|
|
|
|
|
|
|
|
|
|
|
|
|
|
Previous: VARIABLE ANNUITY PORTFOLIOS, N-30B-2, 1997-08-26 |
Next: ASSET SECURITIZATION CORP COMM MOR PASS THR CER 1996-MD VI, 8-K, 1997-08-26 |
MERRILL LYNCH
AGGREGATE BOND
INDEX FUND
Merrill Lynch
Index Funds, Inc.
FUND LOGO
Semi-Annual Report
June 30, 1997
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
Statements and other information herein are as dated and are subject
to change.
Merrill Lynch
Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011 Index 1--6/97
Printed on post-consumer recycled paper
Merrill Lynch Aggregate Bond Index Fund
Officers and
Directors
Terry K. Glenn, President and Director
Jack B. Sunderland, Director
Stephen B. Swensrud, Director
J. Thomas Touchton, Director
Norman R. Harvey, Senior Vice President
Joseph T. Monagle Jr., Senior Vice President
Gregory Mark Maunz, Vice President
Eric S. Mitofsky, Vice President
Jay C. Harbeck, Vice President
Gerald M. Richard, Treasurer
Ira P. Shapiro, Secretary
Custodian
Merrill Lynch Trust Company
800 Scudders Mill Road
Plainsboro, NJ 08536
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
Merrill Lynch Aggregate Bond Index Fund, June 30, 1997
DEAR SHAREHOLDER
We are pleased to provide you with this first semi-annual report for
Merrill Lynch Aggregate Bond Index Fund. The Fund commenced
operations on April 3, 1997. Our primary objective is to seek to
match the total return, before expenses, of the unmanaged Lehman
Brothers Aggregate Bond Index, a highly recognized benchmark in the
high-quality fixed-income management industry. The Fund seeks to
achieve its objective by investing all of its assets in Merrill
Lynch Aggregate Bond Index Series. To be eligible for inclusion in
the Index, a security must meet certain size, maturity and credit
rating requirements. By June 30, 1997, 6,055 securities were
included in the Index.
The Lehman Brothers Aggregate Bond Index is actually a composite
index comprised of sub-indexes covering the Government, mortgage-
backed and corporate sectors. Accordingly, management of the Series
involves tracking the respective sectors on a neutral basis. Since
the Index is comprised of so many securities, it is not practical to
replicate the Index by including every issue in the Series'
portfolio. Instead, we implement a stratified sampling technique
which collectively has nearly identical investment characteristics
as its referenced benchmark. For example, the 1,475 securities in
the Government index are mimicked by nine securities and are neutral
to the index as far as total duration, partial duration and
convexity are concerned.
The mortgage-backed portion of the Series is managed with a slightly
different approach. The dynamic nature of mortgage analysis leads to
investment uncertainty when attempting to measure characteristics
such as effective duration and effective convexity. Accordingly, we
are less concerned with zero tolerance variance when comparing the
mortgage-backed index with the mortgage-backed portion of the
Series. Rather, we strive to attain sub-sector neutrality by
matching program (Government National Mortgage Association, Federal
National Mortgage Association, or Federal Home Loan Mortgage
Corporation), original term (30-year, 15-year, balloon), seasoning
and coupon. We have achieved this through the purchase of 22
mortgage-backed positions in the Series. The mortgage-backed index
has 628 issues in it.
The corporate index has by far the most issues in the underlying
benchmark. At 3,941 issues, 65% of the issues in the Lehman Brothers
Aggregate Bond Index is represented by the corporate sector.
However, the market value of the corporate sector, at 19.7%, is the
smallest component in the Index. Management of this sector is
similar to the Government sector in that duration and convexity are
matched on a neutral basis. There are additional constraints
however. The subsectors of credit rating and industry are also
matched on a neutral basis. Currently, there are 46 corporate issues
in the Series.
Since the Fund's inception (April 3, 1997) through June 30, 1997,
the total return has lagged that of the Index by approximately 20
basis points (0.20%), a phenomenon known as tracking error. A higher
degree of tracking error is normal during a Fund's initial
investment period. Therefore, we expect the magnitude of tracking
error to diminish in future periods. (For complete performance
information, see page 3 of this report to shareholders.)
In Conclusion
We appreciate your investment in Merrill Lynch Aggregate Bond Index
Fund, and we look forward to sharing our investment outlook with you
in the months and years ahead.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President
(Jay C. Harbeck)
Jay C. Harbeck
Vice President and
Co-Portfolio Manager
(Gregory Mark Maunz)
Gregory Mark Maunz
Vice President and
Co-Portfolio Manager
August 4, 1997
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund through the
Merrill Lynch Select Pricing SM System, which offers two pricing
alternatives:
* Class A Shares do not incur a maximum initial sales charge (front-
end load) or deferred sales charge and bear no ongoing distribution
or account maintenance fees. Class A Shares are available only to
eligible investors.
* Class D Shares do not incur a maximum initial sales charge or
deferred sales charge and bear no ongoing distribution fee. In
addition, Class D Shares are subject to an ongoing account
maintenance fee of 0.25%.
None of the past results shown should be considered a representation
of future performance. Figures shown in the "Aggregate Total Return"
tables assume reinvestment of all dividends and capital gains
distributions at net asset value on the payable date. Investment
return and principal value of shares will fluctuate so that shares,
when redeemed, may be worth more or less than their original cost.
Dividends paid to each class of shares will vary because of the
different levels of account maintenance, distribution and transfer
agency fees applicable to each class, which are deducted from the
income available to be paid to shareholders.
<TABLE>
Recent
Performance
Results
<CAPTION>
Since Inception++
6/30/97 4/03/97++ % Change
<S> <C> <C> <C>
ML Aggregate Bond Index Fund Class A Shares $10.14 $10.00 +1.40%
ML Aggregate Bond Index Fund Class D Shares 10.15 10.00 +1.50
ML Aggregate Bond Index Fund Class A Shares--Total Return +2.95(1)
ML Aggregate Bond Index Fund Class D Shares--Total Return +2.99(2)
<FN>
++The Fund commenced operations on April 3, 1997.
(1)Percent change includes reinvestment of $0.134 per share ordinary
income dividends.
(2)Percent change includes reinvestment of $0.129 per share ordinary
income dividends.
</TABLE>
Aggregate
Total Return
% Return
Class A Shares
Inception (4/03/97) through 6/30/97 +2.95%
% Return
Class D Shares
Inception (4/03/97) through 6/30/97 +2.99%
Merrill Lynch Aggregate Bond Index Fund, June 30, 1997
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
AGGREGATE BOND
INDEX FUND As of June 30, 1997
<S> <S> <C> <C>
Assets: Investment in Merrill Lynch Aggregate Bond Index Series, at
value (Note 1a) (identified cost--$176,358,861) $177,084,330
Receivable from administrator (Note 2) 30,708
Deferred organization expenses (Note 1d) 11,255
Other assets 31,395
------------
Total assets 177,157,688
------------
Liabilities: Payables:
Dividends to shareholders (Note 1e) $ 333,564
Distributor (Note 2) 5,415 338,979
------------
Accrued expenses and other liabilities 8,470
------------
Total liabilities 347,449
------------
Net Assets: Net assets $176,810,239
============
Net Assets Class A Shares of Common Stock, $0.0001 par value,
Consist of: 125,000,000 shares authorized $ 1,479
Class D Shares of Common Stock, $0.0001 par value,
125,000,000 shares authorized 264
Paid-in capital in excess of par 175,868,262
Undistributed realized capital gains on investments from
the Series--net 214,765
Unrealized appreciation on investments from the Series--net 725,469
------------
Net assets $176,810,239
============
Net Asset Class A--Based on net assets of $150,048,167 and 14,794,047
Value: shares outstanding $ 10.14
============
Class D--Based on net assets of $26,762,072 and 2,637,505
shares outstanding $ 10.15
============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
AGGREGATE BOND
INDEX FUND For the Period April 3, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Investment income allocated from the Series $ 1,341,668
(Note 1b): Expenses allocated from the Series (38,307)
------------
Net investment income from the Series 1,303,361
------------
Expenses: Registration fees (Note 1d) $ 34,292
Administration fee (Note 2) 28,078
Account maintenance fee--Class D (Note 2) 15,931
Printing and shareholder reports 12,343
Transfer agent fees--Class A (Note 2) 5,362
Professional fees 3,635
Transfer agent fees--Class D (Note 2) 3,107
Accounting services (Note 2) 1,591
Amortization of organization expenses (Note 1d) 852
Directors' fees and expenses 227
Other 1,185
------------
Total expenses before reimbursement 106,603
Reimbursement of expenses (Note 2) (58,786)
------------
Total expenses after reimbursement 47,817
------------
Investment income--net 1,255,544
------------
Realized & Realized gain on investments from the Series--net 214,765
Unrealized Unrealized appreciation on investments from the Series--net 725,469
Gain from the ------------
Series--Net: Net Increase in Net Assets Resulting from Operations $ 2,195,778
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH For the Period
AGGREGATE BOND April 3, 1997++ to
INDEX FUND Increase (Decrease) in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 1,255,544
Realized gain on investments from the Series--net 214,765
Unrealized appreciation on investments from the Series--net 725,469
------------
Net increase in net assets resulting from operations 2,195,778
------------
Dividends to Investment income--net:
Shareholders Class A (867,406)
(Note 1e): Class D (388,138)
------------
Net decrease in net assets resulting from dividends to shareholders (1,255,544)
------------
Capital Share Net increase in net assets derived from capital share transactions 175,845,005
Transactions ------------
(Note 4):
Net Assets: Total increase in net assets 176,785,239
Beginning of period 25,000
------------
End of period $176,810,239
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch Aggregate Bond Index Fund, June 30, 1997
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived For the Period
MERRILL LYNCH from information provided in the financial statements. April 3, 1997++ to
AGGREGATE BOND June 30, 1997
INDEX FUND Increase (Decrease) in Net Asset Value: Class A Class D
<S> <S> <C> <C>
Per Share Net asset value, beginning of period $ 10.00 $ 10.00
Operating -------- --------
Performance: Investment income--net .15 .15
Realized and unrealized gain on investments from the Series--net .14 .15
-------- --------
Total from investment operations .29 .30
-------- --------
Less dividends from investment income--net (.15) (.15)
-------- --------
Net asset value, end of period $ 10.14 $ 10.15
======== ========
Total Investment Based on net asset value per share 2.95%+++ 2.99%+++
Return: ======== ========
Ratios to Average Expenses, net of reimbursement++++ .38%* .54%*
Net Assets: ======== ========
Expenses++++ .70%* 1.05%*
======== ========
Investment income--net 6.34%* 6.09%*
======== ========
Supplemental Net assets, end of period (in thousands) $150,048 $ 26,762
Data: ======== ========
<FN>
*Annualized.
++Commencement of Operations.
+++Aggregate total investment return.
++++Includes the Fund's share of the Series' allocated expenses.
See Notes to Financial Statements.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
AGGREGATE BOND
INDEX FUND
1. Significant Accounting Policies:
Merrill Lynch Aggregate Bond Index Fund (the "Fund") is part of
Merrill Lynch Index Funds, Inc. The Fund is registered under the
Investment Company Act of 1940 as a non-diversified mutual fund. The
Fund seeks to achieve its investment objective by investing all of
its assets in the Merrill Lynch Aggregate Bond Index Series (the
"Series") of the Merrill Lynch Index Trust, which has the same
investment objective as the Fund. The value of the Fund's investment
in the Series reflects the Fund's proportionate interest in the net
assets of the Series. The performance of the Fund is directly
affected by the performance of the Series. The financial statements
of the Series, including the Schedule of Investments, is included
elsewhere in this report and should be read in conjunction with the
Fund's financial statements. 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 Fund offers two classes of shares, Class A Shares and Class D
Shares. Shares of Class A and Class D are sold without the
imposition of a front-end or deferred sales charge. Both classes of
shares have identical voting, dividend, liquidation and other rights
and the same terms and conditions, except that Class D Shares bear
certain expenses related to the account maintenance of such shares.
The following is a summary of significant accounting policies
followed by the Fund.
(a) Valuation of investments--Valuation of securities is discussed
in Note 1a of the Series' Notes to Financial Statements which is
included elsewhere in this report.
(b) Income--The Fund's net investment income consists of the Fund's
pro rata share of the net invesment income of the Series, less all
actual and accrued expenses of the Fund determined in accordance
with generally accepted accounting principles.
(c) Income taxes--It is the Fund's policy to comply with the require-
ments of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income to
shareholders. Therefore, no Federal income tax provision is
required.
(d) Prepaid registration fees and deferred organization expenses--
Prepaid registration fees are charged to expense as the related
shares are issued. Deferred organization expenses are charged to an
expense on a straight-line basis over a five-year period.
(e) Dividends and distributions--Dividends from net investment
income are declared daily and paid monthly. Distributions of capital
gains are recorded on the ex-dividend dates.
(f) Investment transactions--Investment transactions are accounted
for on a trade date basis.
2. Transactions with Affiliates:
The Fund has entered into a Distribution Agreement and Distribution
Plans with Merrill Lynch Funds Distributor, Inc. ("MLFD" or
"Distributor"), a wholly-owned subsidiary of Merrill Lynch Group,
Inc. Pursuant to a distribution plan (the "Distribution Plan")
adopted by the Fund in accordance with Rule 12b-1 under the
Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance fees. The fees are accrued daily and
paid monthly at the annual rate of 0.25% based upon the average
daily net assets of Class D Shares.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of Merrill
Lynch & Co., Inc. ("ML&Co."), also provides account maintenance
services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account
maintenance services to Class D shareholders.
The Fund has also entered into an Administrative Services Agreement
with Merrill Lynch Asset Management, L.P. ("MLAM"). The general
partner of MLAM is Princeton Services, Inc. ("PSI"), a wholly-owned
subsidiary of ML & Co., which is the limited partner. The Fund pays
a monthly fee at an annual rate of 0.14% of the Fund's average daily
net assets for the performance of administrative services (other
than investment advice and related portfolio activities) necessary
for the operation of the Fund. For the period April 3, 1997 to June
30, 1997, MLAM earned fees of $28,078, all of which were waived.
MLAM also reimbursed the Fund for additional expenses of $30,708.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), an indirect
wholly-owned subsidiary of ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLFD, MLFDS, and/or ML & Co.
3. Investments:
Increases and decreases in the Fund's investment in the Series for
the period April 3, 1997 to June 30, 1997 were $178,182,525 and
$4,146,367, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions
was $175,845,005 for the period April 3, 1997 to June 30, 1997.
Transactions in capital shares for each class were as follows:
Class A Shares for the Period Dollar
April 3, 1997++ to June 30, 1997 Shares Amount
Shares sold 15,331,405 $154,894,110
Shares issued to shareholders in
reinvestment of dividends 51,543 522,806
---------- ------------
Total issued 15,382,948 155,416,916
Shares redeemed (590,151) (5,923,622)
---------- ------------
Net increase 14,792,797 $149,493,294
========== ============
[FN]
++Prior to April 3, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Class D Shares for the Period Dollar
April 3, 1997++ to June 30, 1997 Shares Amount
Shares sold 3,165,927 $ 31,686,723
Shares issued to shareholders in
reinvestment of dividends 24,380 246,099
---------- ------------
Total issued 3,190,307 31,932,822
Shares redeemed (554,052) (5,581,111)
---------- ------------
Net increase 2,636,255 $ 26,351,711
========== ============
[FN]
++Prior to April 3, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Merrill Lynch Aggregate Bond Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
Merrill Lynch Aggregate Bond Index Series
Face Interest Maturity Value
Issue Amount Rate Date(s) Cost (Note 1a)
<S> <S> <C> <C> <C> <C> <C>
US Government United States Treasury $10,600,000 8.75 % 5/15/2017 $ 12,612,736 $ 12,753,072
Obligations--49.68% Bonds 6,110,000 6.625 2/15/2027 5,901,940 5,978,268
United States Treasury 7,020,000 6.25 6/30/1998 7,036,305 7,050,677
Notes 16,550,000 6.25 5/31/1999 16,596,958 16,596,506
19,020,000 6.375 5/15/2000 19,077,869 19,088,282
16,300,000 6.50 5/31/2002 16,362,893 16,366,178
1,000,000 6.25 6/30/2002 998,100 994,060
5,350,000 6.25 2/15/2007 5,158,502 5,234,654
3,880,000 6.625 5/15/2007 3,921,770 3,912,127
Total Investments in
US Government Obligations--49.68% 87,667,073 87,973,824
US Government Agency Federal Home Loan Mortgage 5,511,876 6.50 2/01/2012--6/01/2012 5,393,521 5,405,055
Mortgage-Backed Corporation Participation 315,000 6.50(1) TBA(3) 313,917 313,718
Obligations*--29.24% Certificates--Gold Program 5,796,396 7.00 3/01/2012--5/01/2027 5,644,430 5,714,928
1,195,000 7.00(2) TBA(3) 1,202,842 1,199,099
3,750,251 7.50 5/01/2012--6/01/2027 3,741,785 3,774,954
2,097,051 8.00 5/01/2012--6/01/2027 2,132,570 2,164,982
4,398,414 9.50 2/01/2019--10/01/2024 4,728,125 4,737,365
Federal National 234,005 5.50 6/01/2011 218,356 221,645
Mortgage Association 2,097,655 6.00 2/01/2026--4/01/2027 1,906,581 1,950,561
Mortgage-Backed Securities 400,000 6.00 TBA(3) 373,000 371,872
1,504,098 6.50(2) 4/01/2004--7/01/2004 1,466,086 1,473,077
358,200 6.50 6/01/2027 338,499 342,414
4,765,000 7.00 6/01/2027 4,675,341 4,668,175
3,135,000 7.50 TBA(3) 3,137,812 3,141,834
Government National 997,626 6.00 3/15/2011--5/15/2011 965,204 967,698
Mortgage Association 920,376 6.50 4/15/2026 868,029 880,394
Mortgage-Backed Securities 1,715,000 7.00 TBA(3) 1,679,092 1,683,375
3,975,000 7.50 TBA(3) 3,992,594 3,986,170
5,546,591 8.00 5/15/2026--6/15/2027 5,658,867 5,674,828
2,994,464 8.50 9/15/2026--5/15/2027 3,119,076 3,111,428
Total Investments in
US Government Agency Mortgage-Backed Obligations--29.24% 51,555,727 51,783,572
<CAPTION>
S&P Moody's Face
INDUSTRIES Ratings Ratings Amount Corporate Bonds & Notes
<S> <S> <S> <S> <S> <C> <C>
Asset-Backed AAA Aaa $1,000,000 Standard Credit Card Master Trust,
Securities--.56% 5.50% due 12/07/2000 990,000 989,370
Banking--3.60% A- A1 1,000,000 Chase Manhattan Corp., 9.75% due
11/01/2001 1,112,050 1,107,320
BBB+ A3 1,020,000 Fleet/Norstar Financial Group, Inc.,
8.125% due 7/01/2004 1,066,374 1,076,916
A A2 500,000 Malayan Banking BHD, New York, 7.125%
due 9/15/2005 499,615 497,675
BBB A3 1,000,000 Merita Bank, Ltd., 6.50% due 1/15/2006 926,810 953,070
AA- Aa3 1,835,000 Norwest Corporation, 5.75% due 2/01/2003 1,730,864 1,743,232
BBB+ A1 1,000,000 Wells Fargo Capital, 8.125% due
12/01/2026 (a) 967,500 996,970
------------ ------------
6,303,213 6,375,183
Financial Services-- BBB+ A2 200,000 Heller Financial, Inc., 7% due
1.95% 5/15/2002 197,878 200,594
A+ A1 275,000 International Lease Finance Corp.,
6.625% due 4/01/1999 274,461 276,238
BBB Baa1 1,000,000 Salomon Inc., 6.50% due 3/01/2000 986,750 994,960
A A2 2,000,000 Smith Barney Holdings, Inc., 7.125%
due 10/01/2006 1,996,200 1,987,500
------------ ------------
3,455,289 3,459,292
Financial Services-- A+ Aa3 200,000 CIT Group Holdings, Inc., 5.875%
Consumer--.83% due 10/15/2008 178,758 181,048
A+ A2 1,000,000 Ford Motor Credit Co., 7.75% due
11/15/2002 1,025,760 1,038,530
A A3 250,000 Household Finance Corp., 7.75% due
6/01/1999 254,788 255,845
------------ ------------
1,459,306 1,475,423
Foreign Government BBB+ A3 1,600,000 People's Republic of China, 6.625%
Obligations--.89% due 1/15/2003 1,571,552 1,566,208
Industrial-- AA- A1 1,000,000 Anheuser-Busch Co., Inc., 6.75% due
Consumer Goods-- 11/01/2006 969,880 972,550
1.25% A+ A2 550,000 Grand Metropolitan Investment, 9%
due 8/15/2011 617,518 636,075
BBB Baa2 250,000 Levi Strauss & Co., 7% due 11/01/2006 (a) 241,410 246,025
A A2 365,000 Philip Morris Companies, Inc., 6.95%
due 6/01/2006 367,606 366,215
------------ ------------
2,196,414 2,220,865
Industrial-- AA Aa2 100,000 Mobil Corp., 7.25% due 3/15/1999 101,251 101,528
Energy--.06%
Industrial-- AA- Aa3 1,000,000 E.I. du Pont de Nemours, 7.95%
Manufacturing-- due 1/15/2023 1,009,260 1,009,930
3.03% AAA Aaa 300,000 General Electric Capital Corp.,
8.375% due 3/01/2001 316,032 316,443
A- A3 1,600,000 General Motors Acceptance Corp.,
5.45% due 3/01/1999 1,571,584 1,575,568
BBB+ Baa1 100,000 General Motors Acceptance Corp.,
9.375% due 4/01/2000 106,398 106,687
NR++ NR++ 1,000,000 International Business Machines
Corp., 7.125% due 12/01/2096 948,080 942,380
A A2 900,000 Lucent Technologies Inc., 6.90%
due 7/15/2001 895,563 907,938
BBB Baa3 500,000 Seagate Technology Inc., 7.45%
due 3/01/2037 505,315 502,380
------------ ------------
5,352,232 5,361,326
Industrial-- A A2 1,000,000 Commercial Credit Corp., 6.125%
Other--1.59% due 3/01/2000 985,890 985,670
BBB+ Baa1 1,500,000 Norfolk Southern Corp., 7.70%
due 5/15/2017 1,538,160 1,533,870
A A2 300,000 WMC Finance, USA, 7.25% due 11/15/2013 291,822 294,336
------------ ------------
2,815,872 2,813,876
</TABLE>
Merrill Lynch Aggregate Bond Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Merrill Lynch Aggregate Bond Index Series (concluded)
S&P Moody's Face Value
INDUSTRIES Ratings Ratings Amount Corporate Bonds & Notes Cost (Note 1a)
<S> <S> <S> <S> <S> <C> <C>
Industrial-- BBB+ Baa1 $1,000,000 Dayton Hudson Co., 10% due
Services--1.66% 1/01/2011 $ 1,227,430 $ 1,215,190
A A3 750,000 GTE Corp., 7.83% due 5/01/2023 722,123 742,485
A A2 360,000 May Department Stores Co., 7.60%
due 6/01/2025 345,942 359,849
A A2 200,000 Penney (J.C.) & Co., 7.95% due
4/01/2017 204,476 208,140
BBB- Ba1 400,000 Time Warner, Inc., 8.18% due 8/15/2007 410,104 416,444
------------ ------------
2,910,075 2,942,108
Telecommunications-- BBB- Baa3 100,000 Tele-Communications, Inc., 9.80%
.06% due 2/01/2012 110,548 114,459
Utilities-- AAA Aaa 900,000 BellSouth Telecommunications, Inc.,
Communications-- 6.75% due 10/15/2033 796,973 809,946
.65% A A2 150,000 MCI Communications Corp., 7.50%
due 8/20/2004 155,665 155,665
A Aa3 200,000 U S West Communications Inc.,
6.875% due 9/15/2033 178,850 178,850
------------ ------------
1,131,488 1,144,461
Utilities-- AA+ A1 1,470,000 Baltimore Gas & Electric Co.,
Gas & Electric-- 8.375% due 8/15/2001 1,551,364 1,555,789
2.61% BBB+ A3 100,000 Detroit Edison Co., 5.93% due
2/01/2001 96,905 97,040
A- A3 1,700,000 Public Service Electric & Gas Co.,
6.50% due 6/01/2000 1,699,252 1,699,575
AA+ A2 1,250,000 Wisconsin Electric Power Co.,
7.25% due 8/01/2004 1,280,137 1,273,837
------------ ------------
4,627,658 4,626,241
Yankees-- AA- Aa3 425,000 Abbey National First Capital,
Corporate--1.03% 8.20% due 10/15/2004 450,003 452,808
A+ A2 1,000,000 Hydro-Quebec, 8.875% due 3/01/2026 1,116,000 1,135,510
AA Aa2 230,000 Swiss Bank Corp. (New York),
7.50% due 7/15/2025 225,195 228,321
------------ ------------
1,791,198 1,816,639
Total Investments in Corporate Bonds & Notes--19.77% 34,816,096 35,006,979
Face Amount Short-Term Securities
Repurchase $ 3,516,000 Nikko Securities Co., purchased on
Agreements**--1.99% 6/30/1997 to yield 6.05% to 7/01/1997 3,516,000 3,516,000
US Government 15,000,000 Federal Home Loan Mortgage Corp.,
Agency Discount 5.41% due 7/14/1997 14,970,696 14,970,696
Obligations***--8.45%
Total Investments in Short-Term Securities--10.44% 18,486,696 18,486,696
Total Investments--109.13% $192,525,592 193,251,071
============
Liabilities in Excess of Other Assets--(9.13%) (16,163,168)
------------
Net Assets--100.00% $177,087,903
============
<FN>
*Mortgage-Backed Obligations are subject to principal paydowns as a
result of prepayments or refinancings of the underlying mortgage
instruments. As a result, the average life may be substantially
less than the original maturity.
