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 Mid Cap Index Series
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, Master Mid Cap
Index Series, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing
address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/03
Date of reporting period: 01/01/03 - 12/31/03
Item 1 - Report to Shareholders
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
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Shares Value
Industry* Held Common Stocks (in U.S. dollars)
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Aerospace & Defense - 0.8% 7,600 +L-3 Communications Holdings, Inc. $ 390,336
4,900 Precision Castparts Corp. 222,509
800 +Sequa Corporation (Class A) 39,200
------------
652,045
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Air Freight & Logistics - 1.1% 6,800 C.H. Robinson Worldwide, Inc. 257,788
3,800 CNF Transportation Inc. 128,820
3,800 +EGL, Inc. 66,728
8,500 Expeditors International of Washington, Inc. 320,110
6,600 +J.B. Hunt Transport Services, Inc. 178,266
------------
951,712
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Airlines - 0.3% 2,100 +Alaska Air Group, Inc. 57,309
8,100 +JetBlue Airways Corporation 214,812
------------
272,121
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Auto Components - 1.4% 5,500 ArvinMeritor, Inc. 132,660
1,400 Bandag, Incorporated 57,680
2,200 BorgWarner, Inc. 187,154
6,100 Gentex Corporation 269,376
5,400 Lear Corporation 331,182
2,700 Modine Manufacturing Co. 72,846
2,100 Superior Industries International, Inc. 91,392
------------
1,142,290
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Beverages - 0.5% 7,600 +Constellation Brands, Inc. (Class A) 250,268
11,700 PepsiAmericas, Inc. 200,304
------------
450,572
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Biotechnology - 2.0% 3,600 +Charles River Laboratories International, Inc. 123,588
15,900 +Gilead Sciences, Inc. 924,426
23,794 +Millennium Pharmaceuticals, Inc. 444,234
7,700 +Protein Design Labs, Inc. 137,830
5,900 +Vertex Pharmaceuticals Incorporated 60,357
------------
1,690,435
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Building Products - 0.1% 3,200 York International Corporation 117,760
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Capital Markets - 2.5% 6,500 A.G. Edwards, Inc. 235,495
28,300 +E* TRADE Group, Inc. 357,995
5,300 Eaton Vance Corp. 194,192
4,000 +Investment Technology Group, Inc. 64,600
5,300 Investors Financial Services 203,573
4,800 LaBranche & Co. Inc. 56,016
5,300 Legg Mason, Inc. 409,054
3,900 Raymond James Financial, Inc. 147,030
8,400 SEI Investments Company 255,948
6,300 Waddell & Reed Financial, Inc. (Class A) 147,798
------------
2,071,701
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Chemicals - 2.3% 5,800 Airgas, Inc. 124,584
3,100 Albemarle Corp. 92,907
4,900 Cabot Corporation 156,016
9,200 Crompton Corporation 65,964
3,100 Cytec Industries Inc. 119,009
2,800 +FMC Corporation 95,564
3,400 Ferro Corporation 92,514
9,200 IMC Global Inc. 91,356
4,100 The Lubrizol Corporation 133,332
13,900 Lyondell Chemical Company 235,605
1,700 Minerals Technologies, Inc. 100,725
4,700 Olin Corporation 94,282
8,900 RPM, Inc. 146,494
2,600 +The Scotts Company (Class A) 153,816
4,000 The Valspar Corporation 197,680
------------
1,899,848
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Commercial Banks - 6.3% 5,900 Associated Banc-Corp. 251,635
4,600 Bank of Hawaii Corporation 194,120
13,000 Banknorth Group, Inc. 422,890
4,000 City National Corporation 248,480
9,500 The Colonial BancGroup, Inc. 164,540
1-M
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
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Shares Value
Industry* Held Common Stocks (in U.S. dollars)
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Commercial Banks (concluded) 6,100 Commerce Bancorp, Inc. $ 321,348
9,800 Compass Bancshares, Inc. 385,238
4,100 Cullen/Frost Bankers, Inc. 166,337
6,800 FirstMerit Corporation 183,396
4,200 Greater Bay Bancorp 119,616
12,300 Hibernia Corporation (Class A) 289,173
9,600 M&T Bank Corporation 943,680
6,100 Mercantile Bankshares Corporation 278,038
16,100 National Commerce Financial Corporation 439,208
3,700 Provident Financial Group, Inc. 118,215
3,000 +Silicon Valley Bancshares 108,210
6,100 TCF Financial Corporation 313,235
2,600 Westamerica Bancorporation 129,220
5,300 Wilmington Trust Corporation 190,800
------------
5,267,379
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Commercial Services & 2,100 Banta Corporation 85,050
Supplies - 4.3% 4,100 The Brink's Company 92,701
8,200 +Career Education Corporation 328,574
7,000 +ChoicePoint Inc. 266,630
7,100 +Copart, Inc. 117,150
3,500 +Corinthian Colleges, Inc. 194,460
5,600 +DeVry, Inc. 140,728
5,742 +Education Management Corporation 178,232
4,600 HON INDUSTRIES Inc. 199,272
5,900 Herman Miller, Inc. 143,193
2,900 Kelly Services, Inc. (Class A) 82,766
2,900 +Korn/Ferry International 38,686
6,200 Manpower Inc. 291,896
6,000 +The New Dun & Bradstreet Corporation 304,260
12,600 Republic Services, Inc. (Class A) 322,938
3,650 Rollins, Inc. 82,308
4,632 +Sotheby's Holdings, Inc. (Class A) 63,273
3,400 +Stericycle, Inc. 158,780
3,300 +Sylvan Learning System, Inc. 95,007
6,200 +United Rentals, Inc. 119,412
4,200 +Valassis Communications, Inc. 123,270
7,100 Viad Corp. 177,500
------------
3,606,086
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Communications Equipment - 1.6% 28,800 +3Com Corporation 235,296
6,200 Adtran, Inc. 192,200
6,800 +Advanced Fibre Communications, Inc. 137,020
3,700 +Avocent Corporation 135,124
4,300 +CommScope, Inc. 70,219
5,300 Harris Corporation 201,135
9,200 +McDATA Corporation (Class A) 87,676
3,400 +Plantronics, Inc. 111,010
7,600 +Polycom, Inc. 148,352
5,300 +Powerwave Technologies, Inc. 40,545
------------
1,358,577
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Computers & Peripherals - 1.3% 5,700 Diebold, Incorporated 307,059
2,900 Imation Corp. 101,935
13,000 +Quantum Corporation-DLT & Storage Systems 40,560
6,200 +SanDisk Corporation 379,068
8,600 +Storage Technology Corporation 221,450
------------
1,050,072
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Construction & Engineering - 0.5% 3,600 +Dycom Industries, Inc. 96,552
3,300 Granite Construction Incorporated 77,517
4,400 +Jacobs Engineering Group Inc. 211,244
8,800 +Quanta Services, Inc. 64,240
------------
449,553
