ closed at 1,622.80, up 281.63 points or
21.00%, as technology stocks have outperformed the broader market on
expectations that companies in that sector will be among the first beneficiaries
of an economic recovery.
Performance Analysis:
Value outperformed growth for the quarter, with the S&P 400 Barra Value Index
posting a return of 19.18% versus the S&P 400 Barra Growth Index returning
16.01%. This trend was also seen among large caps, as the S&P 500 Barra Value
Index returned 18.84% while the S&P 500 Barra Growth Index returned 12.17%.
Turning to sector performance, all S&P 400 sectors posted positive returns for
the quarter. The top performer was Telecommunications Services, up 29.52%,
followed by Information Technology and Consumer Discretionary, with respective
returns of 25.86% and 22.23%. Worst performers for the quarter were Energy,
Materials and Industrials with respective returns of 7.28%, 11.08%, and 13.42%.
Markets rallied following the resolution of military affairs in Iraq, investors
have become increasingly bullish about the outlook for equities, and the rise
has been notable for the participation of 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.
After the Federal Open Market Committee (FOMC) left rates unchanged at 1.25% at
its May 6th meeting, it lowered its target for the federal funds rate by 25
basis points to 1% at its June 25th meeting, bringing the rate to a 49-year low.
The FOMC 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 rate reductions in the future. In
response to the Feds 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.
Fund Position Going Forward:
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
geo-political 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 clearly improving, the rate of change is only gradual. Data
indicates that further policy stimulus will hit the economy in the second half
of the year, but it is worth noting the lack of growth given the large cuts in
interest rates already seen. Additionally, a key factor is the concern about
whether consumers will continue to spend long enough to prop up the economy
until a corporate spending cycle emerges.
For the next quarter the reaction of the economy to all the stimuli in the
pipeline and the extent of the recovery is still ambiguous. Lower withholding
taxes from paychecks and child tax credit checks position households on the
receiving end of at least $30 billion from tax relief. This, coupled with a
mortgage-refinancing wave continuing a high incentive to refinance, is
indicative of an increase in consumer spending in the last 6 months of 2003,
putting the economy on a recovery track. With that in mind, the portfolio is
expected to continue to meets its objectives.
/s/ Richard Vella
- -----------------
Richard Vella
Vice President and Portfolio Manager
/s/ Terry K. Glenn
- ------------------
Terry K. Glenn
President and Trustee
Trustees and Officers:
Terry K. Glenn - Trustee
Donald W. Burton - Trustee
M. Colyer Crum - Trustee
Laurie Simon Hodrick - Trustee
Fred G. Weiss - Trustee
Robert C. Doll, Jr. - Senior Vice President
Donald C. Burke - Vice President and Treasurer
Richard Vella -- Vice President and Portfolio Manager
Brian D. Stewart - Secretary
Custodian: JPMorgan Chase Bank
4 Chase MetroTech
Brooklyn, New York 11245
Transfer Agent: Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Aerospace & Defense-0.8% 7,600 + L-3 Communications Holdings, Inc. $ 330,524
4,200 Precision Castparts Corp. 130,620
700 + Sequa Corporation (Class A) 24,010
----------
485,154
- -----------------------------------------------------------------------------------------------------------------
Air Freight & Logistics-1.4% 4,000 Airborne, Inc. 83,600
6,800 C.H. Robinson Worldwide, Inc. 241,808
3,700 CNF Transportation Inc. 93,906
3,900 + EGL, Inc. 59,280
8,400 Expeditors International of Washington, Inc. 290,976
3,200 + J.B. Hunt Transport Services, Inc. 120,800
----------
890,370
- -----------------------------------------------------------------------------------------------------------------
Airlines-0.1% 2,100 + Alaska Air Group, Inc. 45,045
- -----------------------------------------------------------------------------------------------------------------
Auto Components-1.4% 5,200 ArvinMeritor, Inc. 104,936
1,300 Bandag, Incorporated 48,451
2,200 BorgWarner, Inc. 141,680
6,100 + Gentex Corporation 186,721
5,300 + Lear Corporation 243,906
2,300 Modine Manufacturing Co. 44,551
2,300 Superior Industries International, Inc. 95,910
----------
866,155
- -----------------------------------------------------------------------------------------------------------------
Beverages-0.6% 7,600 + Constellation Brands, Inc. (Class A) 238,640
11,700 PepsiAmericas, Inc. 146,952
----------
385,592
- -----------------------------------------------------------------------------------------------------------------
Biotechnology-3.1% 3,600 + Charles River Laboratories International, Inc. 115,848
15,900 + Gilead Sciences, Inc. 883,722