**Repurchase Agreements are fully collateralized by US Government
Agency Obligations.
***Certain US Government Agency Obligations are traded on a
discount basis; the interest rates shown are the discount
rates paid at the time of purchase by the Series.
++Not Rated.
(a)The security may be offered and sold to "qualified
institutional buyers" under Rule 144A of the Securities Act of 1933.
(1)Represents balloon mortgages that amortize on a 30-year schedule
and have 5-year maturities.
(2)Represents balloon mortgages that amortize on a 30-year schedule
and have 7-year maturities.
(3)Represents a "to-be-announced" (TBA) transaction. The Series has
committed to purchasing securities for which all specific
information is not available at this time.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
AGGREGATE BOND
INDEX SERIES As of June 30, 1997
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$192,525,592) (Note 1a) $193,251,071
Cash 5,763
Receivables:
Interest $ 1,753,723
Contributions 1,681,516
Investment adviser (Note 2) 5,421
Loaned securities 4,381
Securities sold 79 3,445,120
------------
Deferred organization expenses (Note 1e) 17,076
Total assets 196,719,030
------------
Liabilities: Payables:
Securities purchased 19,373,297
Withdrawals 212,826 19,586,123
------------
Accrued expenses and other liabilities 45,004
------------
Total liabilities 19,631,127
------------
Net Assets: Net assets $177,087,903
============
Net Assets Partners capital $176,362,424
Consist of: Unrealized appreciation on investments--net 725,479
------------
Net assets $177,087,903
============
See Notes to Financial Statements.
</TABLE>
Merrill Lynch Aggregate Bond Index Fund, June 30, 1997
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
AGGREGATE BOND
INDEX SERIES For the Period April 3, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Interest and discount earned $ 1,327,540
(Note 1d): Other 14,151
------------
Total income 1,341,691
------------
Expenses: Amortization of organization expenses (Note 1e) $ 14,655
Investment advisory fees (Note 2) 12,712
Accounting services (Note 2) 8,519
Custodian fees 8,355
Professional fees 6,747
Pricing fees 2,565
Trustees' fees and expenses 1,452
Other 1,435
------------
Total expenses before reimbursement 56,440
Reimbursement of expenses (Note 2) (18,133)
------------
Total expenses after reimbursement 38,307
------------
Investment income--net 1,303,384
------------
Realized & Realized gain from investments--net 214,770
Unrealized Gain on Unrealized appreciation on investments--net 725,479
Investments-- ------------
Net (Notes 1b, Net Increase in Net Assets Resulting from Operations $ 2,243,633
1d & 3): ============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH
AGGREGATE BOND For the Period
INDEX SERIES April 3, 1997++ to
Increase (Decrease) in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 1,303,384
Realized gain on investments--net 214,770
Unrealized appreciation on investments--net 725,479
------------
Net increase in net assets resulting from operations 2,243,633
------------
Capital Contributions 178,989,404
Transactions: Withdrawals (4,145,134)
------------
Net increase in net assets derived from capital transactions 174,844,270
------------
Net Assets: Total increase in net assets 177,087,903
Beginning of period --
------------
End of period $177,087,903
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
MERRILL LYNCH For the Period
AGGREGATE BOND The following ratios have been derived from April 3, 1997++ to
INDEX SERIES information provided in the financial statements. June 30, 1997
<S> <S> <C>
Ratios to Average Expenses, net of reimbursement .18%*
Net Assets: ============
Expenses .27%*
============
Investment income--net 6.15%*
============
Supplemental Net assets, end of period (in thousands) $ 177,088
Data: ============
Portfolio turnover 62.75%
============
<FN>
*Annualized.
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch Aggregate Bond Index Fund, June 30, 1997
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
AGGREGATE BOND
INDEX SERIES
1. Significant Accounting Policies:
Merrill Lynch Aggregate Bond Index Series (the "Series") is part of
Merrill Lynch Index Trust (the "Trust"). The Trust is registered
under the Investment Company Act of 1940 and is organized as a
Delaware business trust. 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 which are traded
on stock exchanges are valued at the last sale price as of the close
of business on the day the securities are being valued or, lacking
any sales, at the closing bid price. Securities traded in the over-
the-counter market are valued at the last quoted bid price at the
close of trading on the New York Stock Exchange on each day by
brokers that make markets in the securities. Securities traded in
the NASDAQ National Market System are valued at the last sale price
prior to the time of valuation. Portfolio securities which are
traded both on the over-the-counter market and on a stock ex-change
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
over-the-counter market, the last asked price. Options purchas-ed
are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the over-the-counter
market, the last bid price. Other investments, including futures
contracts and related options, are stated at market value. Short-
term securities are valued at amortized cost, which approximates
market value. Securities and assets for which market quotations are
not readily available are valued at fair market value, as determined
in good faith by or under the direction of the Trust's Board of
Trustees.
(b) Derivative financial instruments--The Series may engage in
various portfolio investment techniques to provide liquidity, or in
connection with the Series' arbitrage strategies. Losses may arise
due to changes in the value of the contract or if the counterparty
does not perform under the contract.
* Financial futures contracts--The Series may purchase or sell stock
index futures contracts and options on such futures contracts as a
proxy for a direct investment in securities underlying the Series'
index. Upon entering into a contract, the Series deposits and
maintains as collateral such initial margin as required by the
exchange on which the transaction is effected. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin
and are recorded by the Series as unrealized gains or losses. When
the contract is closed, the Series records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
* 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 a partnership for Federal income tax
purposes, the Series will not incur Federal income tax liability.
Items of partnership income, gain, loss and deduction will pass
through to investors as partners in the Series. Therefore, no
Federal income tax provision is required.
(d) Security transactions and investment income--Security
transactions are accounted for on the date the securities are
purchased or sold (the trade dates). Dividend income is recorded on
the ex-dividend dates. Interest income (including amortization of
discount) is recognized on the accrual basis. Realized gains and
losses on security transactions are determined on the identified
cost basis.
(e) Deferred organization expenses--Deferred organization expenses
are charged to expense on a straight-line basis over a five-year
period.
2. Investment Advisory Agreement and Transactions
with Affiliates:
The Series has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general partner
of MLAM is Princeton Services, Inc. ("PSI"), an indirect wholly-
owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is
the limited partner.
MLAM 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 0.06%
of the average daily value of the Series' net assets. For the period
April 3, 1997 to June 30, 1997, MLAM earned fees of $12,712, all of
which was voluntarily waived. MLAM also reimbursed the Series for
additional expenses of $5,421.
Accounting services are provided to the Series by MLAM at cost.
Certain officers and/or trustees of the Series are officers and/or
directors of MLAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the period April 3, 1997 to June 30, 1997 were $229,141,005 and
$55,314,987, respectively.
Net realized and unrealized gains as of June 30, 1997 were as
follows:
Realized Unrealized
Gains Gains
Long-term investments $ 214,770 $ 725,479
------------ ------------
Total $ 214,770 $ 725,479
============ ============
As of June 30, 1997, net unrealized appreciation for Federal income
tax purposes aggregated $725,479, of which $835,666 related to
appreciated securities and $110,187 related to depreciated
securities. At June 30, 1997, the aggregate cost of investments for
Federal income tax purposes was $192,525,592.
4. Loaned Securities:
At June 30, 1997, the Series held US Treasury Notes having an
aggregate value of approximately $45,073,000 as collateral for
portfolio securities loaned having a market value of approximately
$44,096,000.
MERRILL LYNCH
INTERNATIONAL
INDEX FUND
Merrill Lynch
Index Funds, Inc.
FUND LOGO
Semi-Annual Report
June 30, 1997
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
Statements and other information herein are as dated and are subject
to change.
Merrill Lynch
Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011 Index 2--6/97
Printed on post-consumer recycled paper
Merrill Lynch International Index Fund
Officers and
Directors
Terry K. Glenn, President and Director
Jack B. Sunderland, Director
Stephen B. Swensrud, Director
J. Thomas Touchton, Director
Norman R. Harvey, Senior Vice President
Joseph T. Monagle Jr., Senior Vice President
Gregory Mark Maunz, Vice President
Eric S. Mitofsky, Vice President and Portfolio Manager
Jay C. Harbeck, Vice President
Gerald M. Richard, Treasurer
Ira P. Shapiro, Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
Merrill Lynch International Index Fund, June 30, 1997
DEAR SHAREHOLDER
We are pleased to provide you with this first semi-annual report for
Merrill Lynch International Index Fund. The Fund, which seeks to
match the returns of the Morgan Stanley Capital International
Europe, Australia, Far East Index--GDP Weighted (MSCI EAFE Index),
commenced operations on April 9, 1997 with an initial inflow of
approximately $44.3 million and starting net asset values per share
of $10.00.
At the Fund's inception on April 9, the MSCI EAFE Index was down
2.9% for the year. The performance, segmented by region during this
period, shows the MSCI Europe Index up 1.3% and MSCI Pacific Index
down 12.8%. Subsequently, the MSCI Pacific Index rebounded strongly,
up 6.6% as of June 30, 1997. Europe also continued its strong
performance, following the lead of the United States, and was up
13.2% by the end of June. The largest contributor to portfolio
performance was Japan, where the MSCI Japan Index was up 27.9% since
the Fund's inception to June 30, 1997. Other contributors included
Germany (+10.0%), France (+7.3%), Italy (+9.4%) and Spain (+22.0%).
The only negative performers for the Fund were Malaysia (-8.5%) and
Singapore (-3.5%).
Portfolio Matters
The Fund invests all of its assets in Merrill Lynch International
Index Series (the Series) of the Merrill Lynch Index Trust, which
has the same investment objective as the Fund. The value of the
Fund's investment in the Series reflects the Fund's proportionate
interest in the net assets of the Series. There are two principal
investments made by the Series in its attempt to replicate the
returns of the MSCI EAFE Index--GDP Weighted. Because execution
costs in many of the foreign markets in the MSCI EAFE Index are
relatively high, the Series uses a statistical technique called
"optimization", whereby a group of stocks in the MSCI EAFE Index are
statistically selected to provide returns which closely approximate
those of the Index. At inception, the Series purchased a basket of
350 stocks. In addition, the Series holds futures contracts used
primarily as a means of equitizing daily cash inflows. These futures
contracts are also an extremely efficient method of keeping a pool
of liquidity available to meet potential redemption activity. As of
the end of June, the equity portfolio of the Series was valued at
$107.1 million, and the Series held futures contracts with an
underlying value of $22.0 million.
There was one major addition to the MSCI EAFE Index during this
period--Nippon Telegraph & Telephone Corp. was added to the MSCI
Japan Index on May 30, 1997. Its initial weight in the MSCI EAFE
Index was approximately 1.9%. Such changes generally reflect merger
or acquisition activity involving one or more constituents of the
MSCI EAFE Index.
The Fund's net assets grew steadily since inception through the end
of the second quarter, and by June 30, 1997 stood at $127.6 million.
Since inception (April 9, 1997) through June 30, 1997, Merrill Lynch
International Index Fund's Class A Shares and Class D Shares both
had total returns of +15.20%, based on a change in per share net
asset value from $10.00 to $11.52. (Complete performance
information, including aggregate total returns, can be found on page
3 of this report to shareholders.)
In Conclusion
We appreciate your investment in Merrill Lynch International Index
Fund, and we look forward to sharing our investment outlook with you
in the months and years ahead.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President
(Eric S. Mitofsky)
Eric S. Mitofsky
Vice President and Portfolio Manager
August 8, 1997
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund through the
Merrill Lynch Select Pricing SM System, which offers two pricing
alternatives:
* Class A Shares do not incur a maximum initial sales charge (front-
end load) or deferred sales charge and bear no ongoing distribution
or account maintenance fees. Class A Shares are available only to
eligible investors.
* Class D Shares do not incur a maximum initial sales charge or
deferred sales charge and bear no ongoing distribution fee. In
addition, Class D Shares are subject to an ongoing account
maintenance fee of 0.25%.
None of the past results shown should be considered a representation
of future performance. Figures shown in the "Aggregate Total Return"
tables assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date. Investment
return and principal value of shares will fluctuate so that shares,
when redeemed, may be worth more or less than their original cost.
Dividends paid to each class of shares will vary because of the
different levels of account maintenance, distribution and transfer
agency fees applicable to each class, which are deducted from the
income available to be paid to shareholders.
<TABLE>
Recent
Performance
Results
<CAPTION>
Since Inception++
6/30/97 4/09/97++ % Change
<S> <C> <C> <C>
ML International Index Fund Class A Shares $11.52 $10.00 +15.20%
ML International Index Fund Class D Shares 11.52 10.00 +15.20
ML International Index Fund Class A Shares--Total Return +15.20
ML International Index Fund Class D Shares--Total Return +15.20
<FN>
++The Fund commenced operations on April 9, 1997.
</TABLE>
Aggregate
Total Return
Class A Shares % Return
Inception (4/09/97)
through 6/30/97 +15.20%
Class D Shares % Return
Inception (4/09/97)
through 6/30/97 +15.20%
Merrill Lynch International Index Fund, June 30, 1997
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
INTERNATIONAL
INDEX FUND As of June 30, 1997
<S> <S> <C> <C>
Assets: Investment in Merrill Lynch International Index Series,
at value (identified cost--$117,247,594) (Note 1a) $127,536,219
Deferred organization expenses (Note 1d) 18,388
Other assets 31,202
------------
Total assets 127,585,809
------------
Liabilities: Payables:
Administrative fees (Note 2) $ 26,994
Distributor (Note 2) 5,450 32,444
------------
Accrued expenses and other liabilities 9,245
------------
Total liabilities 41,689
------------
Net Assets: Net assets $127,544,120
============
Net Assets Class A Shares of Common Stock, $0.0001 par value, 125,000,000
Consist of: shares authorized $ 883
Class D Shares of Common Stock, $0.0001 par value, 125,000,000
shares authorized 224
Paid-in capital in excess of par 115,427,125
Undistributed investment income--net 826,482
Undistributed realized capital gains on investments and foreign
currency transactions from the Series--net 1,000,781
Unrealized appreciation on investments and foreign currency
transactions from the Series--net 10,288,625
------------
Net assets $127,544,120
============
Net Asset Class A--Based on net assets of $101,725,573 and 8,831,531
Value: shares outstanding $ 11.52
============
Class D--Based on net assets of $25,818,547 and 2,242,149
shares outstanding $ 11.52
============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
INTERNATIONAL
INDEX FUND For the Period April 9, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Investment income allocated from the Series $ 978,032
(Note 1b): Expenses allocated from the Series (43,230)
------------
Net investment income from the Series 934,802
------------
Expenses: Administration fee (Note 2) $ 50,554
Registration fees (Note 1d) 36,742
Account maintenance fee--Class D (Note 2) 14,371
Printing and shareholder reports 8,885
Transfer agent fees--Class A (Note 2) 7,472
Professional fees 6,692
Transfer agent fees--Class D (Note 2) 3,060
Accounting services (Note 2) 1,597
Amortization of organization expenses (Note 1d) 987
Directors' fees and expenses 228
Other 1,293
------------
Total expenses before reimbursement 131,881
Reimbursement of expenses (Note 2) (23,561)
------------
Total expenses after reimbursement 108,320
------------
Investment income--net 826,482
------------
Realized & Realized gain from the Series on:
Unrealized Investments--net 698,833
Gain from the Foreign currency transactions--net 301,948 1,000,781
Series--Net: ------------
Unrealized appreciation on investments
and foreign currency transactions from the Series--net 10,288,625
------------
Net realized and unrealized gain on investments and
foreign currency transactions from the Series 11,289,406
------------
Net Increase in Net Assets Resulting from Operations $ 12,115,888
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH For the Period
INTERNATIONAL April 9, 1997++ to
INDEX FUND Increase (Decrease) in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 826,482
Realized gain on investments and foreign currency transactions
from the Series--net 1,000,781
Unrealized appreciation on investments and foreign currency transactions
from the Series--net 10,288,625
------------
Net increase in net assets resulting from operations 12,115,888
------------
Capital Share Net increase in net assets derived from capital share transactions 115,403,232
Transactions ------------
(Note 4):
Net Assets: Total increase in net assets 127,519,120
Beginning of period 25,000
------------
End of period* $127,544,120
============
<FN>
*Undistributed investment income--net $ 826,482
============
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch International Index Fund, June 30, 1997
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
MERRILL LYNCH The following per share data and ratios have been derived For the Period
INTERNATIONAL from information provided in the financial statements. April 9, 1997++ to
INDEX FUND June 30, 1997
Increase in Net Asset Value: Class A Class D
<S> <S> <C> <C>
Per Share Net asset value, beginning of period $ 10.00 $ 10.00
Operating -------- --------
Performance: Investment income--net .07 .09
Realized and unrealized gain on investments
and foreign currency transactions from the Series--net 1.45 1.43
-------- --------
Total from investment operations 1.52 1.52
-------- --------
Net asset value, end of period $ 11.52 $ 11.52
======== ========
Total Investment Based on net asset value per share 15.20%+++ 15.20%+++
Return: ======== ========
Ratios to Average Expenses, net of reimbursement++++ .67%* .86%*
Net Assets: ======== ========
Expenses++++ .87%* 1.14%*
======== ========
Investment income--net 4.08%* 3.51%*
======== ========
Supplemental Net assets, end of period (in thousands) $101,726 $ 25,818
Data: ======== ========
<FN>
*Annualized.
++Commencement of Operations.
+++Aggregate total investment return.
++++Includes the Fund's share of the Series' allocated expenses.
See Notes to Financial Statements.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
INTERNATIONAL
INDEX FUND
1. Significant Accounting Policies:
Merrill Lynch International Index Fund (the "Fund") is part of
Merrill Lynch Index Funds, Inc. The Fund is registered under the
Investment Company Act of 1940 as a non-diversified mutual fund. The
Fund seeks to achieve its investment objective by investing all of
its assets in the Merrill Lynch International Index Series (the
"Series") of the Merrill Lynch Index Trust, which has the same
investment objective as the Fund. The value of the Fund's investment
in the Series reflects the Fund's proportionate interest in the net
assets of the Series. The performance of the Fund is directly
affected by the performance of the Series. The financial statements
of the Series, including the Schedule of Investments, are included
elsewhere in this report and should be read in conjunction with the
Fund's financial statements. 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 Fund offers two classes of shares, Class A Shares and Class D
Shares. Shares of Class A and Class D are sold without the
imposition of a front-end or deferred sales charge. Both classes of
shares have identical voting, dividend, liquidation and other rights
and the same terms and conditions, except that Class D Shares bear
certain expenses related to the account maintenance of such shares.
The following is a summary of significant accounting policies
followed by the Fund.
(a) Valuation of investments--Valuation of securities is discussed
in Note 1a of the Series' Notes to Financial Statements which are
included elsewhere in this report.
(b) Income--The Fund's net investment income consists of the Fund's
pro rata share of the net investment income of the Series, less all
actual and accrued expenses of the Fund determined in accordance
with generally accepted accounting principles.
(c) Income taxes--It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income to
shareholders. Therefore, no Federal income tax provision is
required.
(d) Prepaid registration fees and deferred organization expenses--
Prepaid registration fees are charged to expense as the related
shares are issued. Deferred organization expenses are charged to
expense on a straight-line basis over a five-year period.
(e) Dividends and distributions--Dividends and distributions paid by
the Fund are recorded on the ex-dividend dates.
(f) Investment transactions--Investment transactions are accounted
for on a trade date basis.
2. Transactions with Affiliates:
The Fund has entered into a Distribution Agreement and Distribution
Plans with Merrill Lynch Funds Distributor, Inc. ("MLFD" or
"Distributor"), a wholly-owned subsidiary of Merrill Lynch Group,
Inc. Pursuant to a distribution plan (the "Distribution Plan")
adopted by the Fund in accordance with Rule 12b-1 under the
Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance fees. The fees are accrued daily and
paid monthly at the annual rate of 0.25% based upon the average
daily net assets of Class D Shares.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of Merrill
Lynch & Co., Inc. ("ML & Co."), also provides account maintenance
services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account
maintenance services to Class D shareholders.
The Fund has also entered into an Administrative Services Agreement
with Merrill Lynch Asset Management, L.P. ("MLAM"). The general
partner of MLAM is Princeton Services, Inc. ("PSI"), a wholly-owned
subsidiary of ML & Co., which is the limited partner. The Fund pays
a monthly fee at an annual rate of 0.24% of the Fund's average daily
net assets for the performance of administrative services (other
than investment advice and related portfolio activities) necessary
for the operation of the Fund. For the period April 9, 1997 to June
30, 1997, MLAM earned fees of $50,554, of which $23,561 was
voluntarily waived.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), an indirect
wholly-owned subsidiary of ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLFD, MLFDS, and/or ML & Co.
3. Investments:
Increases and decreases in the Fund's investment in the Series for
the period April 9, 1997 to June 30, 1997 were $117,470,166 and
$2,158,154, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions
was $115,403,232 for the period April 9, 1997 to June 30, 1997.