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Construction Materials - 0.2% 3,700 Martin Marietta Materials, Inc. 173,789
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Consumer Finance - 0.3% 12,900 +AmeriCredit Corp. 205,497
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Containers & Packaging - 0.5% 4,100 Longview Fibre Company 50,635
2-M
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
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Shares Value
Industry* Held Common Stocks (in U.S. dollars)
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Containers & Packaging (concluded) 8,100 Packaging Corp. of America $ 177,066
7,700 Sonoco Products Company 189,574
------------
417,275
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Diversified Financial Services - 0.5% 4,200 GATX Corporation 117,516
5,500 Leucadia National Corporation 253,550
------------
371,066
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Diversified Telecommunication 18,800 +Cincinnati Bell Inc. 94,940
Services - 0.1%
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Electric Utilities - 3.1% 10,100 Alliant Energy Corporation 251,490
2,400 Black Hills Corporation 71,592
10,100 DPL Inc. 210,888
6,400 Duquesne Light Holdings Inc. 117,376
5,800 Great Plains Energy Incorporated 184,556
3,000 Hawaiian Electric Industries, Inc. 142,110
3,300 IDAcorp Inc. 98,736
4,200 NSTAR 203,700
10,700 Northeast Utilities 215,819
6,400 OGE Energy Corp. 154,816
3,100 PNM Resources Inc. 87,110
13,748 Pepco Holdings, Inc. 268,636
7,200 Puget Energy, Inc. 171,144
2,900 WPS Resources Corporation 134,067
9,300 Wisconsin Energy Corporation 311,085
------------
2,623,125
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Electrical Equipment - 0.4% 2,600 AMETEK, Inc. 125,476
4,600 Hubbell Incorporated (Class B) 202,860
------------
328,336
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Electronic Equipment & 8,000 +Arrow Electronics, Inc. 185,120
Instruments - 2.1% 9,200 +Avnet, Inc. 199,272
6,800 CDW Corporation 392,768
6,500 +Kemet Corp. 88,985
4,000 National Instruments Corporation 181,880
3,100 +Newport Corporation 51,243
3,400 +Plexus Corporation 58,378
4,700 +Tech Data Corporation 186,543
2,700 +Varian Inc. 112,671
12,500 +Vishay Intertechnology, Inc. 286,250
------------
1,743,110
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Energy Equipment & 4,500 +Cooper Cameron Corporation 209,700
Services - 3.0% 12,200 ENSCO International Incorporated 331,474
5,143 +FMC Technologies, Inc. 119,832
9,300 +Grant Prideco, Inc. 121,086
5,300 +Hanover Compressor Company 59,095
4,000 Helmerich & Payne, Inc. 111,720
6,500 +National-Oilwell, Inc. 145,340
6,600 +Patterson-UTI Energy, Inc. 217,272
11,100 +Pride International, Inc. 206,904
8,300 +Smith International, Inc. 344,616
5,100 Tidewater Inc. 152,388
7,800 +Varco International, Inc. 160,914
10,300 +Weatherford International Ltd. 370,800
------------
2,551,141
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Food & Staples Retailing - 0.7% 5,800 +BJ's Wholesale Club, Inc. 133,168
3,200 Longs Drug Stores Corporation 79,168
3,300 Ruddick Corporation 59,070
4,900 Whole Foods Market, Inc. 328,937
------------
600,343
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Food Products - 2.2% 12,613 +Dean Foods Company 414,589
10,800 Hormel Foods Corporation 278,748
3,600 Interstate Bakeries Corporation 51,228
3,967 The J.M. Smucker Company 179,665
2,900 Lancaster Colony Corporation 130,964
3,900 Sensient Technologies Corporation 77,103
3-M
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
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Shares Value
Industry* Held Common Stocks (in U.S. dollars)
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Food Products (concluded) 8,800 +Smithfield Foods, Inc. $ 182,160
4,206 Tootsie Roll Industries, Inc. 151,416
28,100 Tyson Foods, Inc. (Class A) 372,044
------------
1,837,917
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Gas Utilities - 0.3% 5,100 AGL Resources Inc. 148,410
4,000 WGL Holdings Inc. 111,160
------------
259,570
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Health Care Equipment & 7,300 +Apogent Technologies Inc. 168,192
Supplies - 2.2% 4,900 Beckman Coulter Inc. 249,067
9,300 +Cytyc Corporation 127,968
6,300 DENTSPLY International Inc. 284,571
4,700 +Edwards Lifesciences Corporation 141,376
4,800 Hillenbrand Industries, Inc. 297,888
5,600 +STERIS Corporation 126,560
4,100 +VISX, Incorporated 94,915
5,400 +Varian Medical Systems, Inc. 373,140
------------
1,863,677
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Health Care Providers & 7,200 +AdvancePCS 379,152
Services - 4.6% 4,400 +Apria Healthcare Group Inc. 125,268
7,900 +Community Health Care 209,982
4,800 +Conventry Health Care Inc. 309,552
4,900 +Covance Inc. 131,320
7,700 +First Health Group Corp. 149,842
9,300 +Health Net Inc. 304,110
3,500 +Henry Schein, Inc. 236,530
3,300 +LifePoint Hospitals, Inc. 97,185
7,900 +Lincare Holdings Inc. 237,237
8,100 Omnicare, Inc. 327,159
6,500 Oxford Health Plans, Inc. 282,750
3,900 +PacifiCare Health Systems, Inc. 263,640
5,400 +Patterson Dental Company 346,464
6,000 +Triad Hospitals, Inc. 199,620
4,700 Universal Health Services, Inc. (Class B) 252,484
------------
3,852,295
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Hotels, Restaurants & 4,400 Applebee's International, Inc. 172,788
Leisure - 3.1% 2,800 Bob Evans Farms, Inc. 90,888
4,700 Boyd Gaming Corporation 75,858
7,800 +Brinker International, Inc. 258,648
4,100 CBRL Group, Inc. 156,866
4,100 +The Cheesecake Factory Incorporated 180,523
7,200 Extended Stay America, Inc. 104,256
4,700 GTECH Holdings Corporation 232,603
4,200 International Speedway Corp. (Class A) 187,572
4,800 +Krispy Kreme Doughnuts, Inc. 175,680
4,900 Mandalay Resort Group 219,128
6,200 Outback Steakhouse, Inc. 274,102
23,500 +Park Place Entertainment Corporation 254,505
5,100 Ruby Tuesday, Inc. 145,299
6,900 +Six Flags, Inc. 51,888
------------
2,580,604
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Household Durables - 2.6% 3,700 Blyth, Inc. 119,214
12,550 D.R. Horton, Inc. 542,913
4,600 Furniture Brands International, Inc. 134,918
2,200 +Hovnanian Enterprises, Inc. (Class A) 191,532
5,920 Lennar Corporation (Class A) 568,320
5,300 +Mohawk Industries, Inc. 373,862
6,000 +Toll Brothers, Inc. 238,560
------------
2,169,319
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Household Products - 0.7% 3,200 Church & Dwight Co., Inc. 126,720