12,300 + IDEC Pharmaceuticals Corporation 418,200
23,894 + Millennium Pharmaceuticals, Inc. 375,853
7,300 + Protein Design Labs, Inc. 102,054
5,900 + Vertex Pharmaceuticals Incorporated 86,140
----------
1,981,817
- -----------------------------------------------------------------------------------------------------------------
Building Products-0.1% 3,200 York International Corporation 74,880
- -----------------------------------------------------------------------------------------------------------------
Capital Markets-2.9% 6,300 A.G. Edwards, Inc. 215,460
28,300 + E* TRADE Group, Inc. 240,550
5,300 Eaton Vance Corp. 167,480
5,200 Investors Financial Services 150,852
4,600 LaBranche & Co. Inc. 95,174
5,200 Legg Mason, Inc. 337,740
5,350 Neuberger Berman Inc. 213,518
8,300 SEI Investments Company 265,600
6,200 Waddell & Reed Financial, Inc. (Class A) 159,154
----------
1,845,528
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Chemicals-2.2% 5,500 Airgas, Inc. $ 92,125
3,100 Albemarle Corp. 86,707
5,000 Cabot Corporation 143,500
8,600 Crompton Corporation 60,630
3,100 + Cytec Industries Inc. 104,780
2,800 + FMC Corporation 63,364
3,400 Ferro Corporation 76,602
9,400 IMC Global Inc. 63,074
3,900 The Lubrizol Corporation 120,861
12,700 Lyondell Chemical Company 171,831
1,700 Minerals Technologies, Inc. 82,722
4,800 Olin Corporation 82,080
8,900 RPM, Inc. 122,375
3,900 The Valspar Corporation 164,658
----------
1,435,309
- -----------------------------------------------------------------------------------------------------------------
Commercial Banks-7.4% 5,800 Associated Banc-Corp. 213,904
5,000 Bank of Hawaii Corporation 165,750
12,600 Banknorth Group, Inc. 321,552
4,100 City National Corporation 182,696
9,500 The Colonial BancGroup, Inc. 131,765
5,400 Commerce Bancorp, Inc. 200,340
10,300 Compass Bancshares, Inc. 359,779
5,300 + First Virginia Banks, Inc. 228,536
6,500 FirstMerit Corporation 148,590
4,200 Greater Bay Bancorp 85,764
12,300 Hibernia Corporation (Class A) 223,368
4,500 IndyMac Bancorp, Inc. 114,390
9,300 M&T Bank Corporation 783,246
5,500 Mercantile Bankshares Corporation 216,590
16,100 National Commerce Financial Corporation 357,259
11,600 New York Community Bancorp, Inc. 337,444
3,700 Provident Financial Group, Inc. 94,831
3,200 + Silicon Valley Bancshares 76,192
6,000 TCF Financial Corporation 239,040
2,600 Westamerica Bancorporation 112,008
5,000 Wilmington Trust Corporation 146,750
----------
4,739,794
- -----------------------------------------------------------------------------------------------------------------
Commercial Services & 2,100 Banta Corporation 67,977
Supplies-5.5% 4,100 The Brink's Company 59,737
3,700 + Career Education Corporation 253,154
11,600 + Ceridian Corporation 196,852
5,100 + Certegy Inc. 141,525
6,600 + ChoicePoint Inc. 227,832
7,100 + Copart, Inc. 67,095
3,400 + Corinthian Colleges, Inc. 165,138
9,300 + DST Systems, Inc. 353,400
5,400 + DeVry, Inc. 125,766
2,871 + Education Management Corporation 152,680
4,500 HON INDUSTRIES Inc. 137,250
6,100 Herman Miller, Inc. 123,281
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Commercial Services & 2,600 Kelly Services, Inc. (Class A) $ 60,970
Supplies (concluded) 2,400 + Korn/Ferry International 19,440
6,200 Manpower Inc. 229,958
5,800 + The New Dun & Bradstreet Corporation 238,380
12,600 + Republic Services, Inc. 285,642
3,150 Rollins, Inc. 59,377
4,600 + Sotheby's Holdings, Inc. (Class A) 34,224
3,000 + Stericycle, Inc. 115,440
3,000 + Sylvan Learning System, Inc. 68,520
6,300 + United Rentals, Inc. 87,507
4,000 + Valassis Communications, Inc. 102,880
7,100 Viad Corp. 158,969
----------
3,532,994
- -----------------------------------------------------------------------------------------------------------------
Communications 28,800 + 3Com Corporation 134,784
Equipment-1.6% 3,000 + Adtran, Inc. 153,870
6,800 + Advanced Fibre Communications, Inc. 110,636
3,600 + Avocent Corporation 107,748
4,000 + CommScope, Inc. 38,000
5,300 Harris Corporation 159,265
9,400 + McDATA Corporation (Class A) 137,898
3,400 + Plantronics, Inc. 73,678
7,600 + Polycom, Inc. 105,336
5,600 + Powerwave Technologies, Inc. 35,112
----------
1,056,327
- -----------------------------------------------------------------------------------------------------------------
Computers & Peripherals-1.3% 5,600 Diebold, Incorporated 242,200
2,800 Imation Corp. 105,896
2,500 + InFocus Corporation 11,800
10,600 + Quantum Corporation-DLT & Storage Systems 42,930
5,500 + SanDisk Corporation 221,925
8,600 + Storage Technology Corporation 221,364
----------
846,115
- -----------------------------------------------------------------------------------------------------------------
Construction & Engineering-0.6% 3,600 + Dycom Industries, Inc. 58,680
3,400 Granite Construction Incorporated 65,144
4,200 + Jacobs Engineering Group Inc. 177,030
7,700 + Quanta Services, Inc. 54,670
----------
355,524
- -----------------------------------------------------------------------------------------------------------------