Transactions in capital shares for each class were as follows:
Class A Shares for the Period Dollar
April 9, 1997++ to June 30, 1997 Shares Amount
Shares sold 9,403,418 $ 99,309,149
Shares redeemed (573,137) (6,117,455)
----------- ------------
Net increase 8,830,281 $ 93,191,694
=========== ============
[FN]
++Prior to April 9, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Class D Shares for the Period Dollar
April 9, 1997++ to June 30, 1997 Shares Amount
Shares sold 2,713,916 $ 27,268,348
Shares redeemed (473,017) (5,056,810)
----------- ------------
Net increase 2,240,899 $ 22,211,538
=========== ============
[FN]
++Prior to April 9, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Merrill Lynch International Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
Merrill Lynch International Index Series
Shares Value
COUNTRY Investments Held (Note 1a)
<S> <S> <C> <C>
Australia Australian Gas Light Company (The) 28,500 $ 166,614
Broken Hill Proprietary Company Ltd. 28,500 416,171
Coca-Cola Amatil Ltd. 10,400 134,071
Coles Myer Ltd. 18,200 93,986
Foster's Brewing Group Ltd. 54,000 99,564
Howard Smith Ltd. 9,000 84,993
ICI Australia Ltd. 13,300 130,087
National Australia Bank Ltd. 25,500 362,559
News Corporation Ltd. (The) 28,800 137,069
News Corporation Ltd. (The) (Preferred) 35,900 140,455
North Ltd. 37,800 143,072
Pacific Dunlop Ltd. 45,500 133,681
Pioneer International Ltd. 26,200 100,541
Rio Tinto Ltd. 6,500 110,004
Santos Ltd. 19,400 80,989
Tabcorp Holdings Ltd. 15,400 83,105
WMC Limited 22,000 137,683
Westpac Banking Corporation Ltd. 27,100 161,882
Total Investments in Australia (Cost--$2,544,609)--2.1% 2,716,526
Austria Bank Austria AG 4,050 224,651
Creditanstalt-Bankverein AG 2,150 125,573
EA--Generali AG 500 131,536
Flughafen Wien AG 2,550 107,749
OMV AG (Class A) 1,950 249,878
Oesterreichische
Elektrizitaetswirtschafts AG (Verbund) 2,600 183,192
VA--Technologie AG (VA TECH) 1,000 183,070
Wienerberger Baustoffindustrie AG 1,250 256,852
Total Investments in Austria (Cost--$1,415,604)--1.1% 1,462,501
Belgium Barco NV (Belgian American Radio Corp.) 800 162,316
Bekaert NV 200 135,680
Cimenteries CBR
Cementbedrijven SA 2,400 220,429
Electrabel SA 1,200 257,501
Etablissements Delhaize
Freres & Cie 'Le Lion' SA 2,600 136,766
Fortis AG 900 186,112
Generale de Banque SA 500 192,736
Glaverbel SA 500 73,476
Groupe Bruxelles Lambert SA 700 117,478
Petrofina SA 700 265,447
Royale Belge SA 600 174,506
Solvay SA 200 118,007
++Union Miniere SA (b) 900 84,414
Total Investments in Belgium (Cost--$2,003,133)--1.7% 2,124,868
Denmark D/S Norden A/S (Class B) 9 322,413
D/S Svendborg A/S 6 310,421
Den Danske Bank A/S 1,600 155,904
FLS Industries A/S 3,000 101,815
Novo Nordisk A/S (Class B) 1,900 207,491
Tele Danmark A/S 4,200 218,562
Unidanmark A/S 2,100 118,150
Total Investments in Denmark (Cost--$1,294,879)--1.1% 1,434,756
Finland Kesko OY 7,000 99,896
Merita OY (Class A) 32,250 105,730
Nokia OY AB (Series A) 6,000 453,003
Nokia OY AB (Series K) 3,000 223,898
Outokumpu OY 6,750 134,078
Rauma OY 2,000 45,898
Sampo Insurance Company Ltd. 750 73,042
UPM-Kymmene OY 8,750 202,492
Total Investments in Finland (Cost--$1,199,144)--1.0% 1,338,037
France Accor SA 1,050 157,279
Alcatel Alsthom Cie Generale
d'Electricite SA 4,600 576,282
Axa SA 8,800 547,482
Banque Nationale de Paris SA (BNP) 6,300 259,725
Bouygues SA 1,150 94,644
Canal+ 1,050 204,463
Carrefour SA 1,050 762,804
Compagnie Bancaire SA 1,100 140,428
Compagnie de Saint-Gobain SA 2,400 350,100
Compagnie de Suez SA 99,000 243,502
Compagnie Financiere de Paribas 3,800 262,609
Compagnie Generale des Eaux SA 3,350 429,378
Compagnie Generale des Eaux SA
(Warrants) (a) 1,500 899
Compagnie Generale des Etablissements
Michelin (Class B) 4,150 249,287
Comptoirs Modernes SA 400 211,067
Elf Aquitaine SA 7,000 755,417
Eridania Beghin-Say SA 950 142,300
Groupe Casino Guichard Perachon SA 2,600 128,741
Groupe Danone SA 2,050 338,823
Havas SA 2,300 165,799
Imetal SA 850 112,708
LVMH Moet-Hennessy Louis Vuitton SA 2,550 685,799
L'Air Liquide SA 1,700 269,979
L'Oreal SA 1,750 737,544
Lafarge SA 2,650 164,867
Lagardere SCA 4,350 126,393
Legrand SA 900 158,556
Lyonnaise des Eaux SA 1,900 191,459
Pernod Ricard SA 2,400 123,781
Peugeot SA 1,650 159,526
Pinault-Printemps Redoute SA (b) 650 312,448
Promodes SA 650 253,255
Rhone-Poulenc SA (Class A) 8,900 363,581
SAGEM SA 250 127,023
Sanofi SA 3,150 308,839
Schneider SA 4,300 228,947
Sidel SA 1,300 100,683
Societe Bic SA 900 147,220
Societe Generale de France SA 2,700 301,486
Societe Nationale d'Exploitation
Industrielle des Tabacs et Allumettes SA 2,550 80,733
Sodexho Alliance SA 250 128,045
Thomson-CSF SA 4,000 103,083
Total SA (Class B) 6,550 662,258
Usinor-Sacilor 9,450 170,505
Valeo SA 2,250 139,790
Total Investments in France (Cost--$11,526,871)--9.5% 12,179,537
Germany Aachener und Muenchener Beteiligungs AG 200 176,747
Adidas AG 2,250 249,197
Allianz AG Holding 10,850 2,272,610
BASF AG 24,600 909,830
Bayer AG 29,150 1,121,102
Bayerische Hypotheken-und
Wechsel-Bank AG 11,350 339,666
Bayerische Vereinsbank AG 11,550 472,578
Beiersdorf AG 3,750 193,676
CKAG Colonia Konzern AG 1,200 110,869
Continental AG 5,650 140,715
Daimler-Benz AG 21,200 1,721,451
Degussa AG 7,500 397,251
Deutsche Bank AG 19,650 1,149,050
Deutsche Lufthansa AG 16,450 315,765
Deutsche Telekom AG 91,100 2,195,685
Dresdner Bank AG 18,200 629,783
Friedrich Grohe AG (Preferred) 550 170,435
Heidelberger Zement AG 2,100 198,841
Hochtief AG 3,400 152,186
Karstadt AG 700 249,455
Linde AG 350 268,134
MAN AG 500 154,080
METRO AG 3,850 422,205
Mannesmann AG 1,600 713,417
Merck KGaA 7,600 335,602
Muenchener Rueckversicherungs-
Gesellschaft AG 350 982,153
Preussag AG 700 205,067
RWE AG 13,700 589,636
RWE AG (Preferred) 8,450 294,339
SAP AG 2,650 532,251
SAP AG (Preferred) 1,850 384,311
SGL CARBON AG 1,000 137,037
Schering AG 3,150 336,854
Siemens AG 22,600 1,342,953
Thyssen AG 1,350 319,953
VEBA AG 19,950 1,121,944
Viag AG 1,100 500,574
Volkswagen AG 1,200 920,693
Volkswagen AG (Preferred) 400 224,951
Total Investments in Germany (Cost--$21,336,204)--18.0% 22,953,046
</TABLE>
Merrill Lynch International Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch International Index Series (continued)
Shares Value
COUNTRY Investments Held (Note 1a)
<S> <S> <C> <C>
Hong Kong Cheung Kong (Holdings) Limited 33,000 $ 325,876
Hang Seng Bank Limited 12,000 171,167
Hong Kong Telecommunications Ltd. 83,000 198,211
Hutchison Whampoa Ltd. 27,000 233,516
Sun Hung Kai Properties Limited 16,000 192,596
Swire Pacific Ltd. (Class A) 13,000 117,048
Total Investments in Hong Kong (Cost--$1,053,553)--1.0% 1,238,414
Ireland CRH PLC 17,300 180,987
Greencore Group PLC 41,300 202,921
Jefferson Smurfit Group PLC 46,200 134,103
Total Investments in Ireland (Cost--$513,738)--0.4% 518,011
Italy Assicurazioni Generali SpA 39,200 712,476
Banca Commerciale Italiana SpA 99,700 206,425
Banca Popolare di Milano (SCRL) 18,100 108,434
Banco Ambrosiano Veneto SpA 34,100 98,282
Benetton SpA 9,256 147,815
Cartiere Burgo SpA 13,000 72,107
Credito Italiano SpA 124,900 228,480
Edison SpA 37,800 187,988
Ente Nazionale Idrocarburi (ENI) 371,400 2,102,656
Fiat SpA 168,900 608,004
Fiat SpA (Preferred) 59,800 110,448
Istituto Bancario San Paolo di Torino SpA 43,700 318,477
Istituto Mobiliare Italiano SpA 31,800 286,183
Istituto Nazionale delle Assicurazioni SpA 252,800 385,126
Italcementi SpA 13,900 86,665
Italgas Torino SpA 37,700 121,963
Mediaset SpA 60,500 256,754
Mediobanca-Banca di Credito
Finanziario SpA 24,100 146,293
Montedison SpA 291,200 192,181
++Olivetti SpA 217,100 61,487
Parmalat Finanziaria SpA 80,600 114,019
Pirelli SpA 73,100 181,019
Riunione Adriatica di Sicurta SpA 21,600 170,884
Sirti SpA 20,100 115,923
TIM SpA 76,500 136,792
TIM SpA (RNC) 319,900 1,034,910
Telecom Italia SpA 321,900 963,750
Telecom Italia SpA (RNC) 78,200 154,781
Total Investments in Italy (Cost--$8,703,158)--7.3% 9,310,322
Japan Acom Co., Ltd. 5,000 241,111
Advantest Corporation 2,000 153,752
Asahi Bank, Ltd. 32,000 272,560
Asahi Chemical Industry Co., Ltd. 27,000 161,571
Asahi Glass Co., Ltd. 13,000 129,466
Bank of Tokyo-Mitsubishi, Ltd. 57,000 1,145,278
Bridgestone Corporation 11,000 255,613
Canon Inc. 11,000 299,817
Chugai Pharmaceutical Co., Ltd. 32,000 287,936
Cosmo Oil Company, Ltd. 29,000 138,831
Dai Nippon Printing Co., Ltd. 10,000 226,260
Daiei, Inc. (The) 17,000 109,155
Dainippon Ink & Chemicals, Inc. 54,000 233,039
Daiwa House Industry Co., Ltd. 18,000 220,145
Daiwa Securities Co., Ltd. 19,000 150,048
East Japan Railway Co. 442 26,016
Fanuc Ltd. 4,000 153,752
Fuji Bank, Ltd. 36,000 540,928
Fuji Photo Film Co., Ltd. 7,000 281,908
Fujitsu Limited 24,000 333,362
Hitachi Ltd. 41,000 458,461
Honda Motor Co., Ltd. 13,000 391,806
Hoya Corporation 2,000 89,106
Industrial Bank of Japan Ltd. 32,000 497,598
Ito-Yokado Co., Ltd. 5,000 290,469
++Japan Airlines Company, Ltd. 24,000 109,234
Japan Energy Corp. 51,000 133,659
Jusco Co., Ltd. 5,000 169,040
Kajima Corporation 26,000 152,407
Kaneka Corporation 38,000 238,351
Kansai Electric Power Co., Inc. (The) 10,000 193,064
Kawasaki Steel Corporation 48,000 156,408
Keihin Electric Express Railway Co., Ltd. 34,000 159,797
Kirin Brewery Company Ltd. 20,000 207,915
Komatsu Ltd. 26,000 211,234
Kubota Corporation 65,000 318,555
Kyocera Corporation 3,000 238,490
Lion Corporation 78,000 357,054
Marui Co., Ltd. 5,000 93,037
Matsushita Electric Industrial Co., Ltd. 26,000 524,679
Minebea Co., Ltd. 10,000 106,578
Mitsubishi Chemical Corp. 49,000 160,094
Mitsubishi Corporation 18,000 224,862
Mitsubishi Electric Corporation 31,000 173,591
Mitsubishi Estate Co., Ltd. 18,000 261,029
Mitsubishi Heavy Industries, Ltd. 40,000 307,155
Mitsubishi Oil Company, Ltd. 29,000 129,204
Mitsubishi Trust and Banking Corp. 17,000 268,804
Mitsui & Co., Ltd. 23,000 221,019
Mitsui Fudosan Co., Ltd. 14,000 193,238
Mitsui Toatsu Chemicals, Inc. 86,000 236,656
Mitsui Trust & Banking Company, Ltd. 18,000 136,018
Murata Manufacturing Co., Ltd. 4,000 159,343
NEC Corporation 21,000 293,527
NKK Corporation 69,000 148,283
NTN Corporation 40,000 223,989
Nankai Electric Railway Co., Ltd. 28,000 142,850
Nikon Corporation 7,000 118,022
Nippon Express Co., Ltd. 21,000 167,861
Nippon Oil Co., Ltd. 43,000 235,529
Nippon Paper Industries Co., Ltd. 14,000 81,087
Nippon Steel Corporation 80,000 255,788
Nippon Telegraph & Telephone Corp. 230 1,105,092
Nippondenso Finance NV 12,000 287,237
Nissan Motor Co., Ltd. 38,000 295,117
Nitto Denko Corp. 5,000 97,405
Nomura Securities Co., Ltd. (The) 25,000 345,069
Obayashi Corporation 27,000 180,912
Omron Corporation 6,000 127,370
Orix Corporation 1,000 74,168
Rohm Company, Ltd. 2,000 206,168
SMC Corporation 2,000 169,127
Sakura Bank Limited 45,000 345,156
Sankyo Company, Limited 6,000 201,800
Sanyo Electric Co., Ltd. 44,000 197,571
Secom Co., Ltd. 3,000 220,407
Seino Transportation Co., Ltd. 16,000 173,320
Sekisui Chemical Co., Ltd. 10,000 101,337
Sekisui House, Ltd. 15,000 152,005
Sharp Corporation 15,000 207,041
Shin-Etsu Chemical Co., Ltd. 7,000 185,900
Shiseido Company, Ltd. 13,000 214,641
Shizuoka Bank, Ltd. (The) 17,000 194,549
Sony Corporation 5,000 436,359
Sumitomo Bank, Ltd. 39,000 640,517
Sumitomo Chemical Co., Ltd. 27,000 122,416
Sumitomo Corporation 19,000 180,921
Sumitomo Electric Industries, Ltd. 13,000 218,048
Sumitomo Metal & Mining Co., Ltd. 16,000 113,217
Sumitomo Metal Industries, Ltd. 58,000 165,179
Taisho Pharmaceutical Co., Ltd. 5,000 134,970
Takeda Chemical Industries, Ltd. 11,000 309,426
Teikoku Oil Co., Ltd. 42,000 188,224
Toho Co., Ltd. 500 82,554
Tokai Bank, Limited 27,000 278,326
Tokio Marine & Fire Insurance Co., Ltd. 18,000 235,870
Tokyo Electric Power Co., Inc. (The) 16,000 336,857
Tokyo Electron Limited 3,000 143,618
Tokyu Corporation 23,000 142,858
Toppan Printing Co., Ltd. 15,000 235,870
Toray Industries, Inc. 23,000 164,157
Tostem Corporation 5,000 138,464
Toyo Seikan Kaisha, Ltd. 6,000 133,135
Toyobo Co., Ltd. 89,000 235,581
Toyoda Automatic Loom Works, Ltd. 13,000 295,274
Toyota Motor Corporation 46,000 1,358,260
Wacoal Corp. 11,000 136,455
Yamaha Corporation 4,000 73,382
Yamato Transport Co., Ltd. 20,000 249,847
Total Investments in Japan (Cost--$22,570,397)--20.9% 26,626,616
</TABLE>
Merrill Lynch International Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch International Index Series (continued)
Shares Value
COUNTRY Investments Held (Note 1a)
<S> <S> <C> <C>
Malaysia Rashid Hassain BHD 51,000 $ 161,667
Resorts World BHD 31,000 93,355
Total Investments in Malaysia (Cost--$303,627)--0.2% 255,022
Netherlands ABN AMRO Holding N.V. 15,100 281,797
Elsevier N.V. 10,800 180,624
Heineken N.V. 800 136,651
Internationale Nederlanden Groep N.V. 10,312 475,849
Koninklijke Ahold N.V. 3,600 303,977
Philips Electronics N.V. 4,600 329,778
Royal Dutch Petroleum N.V. 19,200 999,551
Royal PTT Nederland N.V. 6,900 270,906
Unilever N.V. 2,000 421,375
Wolters Kluwer N.V. 1,200 146,237
Total Investments in the Netherlands (Cost--$3,094,059)--2.8% 3,546,745
New Zealand Brierley Investments Limited 137,600 134,243
Fletcher Challenge Forests Division 2,520 3,654
Fletcher Challenge Paper 63,000 152,376
Telecom Corporation of New Zealand 37,700 191,563
Total Investments in New Zealand (Cost--$436,283)--0.4% 481,836
Norway Aker RGI ASA (Class A) 2,500 49,158
Aker RGI ASA (Class B) 500 8,739
Christiania Bank og Kreditkasse 32,200 109,923
Dyno Industriere ASA 4,100 106,373
Elkem ASA 3,700 72,501
Kvaerner ASA 1,700 102,952
Norsk Hydro ASA 7,200 392,282
Orkla ASA (A Shares) 1,900 140,360
++Petroleum geo-Services ASA 1,600 77,124
++Storebrand ASA 11,200 66,833
Total Investments in Norway (Cost--$1,077,809)--0.9% 1,126,245
Singapore City Developments Ltd. 11,000 107,745
DBS Land Ltd. 31,000 98,034
Keppel Corporation Ltd. 28,500 126,618
++Keppel Corporation Ltd. (A Shares) 3,500 15,182
Singapore Airlines Ltd. 'Foreign' 31,000 277,618
Total Investments in Singapore (Cost--$639,084)--0.5% 625,197
Spain Acerinox S.A. 500 93,752
Autopistas Concesionaria Espanola S.A.
(ACESA) 12,000 162,988
Banco Bilbao Vizcaya S.A. 8,200 666,581
Banco Central Hispanoamericano S.A. 7,200 263,552
Banco Santander S.A. 18,000 554,975
Corporacion Bancaria de Espana
(Argentaria) 4,500 252,122
Corporacion Financiera Alba S.A. 1,100 139,620
Empresa Nacional de Electricidad S.A.
(Endesa) 9,600 806,465
Fomento de Construciones y Contratas S.A. 800 102,085
Gas Natural SDG S.A. 1,500 327,912
Iberdrola S.A. 35,600 449,684
Repsol S.A. 10,800 456,937
Tabacalera S.A. (Class A) 1,900 102,064
Telefonica de Espana S.A. 34,300 992,312
Union Electrica-Fenosa S.A. 12,700 115,572
Total Investments in Spain (Cost--$4,736,659)--4.3% 5,486,621
Sweden ABB AB (A Shares) 13,500 189,455
Astra AB 'A' Fria1 7,290 322,032
Electrolux AB 1,500 108,260
Forsakrings AB Skandia 2,200 81,098
++Granges AB 750 9,943
H & M Hennes & Mauritz AB 3,000 105,544
Skandinaviska Enskilda Banken AB 8,200 88,561
Skanska Banken AB (B Shares) 2,100 92,894
Svenska Cellulosa AB (SCA) (B Shares) 6,500 136,198
Svenska Handelsbanken AB 3,700 117,728
Telefonaktiebolaget LM
Ericsson (B Shares) 12,900 508,064
Volvo AB (B Shares) 4,500 120,483
Total Investments in Sweden (Cost--$1,654,462)--1.5% 1,880,260
Switzerland ABB AG (Bearer) 100 151,609
Credit Suisse Group AG (Registered Shares) 1,350 173,647
Nestle SA 300 396,378
Novartis AG 400 640,461
Roche Holding AG 50 452,940
Schweizerische Rueckversicherungs-
Gesellschaft 100 141,661
Schweizerischer Bankverein 600 160,733
Union Bank of Switzerland (UBS) 200 229,128
Zuerich Versicherungs-Gesellschaft 550 219,215
Total Investments in Switzerland (Cost--$2,186,646)--2.0% 2,565,772
United Kingdom Abbey National PLC 10,800 147,275
B.A.T. Industries PLC 28,600 255,645
BG PLC 47,200 172,686
BTR PLC 35,700 122,003
Barclays PLC 12,700 251,752
Bass PLC 10,700 130,431
Boots Company PLC (The) 20,000 234,317
British Aerospace PLC 4,200 93,349
British Airways PLC 11,700 133,184
British Petroleum Co. PLC (The) 42,200 524,234
British Sky Broadcasting Group PLC 16,700 121,642
British Telecommunications PLC 52,400 388,650
Burmah Castrol PLC 15,900 268,648
Cable and Wireless PLC 26,400 241,468
Carlton Communications PLC 30,500 257,919
General Electric Company (The) PLC 31,500 188,060
Glaxo Wellcome PLC 27,800 574,425
Granada Group PLC 8,400 110,357
Grand Metropolitan PLC 23,700 227,808
Great Universal Stores PLC 11,300 114,537
Guinness PLC 16,800 164,278
HSBC Holdings PLC 14,300 423,241
HSBC Holdings PLC (75p) 7,000 215,184
Imperial Chemical Industries PLC 11,000 152,564
J Sainsbury PLC 19,300 116,829
Kingfisher PLC 15,500 175,796
Marks and Spencer PLC 29,200 241,827
National Power PLC 11,600 100,698
Peninsular & Oriental Steam
Navigation Co. PLC 14,900 148,177
Prudential Corporation PLC 15,400 150,311
RTZ Corporation PLC 8,300 144,447
Rank Group PLC (The) 17,600 111,368
Reuters Holdings PLC 13,900 146,322
Royal & Sun Alliance Insurance
Group PLC 15,000 110,756
Royal Bank of Scotland Group PLC (The) 11,100 103,741
Scottish & Newcastle PLC 18,200 195,522
Scottish Power PLC 17,100 110,905
Smithkline Beecham PLC 22,200 408,135
TSB Group PLC 42,700 438,132
Tesco PLC 21,372 131,859
Thorn PLC 10,700 192,176
Unilever PLC 7,300 208,685
Vodafone Group PLC 38,800 189,056
Zeneca Group PLC 7,800 257,612
Total Investments in the United Kingdom (Cost--$8,765,492)--7.2% 9,196,011
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Merrill Lynch International Index Series (concluded)
SHORT-TERM Face Value
SECURITIES Amount Issue (Note 1a)
<S> <C> <S> <C>
US Government $ 2,000,000 Federal Home Loan Bank, 5.37% due 7/29/1997 (c) $ 1,991,647
Agency Obligations* 16,623,000 Federal Home Loan Mortgage Corp., 6% due 7/01/1997 16,623,000
Total Investments in Short-Term Securities (Cost--$18,614,647)--14.6% 18,614,647
Total Investments (Cost--$115,670,058)--98.5% 125,680,990
Unrealized Depreciation on Forward Foreign Exchange Contracts**--(0.1%) (111,636)
Variation Margin on Stock Index Futures Contracts***--(0.1%) (65,360)
Other Assets Less Liabilities--1.7% 2,046,651
------------
Net Assets--100.0% $127,550,645
============
<FN>
(a)Warrants entitle the Series to purchase a predetermined number of
shares of common stock. The purchase price and number of shares are
subject to adjustments under certain conditions until the expiration
date.
(b)Security may be offered and sold to "qualified institutional
buyers" under Rule 144A of the Securities Act of 1933.
(c)Security held as collateral in connection with open futures
contracts.
*Certain US Government Agency Obligations are traded on a discount
basis; the interest rate shown is the discount rate paid at the time
of purchase by the Series.
**Forward foreign exchange contracts as of June 30, 1997 were as
follows:
<CAPTION>
Unrealized
Foreign Appreciation
Currency Expiration (Depreciation)
Purchased Date (Note 1b)
<S> <C> <S> <C>
A$ 386,341 September 1997 $ (262)
DM 3,851,823 September 1997 (25,989)
Pta 57,849,200 September 1997 (4,582)
Frf 6,324,145 September 1997 (11,303)
Pound Sterling 702,908 September 1997 16,184
HK$ 1,160,640 July 1997 (30)
Lit 1,270,490,000 September 1997 (4,147)
Skr 1,921,815 July 1997 (576)
YEN 392,327,200 September 1997 (80,931)
----------
Total Unrealized Depreciation on Forward
Foreign Exchange Contracts--Net
(US$ Commitment--$9,874,601) $ (111,636)
==========
***Stock index futures contracts sold as of June 30, 1997 were as follows:
<CAPTION>
Number of Expiration Value
Contracts Issue Exchange Date (Note 1a)
<C> <S> <S> <S> <C>
9 IBEX 35 MEFF September 1997 $ 422,526
9 DTB DTB September 1997 1,959,486
-----------
Total Stock Index Futures Contracts Sold
(Total Contract Price--$2,381,289) $ 2,382,012
===========
Stock index futures contracts purchased as of June 30, 1997 were as
follows:
<CAPTION>
Number of Expiration Value
Contracts Issue Exchange Date (Note 1a)
<C> <S> <S> <S> <C>
4 Hang Seng HKFE July 1997 $ 393,840
22 OMX OMLX July 1997 688,621
12 FTSE LIFFE September 1997 2,297,933
23 CAC MATIF September 1997 2,262,064
512 Nikkei 300 OSAKA September 1997 13,472,036
14 MIB 30 MSE September 1997 1,668,620
24 All Ordinaries SFE September 1997 1,243,870
-----------
Total Stock Index Futures Contracts Purchased
(Total Contract Price--$21,625,704) $22,026,984
===========
++Non-income producing security.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
INTERNATIONAL
INDEX SERIES As of June 30, 1997
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$115,670,058) (Note 1a) $125,680,990
Cash 930
Foreign cash (Note 1b) 734,786
Receivables:
Contributions $ 1,146,644
Dividends 316,521
Securities sold 982 1,464,147
------------
Deferred organization expenses (Note 1f) 18,682
------------
Total assets 127,899,535
------------
Liabilities: Unrealized depreciation on forward
foreign exchange contracts (Note 1b) 111,636
Variation margin on stock index futures
contracts (Notes 1a & 1b) 65,360
Payables:
Withdrawals 119,458
Securities purchased 1,580
Forward foreign exchange contracts (Note 1b) 915 121,953
------------
Accrued expenses and other liabilities 49,941
------------
Total liabilities 348,890
------------
Net Assets: Net assets $127,550,645
============
Net Assets Partners capital $117,261,776
Consist of: Unrealized appreciation on investments--net 10,288,869
------------
Net assets $127,550,645
============
See Notes to Financial Statements.