7,600 The Dial Corporation 216,372
6,600 +Energizer Holdings, Inc. 247,896
------------
590,988
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IT Services - 2.6% 7,000 +Acxiom Corp. 129,990
4-M
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
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Shares Value
Industry* Held Common Stocks (in U.S. dollars)
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IT Services (concluded) 10,500 +Affiliated Computer Services, Inc. (Class A) $ 571,830
9,400 +The BISYS Group, Inc. 139,872
4,200 +CSG Systems International, Inc. 52,458
11,900 +Ceridian Corporation 249,186
5,300 Certegy Inc. 173,840
6,200 +CheckFree Corp. 171,430
6,500 +DST Systems, Inc. 271,440
800 +Gartner Group, Inc. (Class A) 9,048
9,000 +Gartner Group, Inc. (Class B) 97,920
5,200 +Keane, Inc. 76,128
7,700 +MPS Group, Inc. 71,995
6,000 +The Titan Corporation 130,860
------------
2,145,997
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Industrial Conglomerates - 0.6% 6,700 ALLETE, Inc. 205,020
2,500 Carlisle Companies Incorporated 152,150
3,100 Teleflex Incorporated 149,823
------------
506,993
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Insurance - 4.0% 4,300 +Allmerica Financial Corporation 132,311
5,600 American Financial Group, Inc. 148,176
3,400 AmerUs Group Co. 118,898
7,000 Arthur J. Gallagher & Co. 227,430
6,600 Berkley (W.R.) Corporation 230,670
5,500 Brown & Brown 179,355
4,400 Everest Re Group, Ltd. 372,240
11,225 Fidelity National Financial, Inc. 435,305
6,100 The First American Financial Corporation 181,597
5,000 HCC Insurance Holdings, Inc. 159,000
3,500 Horace Mann Educators Corporation 48,895
3,800 +The MONY Group Inc. 118,902
5,000 +Ohio Casualty Corporation 86,800
14,250 Old Republic International Corporation 361,380
5,300 Protective Life Corporation 179,352
2,200 StanCorp Financial Group, Inc. 138,336
5,300 Unitrin, Inc. 219,473
------------
3,338,120
- ------------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.1% 4,000 +Internet Security Systems, Inc. 75,320
4,200 +Retek Inc. 38,976
------------
114,296
- ------------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & 6,000 Callaway Golf Company 101,100
Products - 0.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery - 2.0% 6,000 +AGCO Corporation 120,840
3,400 Donaldson Company, Inc. 201,144
3,800 Federal Signal Corporation 66,576
4,200 +Flowserve Corporation 87,696
3,500 Graco Inc. 140,350
3,200 Harsco Corporation 140,224
2,900 Kennametal Inc. 115,275
2,500 Nordson Corporation 86,325
4,000 Pentair, Inc. 182,800
6,400 +SPX Corporation 376,384
1,500 Tecumseh Products Company (Class A) 72,645
3,600 Trinity Industries, Inc. 111,024
------------
1,701,283
- ------------------------------------------------------------------------------------------------------------------------------------
Marine - 0.1% 3,300 Alexander & Baldwin, Inc. 111,177
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Media - 2.6% 8,800 A.H. Belo Corporation (Class A) 249,392
4,300 +Catalina Marketing Corporation 86,688
4,300 +Emmis Communications Corporation (Class A) 116,315
4,000 +Entercom Communications Corp. 211,840
7,050 Harte-Hanks, Inc. 153,337
3,600 Lee Enterprises, Incorporated 157,140
1,900 Media General, Inc. (Class A) 123,690
7,900 The Reader's Digest Association, Inc. 115,814
3,100 +Scholastic Corporation 105,524
5-M
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
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Shares Value
Industry* Held Common Stocks (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Media (concluded) 754 The Washington Post Company (Class B) $ 596,716
8,200 +Westwood One, Inc. 280,522
------------
2,196,978
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Metals & Mining - 0.4% 4,400 Arch Coal, Inc. 137,148
1,800 Carpenter Technology Corporation 53,226
4,000 Peabody Energy Corporation 166,840
------------
357,214
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities & 17,100 +Aquila, Inc. 57,969
Unregulated Power - 2.2% 11,400 Energy East Corporation 255,360
5,000 Equitable Resources, Inc. 214,600
8,700 MDU Resources Group 207,147
6,200 National Fuel Gas Company 151,528
6,700 ONEOK, Inc. 147,936
6,400 Questar Corporation 224,960
8,700 SCANA Corporation 297,975
9,400 +Sierra Pacific Resources 68,996
5,200 Vectren Corporation 128,180
6,000 Westar Energy, Inc. 121,500
------------
1,876,151
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Multiline Retail - 1.0% 5,566 +99 Cents Only Stores 151,562
9,350 +Dollar Tree Stores, Inc. 281,061
3,800 The Neiman Marcus Group, Inc. (Class A) 203,946
11,300 +Saks Incorporated 169,952
------------
806,521
- ------------------------------------------------------------------------------------------------------------------------------------
Office Electronics - 0.3% 3,900 +Zebra Technologies Corporation (Class A) 258,843
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Oil & Gas - 2.9% 3,600 +Forest Oil Corporation 102,852
7,300 Murphy Oil Corporation 476,763
4,800 Noble Energy, Inc. 213,264
2,800 Overseas Shipholding Group, Inc. 95,340
9,400 +Pioneer Natural Resources Company 300,142
4,900 Pogo Producing Company 236,670
9,800 Valero Energy Corporation 454,132
2,600 Western Gas Resources, Inc. 122,850
14,366 XTO Energy, Inc. 406,558
------------
2,408,571
- ------------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.7% 4,600 Bowater Incorporated 213,026
3,100 P.H. Glatfelter Company 38,595
2,300 Potlatch Corporation 79,971
4,695 Rayonier Inc. 194,889
4,100 Wausau - Mosinee Paper Corporation 55,432
------------
581,913
- ------------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 2.6% 5,350 +Barr Laboratories, Inc. 411,683
15,625 +IVAX Corporation 373,125
21,525 Mylan Laboratories, Inc. 543,722
5,700 Perrigo Company 89,604
2,700 +Pharmaceutical Resources, Inc. 175,905
9,200 +SICOR Inc. 250,240
7,000 +Sepracor Inc. 167,510
6,800 Valeant Pharmaceuticals International 171,020
------------
2,182,809
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate - 1.6% 6,500 AMB Property Corporation 213,720
4,300 Highwoods Properties, Inc. 109,220
5,200 Hospitality Properties Trust 214,656
6,300 Liberty Property Trust 245,070
4,600 Mack-Cali Realty Corporation 191,452
8,000 New Plan Excel Realty Trust 197,360
10,100 United Dominion Realty Trust, Inc. 193,920
------------
1,365,398