Construction Materials-0.2% 3,700 Martin Marietta Materials, Inc. 124,357
- -----------------------------------------------------------------------------------------------------------------
Consumer Finance-0.2% 12,500 + AmeriCredit Corp. 106,875
- -----------------------------------------------------------------------------------------------------------------
Containers & Packaging-0.6% 3,300 Longview Fibre Company 27,060
8,100 + Packaging Corp. of America 149,283
7,500 Sonoco Products Company 180,150
----------
356,493
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Diversified Financial 4,000 GATX Corporation $ 65,400
Services-0.5% 3,900 + Investment Technology Group, Inc. 72,540
4,500 Leucadia National Corporation 167,040
----------
304,980
- -----------------------------------------------------------------------------------------------------------------
Diversified 16,800 + Cincinnati Bell Inc. 112,560
Telecommunication Services-0.2%
- -----------------------------------------------------------------------------------------------------------------
Electric Utilities-3.4% 7,500 Alliant Energy Corporation 142,725
2,300 Black Hills Corporation 70,610
9,800 DPL Inc. 156,212
6,100 DQE, Inc. 91,927
5,600 Great Plains Energy Incorporated 161,728
3,000 Hawaiian Electric Industries, Inc. 137,550
3,100 IDAcorp Inc. 81,375
4,000 NSTAR 182,200
10,500 Northeast Utilities 175,770
6,400 OGE Energy Corp. 136,768
2,900 PNM Resources Inc. 77,575
13,748 Pepco Holdings, Inc. 263,412
7,100 Puget Energy, Inc. 169,477
2,600 WPS Resources Corporation 104,520
9,300 Wisconsin Energy Corporation 269,700
----------
2,221,549
- -----------------------------------------------------------------------------------------------------------------
Electrical Equipment-0.4% 2,400 AMETEK, Inc. 87,960
4,500 Hubbell Incorporated (Class B) 148,950
----------
236,910
- -----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 7,800 + Arrow Electronics, Inc. 118,872
Instruments-1.4% 9,200 + Avnet, Inc. 116,656
6,500 + Kemet Corp. 65,650
3,900 + National Instruments Corporation 147,342
3,200 + Newport Corporation 47,360
3,500 + Plexus Corporation 40,355
4,500 + Tech Data Corporation 120,195
2,600 + Varian Inc. 90,142
12,500 + Vishay Intertechnology, Inc. 165,000
----------
911,572
- -----------------------------------------------------------------------------------------------------------------
Energy Equipment & 4,400 + Cooper Cameron Corporation 221,672
Service-3.8% 11,900 ENSCO International Incorporated 320,110
4,943 + FMC Technologies, Inc. 104,050
9,200 + Grant Prideco, Inc. 108,100
5,500 + Hanover Compressor Company 62,150
4,100 Helmerich & Payne, Inc. 119,720
6,500 + National-Oilwell, Inc. 143,000
6,300 + Patterson-UTI Energy, Inc. 204,120
10,900 + Pride International, Inc. 205,138
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Energy Equipment & 8,200 + Smith International, Inc. $ 301,268
Service (concluded) 4,900 Tidewater Inc. 143,913
7,500 + Varco International, Inc. 147,000
9,500 + Weatherford International Ltd. 398,050
----------
2,478,291
- -----------------------------------------------------------------------------------------------------------------
Food & Staples 5,700 + BJ's Wholesale Club, Inc. 85,842
Retailing-0.6% 3,200 Longs Drug Stores Corporation 53,120
3,200 Ruddick Corporation 50,304
4,600 + Whole Foods Market, Inc. 218,638
----------
407,904
- -----------------------------------------------------------------------------------------------------------------
Food Products-2.5% 11,013 + Dean Foods Company 346,910
10,800 Hormel Foods Corporation 255,960
3,700 Interstate Bakeries Corporation 46,990
3,967 The J.M. Smucker Company 158,244
2,900 Lancaster Colony Corporation 112,114
3,900 Sensient Technologies Corporation 89,661
8,500 + Smithfield Foods, Inc. 194,820
4,006 Tootsie Roll Industries, Inc. 122,143
28,100 Tyson Foods, Inc. (Class A) 298,422
----------
1,625,264
- -----------------------------------------------------------------------------------------------------------------
Gas Utilities-0.4% 4,700 AGL Resources Inc. 119,568
4,000 WGL Holdings Inc. 106,800
----------
226,368
- -----------------------------------------------------------------------------------------------------------------
Health Care Equipment 7,900 + Apogent Technologies Inc. 158,000
& Supplies-2.5% 5,000 Beckman Coulter Inc. 203,200
9,400 + Cytyc Corporation 98,888
6,300 DENTSPLY International Inc. 257,670
4,700 + Edwards Lifesciences Corporation 151,058
4,800 Hillenbrand Industries, Inc. 242,160
5,500 + STERIS Corporation 126,995
3,500 + VISX, Incorporated 60,725
5,400 + Varian Medical Systems, Inc. 310,878
----------
1,609,574
- -----------------------------------------------------------------------------------------------------------------
Health Care Providers & 7,100 + AdvancePCS 271,433
Services-5.5% 4,200 + Apria Healthcare Group Inc. 104,496
8,000 + Community Health Care 154,320
4,800 + Conventry Health Care Inc. 221,568
4,600 + Covance Inc. 83,260