</TABLE>
Merrill Lynch International Index Fund, June 30, 1997
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
INTERNATIONAL
INDEX SERIES For the Period April 9, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Dividends (net of $120,469 foreign withholding tax) $ 806,660
(Notes 1d & 1e): Interest and discount earned 170,731
Other 673
------------
Total income 978,064
------------
Expenses: Investment advisory fees (Note 2) $ 23,163
Custodian fees 12,203
Accounting services (Note 2) 10,781
Amortization of organization expenses (Note 1f) 10,218
Professional fees 4,023
Pricing fees 2,534
Trustees' fees and expenses 2,245
Other 1,227
------------
Total expenses before reimbursement 66,394
Reimbursement of expenses (Note 2) (23,163)
------------
Total expenses after reimbursement 43,231
------------
Investment income--net 934,833
------------
Realized & Realized gain from:
Unrealized Gain Investments--net 698,876
(Loss) on Foreign currency transactions--net 301,947 1,000,823
Investments & ------------
Foreign Currency Unrealized appreciation (depreciation) from:
Transactions--Net Investments--net 10,411,489
(Notes 1b, 1c, Foreign currency transactions--net (122,620) 10,288,869
1e & 3): ------------ ------------
Net realized and unrealized gain on investments and
foreign currency transactions 11,289,692
------------
Net Increase in Net Assets Resulting from Operations $ 12,224,525
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH For the Period
INTERNATIONAL April 9, 1997++ to
INDEX SERIES Increase (Decrease) in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 934,833
Realized gain on investments and foreign currency transactions--net 1,000,823
Unrealized appreciation on investments and foreign currency transactions--net 10,288,869
------------
Net increase in net assets resulting from operations 12,224,525
------------
Capital Contributions 117,484,274
Transactions: Withdrawals (2,158,154)
------------
Net increase in net assets derived from capital transactions 115,326,120
------------
Net Assets: Total increase in net assets 127,550,645
Beginning of period --
------------
End of period $127,550,645
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
MERRILL LYNCH For the Period
INTERNATIONAL The following ratios have been derived from April 9, 1997++ to
INDEX SERIES information provided in the financial statements. June 30, 1997
<S> <S> <C>
Ratios to Average Expenses, net of reimbursement .21%*
Net Assets: ============
Expenses .32%*
============
Investment income--net 4.44%*
============
Supplemental Net assets, end of period (in thousands) $ 127,551
Data: ============
Portfolio turnover 5.45%
============
Average commission rate paid+++ $ .0124
============
<FN>
*Annualized.
++Commencement of Operations.
+++Includes commissions paid in foreign currencies, which have been
converted into US dollars using the prevailing exchange rate on the
date of the transaction. Such conversions may significantly affect
the rate shown.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch International Index Fund, June 30, 1997
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
INTERNATIONAL
INDEX SERIES
1. Significant Accounting Policies:
Merrill Lynch International Index Series (the "Series") is part of
Merrill Lynch Index Trust (the "Trust"). The Trust is registered
under the Investment Company Act of 1940 and is organized as a
Delaware business trust. 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 which are traded
on stock exchanges are valued at the last sale price as of the close
of business on the day the securities are being valued or, lacking
any sales, at the closing bid price. Securities traded in the over-
the-counter market are valued at the last quoted bid price at the
close of trading on the New York Stock Exchange on each day by
brokers that make markets in the securities. Securities traded in
the NASDAQ National Market System are valued at the last sale price
prior to the time of valuation. Portfolio securities which are
traded both on the over-the-counter 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
over-the-counter market, the last asked price. Options purchased are
valued at the last sale price in the case of exchange-traded options
or, in the case of options traded in the over-the-counter market,
the last bid price. Other investments, including futures contracts
and related options, are stated at market value. Short-term
securities are valued at amortized cost, which approximates market
value. Securities and assets for which market quotations are not
readily available are valued at fair market value, as determined in
good faith by or under the direction of the Trust's Board of
Trustees.
(b) Derivative financial instruments--The Series may engage in
various portfolio investment techniques to provide liquidity, or in
connection with the Series' arbitrage strategies. Losses may arise
due to changes in the value of the contract or if the counterparty
does not perform under the contract.
* Financial futures contracts--The Series may purchase or sell stock
index futures contracts and options on such futures contracts as a
proxy for a direct investment in securities underlying the Series'
index. Upon entering into a contract, the Series deposits and
maintains as collateral such initial margin as required by the
exchange on which the transaction is effected. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin
and are recorded by the Series as unrealized gains or losses. When
the contract is closed, the Series records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
* 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.
* Forward foreign exchange contracts--The Series is authorized to
enter into forward foreign exchange contracts as a hedge against
either specific transactions or portfolio positions. Such contracts
are not entered on the Series' records. However, the effect on
operations is recorded from the date the Series enters into such
contracts. Premium or discount is amortized over the life of the
contracts.
* Foreign currency options and futures--The Series may also purchase
or sell listed or over-the-counter foreign currency options, foreign
currency futures and related options on foreign currency futures as
a short or long hedge against possible variations in foreign
exchange rates. Such transactions may be effected with respect to
hedges on non-US dollar denominated securities owned by the Series,
sold by the Series but not yet delivered, or committed or
anticipated to be purchased by the Series.
(c) Foreign currency transactions--Transactions denominated in
foreign currencies are recorded at the exchange rate prevailing when
recognized. Assets and liabilities denominated in foreign currencies
are valued at the exchange rate at the end of the period. Foreign
currency transactions are the result of settling (realized) or
valuing (unrealized) assets or liabilities expressed in foreign
currencies into US dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on
investments.
(d) Income taxes--The Series is classified as a partnership for
Federal income tax purposes. As a partnership for Federal income tax
purposes, the Series will not incur Federal income tax liability.
Items of partnership income, gain, loss and deduction will pass
through to investors as partners in the Series. Therefore, no
Federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest,
dividends, and capital gains at various rates.
(e) Security transactions and investment income--Security
transactions are accounted for on the date the securities are
purchased or sold (the trade dates). Dividend income is recorded on
the ex-dividend dates. Dividends from foreign securities where the
ex-dividend date may have passed are subsequently recorded when the
Series has determined the ex-dividend date. Interest income
(including amortization of discount) is recognized on the accrual
basis. Realized gains and losses on security transactions are
determined on the identified cost basis.
(f) Deferred organization expenses--Deferred organization expenses
are charged to expense on a straight-line basis over a five-year
period.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Series has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general partner
of MLAM is Princeton Services, Inc. ("PSI"), an indirect wholly-
owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co.") which is
the limited partner.
MLAM 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 0.11%
of the average daily value of the Series' net assets. For the period
April 9, 1997 to June 30, 1997, MLAM earned fees of $23,163, all of
which was voluntarily waived.
Accounting services are provided to the Series by MLAM at cost.
Certain officers and/or trustees of the Series are officers and/or
directors of MLAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the period April 9, 1997 to June 30, 1997 were $100,331,160 and
$3,407,203, respectively.
Net realized and unrealized gains (losses) as of June 30, 1997 were
as follows:
Realized Unrealized
Gains (Losses) Gains (Losses)
Investments:
Long-term $ 139,629 $ 10,010,932
Stock index futures contracts 559,247 400,557
------------ ------------
Total investments 698,876 10,411,489
------------ ------------
Currency transactions:
Foreign currency transactions 39,662 (10,984)
Forward foreign exchange contracts 262,285 (111,636)
------------ ------------
Total currency transactions 301,947 (122,620)
------------ ------------
Total $ 1,000,823 $ 10,288,869
============ ============
As of June 30, 1997, net unrealized appreciation for Federal income
tax purposes aggregated $10,010,932, of which $10,834,618 related to
appreciated securities and $823,686 related to depreciated
securities. At June 30, 1997, the aggregate cost of investments for
Federal income tax purposes was $115,670,058.
MERRILL LYNCH
SMALLCAP
INDEX FUND
Merrill Lynch
Index Funds, Inc.
FUND LOGO
Semi-Annual Report
June 30, 1997
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
Statements and other information herein are as dated and are subject
to change.
Merrill Lynch
Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011 Index 3--6/97
Printed on post-consumer recycled paper
Merrill Lynch Small Cap Index Fund
Officers and
Directors
Terry K. Glenn, President and Director
Jack B. Sunderland, Director
Stephen B. Swensrud, Director
J. Thomas Touchton, Director
Norman R. Harvey, Senior Vice President
Joseph T. Monagle Jr., Senior Vice President
Gregory Mark Maunz, Vice President
Eric S. Mitofsky, Vice President and Portfolio Manager
Jay C. Harbeck, Vice President
Gerald M. Richard, Treasurer
Ira P. Shapiro, Secretary
Custodian
Merrill Lynch Trust Company
800 Scudders Mill Road
Plainsboro, NJ 08536
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
Merrill Lynch SmallCap Index Fund, June 30, 1997
DEAR SHAREHOLDER
We are pleased to provide you with this first semi-annual report for
Merrill Lynch Small Cap Index Fund. The Fund, which seeks to
replicate the return of the Russell 2000 Index, commenced operations
on April 9, 1997 with an initial inflow of approximately $28.9
million and starting net asset values per share of $10.00. The Fund
seeks to achieve its objective by investing all of its assets in
Merrill Lynch Small Cap Index Series (the Series) of the Merrill
Lynch Index Trust, which has the same investment objective of the
Fund. The value of the Fund's investment in the Series reflects the
Fund's proportionate interest in the net asset of the Series.
At the Fund's inception, the US equity market, as measured by the
Standard & Poor's 500 Index (S&P 500), was in the midst of a nearly
10% correction, following the preemptive increase in short-term
interest rates by the Federal Open Market Committee on March 25,
1997. Small-capitalization stocks, which had badly lagged their
large-cap counterparts during the early part of the year, staged a
powerful rebound beginning in May, and produced a total return for
that month of +11.12%, the best monthly result since February 1991.
May was also the first month since December 1996 in which the
Russell 2000 Index outperformed the S&P 500. In June, the unmanaged
Russell 2000 Index continued to show strong momentum, producing a
total return of +4.29%, bringing its total return for the second
quarter to +16.21%.
There are two principal investments made by the Series in its
attempt to replicate the returns of the benchmark Russell 2000
Index. The primary investment of the Series is an underlying equity
portfolio in which most of the Series' assets are placed; the other
is a long position in futures contracts used as a mechanism to
equitize daily cash inflows so that the Series may remain 100%
invested, while providing a means of maintaining a liquid pool of
assets to meet potential redemption activity.
Because there is such a large number of stocks in the benchmark, and
because many of these stocks are illiquid, we invest in an
"optimized" portfolio of equities, whereby a group of stocks in the
Russell 2000 Index are statistically selected to provide returns
which closely approximate those of the Russell 2000 Index. The
initial investment of the Series was a portfolio consisting of 800
stocks. As of June 30, 1997, the Series' equity portfolio was valued
at $37.3 million. In addition, the Series held a long position of 12
Russell 2000 September futures and 6 S&P MidCap 400 futures.
Since inception through June 30, 1997, Merrill Lynch Small Cap Index
Fund's Class A Shares and Class D Shares both had total returns of
+15.10%, based on a change in per share net asset value from $10.00
to $11.51. (For complete performance information, see page 3 of this
report to shareholders.)
In Conclusion
We appreciate your investment in Merrill Lynch Small Cap Index Fund,
and we look forward to sharing our investment outlook with you in
the months and years ahead.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President
(Eric S. Mitofsky)
Eric S. Mitofsky
Vice President and
Portfolio Manager
July 30, 1997
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund through the
Merrill Lynch Select Pricing SM System, which offers two pricing
alternatives:
* Class A Shares do not incur a maximum initial sales charge (front-
end load) or deferred sales charge and bear no ongoing distribution
or account maintenance fees. Class A Shares are available only to
eligible investors.
* Class D Shares do not incur a maximum initial sales charge or
deferred sales charge and bear no ongoing distribution fee. In
addition, Class D Shares are subject to an ongoing account
maintenance fee of 0.25%.
None of the past results shown should be considered a representation
of future performance. Figures shown in the "Aggregate Total Return"
tables assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date. Investment
return and principal value of shares will fluctuate so that shares,
when redeemed, may be worth more or less than their original cost.
Dividends paid to each class of shares will vary because of the
different levels of account maintenance, distribution and transfer
agency fees applicable to each class, which are deducted from the
income available to be paid to shareholders.
<TABLE>
Recent
Performance
Results
<CAPTION>
Since Inception++
6/30/97 4/09/97++ % Change
<S> <C> <C> <C>
ML Small Cap Index Fund Class A Shares $11.51 $10.00 +15.10%
ML Small Cap Index Fund Class D Shares 11.51 10.00 +15.10
ML Small Cap Index Fund Class A Shares--Total Return +15.10
ML Small Cap Index Fund Class D Shares--Total Return +15.10
<FN>
++The Fund commenced operations on April 9, 1997.
</TABLE>
Aggregate
Total Return
Class A Shares % Return
Inception (4/09/97)
through 6/30/97 +15.10%
Class D Shares % Return
Inception (4/09/97)
through 6/30/97 +15.10%
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND As of June 30, 1997
<S> <S> <C>
Assets: Investment in Merrill Lynch Small Cap Index Series, at value (Note 1a)
(identified cost $36,482,338) $ 40,159,028
Receivable from administrator (Note 2) 24,613
Deferred organization expenses (Note 1d) 13,814
Other assets 25,331
------------
Total assets 40,222,786
------------
Liabilities: Distributor payable (Note 2) 4,480
Accrued expenses and other liabilities 2,905
------------
Total liabilities 7,385
------------
Net Assets: Net assets $ 40,215,401
============
Net Assets Class A Shares of Common Stock, $0.0001 par value, 125,000,000 shares
Consist of: authorized $ 157
Class D Shares of Common Stock, $0.0001 par value, 125,000,000 shares
authorized 193
Paid-in capital in excess of par 35,529,900
Undistributed investment income--net 109,999
Undistributed realized capital gains on investments from the Series--net 898,462
Unrealized appreciation on investments from the Series--net 3,676,690
------------
Net assets $ 40,215,401
============
Net Asset Class A--Based on net assets of $18,030,823 and 1,566,190 shares outstanding $ 11.51
Value: ============
Class D--Based on net assets of $22,184,578 and 1,928,059 shares outstanding $ 11.51
============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND For the Period April 9, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Investment income allocated from the Series $ 158,207
(Note 1b): Expenses allocated from the Series (16,168)
------------
Net investment income from the Series 142,039
------------
Expenses: Registration fees (Note 1d) $ 30,985
Administration fee (Note 2) 16,520
Account maintenance fee--Class D (Note 2) 10,709
Printing and shareholder reports 3,662
Professional fees 3,590
Transfer agent fee--Class D (Note 2) 2,149
Transfer agent fee--Class A (Note 2) 1,601
Accounting services (Note 2) 1,496
Amortization of organization expenses (Note 1d) 972
Directors' fees and expenses 299
Other 1,189
------------
Total expenses before reimbursement 73,172
Reimbursement of expenses (Note 2) (41,132)
------------
Total expenses after reimbursement 32,040
------------
Investment income--net 109,999
------------
Realized & Realized gain on investments from the Series--net 898,462
Unrealized Gain Unrealized appreciation on investments from the Series--net 3,676,690
From the ------------
Series--Net: Net Increase in Net Assets Resulting from Operations $ 4,685,151
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH For the Period
SMALL CAP April 9, 1997++ to
INDEX FUND Increase in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 109,999
Realized gain on investments from the Series--net 898,462
Unrealized appreciation on investments from the Series--net 3,676,690
------------
Net increase in net assets resulting from operations 4,685,151
------------
Capital Share Net increase in net assets derived from capital share transactions 35,505,250
Transactions ------------
(Note 4):
Net Assets: Total increase in net assets 40,190,401
Beginning of period 25,000
------------
End of period* $ 40,215,401
============
<FN>
*Undistributed investment income--net $ 109,999
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived For the Period
MERRILL LYNCH from information provided in the financial statements. April 9, 1997++ to
SMALL CAP June 30, 1997
INDEX FUND Increase in Net Asset Value: Class A Class D
<S> <S> <C> <C>
Per Share Net asset value, beginning of period $ 10.00 $ 10.00
Operating -------- --------
Performance: Investment income--net .03 .03
Realized and unrealized gain on investments from the Series--net 1.48 1.48
-------- --------
Total from investment operations 1.51 1.51
-------- --------
Net asset value, end of period $ 11.51 $ 11.51
======== ========
Total Investment Based on net asset value per share 15.10%+++ 15.10%+++
Return: ======== ========
Ratios to Average Expenses, net of reimbursement++++ .50%* .75%*
Net Assets: ======== ========
Expenses++++ 1.20%* 1.46%*
======== ========
Investment income--net 1.61%* 1.36%*
======== ========
Supplemental Net assets, end of period (in thousands) $ 18,031 $ 22,184
Data: ======== ========
<FN>
*Annualized.
++Commencement of Operations.
+++Aggregate total investment return.
++++Includes the Fund's share of the Series' allocated expenses.
See Notes to Financial Statements.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
SMALL CAP
INDEX FUND
1. Significant Accounting Policies:
Merrill Lynch Small Cap Index Fund (the "Fund") is part of Merrill
Lynch Index Funds, Inc. The Fund is registered under the Investment
Company Act of 1940 as a non-diversified mutual fund. The Fund seeks
to achieve its investment objective by investing all of its assets
in the Merrill Lynch Small Cap Index Series (the "Series") of the
Merrill Lynch Index Trust, which has the same investment objective
as the Fund. The value of the Fund's investment in the Series
reflects the Fund's proportionate interest in the net assets of the
Series. The performance of the Fund is directly affected by the
performance of the Series. The financial statements of the Series,
including the Schedule of Investments, are included elsewhere in
this report and should be read in conjunction with the Fund's
financial statements. 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 Fund
offers two classes of shares, Class A Shares and Class D Shares.
Shares of Class A and Class D are sold without the imposition of a
front-end or deferred sales charge. Both classes of shares have
identical voting, dividend, liquidation and other rights and the
same terms and conditions, except that Class D Shares bear certain
expenses related to the account maintenance of such shares. The
following is a summary of significant accounting policies followed
by the Fund.
(a) Valuation of investments--Valuation of securities is discussed
in Note 1a of the Series' Notes to Financial Statements which is
included elsewhere in this report.
(b) Income--The Fund's net investment income consists of the Fund's
pro rata share of the net investment income of the Series, less all
actual and accrued expenses of the Fund determined in accordance
with generally accepted accounting principles.
(c) Income taxes--It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income to
shareholders. Therefore, no Federal income tax provision is
required.
(d) Prepaid registration fees and deferred organization expenses--
Prepaid registration fees are charged to expense as the related
shares are issued. Deferred organization expenses are charged to
expense on a straight-line basis over a five-year period.
(e) Dividends and distributions--Dividends and distributions paid by
the Fund are recorded on the ex-dividend dates.
(f) Investment transactions--Investment transactions are accounted
for on a trade date basis.
2. Transactions with Affiliates:
The Fund has entered into a Distribution Agreement and Distribution
Plans with Merrill Lynch Funds Distributor, Inc. ("MLFD" or
"Distributor"), a wholly-owned subsidiary of Merrill Lynch Group,
Inc. Pursuant to a distribution plan (the "Distribution Plan")
adopted by the Fund in accordance with Rule 12b-1 under the
Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance fees. The fees are accrued daily and
paid monthly at the annual rate of 0.25% based upon the average
daily net assets of Class D Shares.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of Merrill
Lynch & Co., Inc. ("ML & Co."), also provides account maintenance
services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account
maintenance services to Class D shareholders.
The Fund has also entered into an Administrative Services Agreement
with Merrill Lynch Asset Management, L.P. ("MLAM"). The general
partner of MLAM is Princeton Services, Inc. ("PSI"), a wholly-owned
subsidiary of ML & Co., which is the limited partner. The Fund pays
a monthly fee at an annual rate of 0.22% of the Fund's average daily
net assets for the performance of administrative services (other
than investment advice and related portfolio activities) necessary
for the operation of the Fund. For the period April 9, 1997 to June
30, 1997, MLAM earned fees of $16,520, all of which were voluntarily
waived. MLAM also reimbursed the Fund for additional expenses of
$24,612.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), an indirect
wholly-owned subsidiary of ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLFD, MLFDS, and/or ML & Co.
3. Investments:
Increases and decreases in the Fund's investment in the Series for
the period April 9, 1997 to June 30, 1997 were $37,247,334 and
$1,679,314, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions
was $35,505,250 for the period April 9, 1997 to June 30, 1997.