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Road & Rail - 0.3% 6,700 +Swift Transportation Co., Inc. 140,834
6,375 Werner Enterprises, Inc. 124,249
------------
265,083
- ------------------------------------------------------------------------------------------------------------------------------------
Semiconductors & 37,500 +Atmel Corporation 225,375
Semiconductor Equipment - 4.1% 2,000 +Cabot Microelectronics Corporation 98,000
6-M
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
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Shares Value
Industry* Held Common Stocks (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Semiconductors & 5,500 +Credence Systems Corporation $ 72,380
Semiconductor Equipment 5,901 +Cree, Inc. 104,389
(concluded) 9,800 +Cypress Semiconductor Corporation 209,328
9,100 +Fairchild Semiconductor Corporation 227,227
5,500 +Integrated Circuit Systems, Inc. 156,695
8,600 +Integrated Device Technology, Inc. 147,662
5,000 +International Rectifier Corp. 247,050
11,100 Intersil Holding Corporation (Class A) 275,835
10,200 +LAM Research Corp. 329,460
3,700 +LTX Corporation 55,611
9,000 +Lattice Semiconductor Corporation 87,120
7,000 +Micrel, Inc. 109,060
16,500 Microchip Technology 550,440
15,300 +RF Micro Devices, Inc. 153,765
5,900 +Semtech Corporation 134,107
3,900 +Silicon Laboratories Inc. 168,558
9,900 +TriQuint Semiconductor, Inc. 69,993
------------
3,422,055
- ------------------------------------------------------------------------------------------------------------------------------------
Software - 2.8% 5,550 +Activision, Inc. 101,010
2,800 +Advent Software, Inc. 48,804
4,525 +Ascential Software Corporation 117,333
20,400 +Cadence Design Systems, Inc. 366,792
3,800 Fair, Isaac and Company, Incorporated 186,808
7,000 Jack Henry & Associates, Inc. 144,060
4,800 +Macromedia, Inc. 85,632
3,900 +Macrovision Corporation 88,101
5,100 +Mentor Graphics Corporation 74,154
12,500 +Network Associates, Inc. 188,000
4,600 +RSA Security Inc. 65,320
5,400 Reynolds & Reynolds Company (Class A) 156,870
7,300 +Sybase, Inc. 150,234
12,600 +Synopsys, Inc. 425,376
2,800 +Transaction Systems Architects, Inc. (Class A) 63,364
6,400 +Wind River Systems, Inc. 56,064
------------
2,317,922
- ------------------------------------------------------------------------------------------------------------------------------------
Specialty Retail - 3.6% 8,000 +Abercrombie & Fitch Co. (Class A) 197,680
5,950 +American Eagle Outfitters, Inc. 97,580
5,200 +Barnes & Noble, Inc. 170,820
6,100 Borders Group, Inc. 133,712
8,300 +CarMax, Inc. 256,719
6,900 +Chico's FAS, Inc. 254,955
7,800 Claire's Stores, Inc. 146,952
5,300 Michael's Stores 234,260
4,300 +O'Reilly Automotive, Inc. 164,948
11,300 PETsMART, Inc. 268,940
5,400 +Payless ShoeSource, Inc. 72,360
7,400 Pier 1 Imports, Inc. 161,764
6,400 +Rent A Center Inc. 191,232
12,600 Ross Stores, Inc. 333,018
9,300 +Williams-Sonoma, Inc. 323,361
------------
3,008,301
- ------------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 14,700 +Coach, Inc. 554,925
Luxury Goods - 0.9% 2,900 +The Timberland Company (Class A) 151,003
4,300 +Unifi, Inc. 27,735
------------
733,663
- ------------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 3.6% 6,600 Astoria Financial Corporation 245,520
10,850 GreenPoint Financial Corp. 383,222
4,600 Independence Community Bank Corp. 165,462
4,500 IndyMac Bancorp, Inc. 134,055
15,775 New York Community Bancorp, Inc. 600,239
7,300 The PMI Group, Inc. 271,779
7,400 Radian Group Inc. 360,750
22,900 Sovereign Bancorp, Inc. 543,875
7-M
SCHEDULE OF INVESTMENTS Master Mid-Cap Index Series, December 31, 2003
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Value
Industry* Held Common Stocks (in U.S. dollars)
- ------------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance 5,200 Washington Federal, Inc. $ 147,680
(concluded) 3,500 Webster Financial Corporation 160,510
------------
3,013,092
- ------------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 2,100 Universal Corporation 92,757
- ------------------------------------------------------------------------------------------------------------------------------------
Trading Companies & 6,100 Fastenal Company 304,634
Distributors - 0.4%
- ------------------------------------------------------------------------------------------------------------------------------------
Water Utilities - 0.2% 7,275 +Philadelphia Suburban Corporation 160,777
- ------------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 4,400 +Price Communications Corporation 60,412
Services - 0.4% 4,600 Telephone and Data Systems, Inc. 287,730
------------
348,142
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments in Common Stocks
(Cost - $59,226,105) - 91.8% 76,962,933
- ------------------------------------------------------------------------------------------------------------------------------------
Beneficial Interest/ Short-Term Securities
Shares Held
- ------------------------------------------------------------------------------------------------------------------------------------
$ 6,612,488 Merrill Lynch Liquidity Series,
LLC Cash Sweep Series I (a) 6,612,488
$ 30,000 Merrill Lynch Liquidity Series,
LLC Money Market Series (a) (b) 30,000
10,000 Merrill Lynch Premier Institutional Fund (a) (b) 10,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments in Short-Term Securities
(Cost - $6,652,488) - 7.9% 6,652,488
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $65,878,593) - 99.7% 83,615,421
Variation Margin on Financial Futures
Contracts (c) - 0.0% (38,400)
Other Assets Less Liabilities - 0.3% 280,857
------------
Net Assets - 100.0% $ 83,857,878
============
* For Series compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease. These
industry classifications are unaudited.
+ Non-income producing security.
(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:
- -----------------------------------------------------------------------------------------------------------------
Affiliate Net Activity Interest/Dividend
Income
- -----------------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 5,546,782 $ 23,840
Merrill Lynch Liquidity Series, LLC Money Market Series $ 30,000 $ 924
Merrill Lynch Premier Institutional Fund 10,000 $ 487
- -----------------------------------------------------------------------------------------------------------------
(b) Security was purchased with the cash proceeds from securitites loans.