6,200 + Express Scripts, Inc. 423,584
7,700 + First Health Group Corp. 212,520
9,100 + Health Net Inc. 299,845
3,600 + Henry Schein, Inc. 188,424
3,200 + LifePoint Hospitals, Inc. 67,008
8,500 + Lincare Holdings Inc. 267,835
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Health Care Providers & 7,700 Omnicare, Inc. $ 260,183
Services (concluded) 6,800 + Oxford Health Plans, Inc. 285,804
2,900 + PacifiCare Health Systems, Inc. 143,057
5,500 + Patterson Dental Company 249,590
6,000 + Triad Hospitals, Inc. 148,920
4,700 + Universal Health Services, Inc. (Class B) 186,214
----------
3,568,061
- -----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 4,400 Applebee's International, Inc. 138,292
Leisure-3.4% 2,700 Bob Evans Farms, Inc. 74,601
7,900 + Brinker International, Inc. 284,558
4,000 CBRL Group, Inc. 155,440
4,100 + The Cheesecake Factory Incorporated 147,149
7,200 + Extended Stay America, Inc. 97,128
4,600 GTECH Holdings Corporation 173,190
4,000 International Speedway Corp. (Class A) 158,040
4,300 + Krispy Kreme Doughnuts, Inc. 177,074
4,900 Mandalay Resort Group 156,065
5,900 Outback Steakhouse, Inc. 230,100
23,500 + Park Place Entertainment Corporation 213,615
5,100 Ruby Tuesday, Inc. 126,123
6,900 + Six Flags, Inc. 46,782
----------
2,178,157
- -----------------------------------------------------------------------------------------------------------------
Household Durables-2.4% 3,500 Blyth, Inc. 95,200
11,000 Clayton Homes, Inc. 138,050
11,450 D.R. Horton, Inc. 321,745
4,300 + Furniture Brands International, Inc. 112,230
5,720 Lennar Corporation (Class A) 408,980
5,300 + Mohawk Industries, Inc. 294,309
5,600 + Toll Brothers, Inc. 158,536
----------
1,529,050
- -----------------------------------------------------------------------------------------------------------------
Household Products-0.7% 3,200 Church & Dwight Co., Inc. 104,736
7,700 The Dial Corporation 149,765
6,600 + Energizer Holdings, Inc. 207,240
----------
461,741
- -----------------------------------------------------------------------------------------------------------------
IT Services-1.9% 7,200 + Acxiom Corp. 108,648
10,500 + Affiliated Computer Services, Inc. (Class A) 480,165
9,400 + The BISYS Group, Inc. 172,678
4,200 + CSG Systems International, Inc. 59,346
6,100 + CheckFree Corp. 169,824
6,200 + Gartner Group, Inc. (Class B) 46,500
5,000 + Keane, Inc. 68,150
7,700 + MPS Group, Inc. 52,976
6,000 + The Titan Corporation 61,740
----------
1,220,027
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates-0.6% 6,600 ALLETE, Inc. $ 175,230
2,300 Carlisle Companies Incorporated 96,968
3,000 Teleflex Incorporated 127,650
----------
399,848
- -----------------------------------------------------------------------------------------------------------------
Insurance-4.3% 4,400 + Allmerica Financial Corporation 79,156
2,900 AmerUs Group Co. 81,751
5,300 American Financial Group, Inc. 120,840
6,800 Arthur J. Gallagher & Co. 184,960
4,400 Berkley (W.R.) Corporation 231,880
5,500 Brown & Brown 178,750
4,300 Everest Re Group, Ltd. 328,950
10,725 Fidelity National Financial, Inc. 329,901
6,100 The First American Financial Corporation 160,735
5,000 HCC Insurance Holdings, Inc. 147,850
3,500 Horace Mann Educators Corporation 56,455
3,900 The MONY Group Inc. 105,105
5,000 + Ohio Casualty Corporation 65,900
9,500 Old Republic International Corporation 325,565
5,300 Protective Life Corporation 141,775
2,200 StanCorp Financial Group, Inc. 114,884
5,200 Unitrin, Inc. 141,024
----------
2,795,481
- -----------------------------------------------------------------------------------------------------------------
Internet Software & 3,900 + Internet Security Systems, Inc. 56,511
Services-0.2% 4,500 + Overture Services, Inc. 81,585
4,200 + Retek Inc. 26,880
----------
164,976
- -----------------------------------------------------------------------------------------------------------------
Leisure Equipment & 6,200 Callaway Golf Company 81,964
Products-0.1%
- -----------------------------------------------------------------------------------------------------------------
Machinery-1.9% 6,000 + AGCO Corporation 102,480
3,400 Donaldson Company, Inc. 151,130
3,600 Federal Signal Corporation 63,252
4,200 + Flowserve Corporation 82,614
3,100 Harsco Corporation 111,755
2,900 Kennametal Inc. 98,136
2,500 Nordson Corporation 59,625
4,000 Pentair, Inc. 156,240
6,300 + SPX Corporation 277,578
1,400 Tecumseh Products Company (Class A) 53,634
3,400 Trinity Industries, Inc. 62,934
----------
1,219,378
- -----------------------------------------------------------------------------------------------------------------
Marine-0.1% 3,100 Alexander & Baldwin, Inc. 82,243
- -----------------------------------------------------------------------------------------------------------------
Media-3.4% 8,700 A.H. Belo Corporation (Class A) 194,532
4,400 + Catalina Marketing Corporation 77,660
4,300 + Emmis Communications Corporation (Class A) 98,685
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Media 3,900 + Entercom Communications Corp. $ 191,139