Transactions in capital shares for each class were as follows:
Class A Shares for the Period Dollar
April 9, 1997++ to June 30, 1997 Shares Amount
Shares sold 1,982,992 $ 20,451,110
Shares redeemed (418,052) (4,421,811)
------------ ------------
Net increase 1,564,940 $ 16,029,299
============ ============
[FN]
++Prior to April 9, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Class D Shares for the Period Dollar
April 9, 1997++ to June 30, 1997 Shares Amount
Shares sold 2,237,280 $ 22,751,077
Shares redeemed (310,471) (3,275,126)
------------ ------------
Net increase 1,926,809 $ 19,475,951
============ ============
[FN]
++Prior to April 9, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
Merrill Lynch Small Cap Index Series
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
COMMON
STOCKS
<PAGE>
AAR Corporation 1,400 $ 45,238
ABM Industries, Inc. 1,900 36,694
ABR Information Services, Inc. 1,400 40,600
++ABT Building Products Corporation 1,400 36,750
ACC Corp. 1,100 33,963
ACNielson Corporation 3,500 68,688
ADAC Laboratories 1,500 35,438
++ADVO, Inc. 2,500 40,625
AGL Resources, Inc. 2,900 59,813
ALBANK Financial Corporation 1,000 39,500
AMCOL International Corp. 2,100 38,063
AMCORE Financial Inc. 1,300 35,425
AMETEK, Inc. 2,600 61,100
++ANTEC Corporation 2,100 24,675
APL Ltd. 1,400 43,750
ASA Holdings, Inc. 1,400 40,075
Aames Financial Corporation 1,700 31,450
++Acceptance Insurance Holdings, Inc. 1,100 25,025
++Access Health, Inc. 1,100 26,950
Acordia, Inc. 1,400 56,000
++Actel Corp. 1,600 27,300
++Acuson Corporation 1,200 27,600
Acxiom Corp. 3,000 61,500
++Advanced Techology Laboratories, Inc. 1,000 43,000
++Advanced Tissue Sciences, Inc. 2,700 34,763
++Affiliated Computer Services, Inc. 2,300 64,400
++Affymetrix, Inc. 1,400 48,650
++Agouron Pharmaceuticals, Inc. 700 56,612
Air Express International Corporation 2,200 87,450
Airborne Freight Corporation 1,200 50,250
Albany International Corp. (Class A) 2,300 51,750
++Alexander's, Inc. 300 21,113
Aliant Communications, Inc. 3,200 62,400
++Alkermes, Inc. 1,300 18,850
++Allen Telecom Inc. 1,700 35,275
++Alliance Pharmaceutical Corporation 2,700 27,169
++Alliant Techsystems, Inc. 900 49,500
Allied Capital Commercial Corporation 1,200 28,800
Allied Group, Inc. 1,500 57,000
++Allied Waste Industries, Inc. 4,100 71,238
++Allwaste, Inc. 3,600 34,200
Alpharma, Inc. (Class A) 800 12,750
++Alternative Resources Corp. 1,500 30,563
++Amerco 1,100 33,138
++America West Holdings Corp. (Class B) 2,900 42,050
American Health Properties, Inc. 1,800 45,225
++American Management Systems, Inc. 2,200 58,850
American Mobile 1,700 17,425
++American Oncology Resources, Inc. 4,200 70,875
++American Radio Systems Corp. 1,400 55,825
++AmeriCredit Corp. 2,500 52,500
++Amerin Corporation 1,800 43,650
++AmeriSource Health Corp. (Class A) 1,400 69,825
++Amylin Pharmaceuticals, Inc. 2,000 27,500
Analysts International Corp. 1,800 60,300
Anchor Bancorp, Inc. 600 29,250
++Anchor Gaming 600 28,650
++Anixter International Inc. 2,900 49,844
++AnnTaylor Stores Corporation 1,600 31,200
Apogee Enterprises, Inc. 2,000 43,000
Apple South, Inc. 2,300 35,075
Applebee's International, Inc. 2,300 61,525
Applied Industrial Technologies, Inc. 1,300 46,800
++Applied Magnetics Corp. 1,400 31,675
++Apria Healthcare Group, Inc. 2,500 44,375
AptarGroup, Inc. 1,300 58,825
Arbor Drugs, Inc. 1,800 36,225
++Arbor Software Corp. 1,000 35,250
++Arcadia Financial Ltd. 3,000 27,563
Argonaut Group, Inc. 1,000 29,500
++Argyle Television Operations, Inc. 1,200 30,600
++Armco, Inc. 6,600 25,575
Arrow International, Inc. 1,000 29,250
++Arterial Vascular Engineering, Inc. 1,700 54,719
Arvin Industries, Inc. 1,300 35,425
++Ascent Entertainment Group, Inc. 1,000 9,125
Aspect Telecommunications Corp. 2,600 57,850
Aspen Technologies, Inc. 1,400 52,675
Associated Banc-Corp 1,400 55,300
Associated Estates Realty Corp. 600 14,100
Astoria Financial Corp. 1,300 61,750
Atlantic Energy, Inc. 3,600 60,525
Atmos Energy Corporation 1,700 40,800
++Auspex Systems, Inc. 2,400 23,100
Authentic Fitness Corp. 1,800 22,725
++Avant Corporation 1,400 45,238
++Avid Technology, Inc. 2,200 58,025
++Aztar Corporation 4,100 28,956
++BBN Corp., Inc. 1,300 37,619
BDM International, Inc. 2,200 50,600
++BE Aerospace, Inc. 1,100 34,788
++BISYS Group, Inc. 1,900 79,325
BMC Industries, Inc. 1,900 65,075
++BT Office Products International, Inc. 1,900 14,250
BW/IP, Inc. 2,200 44,687
Ball Corp. 1,900 57,119
Ballard Medical Products 2,100 42,131
++BancTec, Inc. 1,300 33,719
Bank of Granite Corp. 1,200 36,300
Bank United Corp. (Class A) 1,500 57,000
Banknorth Group, Inc. 600 27,750
Banta Corporation 2,100 56,963
++Barnett Banks, Inc. 1,200 29,400
++Barrett Resources Corp. 2,200 65,863
Bassett Furniture Industries, Inc. 1,300 36,725
Bay Apartment Communities, Inc. 1,400 51,800
Bay State Gas Company 1,400 37,275
Belden, Inc. 1,700 57,906
++Bell & Howell Co. (Series B) 1,600 49,300
++Benton Oil & Gas Co. 2,000 30,000
Berkley (W.R.) Corporation 600 35,325
Berkshire Realty Company, Inc. 2,300 24,438
Berry Petroleum Co. (Class A) 2,600 49,400
++Best Buy Co., Inc. 2,300 34,213
++Big Flower Press Holdings, Inc. 1,400 29,050
++Billing Information Concepts 1,600 55,800
++Bio-Rad Laboratories, Inc. (Class A) 1,000 26,063
++Bio Technology General Corp. 2,800 37,800
Birmingham Steel Corp. 2,300 35,650
++Black Box Corporation 1,300 52,325
Black Hills Corporation 1,600 45,600
Block Drug Company, Inc. (Class A) 900 39,150
Blount International, Inc. (Class A) 900 38,306
Bob Evans Farms, Inc. 4,300 72,831
Boole & Babbage, Inc. 1,600 34,000
++Boston Beer Company, Inc. (Class A) 1,700 16,787
++Boston Technology, Inc. 1,400 41,388
Brady (W.H.) Company (Class A) 1,600 46,400
Brightpoint, Inc. 1,300 42,331
++Brinker International, Inc. 3,800 54,150
++Bristol Hotel Company 1,400 53,900
++Broderbund Software, Inc. 1,200 29,625
Brush Wellman, Inc. 1,400 29,313
++Buckeye Cellulose Corp. 1,400 47,250
++Buffets, Inc. 4,000 33,750
++Burlington Industries, Inc. 3,600 43,200
Burnham Pacific Properties, Inc. 7,200 99,000
Burr-Brown Corp. 1,700 58,650
CBL & Associates Properties, Inc. 1,900 45,600
CCB Financial Corp. 800 58,500
CILCORP, Inc. 1,300 53,544
CKE Restaurants, Inc. 2,300 72,738
CMAC Investment Corp. 2,200 105,050
CNB Bancshares, Inc. 1,300 52,650
++CONMED Corporation 800 13,600
CORESTAFF, Inc. 1,800 48,600
++CORT Business Services Corp. 1,500 44,250
CPI Corporation 1,200 25,200
CRIIMI MAE, Inc. 2,700 43,200
++CSG Systems International, Inc. 1,900 58,663
++CSS Industries, Inc. 1,000 31,625
CWM Mortgage Holdings Inc. 3,100 74,206
++Cable Design Technologies 1,300 38,269
++Cablevision System Corp. 1,000 53,500
Cabot Oil & Gas Corp. 2,400 42,300
Calgon Carbon Corporation 3,700 51,338
++California Microwave, Inc. 1,400 19,600
California Water Service Co. 600 26,400
CalMat Company 1,700 36,550
Cambrex Corporation 1,000 39,750
Camden Property Trust 832 26,312
++Canandaigua Wine Company, Inc. 1,100 39,463
Capital Re Corporation 900 48,150
Caraustar Industries, Inc. 2,100 72,713
Carlisle Companies, Inc. 1,900 66,262
++Carmike Cinemas, Inc. (Class A) 900 29,475
Carpenter Technology Corporation 900 41,175
++Carson Pirie Scott & Company 1,400 44,450
Carter-Wallace, Inc. 2,400 42,900
Casey's General Stores, Inc. 2,500 53,828
Cash America International, Inc. 3,200 33,600
++Castle & Cooke, Inc. 1,300 21,531
Catalina Marketing Corporation 1,400 67,375
++C-Cube Microsystems, Inc. 1,900 33,369
++Cellular Communications International, Inc. 900 29,475
CenterPoint Properties Corp. 1,200 38,100
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
COMMON
STOCKS
(continued)
<PAGE>
Central Louisiana Electric 2,100 $ 59,062
Central Maine Power Company 3,400 42,074
++Cephalon, Inc. 1,800 20,700
++Cerner Corporation 2,200 46,200
++Champion Enterprises, Inc. 2,800 42,000
++Chancellor Corporation (Class A) 1,300 52,000
++Charming Shoppes, Inc. 6,500 33,922
++Checkfree Corporation 1,900 33,487
ChemFirst Inc. 1,600 43,400
Chesapeake Corporation 1,400 47,250
Chesapeake Energy Corp. 2,500 24,531
Chittenden Corporation 1,200 41,100
++Choice Hotels International, Inc. 3,200 54,200
Church & Dwight Co., Inc. 1,100 29,425
Cincinnati Milacron, Inc. 2,300 59,656
++Cirrus Logic, Inc. 3,100 32,550
CitFed Bancorp, Inc. 700 27,125
++Citrix Systems, Inc. 1,900 83,363
Claire's Stores, Inc. 2,500 43,750
Clarcor, Inc. 1,700 42,075
++Cliffs Drilling Company 1,000 36,500
++Coast Savings Financial, Inc. 900 40,894
++Coeur D'Alene Mines Corporation 2,400 31,050
++Cognex Corporation 1,900 50,350
++Coherent, Inc. 700 31,150
Cohu, Inc. 800 25,000
++Cole National Corporation 1,000 44,000
Collective Bancorp, Inc. 1,100 49,363
++Collins & Aikman Corp. 4,700 47,000
Colonial Properties Trust 2,400 70,500
++Columbia Laboratories, Inc. 2,500 40,938
Columbus Realty Trust 1,000 22,750
Commerce Bancorporation Inc. 1,400 54,250
Commerce Group, Inc. 1,100 27,088
Commercial Federal Corp. 1,300 48,263
Commercial Metals Co. 1,100 35,475
++Commnet Cellular, Inc. 1,200 41,700
Commonwealth Bancorp, Inc. 1,700 27,838
Community First Bankshares, Inc. 1,900 72,913
++Compdent Corporation 900 18,956
++Computer Horizons Corporation 1,350 46,238
++Computer Products, Inc. 1,500 37,500
Computer Task Group, Inc. 1,200 44,700
++Computervision Corporation 5,200 24,050
++Comverse Technology, Inc. (New Shares) 1,000 52,000
++Converse, Inc. 1,400 30,975
Coors (Adolph) Co. (Class B) 2,100 55,912
++CopyTele, Inc. 4,100 22,294
Cousins Properties, Inc. 2,100 58,275
++Covance, Inc. 3,000 57,938
++Coventry Ventures, Inc. 2,400 36,300
++Creative BioMolecules, Inc. 2,600 18,363
++Credence Systems Corp. 1,600 47,900
++Credit Acceptance Corp. 1,600 20,600
++Crescent Operating, Inc. 570 6,840
Cross Timbers Oil Company 2,600 50,050
Cullen/Frost Bankers, Inc. 1,300 55,088
++Culligan Water Technologies, Inc. 1,400 62,650
++Cygnus, Inc. 900 15,525
++Cymer, Inc. 900 43,875
++Cyrix Corporation 1,200 25,650
Cytogen Corp. 4,300 20,962
DII Group, Inc. 1,100 48,400
DSP Communications, Inc. 3,000 33,000
D.R. Horton, Inc. 600 6,225
Data General Corporation 2,300 59,800
Data Transmission Network Corp. 800 25,400
Dekalb Genetics Corporation (Class B) 800 63,800
Delta & Pine Land Company 1,933 68,863
Department 56, Inc. 2,200 48,813
Devry, Inc. 2,100 56,700
Dexter Corporation (The) 1,700 54,400
Diamond Multimedia Systems, Inc. 3,200 23,000
Digital Microwave Corp. 1,000 30,000
Dimon, Inc. 2,000 53,000
Dionex Corporation 1,100 56,375
Donaldson Company, Inc. 1,400 53,200
Downey Financial Corp. 900 21,262
Dreyers Grand Ice Cream, Inc. 900 35,550
Durco International Inc. 1,900 55,575
Duty Free International, Inc. 2,000 37,500
Dynatech Corporation 1,000 35,750
Dynex Capital, Inc. 3,800 52,962
++ENCAD Inc. 900 37,350
ESS Technology, Inc. 1,400 18,812
E'Town Corporation 900 27,787
++E* Trade Group, Inc. 1,900 37,288
Eagle Hardware & Garden, Inc. 1,400 32,025
Earthgrains Company (The) 700 45,894
Eastern Enterprises 1,500 52,030
Eastern Utilities Associates 2,300 41,975
Eaton Vance Corp. 1,700 47,281
Elcor Corp. 1,100 30,662
Electroglas, Inc. 1,400 35,263
Emmis Broadcasting Corp. (Class A) 700 30,538
Empire District Electric Company (The) 1,900 32,894
Enhanced Financial Services Group, Inc. 1,300 57,038
Envoy Corporation 900 29,925
Enzo Biochem, Inc. 1,900 29,806
Equity Inns Inc. 2,100 28,088
Esterline Technologies Corporation 800 28,150
Etec Systems, Inc. 1,200 51,450
Ethan Allen Interiors, Inc. 900 51,300
Exabyte Corporation 2,000 25,625
Excel Realty Trust, Inc. 1,300 34,288
Executive Risk Inc. 900 46,800
Exide Corporation 1,600 35,100
Expeditors International of Washington, Inc. 2,000 56,750
Express Scripts, Inc. (Class A) 1,300 53,788
F & M National Corp. 1,600 41,600
++FSI International, Inc. 1,800 28,800
Fabri-Centers of America, Inc. (Class A) 1,000 27,250
Fair Isaac & Company, Inc. 800 35,650
Fedders Corporation 4,400 25,025
Federal Mogul Corp. 2,200 77,000
FelCor Suite Hotels, Inc. 1,600 59,600
Ferro Corporation 1,800 66,713
Fibreboard Corporation 500 27,500
++Figgie International, Inc. 1,700 22,950
++FileNet Corporation 1,500 21,750
Financial Security Assurance Holdings Ltd. 2,400 93,450
Fingerhut Companies, Inc. 3,200 55,800
First Citizens Bancshares, Inc. 600 52,200
First Commonwealth Financial Corp. 1,700 36,125
First Federal Savings Bank of Colorado 1,700 32,513
First Financial Bancorp Ohio 900 36,225
First Financial Corporation of Wisconsin 2,000 58,750
First Industrial Realty Trust, Inc. 1,200 35,100
First Michigan Bank Corp. 2,090 63,223
First Midwest Bancorp, Inc. 1,500 47,531
++First Plus Financial Group Inc. 1,500 51,000
First Western Bancorp, Inc. 1,200 45,300
Firstbank of Illinois Co. 1,000 39,125
Fisher Scientific International, Inc. 1,100 52,250
Fleming Companies, Inc. 2,500 45,000
Florida Rock Industries, Inc. 700 28,438
++Foodmaker, Inc. 3,300 54,038
++Footstar, Inc. 1,900 49,638
Foremost Corporation of America 800 47,900
Forest Oil Corporation 1,700 24,969
Fort Wayne National Corp. 1,200 56,400
Franchise Finance Corporation of America 2,300 59,944
++Franklin Covey Co. 1,400 35,438
Freeport-McMoran Copper & Gold Co., Inc. 1,600 46,200
Fremont General Corporation 800 32,200
++Friedman's, Inc. (Class A) 1,500 34,313
Frontier Insurance Group, Inc. 900 58,275
Fuller (H.B.) Company 1,000 55,000
Fulton Financial Corporation 2,300 62,100
Fund American Enterprises Inc. 600 63,000
++Furniture Brands International, Inc. 3,300 63,938
G & K Services, Inc. (Class A) 1,600 59,600
++GC Companies, Inc. 1,100 50,325
++Gadzooks Inc. Company 700 13,650
Gallagher (Arthur J.) & Co. 1,100 41,525
++Galoob Lewis Toys, Inc. 1,300 24,538
++Garden Ridge Corp. 2,000 25,000
++Gaylord Container Corp. 4,300 33,056
++GelTex Pharmaceuticals, Inc. 1,200 24,150
++Genesco Inc. 2,300 32,631
++GenRad, Inc. 2,000 45,250
++Gentex Corporation 2,000 39,500
Geon Company (The) 1,700 34,425
++Geotek Communications, Inc. 5,300 28,819
Gerber Scientific, Inc. 1,900 37,525
++Getchell Gold Corp. 1,300 45,825
++Gibson Greetings, Inc. 1,400 31,500
Giddings & Lewis, Inc. 2,700 56,363
++Gilead Sciences, Inc. 1,800 49,725
++Glenayre Technologies, Inc. 3,000 49,125
Glimcher Realty Trust Inc. 2,000 41,250
++Global Industrial Technologies, Inc. 2,000 41,000
++Global Industries Ltd. 2,300 53,727
++Golden Books Family Entertainment, Inc. 1,600 20,000
Great Financial Corp. 1,500 52,688
Greenfield Industries, Inc. 1,400 37,800
Greif Brothers Corporation (Class A) 1,700 45,900
++Griffon Corporation 2,800 38,325
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
COMMON
STOCKS
(continued)
Guaranty Life Company 1,200 $ 30,150
Guaranty National Corp. 1,400 33,600
++Gulf South Medical Supply, Inc. 1,300 25,350
++Gymboree Corp. 1,500 36,000
HCC Insurance Holdings, Inc. 2,000 53,375
++HMT Technology Corporation 2,300 29,756
HNC Software Inc. 1,300 49,563
HPR Inc. 1,300 24,050
HSB Group Inc. 1,200 64,050
HUBCO, Inc. 1,300 37,700
++Hadco Corporation 500 32,750
++Haemonetics Corporation 2,100 40,163
Hancock Holding Co. 600 29,400
++Handleman Company 3,400 21,675
++Harbinger Corp. 1,200 33,600
++Harken Energy Corporation 5,300 37,100
++Harland (John H.) Co. (The) 1,800 41,063
Harman International Industries, Inc. 900 37,913
Hayes Wheels International, Inc. 1,900 60,325
Health Care Property Investors, Inc. 1,900 66,975
Healthcare Realty Trust Inc. 1,100 30,663
Healthplan Services Corporation 1,400 26,425
Hecla Mining Company 5,200 27,950
Heftel Broadcasting Corp. (Class A) 500 27,625
Heilig-Meyers Company 2,800 54,950
Heritage Media Corporation 2,900 54,738
Hexcel Corporation 2,200 37,950
Highlands Insurance Group, Inc. 1,300 26,163
Highwaymaster Communications, Inc. 1,600 24,400
Highwoods Properties, Inc. 2,100 67,200
++Hollywood Entertainment Corp. 1,700 38,888
Hologic, Inc. 800 21,300
Horizon/CMS Healthcare Corporation 2,700 54,169
Horizon Group, Inc. 1,700 22,844
Hospitality Properties Trust 1,700 52,063
Host Marriott Corporation 3,100 36,425
Houghton Mifflin Company 900 60,075
Hughes Supply, Inc. 700 28,000
Hugoton Energy Corp. 2,900 40,238
Human Genome Sciences, Inc. 1,100 36,575
Hutchinson Technology, Inc. 1,000 24,375
++Hyperion Software Corp. 1,200 26,850
++I-Stat Corporation 1,200 20,550
ICN Pharmaceuticals, Inc. 2,100 60,244
ICOS Corporation 1,900 15,675
++IDEC Pharmaceuticals Corporation 1,100 26,675
IDEX Corp. 2,200 72,600
IES Industries, Inc. 1,900 56,050
IRT Property Company 2,300 27,025
++Imation Corp. 2,400 63,300
Imnet Systems, Inc. 900 27,956
Imperial Bancorp 1,000 28,875
Imperial Credit Industries, Inc. 1,500 30,844
Incyte Pharmaceuticals, Inc. 600 40,200
++Information Resources, Inc. 2,300 32,488
++Input/Output, Inc. 2,200 39,875
Insignia Financial Group, Inc. (Class A) 2,400 43,500
Inso Corporation 700 14,394
International Network Services 1,400 36,400
Integon Corporation 800 20,000
++Integrated Device Technology, Inc. 4,000 42,000
Integrated Health Services, Inc. 1,400 53,900
++Integrated Process Equipment Corp. 1,300 32,906
InterDigital Communications Corp. 4,200 23,100
Interface, Inc. (Class A) 1,400 30,975
Intergraph Corporation 3,500 29,750
++Interim Services, Inc. 1,200 53,400
Intermedia Communications, Inc. 1,400 45,325
International Dairy Queen, Inc. (Class A) 1,600 38,400
International Multifoods Corporation 1,000 25,125
++International Rectifier Corporation 2,800 52,150
Interneuron Pharmaceuticals, Inc. 1,500 30,188
Interra Financial, Inc. 700 29,356
Interstate Power Company 1,000 28,625
Invacare Corporation 1,900 44,413
Ionics, Incorporated (Ordinary) 1,200 54,600
Irvine Apartment Communities, Inc. 1,700 50,150
Isis Pharmaceuticals, Inc. 1,900 27,669
Itron, Inc. 900 23,288
J&L Specialty Steel, Inc. 1,700 20,400
JLG Industries, Inc. 2,500 34,063
JP Foodservice, Inc. 1,400 40,163
++Jacobs Engineering Group, Inc. 1,700 45,688
++Jacor Communications, Inc. 1,800 68,850
Jefferies Group, Inc. 500 28,500
Jefferson Bankshares, Inc. 1,400 50,400
John Alden Financial Corporation 1,800 37,688
Jones Medical Industries, Inc. 1,200 57,000
Jostens, Inc. 2,300 61,525
Juno Lighting, Inc. 2,000 32,500
Just For Feet, Inc. 1,400 24,412
K2, Inc. 1,500 47,531
Kaman Corporation (Class A) 1,900 29,212
Kaufman and Broad Home Corporation 3,200 56,200
Kaydon Corporation 1,200 59,550
Kellwood Company 1,300 36,075
Kelly Services, Inc. 1,700 53,337
Kemet Corporation 2,700 67,163
Kennametal Inc. 1,500 64,500
Kent Electronics Corporation 1,600 58,700
Keystone Financial, Inc. 2,100 65,625
Kimball International, Inc. 1,600 64,400
++Kirby Corporation 2,700 49,275
Koger Equity Inc. 1,700 31,025
Kuhlman Corporation 900 29,025
Kulicke and Soffa Industries, Inc. 1,100 35,716
LTC Porperties, Inc. 1,800 32,625
Laboratory Corp. of America Holdings 6,600 17,325
Landry's Seafood Restaurants, Inc. 1,500 34,500
Lands' End, Inc. 1,100 32,588
Landstar System, Inc. 1,100 30,937
Legato Systems, Inc. 1,400 25,900
Legg Mason, Inc. 1,400 75,338
Lennar Corporation 2,000 63,875
Level One Communications, Inc. 1,100 42,281
Libbey, Inc. 1,300 45,500
Liberty Property Trust 2,200 54,725
Life Technologies, Inc. 900 24,975
++Ligand Pharmaceuticals 2,200 28,325
Lilly Industries, Inc. (Class A) 2,300 46,288
Lindsay Manufacturing Co. 1,100 36,025
Liposome Company, Inc. 2,000 17,875
++Littelfuse, Inc. 2,300 64,975
Living Centers of America, Inc. 900 35,550
Logicon, Inc. 1,100 58,300
Lomak Petroleum, Inc. 1,900 33,844
++Lone Star Industries, Inc. 700 31,719
++Lone Star Steakhouse & Saloon, Inc. 1,900 49,400
++Lone Star Technologies, Inc. 1,700 48,662
Long Island Bancorp, Inc. 1,900 68,994
Longs Drug Stores Corp. 1,800 47,137
Longview Fibre Company 3,000 49,875
Luby's Cafeterias, Inc. 2,500 49,844
Lukens Inc. 1,300 24,456
++Lydall, Inc. 2,200 46,475
MAF Bancorp, Inc. 900 37,687
MDU Resources Group, Inc. 2,200 52,800
MMI Companies, Inc. 1,200 31,350
Mac Frugal's Bargains Close-Outs, Inc. 1,600 43,600
Macerich Company (The) 1,900 52,725
Madison Gas & Electric Company 1,800 36,900
Magellan Health Services, Inc. 1,800 53,100
Magna Bancorp, Inc. 1,200 32,850
Magna Group, Inc. 2,000 69,500
Magnetek, Inc. 1,700 28,262
Manitowoc Company, Inc. (The) 900 42,075
Manufactured Home Communities, Inc. 1,600 36,900
++Manugistics Group, Inc. 1,000 44,500
Marcus Corporation (The) 1,800 44,325
Marine Drilling Companies, Inc. 2,300 45,137
++Mariner Health Group, Inc. 2,700 41,681
++Marshall Industries 1,600 59,600
++Martek Biosciences Corporation 1,000 11,750
Mascotech, Inc. 2,200 45,925
Mastec, Inc. 600 28,387
Material Sciences Corporation 2,000 30,875
Matthews International Corporation 1,100 40,150
++Maxicare Health Plans, Inc. 1,600 35,800
McClatchy Newspapers, Inc. (Class A) 2,200 64,625
McDonald's & Company Investments 800 36,700
++McLeodusa Inc. Company 1,900 64,125
++Medaphis Corp. 4,200 42,262
Medical Assurance, Inc. 700 28,437
++Medicis Pharmaceutical Corp. 800 39,900
Medimmune, Inc. 1,000 18,500
++MedPartners, Inc. 1,062 22,966
Medusa Corporation 1,400 53,725
Men's Wearhouse, Inc. (The) 1,000 31,500
Mentor Corporation 1,500 44,438
++Mentor Graphics Corporation 3,900 36,075
Mesa, Inc. 4,200 24,150
Methode Electronics, Inc. (Class A) 2,700 53,663
Metromedia International Group, Inc. 2,800 35,525
++Michaels Stores, Inc. 1,400 29,662
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
COMMON
STOCKS
(continued)
Micros Systems, Inc. 700 $ 29,400
Mid Am, Inc. 2,200 40,150
Mid-America Apartment Communities, Inc. 900 25,256
Mid Atlantic Medical Services, Inc. 2,900 45,131
Minerals Technologies, Inc. 1,800 67,500
Minnesota Power & Light Company 2,000 60,750
Mississippi Chemical Corporation 2,300 47,725
Mobile Telecommunication
Technologies Corp. 4,500 64,406
Modine Manufacturing Company 1,200 35,700
++Mohawk Industries, Inc. 1,300 29,575
Morgan Keegan, Inc. 1,900 37,763
++Mueller Industries, Inc. 1,300 56,875