(c) Financial futures contracts purchased as of December 31, 2003 were as
follows:
- --------------------------------------------------------------------------------------------------------------
Number of Issue Expiration Face Value Unrealized
Contracts Date Gains
- --------------------------------------------------------------------------------------------------------------
24 S&P 400 Midcap March 2004 $ 6,710,983 $ 201,617
----------
Total Unrealized Gains $ 201,617
==========
- --------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
8-M
Master Mid Cap Index Series December 31, 2003
STATEMENT OF ASSETS AND LIABILITIES
MASTER
MID CAP
INDEX SERIES As of December 31, 2003
- ------------------------------------------------------------------------------------------------------------------------
Assets: Investments, at value (including securities loaned of $38,250)
(identified cost-$65,878,593) ................................ $83,615,421
Cash on deposit for financial futures contracts 336,000
Receivables:
Dividends ........................................... $ 49,626
Contributions ....................................... 45,122
Interest ............................................ 3,568
Securities lending-net .............................. 51 98,367
-----------
Prepaid expenses ............................................. 306
-----------
Total assets ................................................. 84,050,094
-----------
- ------------------------------------------------------------------------------------------------------------------------
Liabilities: Collateral on securities loaned, at value .................... 40,000
Payables:
Withdrawals ............................................ 105,190
Variation margin ....................................... 38,400
Other affiliates ....................................... 712
Investment adviser .................................... 115 144,417
-----------
Accrued expenses and other liabilities ....................... 7,799
-----------
Total liabilities ............................................ 192,216
-----------
- ------------------------------------------------------------------------------------------------------------------------
Net Assets: Net assets ................................................... $83,857,878
===========
- ------------------------------------------------------------------------------------------------------------------------
Net Assets Investors' capital ........................................... $65,919,433
Consist of: Unrealized appreciation on investments-net ................... 17,938,445
-----------
Net assets ................................................... $83,857,878
===========
- ------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
9-M
Master Mid Cap Index Series December 31, 2003
STATEMENT OF OPERATIONS
MASTER
MID CAP
INDEX SERIES For the Year Ended December 31, 2003
- ------------------------------------------------------------------------------------------------------------------------------
Investment Dividends ....................................................... $ 764,788
Income: Interest ........................................................ 23,840
Securities lending-net .......................................... 1,411
-----------
Total income .................................................... 790,039
-----------
- ------------------------------------------------------------------------------------------------------------------------------
Expenses: Professional fees ............................................... $ 51,625
Custodian fees .................................................. 21,136
Accounting services ............................................. 10,741
Investment advisory fees ........................................ 6,424
Transfer agent fees ............................................. 1,847
Printing and shareholder reports ................................ 1,787
Trustees' fees and expenses ..................................... 950
Other ........................................................... 15,573
--------
Total expenses .................................................. 110,083
-----------
Investment income-net ........................................... 679,956
-----------
- ------------------------------------------------------------------------------------------------------------------------------
Realized & Realized gain on investments-net ................................ 391,850
Unrealized Gain Change in unrealized appreciation/depreciation on investments-net 20,373,081
on Investments-Net: -----------
Total realized and unrealized gain on investments-net ........... 20,764,931
-----------
Net Increase in Net Assets Resulting from Operations ............ $21,444,887
===========
- ------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements
10-M
Master Mid Cap Index Series December 31, 2003
STATEMENTS OF CHANGES IN NET ASSETS
MASTER For the Year Ended December 31,
MID CAP ---------------------------------
INDEX SERIES Increase (Decrease) in Net Assets: 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
Operations: Investment income-net ........................................... $ 679,956 $ 221,860
Realized gain (loss) on investments-net ......................... 391,850 (1,347,143)
Change in unrealized appreciation/depreciation on investments-net 20,373,081 (2,962,866)
------------ ------------
Net increase (decrease) in net assets resulting from operations . 21,444,887 (4,088,149)
------------ ------------
- ----------------------------------------------------------------------------------------------------------------------------
Capital Proceeds from contributions ..................................... 27,919,458 47,780,517
Transactions: Fair value of withdrawals ....................................... (1,487,438) (13,313,155)
------------ ------------
Net increase in net assets derived from capital transactions .... 26,432,020 34,467,362
------------ ------------
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets: Total increase in net assets .................................... 47,876,907 30,379,213
Beginning of year ............................................... 35,980,971 5,601,758
------------ ------------
End of year ..................................................... $ 83,857,878 $ 35,980,971
============ ============
- ----------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
11-M
Master Mid Cap Index Series December 31, 2003