(concluded) 7,050 Harte-Hanks, Inc. 133,950
8,500 + Hispanic Broadcasting Corporation 216,325
3,600 Lee Enterprises, Incorporated 135,108
1,700 Media General, Inc. (Class A) 97,240
7,500 The Reader's Digest Association, Inc. (Class A) 101,100
3,100 + Scholastic Corporation 92,318
747 The Washington Post Company (Class B) 547,476
8,100 + Westwood One, Inc. 274,833
----------
2,160,366
- -----------------------------------------------------------------------------------------------------------------
Metals & Mining-0.4% 8,200 + AK Steel Holding Corporation 29,684
4,300 Arch Coal, Inc. 98,814
1,900 Carpenter Technology Corporation 29,640
4,000 Peabody Energy Corporation 134,360
----------
292,498
- -----------------------------------------------------------------------------------------------------------------
Multi-Utilities & 15,700 Aquila, Inc. 40,506
Unregulated Power-2.7% 11,300 Energy East Corporation 234,588
4,800 Equitable Resources, Inc. 195,552
5,700 MDU Resources Group 190,893
6,200 National Fuel Gas Company 161,510
5,700 ONEOK, Inc. 111,891
6,400 Questar Corporation 214,208
8,700 SCANA Corporation 298,236
7,700 + Sierra Pacific Resources 45,738
5,200 Vectren Corporation 130,260
6,000 Westar Energy, Inc. 97,380
----------
1,720,762
- -----------------------------------------------------------------------------------------------------------------
Multiline Retail-1.1% 5,466 + 99 Cents Only Stores 187,593
9,150 + Dollar Tree Stores, Inc. 290,330
3,700 + The Neiman Marcus Group, Inc. (Class A) 135,420
11,300 + Saks Incorporated 109,610
----------
722,953
- -----------------------------------------------------------------------------------------------------------------
Oil & Gas-2.8% 3,600 + Forest Oil Corporation 90,432
7,300 Murphy Oil Corporation 383,980
4,600 Noble Energy, Inc. 173,880
2,500 Overseas Shipholding Group, Inc. 55,025
9,400 + Pioneer Natural Resources Company 245,340
4,900 Pogo Producing Company 209,475
9,300 Valero Energy Corporation 337,869
2,600 Western Gas Resources, Inc. 102,960
14,366 XTO Energy, Inc. 288,900
----------
1,887,861
- -----------------------------------------------------------------------------------------------------------------
Paper & Forest 4,400 Bowater Incorporated 164,780
Products-0.7% 2,900 P.H. Glatfelter Company 42,775
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Paper & Forest 2,300 Potlatch Corporation $ 59,225
Products (concluded) 3,450 Rayonier Inc. 113,850
3,400 Wausau - Mosinee Paper Corporation 38,080
----------
418,710
- -----------------------------------------------------------------------------------------------------------------
Pharmaceuticals-2.7% 5,250 + Barr Laboratories, Inc. 343,875
6,900 ICN Pharmaceuticals, Inc. 115,644
15,225 + IVAX Corporation 271,766
14,650 Mylan Laboratories, Inc. 509,381
5,700 Perrigo Company 89,148
2,600 + Pharmaceutical Resources, Inc. 126,516
9,200 + SICOR Inc. 187,128
7,000 + Sepracor Inc. 126,210
----------
1,769,668
- -----------------------------------------------------------------------------------------------------------------
Real Estate-1.6% 6,400 AMB Property Corporation 180,288
5,000 Hospitality Properties Trust 156,250
6,100 Liberty Property Trust 211,060
4,600 Mack-Cali Realty Corporation 167,348
7,700 New Plan Excel Realty Trust 164,395
8,800 United Dominion Realty Trust, Inc. 151,536
----------
1,030,877
- -----------------------------------------------------------------------------------------------------------------
Road & Rail-0.4% 6,800 + Swift Transportation Co., Inc. 126,616
5,100 Werner Enterprises, Inc. 108,120
----------
234,736
- -----------------------------------------------------------------------------------------------------------------
Semiconductors & 38,000 + Atmel Corporation 96,140
Semiconductor 2,000 + Cabot Microelectronics Corporation 100,940
Equipment-3.4% 5,100 + Credence Systems Corporation 43,197
5,801 + Cree, Inc. 94,440
9,500 + Cypress Semiconductor Corporation 114,000
9,100 + Fairchild Semiconductor Corporation 116,389
8,500 + Integrated Device Technology, Inc. 93,925
5,000 + International Rectifier Corp. 134,100
11,100 + Intersil Holding Corporation (Class A) 295,371
9,700 + LAM Research Corp. 176,637
3,700 + LTX Corporation 31,894
9,100 + Lattice Semiconductor Corporation 74,893
7,000 + Micrel, Inc. 72,730
16,100 Microchip Technology 396,543
14,100 + RF Micro Devices, Inc. 84,882
6,100 + Semtech Corporation 86,864
3,900 + Silicon Laboratories Inc. 103,896
9,200 + TriQuint Semiconductor, Inc. 38,272
----------
2,155,113
- -----------------------------------------------------------------------------------------------------------------
Software-3.1% 8,250 + Activision, Inc. 106,590
2,700 + Advent Software, Inc. 45,657
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Software 4,225 + Ascential Software Corporation $ 69,459
(concluded) 21,200 + Cadence Design Systems, Inc. 255,672
3,800 Fair, Isaac and Company, Incorporated 195,510
7,200 Jack Henry & Associates, Inc. 128,088