++Multicare Cos Inc. (The) 1,200 32,850
++Mycogen Corp. 1,000 19,625
++Myriad Genetics, Inc. 800 21,600
++NABI, Inc. 2,100 13,912
++NBTY, Inc. 1,000 28,000
++NCS Healthcare, Inc. (Class A) 1,400 42,525
++NTL Inc. 1,900 47,262
Nac Re Corp. 800 38,700
Nash-Finch Company 1,900 42,038
National Computer System, Inc. 1,500 39,938
++National Media Corp. 2,000 13,000
++National Oil Well Inc. 1,000 57,500
++National Steel Corp. 1,200 20,175
++National Surgery Centers, Inc. 800 28,300
Nationwide Health Properties, Inc. 3,700 81,400
Natures Sunshine Products, Inc. 1,400 25,375
++Nautica Enterprises, Inc. 1,900 50,231
++Neoprobe Corp. 1,800 25,200
++Network Appliance, Inc. 1,000 38,000
++Network Equipment Technologies, Inc. 1,900 34,200
++Network General Corp. 2,600 38,675
++Neurex Corporation 1,400 19,775
++Neurogen Corporation 700 15,925
++Neuromedical Systems, Inc. 3,000 16,594
Nevada Power Company 2,900 61,625
New England Business Service, Inc. 1,300 34,206
New York Bancorp Inc. 900 31,275
Newfield Exploration Co. 3,100 62,000
++Newpark Resources, Inc. 1,800 60,750
++Nexstar Pharmaceuticals, Inc. 2,400 34,200
Norrell Corp. 1,500 49,500
North American Mortgage Co. 1,200 28,425
Northwestern Public Service Company 2,400 51,600
++NovaCare, Inc. 3,300 45,787
++Nuevo Energy Co. 1,300 53,300
OEA, Inc. 1,300 51,350
O M Group Inc. 2,300 76,188
++OMI Corp. 4,000 38,250
ONBANCorp, Inc. 800 40,800
ONEOK, Inc. 1,100 35,406
++Oak Industries, Inc. 1,600 46,000
++Oak Technology, Inc. 2,900 28,275
Oakwood Homes Corporation 2,100 50,400
Oasis Residential, Inc. 1,300 30,550
++OccuSystems, Inc. 1,600 46,400
++Ocean Energy, Inc. 700 32,375
++Oceaneering International, Inc. 1,700 31,450
++Octel Communications Corporation 2,800 65,625
Ogden Corporation 3,100 67,425
Old National Bancorp 1,600 70,400
Omega Healthcare Investors, Inc. 1,600 52,300
One Valley Bancorp, Inc. 900 37,800
++Orbital Sciences Corp. 2,400 38,100
Oregon Steel Mills, Inc. 2,100 41,869
++Organogenesis, Inc. 1,375 26,898
Orion Capital Corporation 700 51,625
++Orthodontic Center 1,900 34,556
Otter Tail Power Company 1,300 42,900
Outboard Marine Corporation 1,900 33,725
++Outdoor Systems, Inc. 1,200 45,900
Overseas Shipholding Group, Inc. 2,900 56,913
Owens & Minor, Inc. 2,400 35,850
++P-COM, Inc. 1,000 33,000
++PHP Healthcare Corp. 1,000 13,125
++PMC-Sierra, Inc. 4,100 107,625
++PMT Services, Inc. 2,300 35,075
++PRI Automation, Inc. 1,000 37,937
++PSINet, Inc. 2,800 21,000
++Paging Network, Inc. 5,600 49,175
++Papa John's International, Inc. 1,100 40,425
++Parexel International Corporation 1,900 60,325
Park Electrochemical Corporation 1,000 26,312
++Parker Drilling Company 3,800 42,275
++PathoGenesis Corp. 900 26,212
Patriot American Hospitality, Inc. 2,400 61,200
++Patterson Dental Co. 1,000 34,312
++Pediatrix Medical Group Inc. 800 36,650
Penncorp Financial Group, Inc. 1,600 61,600
Peoples Heritage Financial Group, Inc. 1,400 53,025
++Perceptron, Inc. 700 18,987
++Perrigo Co. 4,100 51,250
++Personnel Group of America, Inc. 1,000 28,812
++Petco Animal Supplies, Inc. 1,200 36,000
++Pharmaceutical Product Development, Inc. 1,300 28,600
Phoenix Duff & Phelps Corp. 4,900 36,138
Phoenix Technologies Ltd. 1,700 22,100
Photronics, Inc. 600 28,650
++Physician Corp. of America 2,100 13,387
++Physicians Resource Group, Inc. 2,100 18,900
++Physio-Control International Corp. 1,200 18,000
Piedmont Natural Gas Company, Inc. 2,100 53,944
Pier 1 Imports, Inc. 2,400 63,600
Pioneer Group, Inc. 2,000 46,000
Pittston Minerals Group 1,800 50,625
++Platinum Technology, Inc. 3,000 39,750
++Playboy Enterprises, Inc. (Class B) 1,600 18,500
++Playtex Products, Inc. 2,200 20,625
Polaris Industries, Inc. 1,900 61,869
++Policy Management Systems Corporation 1,000 47,000
++Pool Energy Services Co. 1,700 30,813
++Premiere Technologies, Inc. 1,100 28,600
++Prepaid Legal Services, Inc. 1,800 38,025
Price Enterprises, Inc. 1,100 21,175
++Pride Petroleum Services, Inc. 2,400 57,600
++Primark Corp. 1,800 47,925
++Prime Hospitality Corp. 1,800 35,550
++Prime Service, Inc. 1,400 44,712
++Proffitt Systems, Inc. 1,100 48,263
++Protein Design Labs, Inc. 900 25,650
Provident Bankshares Corp. 730 30,386
++Proxim, Inc. 900 21,825
Public Service Company of New Mexico 3,800 67,925
Pulte Corp. 700 24,194
++Pure Atria Corp. 2,000 28,250
Quaker State Corporation 2,700 41,175
++Quality Food Centers, Inc. 900 34,200
++Quick Response Services, Inc. 600 21,750
RCSB Financial, Inc. 600 28,650
RFS Hotel Investors, Inc. 2,200 39,600
++Ralcorp Holdings Inc. 2,800 41,300
++Rational Software Corporation 2,400 40,350
++Read-Rite Corp. 2,300 48,012
Realty Income, Corp. 2,100 55,125
++Reckson Associates Realty Corp. 1,800 41,400
Redwood Trust, Inc. 700 32,725
Regal-Beloit Corp. 1,900 50,350
Regency Realty Corp. 900 24,525
++Regeneron Pharmaceuticals, Inc. 2,100 21,262
Reinsurance Group of America 1,200 69,000
Reliance Steel & Aluminum Co. 1,050 27,300
++Remedy Corp. 1,300 52,000
++Renal Treatment Centers, Inc. 2,200 59,125
++Renters Choice, Inc. 1,300 25,837
++Respironics, Inc. 1,600 33,800
++Rexall Sundown, Inc. 900 35,100
Richfood Holdings Inc. (Class A) 2,600 67,600
++Rio Hotel & Casino, Inc. 1,500 22,594
++Risk Capital Holdings, Inc. 1,600 33,600
++Robert Mondavi (Class A) 900 42,525
Rochester Gas and Electric Corporation 1,600 33,700
Rock-Tenn Co. (Class A) 2,600 45,663
++Rohr, Inc. 1,600 35,100
Rollins, Inc. 1,900 38,237
Rollins Truck Leasing Corp. 3,800 56,525
Roosevelt Financial Group, Inc. 2,000 44,000
Roper Industries, Inc. 900 46,687
++RoTech Medical Corp. 1,700 34,106
++Ruby Tuesday, Inc. 1,500 33,656
++Rural/Metro Corp. 1,500 43,547
++Ryan's Family Steak House, Inc. 5,600 47,600
Rykoff-Sexton, Inc. 1,700 39,631
++S3 Inc. 3,000 33,000
S&T Bancorp Inc. 1,300 43,550
++SEACOR SMIT, Inc. 900 47,081
SEI Corporation 1,600 38,600
SEMCO Energy, Inc. 1,655 28,963
++SMART Modular Technologies, Inc. 1,500 50,625
++SPS Technologies, Inc. 500 35,375
SPX Corp. 600 38,887
++Sabre Group Holdings Inc. 1,600 43,400
++Safeguard Scientifics, Inc. 1,500 47,719
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
COMMON
STOCKS
(continued)
++Safeskin Corp. 1,200 $ 35,325
Safety-Kleen Corp. 3,100 52,312
++Samsonite Corp. 700 30,887
++SangStat Medical Corp. 1,100 25,437
++Sanmina Corp. 1,000 63,500
Saul Centers, Inc. 3,200 55,200
++Scholastic Corp. 1,000 35,000
Schulman (A.), Inc. 2,600 64,025
Schweitzer-Mauduit International, Inc. 1,700 63,750
++Scientific Games Holdings Corp. 1,100 22,687
++Scopus Technology, Inc. 1,400 31,325
Scotsman Industries, Inc. 1,500 42,750
++Scotts Co. (The) 1,800 52,200
Security Capital Corp. 700 66,150
Security Connecticut Corp. 900 49,556
Selective Insurance Group, Inc. 1,100 53,281
++Sepracor, Inc. 1,700 43,881
++Sequa Corporation (Class A) 700 39,462
++Sequent Computer Systems, Inc. 2,100 44,231
++Sequus Pharmaceuticals, Inc. 2,000 12,750
++Service Merchandise Company, Inc. 8,200 24,600
++Shoney's, Inc. 4,500 26,719
++Showbiz Pizza Time, Inc. 1,500 39,563
Showboat, Inc. 1,300 22,669
++Siebel Systems, Inc. 1,600 51,600
++Sierra Health Services, Inc. 1,200 37,500
Sierra Pacific Resources 2,000 64,000
Sigcorp, Inc. 2,300 58,363
Silgan Holdings, Inc. 1,300 50,375
++Silicon Valley Bancshares 800 36,200
++Silicon Valley Group, Inc. 1,700 44,837
++Sitel Corporation 2,600 53,625
Smith (A.O.) Corp. 1,200 42,675
Smith (Charles E) Residential Realty, Inc. 900 25,987
++Smith Food & Drug Centers, Inc. 900 48,262
++Smithfield Foods, Inc. 900 55,350
Smucker J.M. Company (The) (Class A) 2,200 47,850
Snyder Oil Corp. 3,300 60,638
++Sola International, Inc. 1,600 53,600
++Sonic Corp. 1,400 30,800
Sothebys Holdings, Inc. 3,700 62,438
Southdown, Inc. 1,200 52,350
Southwestern Energy Company 2,900 37,700
Sovereign Bancorp Inc. 3,400 51,850
++Spine-Tech, Inc. 800 29,700
++Sports Authority, Inc. (The) 2,500 48,594
St. John Knits, Inc. 1,100 59,400
St. Paul Bancorp Inc. 1,600 53,000
Standard Financial, Inc. 2,200 53,900
Standard Pacific Corp. 1,500 15,375
Stanhome, Inc. 900 29,587
++Steel Dynamics, Inc. 2,100 52,500
Stewart & Stevenson Services, Inc. 1,800 46,800
++Stillwater Mining Co. 1,200 25,725
Stone & Webster, Inc. 600 25,612
Storage Realty Trust Inc. 1,100 29,150
Storage USA, Inc. 1,700 65,025
++Stratus Computer, Inc. 1,300 65,000
Stride Rite Corp. (The) 2,900 37,337
++Structural Dynamics Research Corp. 2,000 52,500
Sturm, Ruger & Company, Inc. 1,700 33,363
Summit Properties, Inc. 1,600 33,000
++Summit Technology, Inc. 2,000 13,250
++Sun Healthcare Group, Inc. 2,300 47,869
Superior Industries International, Inc. 1,400 37,100
Susquenhanna Bancshares, Inc. 1,200 47,100
++Swift Energy Company 1,500 35,813
++Sylvan Learning Systems, Inc. 1,200 40,800
++Symantec Corp. 3,100 60,450
++Synetic, Inc. 1,000 37,000
++System Software Associates, Inc. 2,800 21,175
++Systems & Computer Technology Corp. 1,500 40,125
++TBC Corporation 2,200 18,425
TCA Cable TV, Inc. 1,400 52,675
++TECNOL Medical Products, Inc. 1,600 35,600
TETRA Tech, Inc. 1,200 28,950
TETRA Technologies, Inc. 1,000 24,750
TJ International, Inc. 1,500 35,250
TNP Enterprises, Inc. 1,500 34,781
TR Financial Corporation 1,400 35,262
++Technology Solutions Co. 1,100 43,450
Tejas Gas Corp. 1,000 39,250
Tel-Save Holdings 2,500 38,125
Telxon Corporation 1,400 25,200
Tennant Co. 1,100 36,575
Tesoro Petroleum Corporation 3,000 44,438
Texas Industries, Inc. 1,600 42,500
TheraTech, Inc. 1,300 15,275
Thomas Industries, Inc. 1,200 34,500
Thornburg Mortgage Asset Corp. 1,400 30,100
++Timberland Company (Class A) 600 39,000
++Toll Brothers, Inc. 700 12,862
++Tom Brown, Inc. 2,200 46,750
Toro Company (The) 1,100 41,662
++Total Renal Care Holdings, Inc. 1,400 56,252
++Toy Biz, Inc. 1,500 12,375
++Tracor, Inc. 1,600 40,200
Trans Financial, Inc. 1,300 36,238
++Trans World Airlines, Inc. 1,700 14,344
++Transition Systems, Inc. 2,200 40,012
Trenwick Group, Inc. 850 31,875
++Triangle Pacific 1,600 51,200
++Triarc Companies, Inc. (Class A) 2,700 55,012
++Trigon Healthcare, Inc. 2,300 55,775
++Trimble Navigation Ltd. 2,000 35,500
Trinet Corporate Realty Trust, Inc. 1,100 36,369
++TriQuint Semiconductor, Inc. 600 20,625
True North Communications, Inc. 2,000 49,500
++Trump Hotels & Casino Resorts, Inc. 2,700 29,025
Trust Company of New Jersey (The) 2,100 40,425
TrustCo Bank Corp. N.Y. 2,100 44,888
Trustmark Corporation 1,300 36,400
++Tuboscope Vetco International Corp. 3,000 59,625
UGI Corp. (New Shares) 1,700 37,613
UMB Financial Corp. 700 30,187
US Freightways Corp. 1,800 46,575
USBancorp, Inc. 600 32,700
++U.S. Bioscience Inc. 2,000 19,250
++U.S. Home Corporation 600 15,937
++U.S. Office Products Co. 2,100 64,181
U.S. Trust Corporation 1,000 47,125
++Ultratech Stepper, Inc. 1,300 29,737
Unifirst Corp. 1,700 34,000
++Uniphase Corp. 1,000 58,250
United Bankshares, Inc. 1,100 46,475
United Carolina Bancshares Corporation 1,400 72,800
United Companies Financial Corporation 1,600 45,200
United Illuminating Company (The) 1,600 49,400
++United International Holdings Inc. (Class A) 3,500 36,312
++Unitrode Corporation 1,000 50,375
Universal Foods Corporation 1,600 61,000
Urban Shopping Centers, Inc. 400 12,750
++VWR Scientific Products Corporation 1,700 26,775
++Vail Resorts, Inc. 1,800 45,562
Valmont Industries, Inc. 2,000 38,000
++Value Health, Inc. 2,500 50,625
++ValuJet, Inc. 2,800 19,337
++Vanguard Cellular Systems, Inc. (Class A) 2,600 35,425
++Vanstar Corporation 2,800 39,550
++Varco International, Inc. 1,100 35,475
++Veritas DGC Inc. 1,300 29,575
++Veritas Software Corp. 700 35,175
++Veritex Pharmaceuticals, Inc. 1,200 45,900
Vesta Insurance Group, Inc. 1,400 60,550
++Viasoft, Inc. 900 45,675
++Vical, Inc. 1,200 15,300
++Vicor Corporation 2,600 58,500
++Videoserver, Inc. 1,300 17,225
++Visio Corp. 800 56,400
++Vitalink Pharmacy Services, Inc. 1,500 28,688
++Vivus, Inc. 1,800 42,862
WD-40 Company 700 42,000
++WMS Industries, Inc. 1,300 32,581
WPL Holdings, Inc. 2,100 58,669
WPS Resources Corporation 2,000 53,500
++Waban, Inc. 1,800 57,937
Wabash National Corporation 1,700 47,387
Walden Residential Properties, Inc. 1,000 25,625
++Walter Industries, Inc. 2,900 48,575
++Wang Laboratories, Inc. 2,100 44,756
Washington Gas Light Company 2,400 60,300
Washington Real Estate Investment Trust 2,700 47,925
++Waters Corp. 1,800 64,575
Watsco, Inc. 1,100 27,500
Watts Industries Inc. (Class A) 1,600 38,400
Wausau Paper Mills Company 2,400 45,300
Webb (Del E.) Corporation 1,600 26,000
Weeks Corp. 1,100 34,375
Wellman, Inc. 2,300 39,962
Wesbanco, Inc. 1,000 39,625
West America Bancorp. 800 60,800
++West Marine, Inc. 1,000 25,750
Western Investment Real Estate Trust 7,200 99,900
++Western Wireless Corporation 4,200 66,675
++Westwood One, Inc. 2,700 87,075
Whitney Holding Corp. 1,300 54,925
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Merrill Lynch Small Cap Index Series (concluded)
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
COMMON
STOCKS
(concluded)
++Whole Foods Market, Inc. 1,300 $ 43,062
Wicor, Inc. 900 35,044
Wiley (John) & Sons, Inc. (Class A) 1,100 37,262
++Williams-Sonoma, Inc. 1,100 47,025
Wilmare Industries, Inc. 1,100 26,812
++Wind River Systems, Inc. 1,300 49,725
Windmere Corporation 1,700 27,837
++Winstar Communications, Inc. 2,100 28,087
++Wolverine Tube, Inc. 1,200 33,450
++World Color Press, Inc. 2,500 59,375
Wyle Electronics 900 35,550
++Wyman-Gordon Company 1,100 29,700
Wynn's International, Inc. 1,600 45,400
++Xircom, Inc. 1,500 18,656
Xtra Corporation 1,000 43,937
++Xylan Corp. 2,200 37,400
++Yahoo! Inc. 900 31,725
++Yellow Corporation 1,700 37,825
++Young Broadcasting Inc. (Class A) 1,100 35,750
++Zale Corporation 2,100 41,606
++Zebra Technologies Corporation (Class A) 1,400 39,025
++Zenith Electronics Corporation 1,900 22,444
Zila, Inc. 2,200 14,850
++Zilog, Inc. 1,600 30,400
Zurich Reinsurance Centre Holdings, Inc. 1,300 51,350
Zurn Industries, Inc. 1,100 31,625
Zygo Corp. 700 21,525
Total Common Stocks (Cost--$33,633,639)--92.6% 37,305,084
<CAPTION>
SHORT-TERM Face
OBLIGATIONS Amount Issue
<S> <C> <C>
US Government $ 3,194,000 Federal Home Loan Mortgage Corp., 6% due 7/01/1997 3,194,000
Agency Obligations*
Total Short-Term Obligations (Cost--$3,194,000)--7.9% 3,194,000
Total Investments (Cost--$36,827,639)--100.5% 40,499,084
Variation Margin on Stock Index Futures Contracts++++--0.0% 7,650
Liabilities in Excess of Other Assets--(0.5%) (210,799)
-----------
Net Assets--100.0% $40,295,935
===========
<FN>
*Certain US Government Agency Obligations are traded on a
discount basis; the interest rates shown are the discount
paid at the time of purchase by the Series.
++Non-income producing security.
++++Stock index futures contracts purchased as of June 30,
1997 were as follows:
<CAPTION>
Number of Expiration Value
Contracts Issue Date (Notes 1a & 1b)
<C> <S> <S> <C>
12 Russell 2000 September 1997 $2,393,400
6 S&P MidCap 400 September 1997 868,800
(Total Contract Price--$3,249,555) $3,262,200
==========
See Notes to Financial Statements.
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX SERIES As of June 30, 1997
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$36,827,639) (Note 1a) $ 40,499,084
Variation margin on stock index futures (Notes 1a & 1b) 7,650
Cash on deposit for stock index futures contracts (Note 1b) 70,800
Cash 1,400
Receivables:
Securities sold $ 5,546,648
Contributions 235,059
Dividends 38,897
Investment adviser (Note 2) 5,867 5,826,471
Deferred organization expenses (Note 1e) ------------ 8,376
------------
Total assets 46,413,781
------------
Liabilities: Payables:
Securities purchased 5,859,358
Withdrawals 241,682 6,101,040
------------
Accrued expenses and other liabilities 16,806
------------
Total liabilities 6,117,846
------------
Net Assets: Net assets $ 40,295,935
============
Net Assets Partners capital $ 36,611,845
Consist of: Unrealized appreciation on investments--net 3,684,090
------------
Net assets $ 40,295,935
============
See Notes to Financial Statements.
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30 1997
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX SERIES For the Period April 9, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Dividends $ 126,268
(Note 1d): Interest and discount earned 32,289
------------
Total income 158,557
------------
Expenses: Custodian fees $ 6,254
Investment advisory fees (Note 2) 6,005
Amortization of organization expenses (Note 1e) 5,652
Accounting services (Note 2) 3,259
Pricing fees 3,128
Professional fees 1,936
Trustees' fees and expenses 878
Other 957
------------
Total expenses before reimbursement 28,069
Reimbursement of expenses (Note 2) (11,872)
------------
Total expenses after reimbursement 16,197
------------
Investment income--net 142,360
------------
Realized & Realized gain from investments--net 901,465
Unrealized Gain on Unrealized appreciation on investments--net 3,684,090
Investments-- ------------
Net (Notes 1b, Net Increase in Net Assets Resulting from Operations $ 4,727,915
1d & 3): ============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH For the Period
SMALL CAP April 9, 1997++ to
INDEX SERIES Increase (Decrease) in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 142,360
Realized gain on investments--net 901,465
Unrealized appreciation on investments--net 3,684,090
------------
Net increase in net assets resulting from operations 4,727,915
------------
Capital Contributions 37,247,334
Transactions: Withdrawals (1,679,314)
------------
Net increase in net assets derived from capital transactions 35,568,020
------------
Net Assets: Total increase in net assets 40,295,935
------------
Beginning of period --
End of period* $ 40,295,935
============
<FN>
*Undistributed investment income--net $ 142,360
============
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
MERRILL LYNCH For the Period
SMALL CAP The following ratios have been derived from April 9, 1997++ to
INDEX SERIES information provided in the financial statements. June 30, 1997
<S> <S> <C>
Ratios to Average Expenses, net of reimbursement .22%*
Net Assets: ============
Expenses .37%*
============
Investment income--net 1.90%*
============
Supplemental Net assets, end of period (in thousands) $ 40,296
Data: ============
Portfolio turnover 26.02%
============
Average commission rate paid $ 0.0132
============
<FN>
*Annualized.
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch SmallCap Index Fund, June 30, 1997
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
SMALL CAP
INDEX SERIES
1. Significant Accounting Policies:
Merrill Lynch Small Cap Index Series (the "Series") is part of
Merrill Lynch Index Trust (the "Trust"). The Trust is registered
under the Investment Company Act of 1940 and is organized as a
Delaware business trust. 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 which are traded
on stock exchanges are valued at the last sale price as of the close
of business on the day the securities are being valued or, lacking
any sales, at the closing bid price. Securities traded in the over-
the-counter market are valued at the last quoted bid price at the
close of trading on the New York Stock Exchange on each day by
brokers that make markets in the securities. Securities traded in
the NASDAQ National Market System are valued at the last sale price
prior to the time of valuation. Portfolio securities which are
traded both on the over-the-counter 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
over-the-counter market, the last asked price. Options purchased are
valued at the last sale price in the case of exchange-traded options
or, in the case of options traded in the over-the-counter market,
the last bid price. Other investments, including futures contracts
and related options, are stated at market value. Short-term
securities are valued at amortized cost, which approximates market
value. Securities and assets for which market quotations are not
readily available are valued at fair market value, as determined in
good faith by or under the direction of the Trust's Board of
Trustees.
(b) Derivative financial instruments--The Series may engage in
various portfolio investment techniques to provide liquidity, or in
connection with the Series' arbitrage strategies. Losses may arise
due to changes in the value of the contract or if the counterparty
does not perform under the contract.
* Financial futures contracts--The Series may purchase or sell stock
index futures contracts and options on such futures contracts as a
proxy for a direct investment in securities underlying the Series'
index. Upon entering into a contract, the Series deposits and
maintains as collateral such initial margin as required by the
exchange on which the transaction is effected. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin
and are recorded by the Series as unrealized gains or losses. When
the contract is closed, the Series records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
* 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 a partnership for Federal income tax
purposes, the Series will not incur Federal income tax liability.
Items of partnership income, gain, loss and deduction will pass
through to investors as partners in the Series. Therefore, no
Federal income tax provision is required.
(d) Security transactions and investment income--Security trans-
actions are accounted for on the date the securities are purchased
or sold (the trade dates). Dividend income is recorded on the ex-
dividend dates. Interest income (including amortization of discount)
is recognized on the accrual basis. Realized gains and losses on
security transactions are determined on the identified cost basis.
(e) Deferred organization expenses--Deferred organization expenses
are charged to expense on a straight-line basis over a five-year
period.