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------------------------------------------------------------
For the Period
December 30,
MASTER The following ratios have For the Year Ended December 31, 1999+
MID CAP been derived from information provided ----------------------------------------------------- to December 31,
INDEX SERIES in the financial statements. 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment
Return:# 35.53% (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) $ 83,858 $ 35,981 $ 5,602 $ 13,167 $ 5,032
Data: ========= ========= ========= ========= =========
Portfolio turnover ..................... 8.25% 42.18% 99.59% 50.32% --
========= ========= ========= ========= =========
- ------------------------------------------------------------------------------------------------------------------------------------
* Annualized.
+ Commencement of operations.
# Total return is required to be disclosed for fiscal years beginning
after December 15, 2000. See Notes to Financial Statements.
12-M
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. The following is a summary of significant accounting policies
followed by the Series.
(a) Valuation of investments - Equity securities that are held by the Series
that are traded on stock exchanges or the Nasdaq National Market are
valued at the last sale price or official close price on the exchange, as
of the close of business on the day the securities are being valued or,
lacking any sales, at the last available bid price for long positions, and
at the last available ask price for short positions. In cases where equity
securities are traded on more than one exchange, the securities are valued
on the exchange designated as the primary market by or under the authority
of the Board of Trustees of the Trust. Long positions traded in the
over-the-counter ("OTC") market, Nasdaq Small Cap or Bulletin Board are
valued at the last available bid price or yield equivalent obtained from
one or more dealers or pricing services approved by the Board of Trustees
of the Trust. Short positions traded in the OTC market are valued at the
last available ask price. Series securities that are traded both in the
OTC market and on a stock exchange are valued according to the broadest
and most representative market.
Options written are valued at the last sale price in the case of
exchange-traded options or, in the case of options traded in the OTC
market, the last ask price. Options purchased are valued at their last
sale price in the case of exchange-traded options or, in the case of
options traded in the OTC market, the last bid price. Swap agreements are
valued daily based upon quotations from market makers. Financial futures
contracts and options thereon, which are traded on exchanges, are valued
at their last sale price as of the close of such exchanges. Obligations
with remaining maturities of 60 days or less are valued at amortized cost
unless the Investment Adviser believes that this method no longer produces
fair valuations.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the
Series. Securities and assets for which market quotations are not readily
available are valued at fair value as determined in good faith by or under
the direction of the Board of Trustees of the Trust, including valuations
furnished by the pricing services retained by the Trust, which may use a
matrix system for valuations. The procedures of a pricing service and its
valuations are reviewed by the officers of the Trust under the general
supervision of the Board of Trustees. Such valuations and procedures will
be reviewed periodically by the Board of Trustees of the Trust.
Generally, trading in foreign securities, as well as U.S. government
securities and money market instruments, is substantially completed each
day at various times prior to the close of business on the NYSE. The
values of such securities used in computing the net assets of the Series
are determined as of such times. Foreign currency exchange rates also are
generally determined prior to the close of business on the NYSE.
Occasionally, events affecting the values of such securities and such
exchange rates may occur between the times at which they are determined
and the close of business on the NYSE that may not be reflected in the
computation of the Series' net assets. If events (for example, a company
announcement, market volatility or a natural disaster) occur during such
periods that are expected to materially affect the value of such
securities, those securities may be valued at their fair value as
determined in good faith by the Board of Trustees or by the Investment
Adviser using a pricing service and/or procedures approved by the Board of
Trustees.
13-M
(b) Derivative financial instruments - The Series may engage in various
portfolio investment strategies both to increase the return of the Series and to
hedge, or protect, its exposure to interest rate movements and movements in the
securities markets. Losses may arise due to changes in the value of the contract
or if the counterparty does not perform under the contract.
o Financial futures contracts - The 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 may purchase and write call and put options. When the
Series writes an option, an amount equal to the premium received by the
Series is reflected as an asset and an equivalent liability. The amount of
the liability is subsequently marked to market to reflect the current
market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received)
is added to (or deducted from) the basis of the security acquired or
deducted from (or added to) the proceeds of the security sold. When an
option expires (or the Series enters into a closing transaction), the
Series realizes a gain or loss on the option to the extent of the premiums
received or paid (or a gain or loss to the extent that the cost of the
closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(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.
14-M
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 year ended December 31, 2003, MLIM,
LLC received $605 in securities lending agent fees.
For the year ended December 31, 2003, the Series reimbursed FAM $1,253 or
certain accounting services.
Certain officers and/or trustees of the Trust 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
year ended December 31, 2003 were $27,008,013 and $5,003,969, respectively.