9,000 + Legato Systems, Inc. 75,510
4,500 + Macromedia, Inc. 94,680
3,900 + Macrovision Corporation 77,688
4,500 + Mentor Graphics Corporation 65,160
12,400 + Network Associates, Inc. 157,232
4,600 + RSA Security Inc. 49,450
5,300 Reynolds & Reynolds Company (Class A) 151,368
7,300 + Sybase, Inc. 101,543
6,000 + Synopsys, Inc. 371,100
2,200 + Transaction Systems Architects, Inc. (Class A) 19,712
5,200 + Wind River Systems, Inc. 19,812
----------
1,984,231
- -----------------------------------------------------------------------------------------------------------------
Specialty Retail-3.9% 7,800 + Abercrombie & Fitch Co. (Class A) 221,598
5,850 + American Eagle Outfitters, Inc. 107,289
5,200 + Barnes & Noble, Inc. 119,860
6,100 + Borders Group, Inc. 107,421
6,700 + CDW Corporation 306,860
8,000 + CarMax, Inc. 241,200
7,000 + Chico's FAS, Inc. 147,350
3,700 Claire's Stores, Inc. 93,832
5,400 Michael's Stores 205,524
11,100 PETsMART, Inc. 185,037
5,400 + Payless ShoeSource, Inc. 67,500
7,400 Pier 1 Imports, Inc. 150,960
6,200 Ross Stores, Inc. 264,988
9,300 + Williams-Sonoma, Inc. 271,560
----------
2,490,979
- -----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 6,900 + Coach, Inc. 343,206
Luxury Goods-0.8% 3,000 + The Timberland Company (Class A) 158,580
3,600 + Unifi, Inc. 22,320
----------
524,106
- -----------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 6,500 Astoria Financial Corporation 181,545
Finance-2.7% 7,300 GreenPoint Financial Corp. 371,862
4,700 Independence Community Bank Corp. 132,634
7,100 The PMI Group, Inc. 190,564
7,400 Radian Group Inc. 271,210
6,400 Roslyn Bancorp, Inc. 137,536
20,500 Sovereign Bancorp, Inc. 320,825
3,500 Webster Financial Corporation 132,300
----------
1,738,476
- -----------------------------------------------------------------------------------------------------------------
Tobacco-0.1% 2,100 Universal Corporation 88,830
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series June 30, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares
Industry ++ Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------
Trading Companies & 6,000 Fastenal Company $ 203,640
Distributors-0.3%
- -----------------------------------------------------------------------------------------------------------------
Water Utilities-0.2% 5,500 Philadelphia Suburban Corporation 134,090
- -----------------------------------------------------------------------------------------------------------------
Wireless 4,100 + Price Communications Corporation 52,931
Telecommunication 4,500 Telephone and Data Systems, Inc. 223,650
Services-0.4% ----------
276,581
- -----------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost -$57,754,247)-97.5% 62,798,704
- -----------------------------------------------------------------------------------------------------------------
Beneficial Interest/
Shares Held Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------
$1,607,928 Merrill Lynch Liquidity Series, LLC Cash Sweep 1,607,928
Series I (a)
$56,099 Merrill Lynch Liquidity Series, LLC Money 56,099
Market Series (a) (b)
37,401 Merrill Lynch Premier Institutional Fund (a) (b) 37,401
- -----------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost -$1,701,428)-2.7% 1,701,428
- -----------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $59,455,675)-100.2% 64,500,132
Variation Margin on Financial Futures Contracts*-0.0% (6,512)
Liabilities in Excess of Other Assets-(0.2%) (101,562)
-----------
Net Assets-100.0% $64,392,058
===========
- -----------------------------------------------------------------------------------------------------------------
(a) 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 Dividend/Interest
Affiliate Activity Income
- -----------------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $542,222 $ 10,728
Merrill Lynch Liquidity Series, LLC Money Market Series $ 56,099 426
Merrill Lynch Premier Institutional Fund 37,401 263
- -----------------------------------------------------------------------------------------------------------------
(b) Security was purchased with the cash proceeds from securities loans.
* Financial futures contracts purchased as of June 30, 2003 were as follows:
- -----------------------------------------------------------------------------------------------------------------
Number of Expiration
Contracts Issue Date Value
- -----------------------------------------------------------------------------------------------------------------
4 S & P 400 Midcap September 2003 $960,400
- -----------------------------------------------------------------------------------------------------------------
Total Financial Futures Contracts Purchased
(Total Contract Price - $977,924) $960,400
========
- -----------------------------------------------------------------------------------------------------------------
+ Non-income producing security.
++ For Series compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease.
See Notes to Financial Statements.