2. Investment Advisory Agreement and Transactions
with Affiliates:
The Series has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general partner
of MLAM is Princeton Services, Inc. ("PSI"), an indirect wholly-
owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is
the limited partner.
MLAM 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 0.08%
of the average daily value of the Series' net assets. For the period
April 9, 1997 to June 30, 1997, MLAM earned fees of $6,005, all of
which were voluntarily waived. MLAM also reimbursed the Series for
additional expenses of $5,867.
Accounting services are provided to the Series by MLAM at cost.
Certain officers and/or trustees of the Series are officers and/or
directors of MLAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the period April 9, 1997 to June 30, 1997 were $39,425,645 and
$6,553,341, respectively.
Net realized and unrealized gains as of June 30, 1997 were as
follows:
Realized Unrealized
Gains Gains
Long-term investments $ 759,135 $ 3,671,445
Stock index futures contracts 142,330 12,645
------------ ------------
Total $ 901,465 $ 3,684,090
============ ============
As of June 30, 1997, net unrealized appreciation for Federal income
tax purposes aggregated $3,671,445, of which $4,113,563 related to
appreciated securities and $442,118 related to depreciated
securities. At June 30, 1997, the aggregate cost of investments for
Federal income tax purposes was $36,827,639.
MERRILL LYNCH
S&P 500
INDEX FUND
Merrill Lynch
Index Funds, Inc.
FUND LOGO
Semi-Annual Report
June 30, 1997
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
Statements and other information herein are as dated and are subject
to change.
Merrill Lynch
Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011 Index 4--6/97
Printed on post-consumer recycled paper
Merrill Lynch S&P 500 Index Fund
Officers and
Directors
Terry K. Glenn, President and Director
Jack B. Sunderland, Director
Stephen B. Swensrud, Director
J. Thomas Touchton, Director
Norman R. Harvey, Senior Vice President
Joseph T. Monagle Jr., Senior Vice President
Jay C. Harbeck, Vice President
Gregory Mark Maunz, Vice President
Eric S. Mitofsky, Vice President and Portfolio Manager
Gerald M. Richard, Treasurer
Ira P. Shapiro, Secretary
Custodian
Merrill Lynch Trust Company
800 Scudders Mill Road
Plainsboro, NJ 08536
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
Merrill Lynch S&P 500 Index Fund, June 30, 1997
DEAR SHAREHOLDER
We are pleased to provide you with this first semi-annual report for
Merrill Lynch S&P 500 Index Fund. The Fund commenced operations on
April 3, 1997 with an initial inflow of approximately $53.8 million
and a net asset value per share of $10.00.
At the time of the Fund's inception, the US equity market was in the
midst of a nearly 10% correction, following the preemptive increase
in short-term interest rates by the Federal Open Market Committee on
March 25, 1997. The stock market's decline began soon after the
commencement of the Fund, culminating in a 20.69 point drop in the
Standard & Poor's 500 Index (S&P 500) on April 11. This was the S&P
500's third-largest decline in history, closing at 737.65, 9.63% off
the high established in mid-February. This became the launching
point for a powerful second-quarter rebound for the S&P 500,
propelled by continued prospects for subdued inflation and a
rallying bond market. For the month of May, the unmanaged S&P 500
produced a total return of +6.01%, exactly matching its return for
the month of April. In June, the market continued to show strong
momentum with a total return of +4.49%. This brought the S&P 500's
total return for the second quarter to +17.43%. Having ended 1996 at
740.74, the S&P 500 completed the first half of 1997 with a gain of
144 points, up 19.49%, to close at 885.14 on June 30.
The Fund invests all of its assets in Merrill Lynch S&P 500 Index
Series (the Series) of the Merrill Lynch Index Trust, which has
the same investment objective as the Fund. The value of the Fund's
investment in the Series reflects the Fund's proportionate interest
in the net assets of the Series. There are two principal investments
made by the Series in its attempt to replicate the returns of the
S&P 500. First, the Series holds a fully replicating portfolio of
all 500 stocks which comprise the S&P 500, with share quantities
designed to closely approximate each company's actual weight in the
S&P 500. In addition, the Series holds a long position of S&P 500
futures contracts, used primarily as a means of equitizing daily
cash inflows. These futures contracts also provide an extremely
efficient mechanism for keeping a pool of liquid assets available to
meet potential redemption activity. As of the end of June, the
Series' equity portfolio was valued at $252.0 million, and the
Series held a long position of 98 S&P 500 September 1997 futures
contracts with an underlying value of $43.6 million.
Several new equity positions were added to the Series by the end of
June, in response to changes to the S&P 500 made by Standard & Poor's
Corp. Such changes generally reflect merger or acquisition activity
involving one or more constituents of the S&P 500. Portfolio
additions were: Adobe Systems, Inc. on May 5; Cardinal Health, Inc.
on May 23; Charles Schwab, Inc. on May 30; Countrywide Credit
Industries Inc. on June 17; and Equifax Inc. on June 18.
The Fund's net assets grew rapidly from its inception through the
end of the second quarter, and by June 30, 1997 stood at $295.3
million. Since inception through June 30, 1997, Merrill Lynch
S&P 500 Index Fund's Class A Shares and Class D Shares both had total
returns of +18.40% based on a change in per share net asset value
from $10.00 to $11.84. (For complete performance information, see
page 3 of this report to shareholders.)
In Conclusion
We appreciate your investment in Merrill Lynch S&P 500 Index Fund,
and we look forward to sharing our investment outlook with you in
the months and years ahead.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President
(Eric S. Mitofsky)
Eric S. Mitofsky
Vice President and Portfolio Manager
July 30, 1997
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund through the
Merrill Lynch Select Pricing SM System, which offers two pricing
alternatives:
* Class A Shares do not incur a maximum initial sales charge (front-
end load) or deferred sales charge and bear no ongoing distribution
or account maintenance fees. Class A Shares are available only to
eligible investors.
* Class D Shares do not incur a maximum initial sales charge or
deferred sales charge and bear no ongoing distribution fee. In
addition, Class D Shares are subject to an ongoing account
maintenance fee of 0.25%.
None of the past results shown should be considered a representation
of future performance. Figures shown in the "Aggregate Total Return"
tables assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date. Investment
return and principal value of shares will fluctuate so that shares,
when redeemed, may be worth more or less than their original cost.
Dividends paid to each class of shares will vary because of the
different levels of account maintenance, distribution and transfer
agency fees applicable to each class, which are deducted from the
income available to be paid to shareholders.
<TABLE>
Recent
Performance
Results
<CAPTION>
Since Inception++
6/30/97 4/03/97++ % Change
<S> <C> <C> <C>
ML S&P 500 Index Fund Class A Shares $11.84 $10.00 +18.40%
ML S&P 500 Index Fund Class D Shares 11.84 10.00 +18.40
ML S&P 500 Index Fund Class A Shares--Total Return +18.40
ML S&P 500 Index Fund Class D Shares--Total Return +18.40
<FN>
++The Fund commenced operations on April 3, 1997.
</TABLE>
Aggregate
Total Return
Class A Shares % Return
Inception (4/03/97)
through 6/30/97 +18.40%
Class D Shares % Return
Inception (4/03/97)
through 6/30/97 +18.40%
Merrill Lynch S&P 500 Index Fund, June 30, 1997
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
S&P 500
INDEX FUND As of June 30, 1997
<S> <S> <C> <C>
Assets: Investment in Merrill Lynch S&P 500 Index Series, at value
(identified cost--$269,750,796) (Note 1a) $295,268,960
Deferred organization expenses (Note 1d) 20,327
Prepaid expenses and other assets (Note 1d) 103,916
------------
Total assets 295,393,203
------------
Liabilities: Payables:
Administrative fees (Note 2) $ 43,760
Distributor (Note 2) 11,785 55,545
------------
Accrued expenses and other liabilities 24,456
------------
Total liabilities 80,001
------------
Net Assets: Net assets $295,313,202
============
Net Assets Class A Shares of Common Stock, $0.0001 par value,
Consist of: 125,000,000 shares authorized $ 1,998
Class D Shares of Common Stock, $0.0001 par value,
125,000,000 shares authorized 496
Paid-in capital in excess of par 266,526,186
Undistributed investment income--net 900,542
Undistributed realized capital gains on investments
from the Series--net 2,365,816
Unrealized appreciation on investments from the Series--net 25,518,164
------------
Net assets $295,313,202
============
Net Asset Class A--Based on net assets of $236,616,323 and 19,984,351
Value: shares outstanding $ 11.84
============
Class D--Based on net assets of $58,696,879 and 4,959,256
shares outstanding $ 11.84
============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
S&P 500
INDEX FUND For the Period April 3, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Investment income allocated from the Series $ 1,118,682
(Note 1b): Expenses allocated from the Series (43,205)
------------
Net investment income from the Series 1,075,477
------------
Expenses: Administration fee (Note 2) $ 94,046
Registration fees (Note 1d) 52,110
Account maintenance fee--Class D (Note 2) 30,273
Transfer agent fee--Class A (Note 2) 17,670
Printing and shareholder reports 16,917
Transfer agent fee--Class D (Note 2) 6,786
Professional fees 2,233
Accounting services (Note 2) 1,302
Amortization of organization expenses (Note 1d) 890
Trustees' fees and expenses 186
Other 502
------------
Total expenses before reimbursement 222,915
Reimbursement of expenses (Note 2) (47,980)
------------
Total expenses after reimbursement 174,935
------------
Investment income--net 900,542
------------
Realized & Realized gain on investments from the Series--net 2,365,816
Unrealized Unrealized appreciation on investments from the Series--net 25,518,164
Gain from the ------------
Series--Net: Net Increase in Net Assets Resulting from Operations $ 28,784,522
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH For the Period
S&P 500 April 3, 1997++ to
INDEX FUND Increase (Decrease) in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 900,542
Realized gain on investments from the Series--net 2,365,816
Unrealized appreciation on investments from the Series--net 25,518,164
------------
Net increase in net assets resulting from operations 28,784,522
------------
Capital Share Net increase in net assets derived from capital share transactions 266,503,680
Transactions ------------
(Note 4):
Net Assets: Total increase in net assets 295,288,202
Beginning of period 25,000
------------
End of period* $295,313,202
============
<FN>
*Undistributed investment income--net $ 900,542
============
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch S&P 500 Index Fund, June 30, 1997
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
MERRILL LYNCH The following per share data and ratios have been derived For the Period
S&P 500 from information provided in the financial statements. April 3, 1997++ to
INDEX FUND June 30, 1997
Increase in Net Asset Value: Class A Class D
<S> <S> <C> <C>
Per Share Net asset value, beginning of period $ 10.00 $ 10.00
Operating -------- --------
Performance: Investment income--net .03 .04
Realized and unrealized gain on investments from the Series--net 1.81 1.80
-------- --------
Total from investment operations 1.84 1.84
-------- --------
Net asset value, end of period $ 11.84 $ 11.84
======== ========
Total Investment Based on net asset value per share 18.40%+++ 18.40%+++
Return: ======== ========
Ratios to Average Expenses, net of reimbursement++++ .41%* .62%*
Net Assets: ======== ========
Expenses++++ .54%* .84%*
======== ========
Investment income--net 1.96%* 1.80%*
======== ========
Supplemental Data: Net assets, end of period (in thousands) $236,616 $ 58,697
======== ========
<FN>
*Annualized.
++Commencement of Operations.
+++Aggregate total investment return.
++++Includes the Fund's share of the Series' allocated expenses.
See Notes to Financial Statements.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
S&P 500
INDEX FUND
1. Significant Accounting Policies:
Merrill Lynch S&P 500 Index Fund (the "Fund") is part of Merrill
Lynch Index Funds, Inc. The Fund is registered under the Investment
Company Act of 1940 as a non-diversified mutual fund. The Fund seeks
to achieve its investment objective by investing all of its assets
in the Merrill Lynch S&P 500 Index Series (the "Series") of the
Merrill Lynch Index Trust, which has the same investment objective
as the Fund. The value of the Fund's investment in the Series
reflects the Fund's proportionate interest in the net assets of the
Series. The performance of the Fund is directly affected by the
performance of the Series. The financial statements of the Series,
including the Schedule of Investments, are included elsewhere in
this report and should be read in conjunction with the Fund's
financial statements. 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 Fund
offers two classes of shares, Class A Shares and Class D Shares.
Shares of Class A and Class D are sold without the imposition of a
front-end or deferred sales charge. Both classes of shares have
identical voting, dividend, liquidation and other rights and the
same terms and conditions, except that Class D Shares bear certain
expenses related to the account maintenance of such shares. The
following is a summary of significant accounting policies followed
by the Fund.
(a) Valuation of investments--Valuation of securities is discussed
in Note 1a of the Series' Notes to Financial Statements which is
included elsewhere in this report.
(b) Income--The Fund's net investment income consists of the Fund's
pro rata share of the net investment income of the Series, less all
actual and accrued expenses of the Fund determined in accordance
with generally accepted accounting principles.
(c) Income taxes--It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income to
shareholders. Therefore, no Federal income tax provision is
required.
(d) Prepaid registration fees and deferred organization expenses--
Prepaid registration fees are charged to expense as the related
shares are issued. Deferred organization expenses are charged to
expense on a straight-line basis over a five-year period.
(e) Dividends and distributions--Dividends and distributions paid by
the Fund are recorded on the ex-dividend dates.
(f) Investment transactions--Investment transactions are accounted
for on a trade date basis.
2. Transactions with Affiliates:
The Fund has entered into a Distribution Agreement and Distribution
Plans with Merrill Lynch Funds Distributor, Inc. ("MLFD" or
"Distributor"), a wholly-owned subsidiary of Merrill Lynch Group,
Inc. Pursuant to a distribution plan (the "Distribution Plan")
adopted by the Fund in accordance with Rule 12b-1 under the
Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance fees. The fees are accrued daily and
paid monthly at the annual rate of 0.25% based upon the average
daily net assets of Class D Shares.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of Merrill
Lynch & Co., Inc. ("ML & Co."), also provides account maintenance
services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account
maintenance services to Class D shareholders.
The Fund has also entered into an Administrative Services Agreement
with Merrill Lynch Asset Management, L.P. ("MLAM"). The general
partner of MLAM is Princeton Services, Inc. ("PSI"), a wholly-owned
subsidiary of ML & Co., which is the limited partner. The Fund pays
a monthly fee at an annual rate of 0.20% of the Fund's average daily
net assets for the performance of administrative services (other
than investment advice and related portfolio activities) necessary
for the operation of the Fund. For the period April 3, 1997 to June
30, 1997, MLAM earned fees of $94,046, of which $47,980 was
voluntarily waived.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), an indirect
wholly-owned subsidiary of ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLFD, MLFDS, and/or ML & Co.
3. Investments:
Increases and decreases in the Fund's investments in the Series for
the period April 3, 1997 to June 30, 1997 were $269,837,220 and
$3,527,617, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions
was $266,503,680 for the period April 3, 1997 to June 30, 1997.
Transactions in capital shares for each class were as follows:
Class A Shares for the Period Dollar
April 3, 1997++ to June 30, 1997 Shares Amount
Shares sold 21,109,885 $228,482,132
Shares redeemed (1,126,784) (12,412,085)
---------- ------------
Net increase 19,983,101 $216,070,047
========== ============
[FN]
++Prior to April 3, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Class D Shares for the Period Dollar
April 3, 1997++ to June 30, 1997 Shares Amount
Shares sold 5,945,928 $ 61,314,139
Shares redeemed (987,922) (10,880,506)
---------- ------------
Net increase 4,958,006 $ 50,433,633
========== ============
[FN]
++Prior to April 3, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
Merrill Lynch S&P 500 Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
Merrill Lynch S&P 500 Index Series
Shares Value
Issue Held (Note 1a)
Common
Stocks
<S> <C> <C>
ALLTEL Corporation 6,926 $ 231,588
AMP Inc. 8,124 339,177
++AMR Corp. 3,366 311,355
ASARCO, Inc. 1,584 48,510
AT&T Corp. 60,315 2,114,795
Abbott Laboratories 28,743 1,918,595
Adobe Systems, Inc. 2,617 91,759
++Advanced Micro Devices, Inc. 5,208 187,488
Aeroquip-Vickers Inc. 1,036 48,951
Aetna Inc. 5,584 571,662
Ahmanson (H.F) & Co. 3,734 160,562
Air Products & Chemicals Inc. 4,072 330,850
++Airtouch Communications, Inc. 18,676 511,256
Alberto-Culver Co. (Class B) 2,068 57,904
Albertsons, Inc. 9,287 338,976
Alcan Aluminium, Ltd. 8,427 292,312
Allegheny Teledyne, Inc. 6,530 176,310
Allergan, Inc. 2,422 77,050
AlliedSignal, Inc. 10,463 878,892
Allstate Corporation 16,368 1,194,864
Aluminum Co. of America 6,416 483,606
++Alza Corp. 3,129 90,741
++Amdahl Corp. 4,554 39,848
Amerada Hess Corp. 3,446 191,468
American Electric Power Co., Inc. 7,005 294,210
American Express Co. 17,532 1,306,134
American General Corp. 8,933 426,547
American Greetings Corp. (Class A) 2,770 102,836
American Home Products Corp. 23,897 1,828,121
American International Group, Inc. 17,431 2,603,756
American Stores Co. 5,394 266,329
Ameritech Corporation 20,383 1,384,770
Amgen, Inc. 9,785 568,753
Amoco Corp. 18,344 1,594,782
++Andrew Corp. 3,363 94,584
Anheuser-Busch Companies Inc. 18,418 772,405
Aon Corporation 6,178 319,712
++Apple Computer, Inc. 4,691 66,847
++Applied Materials, Inc. 6,694 474,019
Archer-Daniels-Midland Co. 19,802 465,347
++Armco, Inc. 3,945 15,287
Armstrong World Industries, Inc. 1,527 112,044
Ashland Oil, Inc. 2,748 127,439
Atlantic Richfield Co. 11,921 840,431
Autodesk, Inc. 1,766 67,660
Automatic Data Processing, Inc. 10,870 510,890
++AutoZone, Inc. 5,564 131,102
Avery Dennison Corp. 3,857 154,762
Avon Products, Inc. 4,915 346,815
Baker Hughes, Inc. 5,380 208,139
Ball Corp. 1,130 33,971
Baltimore Gas & Electric Co. 5,459 145,687
Banc One Corp. 21,572 1,044,894
Bank of New York Co. Inc. (The) 14,369 625,052
BankAmerica Corp. 26,326 1,699,672
BankBoston Corp. 5,452 392,885
Bankers Trust NY Corp. 2,881 250,647
Bard (C.R.), Inc. 2,109 76,583
Barnett Banks, Inc. 7,380 387,450
Barrick Gold Corporation 13,837 304,414
Battle Mountain Gold Co. 8,527 48,497
Bausch & Lomb, Inc. 2,053 96,748
Baxter International, Inc. 10,318 539,116
++Bay Networks, Inc. 7,382 196,084
Becton, Dickinson & Co. 4,549 230,293
Bell Atlantic Corp. 16,251 1,233,045
BellSouth Corp. 36,845 1,708,687
Bemis Co., Inc. 1,938 83,819
Beneficial Corp. 1,998 141,983
++Bethlehem Steel Corp. 4,131 43,117
++Beverly Enterprises, Inc. 3,674 59,703
Biomet, Inc. 4,130 76,921
Black & Decker Corporation 3,487 129,673
Block (H&R), Inc. 3,848 124,098
Boeing Co. 26,757 1,419,793
Boise Cascade Corp. 1,793 63,315
++Boston Scientific Corporation 7,187 441,551
Briggs & Stratton Corp. 937 46,850
Bristol-Myers Squibb Co. 37,117 3,006,477
Brown-Forman Corp. (Class B) 2,552 124,570
Browning Ferris Industries, Inc. 7,882 262,077
Brunswick Corp. 3,642 113,813
Burlington Northern Santa Fe Corp. 5,721 514,175
Burlington Resources, Inc. 4,621 203,902
CIGNA Corp. 2,780 493,450
CINergy Corporation 5,834 203,096
CPC International, Inc. 5,319 491,010
CSX Corp. 8,080 448,440
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
Merrill Lynch S&P 500 Index Series
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
++CUC International, Inc. 15,163 $ 391,395
CVS Corporation 6,160 315,700
++Cabletron Systems, Inc. 5,764 163,193
Caliber System, Inc. 1,449 53,975
Campbell Soup Co. 17,290 864,500
Cardinal Health Inc. 4,027 230,546
Carolina Power & Light Co. 5,602 200,972
Case Corp. 2,715 186,996
Caterpillar Inc. 7,012 752,914
Centex Corporation 1,069 43,428
Central & Southwest Corp. 7,879 167,429
++Ceridian Corp. 2,972 125,567
Champion International Corp. 3,535 195,309
Charles Schwab Corporation 6,474 263,411
++Charming Shoppes, Inc. 3,899 20,348
Chase Manhattan Corp. 16,004 1,553,388
Chevron Corp. 24,258 1,793,576
Chrysler Corp. 25,537 837,933
Chubb Corp. 6,491 434,086
Cincinnati Milacron, Inc. 1,475 38,258
Circuit City Stores, Inc. 3,626 128,950
++Cisco Systems, Inc. 24,636 1,653,692
Citicorp 17,196 2,073,193
Clorox Co. 1,914 252,648
Coastal Corp. 3,893 207,059
Coca-Cola Co. 92,062 6,214,185
Cognizant Corporation 6,216 251,748
Colgate-Palmolive Co. 10,958 715,010
Columbia Gas System, Inc. 2,043 133,306
Columbia/HCA Healthcare Corp. 24,838 976,444
Comcast Corp. (Class A) 12,075 258,103
Comerica Inc. 3,921 266,628
++Compaq Computer Corp. 10,190 1,011,358
Computer Associates
International, Inc. 13,436 748,217
++Computer Sciences Corp. 2,830 204,114
ConAgra, Inc. 8,884 569,687
Conseco Inc. 6,800 251,600
Consolidated Edison Co. of
N.Y., Inc. 8,693 255,900
Consolidated Natural Gas Co. 3,509 188,828
Cooper Industries Inc. 4,373 217,557
Cooper Tire & Rubber Co. 2,932 64,504
Coors (Adolph) Co. (Class B) 1,402 37,328
CoreState Financial Corp. 7,668 412,155
Corning, Inc. 8,517 473,758
++Costco Companies, Inc. 7,838 257,674
Countrywide Credit Industries, Inc. 3,860 120,384
Crane Co. 1,699 71,039
Crown Cork & Seal Co., Inc. 4,746 253,614
Cummins Engine Co., Inc. 1,461 103,092
Cyprus Amax Minerals Co. 3,451 84,550
++DSC Communications Corp. 4,338 96,521
DTE Energy Company 5,369 148,319
Dana Corp. 3,829 145,502
Darden Restaurants, Inc. 5,679 51,466