Net realized gains (losses) for the year ended December 31, 2003 and net
unrealized gains as of December 31, 2003 were as follows:
================================================================================
Realized Unrealized
Gains (Losses) Gains
- --------------------------------------------------------------------------------
Long-term investments ................... $ (48,317) $17,736,828
Financial futures contracts ............. 440,167 201,617
----------- -----------
Total ................................... $ 391,850 $17,938,445
=========== ===========
================================================================================
As of December 31, 2003, net unrealized appreciation for Federal income tax
purposes aggregated $16,650,396, of which $17,648,066 related to appreciated
securities and $997,670 related to depreciated securities. At December 31, 2003,
the aggregate cost of investments for Federal income tax purposes was
$66,965,025.
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 28, 2003, the credit
agreement was renewed for one year under the same terms. The Series did not
borrow under the credit agreement during the year ended December 31, 2003.
15-M
INDEPENDENT AUDITORS' REPORT
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of the Master Mid-Cap Index Series, one of the
portfolios constituting Quantitative Master Series Trust (the "Trust") as of
December 31, 2003, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the respective
periods then ended. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 2003, by correspondence with the custodian.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Master Mid-Cap Index Series of Quantitative Master Series Trust as of December
31, 2003, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended, and its
financial highlights for each of the respective periods then ended, in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 13, 2004
16-M
Officers and Directors/Trustees (unaudited)
Number
of
Portfolios
in Fund Other
Complex Public
Length Overseen Directorships
Position(s) of by Held by
Held with Time Principal Occupation(s) During Past Director/ Director/
Name Address & Age Fund/Trust Served 5 Years Trustee Trustee
====================================================================================================================================
Interested Director/Trustee
====================================================================================================================================
Terry K. Glenn* P.O. Box 9011 President 2000 to President and Chairman of the 123 Funds None
Princeton, NJ and present Merrill Lynch Investment Managers, 160 Portfolios
08543-9011 Director/ and 1997 L.P. ("MLIM")/Fund Asset
Age: 63 Trustee to Management, L.P. ("FAM")-- Advised
present Funds since 1999; Chairman
(Americas Region) of MLIM from
2000 to 2002; Executive Vice
President of FAM and MLIM (which
terms as used herein include their
corporate predecessors) from 1983
to 2002; President of FAM
Distributors, Inc. ("FAMD") from
1986 to 2002 and Director thereof
from 1991 to 2002; Executive Vice
President and Director of
Princeton Services, Inc.
("Princeton Services") from 1993
to 2002; President of Princeton
Administrators, L.P. from 1989 to
2002; Director of Financial Data
Services, Inc. since 1985.
* Mr. Glenn is a director, trustee or member of an advisory board of certain other investment companies for which
FAM or MLIM acts as investment adviser. Mr. Glenn is an "interested person" as described in the Investment
Company Act, of the Fund based on his former positions with FAM, MLIM, FAMD, Princeton Services and Princeton
Administrators, L.P. The Director's/Trustee's term is unlimited. Directors/Trustees serve until their
resignation, removal, or death, or until December 31 of the year in which they turn 72. As Fund President, Mr.
Glenn serves at the pleasure of the Board of Directors/Trustees.
====================================================================================================================================
Independent Directors/Trustees*
====================================================================================================================================
Donald W. Burton P.O. Box 9095 Director/ 2002 to Manager of The Burton Partnership, 23 Funds ITC Delta-
Princeton, NJ Trustee present Limited Partnership since 1979; 36 Portfolios Com, Inc.,
08543-9095 Managing General Partner of the ITC
Age: 59 South Atlantic Venture Funds, Financial
Limited Partnerships and Chairman Services,
of South Atlantic Private Equity Knology,
Fund IV, Limited Partnership since Inc.,
1983; Member of the Investment PriCare,
Advisory Council of the Florida Inc.,
State Board of Administration Symbion,
since 2001. Inc.
- ------------------------------------------------------------------------------------------------------------------------------------
M. Colyer Crum P.O. Box 9095 Director/ 2000 to James R. Williston Professor of 24 Funds Cambridge
Princeton, NJ Trustee present Investment Management Emeritus, 37 Portfolios Bancorp
08543-9095 Harvard Business School since
Age: 71 1996; Chairman and Director of
Phaeton International, Ltd. from
1985 to present; Director of
Cambridge Bancorp since 1969.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurie Simon P.O. Box 9095 Director/ 2000 to Professor of Finance and 23 Funds None
Hodrick Princeton, NJ Trustee present Economics, Graduate School of 36 Portfolios
08543-9095 Business, Columbia University
Age: 41 since 1998; Associate Professor
of Finance and Economics, Graduate
School of Business, Columbia
University from 1996 to 1998.
17-M
Officers and Directors/Trustees (unaudited) (concluded)
Number of
Portfolios in
Fund Complex
Position(s) Length of Principal Overseen by Other Public
Held with Time Occupation(s) During Director/ Directorships Held
Name Address & Age Fund/Trust Served Past 5 Years Trustee by Director/ Trustee
====================================================================================================================================
Independent Directors/Trustees* (concluded)
====================================================================================================================================
David H. Walsh P.O. Box 9095 Director/ 2003 to Consultant with 23 Funds None
Princeton, NJ Trustee present Putnam Investments 36 Portfolios
08543-9095 since 1993 and
Age: 62 employed in various
capacities therewith
from 1971 to 1992;
Director of the
National Audubon
Society since 2000;
Director of the
American Museum of
Fly Fishing since
1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss P.O. Box 9095 Director/ 2000 to Managing Director of 23 Funds Watson
Princeton, NJ Trustee present FGW Associates since 36 Portfolios Pharmaceuticals,Inc.
08543-9095 1997; Vice President,
Age: 62 Planning, Investment
and Development of
Warner Lambert Co.
from 1979 to 1997;
Director of BTG
International, PLC
since 2001; Inc.
Director of KIMC
Investment, Inc.
since 2003; Director
of Osmotica Holdings
Corp. AVV since 2003
* The Director's/Trustee's term is unlimited. Directors/Trustees serve until their resignation, removal or death,
or until December 31 of the year in which they turn 72.