Master Mid Cap Index Series June 30, 2003
STATEMENT OF ASSETS AND LIABILITIES
MASTER
MID CAP
INDEX SERIES As of June 30, 2003
===========================================================================================================
Assets: Investments, at value (including securities loaned of $89,540)
(identified cost-$59,455,675) ................................ $64,500,132
Cash on deposit for financial futures contracts .............. 72,000
Receivables:
Securities sold ..................................... $242,706
Dividends ........................................... 36,443
Contributions ....................................... 14,502
Interest ............................................ 1,823
Securities lending-net .............................. 146 295,620
--------
Prepaid expenses and other assets ............................ 26,056
-----------
Total assets ................................................. 64,893,808
-----------
===========================================================================================================
Liabilities: Collateral on securities loaned, at value .................... 93,500
Payables:
Withdrawals ............................................ 356,051
Securities purchased ................................... 22,127
Variation margin ....................................... 6,512
Investment adviser ..................................... 466
Other affiliates ....................................... 333 385,489
--------
Accrued expenses ............................................. 22,761
-----------
Total liabilities ............................................ 501,750
-----------
===========================================================================================================
Net Assets: Net assets ................................................... $64,392,058
===========
===========================================================================================================
Net Assets Investors' capital ........................................... $59,365,125
Consist of: Unrealized appreciation on investments-net ................... 5,026,933
-----------
Net assets ................................................... $64,392,058
===========
===========================================================================================================
See Notes to Financial Statements.
Master Mid Cap Index Series June 30, 2003
STATEMENT OF OPERATIONS
MASTER
MID CAP
INDEX SERIES For the Six Months Ended June 30, 2003
=======================================================================================================================
Investment Dividends ....................................................... $ 322,737
Income: Interest ........................................................ 10,747
Securities lending-net .......................................... 689
-----------
Total income .................................................... 334,173
-----------
=======================================================================================================================
Expenses: Professional fees ............................................... $ 22,627
Custodian fees .................................................. 9,992
Accounting services ............................................. 4,247
Investment advisory fees ........................................ 2,704
Trustees' fees and expenses ..................................... 297
Printing and shareholder reports ................................ 152
Other ........................................................... 6,861
--------
Total expenses .................................................. 46,880
-----------
Investment income-net ........................................... 287,293
-----------
=======================================================================================================================
Realized & Realized loss on investments-net ................................ (8,447)
Unrealized Gain (Loss) Change in unrealized appreciation/depreciation on investments-net 7,461,570
on Investments-Net: -----------
Total realized and unrealized gain on investments-net ........... 7,453,123
-----------
Net Increase in Net Assets Resulting from Operations ............ $ 7,740,416
===========
=======================================================================================================================
See Notes to Financial Statements.
Master Mid Cap Index Series June 30, 2003
STATEMENTS OF CHANGES IN NET ASSETS
For the Six For the
MASTER Months Ended Year Ended
MID CAP June 30, December 31,
INDEX SERIES Increase (Decrease) in Net Assets: 2003 2002
====================================================================================================================
Operations: Investment income-net ........................................... $ 287,293 $ 221,860
Realized loss on investments-net ................................ (8,447) (1,347,143)
Change in unrealized appreciation/depreciation on investments-net 7,461,570 (2,962,866)
------------ ------------
Net increase (decrease) in net assets resulting from operations . 7,740,416 (4,088,149)
------------ ------------
====================================================================================================================
Capital Proceeds from contributions ..................................... 27,334,227 47,780,517
Transactions: Fair value of withdrawals ....................................... (6,663,556) (13,313,155)
------------ ------------
Net increase in net assets derived from capital transactions .... 20,670,671 34,467,362
------------ ------------
====================================================================================================================
Net Assets: Total increase in net assets .................................... 28,411,087 30,379,213
Beginning of period ............................................. 35,980,971 5,601,758
------------ ------------
End of period ................................................... $ 64,392,058 $ 35,980,971
============ ============
====================================================================================================================
See Notes to Financial Statements.
Master Mid Cap Index Series June 30, 2003
FINANCIAL HIGHLIGHTS
==================================================================================================================================
For the Six
MASTER The following ratios have Months Ended For the Year Ended December 31, For the Period
MID CAP been derived from information provided June 30, --------------------------------- December 30, 1999++
INDEX SERIES in the financial statements. 2003 2002 2001 2000 to December 31, 1999
==================================================================================================================================
Total Investment
Return:# 12.47%+ (14.80%) .71% -- --
======== ======== ======== ======== =========
==================================================================================================================================
Ratios to Expenses, net of reimbursement ......... .17%* .08% .08% .08% .08%*
Average Net ======== ======== ======== ======== =========
Assets: Expenses ............................... .17%* .38% .56% 1.37% .94%*
======== ======== ======== ======== =========
Investment income-net .................. 1.06%* 1.06% 1.23% 1.71% 3.40%*
======== ======== ======== ======== =========
==================================================================================================================================
Supplemental Net assets, end of period (in thousands) $ 64,392 $ 35,981 $ 5,602 $ 13,167 $ 5,032
Data: ======== ======== ======== ======== =========
Portfolio turnover ..................... 4.56% 42.18% 99.59% 50.32% --
======== ======== ======== ======== =========
==================================================================================================================================
* Annualized.
+ Aggregate total investment return.
++ Commencement of operations.
# Total return is required to be disclosed for fiscal periods beginning
after December 15, 2000.
See Notes to Financial Statements.