++Data General Corp. 1,478 38,428
Dayton Hudson Corp. 8,025 426,830
Deere & Co. 9,470 519,666
++Dell Computer Corp. 6,217 730,109
Delta Airlines, Inc. 2,705 221,810
Deluxe Corp. 3,048 104,013
++Digital Equipment Corporation 5,673 201,037
Dillard's, Inc. (Class A) 4,202 145,494
Dominion Resources, Inc. 6,847 250,771
Donnelley (R.R.) & Sons Co. 5,433 198,984
Dover Corp. 4,161 255,902
Dow Chemical Corp. 8,661 754,590
Dow Jones & Co., Inc. 3,574 143,630
Dresser Industries, Inc. 6,504 242,274
Duke Energy Corp. 13,341 639,525
Dun & Bradstreet Corp. 6,350 166,688
duPont (E.I.) de Nemours & Co. 41,909 2,635,028
EG&G, Inc. 1,752 39,420
++EMC Corp. 9,093 354,627
ENSEARCH Corp. 2,577 57,338
Eastern Enterprises 750 26,016
Eastman Chemical Company 2,873 182,436
Eastman Kodak Co. 12,214 937,425
Eaton Corp. 2,852 249,015
Echlin, Inc. 2,307 83,052
Echo Bay Mines, Inc. 5,157 29,653
Ecolab Inc. 2,387 113,979
Edison International 15,225 378,722
Emerson Electric Co. 16,538 910,624
Engelhard Corp. 5,323 111,450
Enron Corp. 9,471 386,535
Entergy Corp. 8,823 241,530
</TABLE>
Merrill Lynch S&P 500 Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch S&P 500 Index Series (continued)
Shares Value
Issue Held (Note 1a)
Common
Stocks
(continued)
<S> <C> <C>
Equifax, Inc. 5,590 $ 207,878
Exxon Corp.++++ 92,175 5,668,763
++FMC Corp. 1,375 109,227
FPL Group, Inc. 6,771 311,889
++Federal Express Corp. 4,221 243,763
Federal Home Loan Mortgage
Corporation 25,800 886,875
Federal National Mortgage Association 39,386 1,718,214
++Federated Department Stores, Inc. 7,694 267,367
Fifth Third Bancorp 3,917 321,439
First Bank System, Inc. 4,975 424,741
First Chicago NBD Corp. 11,596 701,558
First Data Corporation 16,656 731,823
First Union Corp. 10,624 982,720
Fleet Financial Group 9,705 613,841
Fleetwood Enterprises, Inc. 1,316 39,233
Fleming Companies, Inc. 1,398 25,164
Fluor Corp. 3,104 171,302
Ford Motor Co. 44,164 1,667,191
Fortune Brands, Inc. 6,382 238,128
Foster Wheeler Corp. 1,504 60,912
Freeport-McMoRan Copper (Class B) 7,443 231,663
Frontier Corp. 6,055 120,722
++Fruit of the Loom, Inc. 2,844 88,164
GPU Inc. 4,460 160,003
GTE Corp. 35,449 1,555,325
Gannett Co., Inc. 5,215 514,981
Gap, Inc. 10,160 394,970
General Dynamics Corp. 2,333 174,975
General Electric Co. 121,774 7,960,975
++General Instrument Corp. 5,066 126,650
General Mills, Inc. 5,974 389,057
General Motors Corp. 27,066 1,507,238
General Re Corp. 3,048 554,736
General Signal Corp. 1,845 80,488
Genuine Parts Co. 6,681 226,319
Georgia-Pacific Corp. 3,380 288,567
Giant Food Inc. (Class A) 2,214 72,232
Giddings & Lewis, Inc. 1,224 25,551
Gillette Co. 20,682 1,959,619
Golden West Financial Corp. 2,121 148,470
Goodrich (B.F.) Co. 1,987 86,062
Goodyear Tire & Rubber Co. 5,749 363,984
Grace (W.R.) & Co. 2,685 148,011
Grainger (W.W.), Inc. 1,964 153,560
Great Atlantic & Pacific Tea Co., Inc. 1,413 38,416
Great Lakes Chemical Corp. 2,221 116,325
Great Western Financial Corp. 5,094 273,802
Green Tree Financial Corporation 5,084 181,117
Guidant Corp. 2,743 233,155
++HEALTHSOUTH Corporation 12,691 316,482
++HFS Inc. 5,826 337,908
Halliburton Co. 4,695 372,079
Harcourt General, Inc. 2,629 125,206
Harland (John H.) Co., Inc. 1,141 26,029
Harnischfeger Industries, Inc. 1,818 75,447
++Harrah's Entertainment, Inc. 3,807 69,478
Harris Corp. 1,442 121,128
Hartford Financial
Services Group Inc. 4,345 359,549
Hasbro, Inc. 4,785 135,774
Heinz (H.J.) Co. 13,624 628,407
Helmerich & Payne, Inc. 922 53,130
Hercules Inc. 3,728 178,478
Hershey Foods Corp. 5,682 314,286
Hewlett-Packard Co. 37,723 2,112,488
Hilton Hotels Corp. 9,260 245,969
Home Depot, Inc. 18,029 1,242,874
Homestake Mining Corp. 5,427 70,890
Honeywell, Inc. 4,690 355,854
Household International, Inc. 3,936 462,234
Houston Industries, Inc. 8,673 185,927
++Humana, Inc. 6,016 139,120
++ITT Corp. 4,305 262,874
ITT Industries, Inc. 4,372 112,579
Ikon Office Solutions Inc. 4,919 122,668
Illinois Tool Works, Inc. 9,251 461,972
Inco Ltd. 6,225 187,139
Ingersoll-Rand Co. 4,050 250,087
Inland Steel Industries, Inc. 1,811 47,312
Intel Corp. 30,362 4,305,711
++Intergraph Corp. 1,761 14,968
International Business
Machines Corp. 36,868 3,325,033
International Flavors &
Fragrances, Inc. 4,080 206,040
International Paper Co. 11,168 542,346
Interpublic Group of
Companies, Inc. 2,999 183,876
James River Corp. 3,184 117,808
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch S&P 500 Index Series (continued)
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
Jefferson Pilot Corp. 2,617 $ 182,863
Johnson & Johnson 49,443 3,182,893
Johnson Controls, Inc. 3,079 126,431
Jostens, Inc. 1,431 38,279
Kaufman & Broad Home Corp. 1,438 25,255
Kellogg Co. 7,713 660,426
Kerr-McGee Corp. 1,794 113,695
KeyCorp. 8,339 465,942
Kimberly-Clark Corp. 20,775 1,033,556
King World Productions, Inc. 1,383 48,405
++Kmart Corp. 18,004 220,549
Knight-Ridder, Inc. 3,382 165,929
++Kroger Co. 9,429 273,441
++LSI Logic Corp. 5,254 168,128
Laidlaw, Inc. (Class B) 11,618 160,474
Lilly (Eli) & Co. 20,617 2,253,696
Limited, Inc. (The) 10,029 203,087
Lincoln National Corp. 3,859 248,423
Liz Claiborne, Inc. 2,643 123,230
Lockheed Martin Corp. 7,130 738,401
Loews Corporation 4,256 426,132
Longs Drug Stores Corp. 1,442 37,762
Louisiana Land & Exploration Co. 1,265 72,263
Louisiana-Pacific Corp. 4,023 84,986
Lowe's Companies, Inc. 6,402 237,674
Lucent Technologies, Inc. 23,755 1,711,845
MBIA Inc. 1,599 180,387
MBNA Corp. 12,363 452,795
MCI Communications Corp. 25,505 976,363
MGIC Investment Corp. 4,362 209,103
Mallinckrodt, Inc. 2,736 103,968
Manor Care, Inc. 2,323 75,788
Marriott International, Inc. 4,736 290,672
Marsh & McLennan Companies, Inc. 6,154 439,242
Masco Corp. 5,987 249,957
Mattel, Inc. 10,822 366,595
May Department Stores Co. 8,798 415,705
Maytag Corp. 3,624 94,677
McDermott International, Inc. 2,031 59,280
McDonald's Corp. 25,608 1,237,186
McDonnell Douglas Corp. 7,794 533,889
McGraw-Hill Companies, Inc. 3,680 216,430
Mead Corp. 1,933 120,329
Medtronic, Inc. 8,881 719,361
Mellon Bank Corp. 9,576 432,117
Mercantile Stores Co., Inc. 1,362 85,721
Merck & Co., Inc. 44,810 4,637,835
Meredith Corp. 1,979 57,391
Merrill Lynch & Co., Inc. 12,297 733,209
Micron Technology Inc. 7,753 309,635
++Microsoft Corporation++++ 44,516 5,625,709
Millipore Corp. 1,601 70,444
Minnesota Mining &
Manufacturing Co. 15,465 1,577,430
Mobil Corp. 29,152 2,036,996
Monsanto Co. 21,961 945,696
Moore Corp. Ltd. 3,252 64,024
Morgan (J.P.) & Co., Inc. 6,852 715,177
Morgan Stanley Group, Inc. 21,272 916,051
Morton International Inc. 5,198 156,915
Motorola, Inc. 22,060 1,676,560
NACCO Industries, Inc. (Class A) 303 17,101
NYNEX Corp. 16,344 941,823
Nalco Chemical Co. 2,492 96,253
National City Corporation 8,189 429,922
++National Semiconductor Corp. 5,247 160,689
National Service Industries, Inc. 1,678 81,698
NationsBank Corp. 27,099 1,747,885
++Navistar International Corp. 2,715 46,834
New York Times Co. (Class A) 3,579 177,160
Newell Co. 5,877 232,876
Newmont Mining Corp. 5,771 225,069
++Niagara Mohawk Power Corp. 5,341 45,732
Nicor, Inc. 1,842 66,082
Nike, Inc. (Class B) 10,669 622,803
NorAm Energy Corp. 5,132 78,263
Nordstrom, Inc. 2,968 145,617
Norfolk Southern Corp. 4,627 466,170
Northern States Power Co. 2,555 132,221
Northern Telecom, Ltd. 9,652 878,332
Northrop Grumman Corp. 2,134 187,392
Norwest Corp. 13,870 780,187
++Novell, Inc. 12,877 89,334
Nucor Corp. 3,244 183,286
ONEOK Inc. 1,009 32,477
Occidental Petroleum Corp. 12,243 306,840
Ohio Edison Co. 5,645 123,132
++Oracle Corp. 24,256 1,221,896
++Oryx Energy Co. 3,878 81,923
Owens-Corning Fiberglass Corp. 1,977 85,258
</TABLE>
Merrill Lynch S&P 500 Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Merrill Lynch S&P 500 Index Series (continued)
Shares Value
Issue Held (Note 1a)
Common
Stocks
(concluded)
<S> <C> <C>
PACAAR, Inc. 2,876 $ 133,554
PECO Energy Company 8,234 172,914
PG&E Corporation 15,177 368,042
PNC Bank Corporation 11,943 497,127
PP&L Resources, Inc. 6,095 121,519
PPG Industries, Inc. 6,692 388,972
Pacific Enterprises, Inc. 3,093 104,002
PacifiCorp 10,975 241,450
Pall Corp. 4,654 108,205
++Parametric Technology Company 4,716 200,725
Parker-Hannifin Corp. 2,752 167,012
Penney (J.C.) Co., Inc. 9,138 476,889
Pennzoil Co. 1,722 132,163
Peoples Energy Corp. 1,294 48,444
Pep Boys-Manny, Moe & Jack 2,241 76,334
PepsiCo Inc. 56,884 2,136,705
Perkin-Elmer Corp. 1,614 128,414
Pfizer, Inc. 23,967 2,864,056
Pharmacia & Upjohn Inc. 18,799 653,265
Phelps Dodge Corp. 2,299 195,846
Philip Morris Companies, Inc. 90,162 4,000,939
Phillips Petroleum Co. 9,737 425,994
Pioneer Hi-Bred
International, Inc. 3,048 243,840
Pitney Bowes, Inc. 5,411 376,064
Placer Dome, Inc. 8,859 145,066
Polaroid Corp. 1,681 93,295
Potlatch Corp. 1,067 48,282
Praxair, Inc. 5,854 327,824
Procter & Gamble Co. 25,140 3,551,025
++Providian Financial Corporation 3,467 111,377
Public Service Enterprise
Group, Inc. 8,611 215,275
Pulte Corp. 797 27,546
Quaker Oats Co. 5,026 225,542
Ralston Purina Co. 3,934 323,326
Raychem Corp. 1,652 122,867
Raytheon Co. 8,733 445,383
Reebok International, Ltd. 2,058 96,211
Republic of New York Corp. 2,044 219,730
Reynolds Metals Co. 2,688 191,520
Rite Aid Corp. 4,534 226,133
Rockwell International Corp. 7,910 466,690
Rohm and Haas Co. 2,305 207,594
++Rowan Companies, Inc. 3,165 89,213
Royal Dutch Petroleum Co. (NY
Registered Shares) 79,600 4,328,250
Rubbermaid, Inc. 5,540 164,815
Russell Corp. 1,354 40,112
Ryder System, Inc. 2,807 92,631
SBC Communications, Inc. 33,864 2,095,335
SUPERVALU, Inc. 2,477 85,456
Safeco Corp. 4,664 217,750
Safety-Kleen Corp. 2,155 36,366
++St. Jude Medical, Inc. 3,380 131,820
St. Paul Companies, Inc. 3,071 234,164
Salomon, Inc. 4,034 224,391
++Santa Fe Energy Resources, Inc. 3,693 54,241
Sara Lee Corp. 17,797 740,800
Schering-Plough Corp. 27,162 1,300,381
Schlumberger Ltd. 9,164 1,145,500
Scientific-Atlanta, Inc. 2,859 62,541
++Seagate Technology/AC 9,147 321,860
Seagram Co., Ltd. 13,718 552,149
Sears, Roebuck & Co. 14,551 782,116
Service Corp. International 8,886 292,127
Shared Medical Systems Corp. 875 47,250
Sherwin-Williams Co. 6,351 196,087
Sigma-Aldrich Corporation 3,700 129,731
++Silicon Graphics, Inc. 6,526 97,890
Snap-On Tools Corp. 2,252 88,672
Sonat, Inc. 3,190 163,487
Southern Co. 25,305 553,547
Southwest Airlines Company 5,365 138,819
Spring Industries, Inc. 745 39,299
Sprint Corp. 15,984 841,158
Stanley Works 3,290 131,600
Stone Container Corp. 3,670 52,527
</TABLE>
SCHEDULE OF INVESTMENTS (continued)
<TABLE>
Merrill Lynch S&P 500 Index Series (continued)
<CAPTION>
Shares Value
Issue Held (Note 1a)
<S> <C> <C>
Stride Rite Corp. 1,836 $ 23,638
Sun Co., Inc. 2,700 83,700
++Sun Microsystems, Inc. 13,693 509,636
Sun Trust Banks, Inc. 8,184 450,631
Sysco Corp. 6,474 236,301
++3Com Corp. 12,325 554,625
TJX Companies, Inc. 5,748 151,603
TRW Inc. 4,640 263,610
++Tandem Computers, Inc. 4,301 87,095
Tandy Corp. 2,015 112,840
Tektronix, Inc. 1,220 73,200
++Tele-Communications, Inc. (Class A) 24,651 366,684
++Tellabs, Inc. 6,706 374,698
Temple-Inland, Inc. 2,049 110,646
++Tenet Healthcare Corporation 11,147 329,533
Tenneco, Inc. 6,318 285,495
Texaco Inc. 9,785 1,064,119
Texas Instruments, Inc. 7,095 596,423
Texas Utilities Co. 8,310 286,176
Textron, Inc. 6,116 405,949
++Thermo Electron Corp. 5,574 189,516
Thomas & Betts Corp. 1,968 103,443
Time Warner, Inc. 20,751 1,001,236
The Times Mirror Co. (Class A) 3,550 196,137
Timken Co. 2,311 82,185
Torchmark Corp. 2,603 185,464
++Toys 'R' Us, Inc. 10,607 371,245
Transamerica Corp. 2,451 229,322
Travelers Group, Inc. 23,809 1,501,455
Tribune Co. 4,556 218,973
Tupperware Corp. 2,302 84,023
Tyco Laboratories, Inc. 6,250 434,766
UNUM Corporation 5,180 217,560
++US Airways Group Inc. 2,909 101,815
US Bancorp 5,477 351,213
US West Communications Group 17,793 670,574
++US West, Inc. 22,511 455,848
USF&G Corp. 4,098 98,352
UST, Inc. 6,817 189,172
USX Marathon Group, Inc. 10,637 307,143
USX-US Steel Group, Inc. 3,137 109,991
Unicom Corporation 8,029 178,645
Unilever N.V. (NY Registered
Shares) 5,920 1,290,560
Union Camp Corp. 2,576 128,800
Union Carbide Corp. 4,658 219,217
Union Electric Co. 3,778 142,383
Union Pacific Corp. 9,166 646,203
Union Pacific Resources, Inc. 9,421 234,347
++Unisys Corp. 6,469 49,326
United Healthcare Corporation 6,914 359,528
United States Surgical Corp. 2,715 101,134
United Technologies Corp. 8,781 728,823
Unocal Corp. 9,265 359,598
VF Corp. 2,357 200,640
++Viacom, Inc. (Class B) 13,090 392,700
Wachovia Corp. 5,997 349,700
Walgreen Co. 9,107 488,363
Wal-Mart Stores, Inc. 84,101 2,843,665
Walt Disney Co. 25,061 2,011,145
Warner-Lambert Co. 10,037 1,247,097
Waste Management Inc. 16,816 540,214
Wells Fargo & Co. 3,319 894,470
Wendy's International, Inc. 4,875 126,445
++Western Atlas, Inc. 1,983 145,255
Westinghouse Electric Corp. 23,594 545,611
Westvaco Corp. 3,770 118,519
Weyerhaeuser Co. 7,338 381,576
Whirlpool Corp. 2,751 150,101
Whitman Corp. 3,771 95,453
Willamette Industries, Inc. 2,046 143,220
Williams Companies, Inc. 5,885 257,469
Winn Dixie Stores, Inc. 5,555 206,924
++Woolworth Corp. 4,957 118,968
++WorldCom, Inc. 33,143 1,060,576
Worthington Industries, Inc. 3,571 65,394
Wrigley (Wm.) Jr. Co. (Class B) 4,297 287,899
Xerox Corp. 12,009 947,210
Total Common Stocks (Cost--$227,220,276)--85.3% 251,994,887
</TABLE>
Merrill Lynch S&P 500 Index Fund, June 30, 1997
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Merrill Lynch S&P 500 Index Series (concluded)
Face Value
Amount Short-Term Obligations (Note 1a)
<S> <C> <S> <C>
Commmercial $15,845,000 General Motors Acceptance Corp., 6.25% due 7/01/1997 $ 15,845,000
Paper*
US Government 24,000,000 Federal Home Loan Mortgage Corp., 6% due 7/01/1997 24,000,000
Agency Obligations*
Total Short-Term Obligations (Cost--$39,845,000)--13.5% 39,845,000
Total Investments (Cost--$267,065,276)--98.8% 291,839,887
Variation Margin on Stock Index Futures Contracts**--(0.1%) (321,470)
Other Assets Less Liabilities--1.3% 3,750,661
------------
Net Assets--100.0% $295,269,078
============
<FN>
++Non-income producing security.
++++Portion of holdings pledged as collateral for Stock Index
Futures Contracts.
*Commercial Paper and certain US Government Agency Obligations are
traded on a discount basis; the interest rate shown is the discount
rate paid at the time of purchase by the Fund.
**Stock index futures contracts purchased as of June 30, 1997 were
as follows:
<CAPTION>
Number of Expiration Value
Contracts Issue Date (Notes 1a & 1b)
<C> <S> <S> <C>
98 S&P 500 Stock Index September 1997 $43,622,250
Total Stock Index Futures Contracts Purchased
(Contract Price--$42,878,680) $43,622,250
===========
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
MERRILL LYNCH
S&P 500
INDEX SERIES As of June 30, 1997
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$267,065,276) (Note 1a) $291,839,887
Cash 761
Receivables:
Contributions $ 4,345,076
Dividends 284,981 4,630,057
------------
Deferred organization expenses (Note 1e) 18,685
------------
Total assets 296,489,390
------------
Liabilities: Variation margin on stock index futures (Notes 1a & 1b) 321,470
Payables:
Withdrawals 584,572
Securities purchased 277,856 862,428
------------
Accrued expenses and other liabilities 36,414
------------
Total liabilities 1,220,312
------------
Net Assets: Net assets $295,269,078
============
Net Assets Partners capital $269,750,897
Consist of: Unrealized appreciation on investments--net 25,518,181
------------
Net assets $295,269,078
============
See Notes to Financial Statements.
</TABLE>
Merrill Lynch S&P 500 Index Fund, June 30, 1997
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
MERRILL LYNCH
S&P 500
INDEX SERIES For the Period April 3, 1997++ to June 30, 1997
<S> <S> <C> <C>
Investment Income Dividends (net of $12,085 foreign withholding tax) $ 797,155
(Note 1d): Interest and discount earned 321,528
------------
Total income 1,118,683
------------
Expenses: Investment advisory fees (Note 2) $ 23,504
Custodian fees 12,594
Accounting services (Note 2) 10,574
Amortization of organization expenses (Note 1e) 9,947
Professional fees 5,222
Pricing fees 2,467
Trustees' fees and expenses 1,490
Other 911
------------
Total expenses before reimbursement 66,709
Reimbursement of expenses (Note 2) (23,504)
------------
Total expenses after reimbursement 43,205
------------
Investment income--net 1,075,478
------------
Realized & Realized gain from investments--net 2,365,816
Unrealized Gain on Unrealized appreciation on investments--net 25,518,181
Investments--Net ------------
(Notes 1b, 1d & 3): Net Increase in Net Assets Resulting from Operations $ 28,959,475
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
MERRILL LYNCH For the Period
S&P 500 April 3, 1997++ to
INDEX SERIES Increase (Decrease) in Net Assets: June 30, 1997
<S> <S> <C>
Operations: Investment income--net $ 1,075,478
Realized gain on investments--net 2,365,816
Unrealized appreciation on investments--net 25,518,181
------------
Net increase in net assets resulting from operations 28,959,475
------------
Capital Contributions 269,837,220
Transactions: Withdrawals (3,527,617)
------------
Net increase in net assets derivied from capital transactions 266,309,603
------------
Net Assets: Total increase in net assets 295,269,078
Beginning of period --
------------
End of period $295,269,078
============
<FN>
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
MERRILL LYNCH For the Period
S&P 500 The following ratios have been derived from April 3, 1997++ to
INDEX SERIES information provided in the financial statements. June 30, 1997
<S> <S> <C>
Ratios to Average Expenses, net of reimbursement .09%*
Net Assets: ============
Expenses .14%*
============
Investment income--net 2.29%*
============
Supplemental Data: Net assets, end of period (in thousands) $ 295,269
============
Portfolio turnover 1.39%
============
Average commission rate paid $ .0148
============
<FN>
*Annualized.
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch S&P 500 Index Fund, June 30, 1997
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
S&P 500
INDEX SERIES
1. Significant Accounting Policies:
Merrill Lynch S&P 500 Index Series (the "Series") is part of Merrill
Lynch Index Trust (the "Trust"). The Trust is registered under the
Investment Company Act of 1940 and is organized as a Delaware
business trust. 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 which are traded
on stock exchanges are valued at the last sale price as of the close
of business on the day the securities are being valued or, lacking
any sales, at the closing bid price. Securities traded in the over-
the-counter market are valued at the last quoted bid price at the
close of trading on the New York Stock Exchange on each day by
brokers that make markets in the securities. Securities traded in
the NASDAQ National Market System are valued at the last sale price
prior to the time of valuation. Portfolio securities which are
traded both on the over-the-counter 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
over-the-counter market, the last asked price. Options purchased are
valued at the last sale price in the case of exchange-traded options
or, in the case of options traded in the over-the-counter market,
the last bid price. Other investments, including futures contracts
and related options, are stated at market value. Short-term
securities are valued at amortized cost, which approximates market
value. Securities and assets for which market quotations are not
readily available are valued at fair market value, as determined in
good faith by or under the direction of the Trust's Board of
Trustees.
(b) Derivative financial instruments--The Series may engage in
various portfolio investment techniques to provide liquidity, or in
connection with the Series' arbitrage strategies. Losses may arise
due to changes in the value of the contract or if the counterparty
does not perform under the contract.
* Financial futures contracts--The Series may purchase or sell stock
index futures contracts and options on such futures contracts as a
proxy for a direct investment in securities underlying the Series'
index. Upon entering into a contract, the Series deposits and
maintains as collateral such initial margin as required by the
exchange on which the transaction is effected. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin
and are recorded by the Series as unrealized gains or losses. When
the contract is closed, the Series records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
* 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 a partnership for Federal income tax
purposes, the Series will not incur Federal income tax liability.
Items of partnership income, gain, loss and deduction will pass
through to investors as partners in the Series. Therefore, no
Federal income tax provision is required.
(d) Security transactions and investment income--Security
transactions are accounted for on the date the securities are
purchased or sold (the trade dates). Dividend income is recorded on
the ex-dividend dates. Interest income (including amortization of
discount) is recognized on the accrual basis. Realized gains and
losses on security transactions are determined on the identified
cost basis.
(e) Deferred organization expenses--Deferred organization expenses
are charged to expense on a straight-line basis over a five-year
period.
2. Investment Advisory Agreement and Transactions
with Affiliates:
The Series has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general partner
of MLAM is Princeton Services, Inc. ("PSI"), an indirect wholly-
owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is
the limited partner.
MLAM is responsible for the management of the Fund's portfolio and
provides the necessary personnel, facilities, equipment and certain
other services necessary to the operations of the Fund. For such
services, the Series pays a monthly fee at an annual rate of 0.05%
of the average daily value of the Series' net assets. For the period
ended June 30, 1997, MLAM earned fees of $23,504, all of which was
voluntarily waived.
Accounting services are provided to the Series by MLAM at cost.
Certain officers and/or trustees of the Series are officers and/or
directors of MLAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the period April 3, 1997 to June 30, 1997 were $228,929,113 and
$1,847,984, respectively.
Net realized and unrealized gains as of June 30, 1997 were as
follows:
Realized Unrealized
Gains Gains
Long-term investments $ 139,146 $24,774,611
Stock index futures contracts 2,226,670 743,570
----------- -----------
Total $ 2,365,816 $25,518,181
=========== ===========
As of June 30, 1997, net unrealized appreciation for Federal income
tax purposes aggregated $24,774,611, of which $25,929,392 related to
appreciated securities and $1,154,781 related to depreciated
securities. At June 30, 1997, the aggregate cost of investments for
Federal income tax purposes was $267,065,276.
|
|