Position(s) Length of
Held with Time
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Trust Officers
====================================================================================================================================
Donald C. Burke P.O. Box 9011 Vice 1997 to First Vice President of FAM and MLIM since 1997 and
Princeton, NJ President present Treasurer thereof since 1999; Senior Vice President and
08543-9011 and Treasurer and 1999 Treasurer of Princeton Services since 1999; Vice President of FAMD
Age: 43 to present since 1999; Director of MLIM Taxation since 1990.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Doll, P.O. Box 9011 Senior Vice 1999 to President of MLIM and member of the Executive Management
Jr. Princeton, NJ President present Committee of ML & Co., Inc. since 2001; Global Chief
08543-9011 Investment Officer and Senior Portfolio Manager of MLIM
Age: 49 since 1999; Chief Investment Officer of Equities at
Oppenheimer Funds, Inc. from 1990 to 1999 and Chief
Investment Officer thereof from 1998 to 1999; Executive Vice
President of Oppenheimer Funds, Inc. from 1991 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Richard Vella P.O. Box 9011 Vice 1999 to Managing Director and Head of Global Index and Enhanced
Princeton, NJ President present Index products for Merrill Lynch Quantitative Advisors since
08543-9011 1999; Managing Director and Head of the Global Index and
Age: 46 Enhanced Index business at Bankers Trust from 1984 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Brian D. Stewart P.O. Box 9011 Secretary 2003 to Vice President (Legal Advisory) of MLIM since 2002; Attorney
Princeton, NJ present with Reed Smith from 2001 to 2002; Attorney with Saul Ewing
08543-9011 from 1999 to 2001.
Age: 34
- ------------------------------------------------------------------------------------------------------------------------------------
* Officers of the Fund/Trust serve at the pleasure of the Board of Directors/Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors is available in the Fund's Statement of Additional
Information, which can be obtained without charge by calling 1-800-MER-FUND.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
J.P. Morgan Chase Bank
4 Chase MetroTech Center, 18th Floor
Brooklyn, NY 11245
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
18-M
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the
end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Donald W.
Burton, (2) M. Colyer Crum, (3) Laurie Simon Hodrick, (4) David H.
Walsh and (5) Fred G. Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick and M. Colyer Crum qualify as financial experts pursuant to
Item 3(c)(4) of Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in financial
analysts' training programs. Ms. Hodrick has also worked with several
prominent corporations in connection with the analysis of financial
forecasts and projections and analysis of the financial statements of
those companies, serving on the Financial Advisory Council of one of
these major corporations. She has also served as the Treasurer and
Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a
number of articles in leading economic and financial journals and is
the associate editor of two leading finance journals.
M. Colyer Crum also possesses a thorough understanding of generally
accepted accounting principals, financial statements, and internal
controls and procedures for financial reporting through a combination
of education and experience. Professor Crum was a professor of
investment management at the Harvard Business School for 25 years. The
courses taught by Professor Crum place a heavy emphasis on the analysis
of underlying company financial statements with respect to stock
selection and the analysis of credit risk in making loans. Professor
Crum has also served on a number of boards of directors and has served
on the audit committees, and in some cases chaired the audit committee,
for several major corporations and financial institutions. For two such
organizations, Professor Crum has performed extensive investment
analysis of financial statements in connection with investment
management decisions. From these experiences, he has gained significant
experience with the establishment of reserves and accounting policies,
differences between U.S. GAAP and Canadian GAAP and executive
compensation issues.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - 2003 -- $25,200 2002 -- $25,200
(b) Audit-Related Fees - 2003 -- $0 2002 -- $0
(c) Tax Fees - 2003 -- $8,800 2002 -- $10,500
The nature of the services include tax compliance, tax
advice and tax planning.
(d) All Other Fees - 2003 -- $0 2002 -- $0
(e)(1) The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of
services. Audit, audit-related and tax compliance services
provided to the registrant on an annual basis require specific
pre-approval by the Committee. The Committee also must approve
other non-audit services provided to the registrant and those
non-audit services provided to the registrant's affiliated
service providers that relate directly to the operations and the
financial reporting of the registrant. Certain of these
non-audit services that the Committee believes are a) consistent
with the SEC's auditor independence rules and b) routine and
recurring services that will not impair the independence of the
independent accountants may be approved by the Committee without
consideration on a specific case-by-case basis ("general
pre-approval"). However, such services will only be deemed
pre-approved provided that any individual project does not
exceed $5,000 attributable to the registrant or $50,000 for the
project as a whole. Any proposed services exceeding the
pre-approved cost levels will require specific pre-approval by
the Committee, as will any other services not subject to general
pre-approval (e.g., unanticipated but permissible services). The
Committee is informed of each service approved subject to
general pre-approval at the next regularly scheduled in-person
board meeting.
(e)(2) 0%
(f) N/A
(g) 2003 -- $18,690,437 2002 -- $17,012,158
(h) The registrant's audit committee has considered that the provision
of non-audit services that were rendered to the registrant's
investment adviser and any entity controlling, controlled by, or
under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved
pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is
compatible with maintaining the principal accountant's
independence.
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Reserved
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Reserved
Item 9 - Controls and Procedures
9(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to the
filing date of this report.
9(b) - There were no significant changes in the registrant's internal controls
or in other factors that could significantly affect these controls
subsequent to the date of their evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Item 10 - Exhibits attached hereto
10(a) - Not Applicable
10(b) - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
Master Mid Cap Index Series
By: /s/ Terry K. Glenn
----------------------------
Terry K. Glenn,
President of
Master Mid Cap Index Series
Date: February 23, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by
the following persons on behalf of the registrant and in the capacities
and on the dates indicated.
By: /s/ Terry K. Glenn
----------------------------
Terry K. Glenn,
President of
Master Mid Cap Index Series
Date: February 23, 2004
By: /s/ Donald C. Burke
----------------------------
Donald C. Burke,
Chief Financial Officer of
Master Mid Cap Index Series
Date: February 23, 2004