Master Mid Cap Index Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Mid Cap Index Series (the "Series") is part of Quantitative Master Series
Trust (the "Trust"). The Trust is registered under the Investment Company Act of
1940, as amended, and is organized as a Delaware statutory trust. The
Declaration of Trust permits the Trustees to issue nontransferable interests in
the 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 last available bid price for long positions and at the last
available ask price for short positions. Securities traded in the
over-the-counter market are valued at the last available bid price prior to the
time of valuation. In cases where securities are traded on more than one
exchange, the securities are valued on the exchange designated by or under the
authority of the Board of Trustees as the primary market. Securities that are
traded both in the over-the-counter market and on a stock exchange are valued
according to the broadest and most representative market. Options written or
purchased are valued at the last sale price in the case of exchange-traded
options. In the case of options traded in the over-the-counter market, valuation
is the last asked price (options written) or the last bid price (options
purchased). Short-term securities are valued at amortized cost, which
approximates market value. Other investments, including financial futures
contracts and related options, are stated at market value. Securities and assets
for which market value quotations are not readily available are valued at their
fair value as determined in good faith by or under the direction of the Trust's
Board of Trustees. Occasionally, events affecting the values of securities and
other assets may occur between the times at which valuations of such securities
are determined (that is, close of the market on which such securities trade) and
the close of business on the NYSE. If events (for example, company announcement,
natural disasters, market volatility) occur during such periods that are
expected to materially affect the value for such securities, those securities
may be valued at their fair market value as determined in good faith by the
Trust's Board of Trustees or by the investment adviser using a pricing service
and/or procedures approved by the Board of Trustees of the Trust.
(b) Derivative financial instruments - The Series may engage in various
portfolio investment strategies 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 amount equal to the premium
received by the Series is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market to
reflect the current market value of the option written. When a security is
purchased or sold through an exercise of an option, the related premium
paid (or received) is added to (or deducted from) the basis of the
security acquired or deducted from (or added to) the proceeds of the
security sold. When an option expires (or the Series enters into a closing
transaction), the Series realizes a gain or loss on the option to the
extent of the premiums received or paid (or a gain or loss to the extent
that the cost of the closing transaction exceeds the premium paid or
received).
Written and purchased options are non-income producing investments.
(c) Income taxes - The Series is classified as a partnership for Federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no Federal income tax
provision is required. It is intended that the Series' assets will be managed so
an investor in the Series can satisfy the requirements of subchapter M of the
Internal Revenue Code.
(d) Security transactions and investment income -Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(e) Securities lending - The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Series could experience
delays and costs in gaining access to the collateral. The Series also could
suffer a loss where the value of the collateral falls below the market value of
the borrowed securities, in the event of borrower default or in the event of
losses on investments made with cash collateral.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML
& Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the Series' average daily net assets.
The Series has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., or its
affiliates. Pursuant to that order, the Series also has retained Merrill Lynch
Investment Managers, LLC ("MLIM, LLC"), an affiliate of FAM, as the securities
lending agent for a fee based on a share of the returns on investment of cash
collateral. MLIM, LLC may, on behalf of the Series, invest cash collateral
received by the Series for such loans, among other things, in a private
investment company managed by MLIM, LLC or in registered money market funds
advised by FAM or its affiliates. For the six months ended June 30, 2003, MLIM,
LLC received $301 in securities lending agent fees.
For the six months ended June 30, 2003, the Series reimbursed FAM $511 for
certain accounting services.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, MLIM, LLC and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 2003 were $22,927,644 and $2,333,647, respectively.
Net realized gains (losses) for the six months ended June 30, 2003 and net
unrealized gains (losses) as of June 30, 2003 were as follows:
================================================================================
Realized Unrealized
Gains (Losses) Gains (Losses)
- --------------------------------------------------------------------------------
Long-term investments .................. $ (111,573) $ 5,044,457
Financial futures contracts ............ 103,126 (17,524)
----------- -----------
Total .................................. $ (8,447) $ 5,026,933
=========== ===========
================================================================================
As of June 30, 2003, net unrealized appreciation for Federal income tax purposes
aggregated $3,922,011, of which $7,044,558 related to appreciated securities and
$3,122,547 related to depreciated securities. At June 30, 2003, the aggregate
cost of investments for Federal income tax purposes was $60,578,121.
4. Short-Term Borrowings:
The Series, along with certain other funds managed by FAM and its affiliates, is
a party to a $500,000,000 credit agreement with Bank One, N.A. and certain other
lenders. The Series may borrow under the credit agreement to fund partner
withdrawals and for other lawful purposes other than for leverage. The Series
may borrow up to the maximum amount allowable under the Series' current
prospectus and statement of additional information, subject to various other
legal, regulatory or contractual limits. The Series pays a commitment fee of
..09% per annum based on the Series' pro rata share of the unused portion of the
credit agreement. Amounts borrowed under the credit agreement bear interest at a
rate equal to, at each fund's election, the Federal Funds rate plus .50% or a
base rate as determined by Bank One, N.A. On November 29, 2002, the credit
agreement was renewed for one year under the same terms, except that the
commitment was reduced from $1,000,000,000 to $500,000,000. The Series did not
borrow under the credit agreement during the six months ended June 30, 2003.
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.
Master MidCap Index Series
By: /s/ Terry K. Glenn
-------------------------
Terry K. Glenn,
President of
Master MidCap Index Series
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
Master MidCap Index Series
Date: August 21, 2003
By: /s/ Donald C. Burke
-------------------------
Donald C. Burke,
Chief Financial Officer of
Master MidCap Index Series
Date: August 21, 2003
Attached hereto as a furnished exhibit are the certifications pursuant
to Section 906 of the Sarbanes-Oxley Act.