MERRILL LYNCH
SMALL CAP
INDEX FUND
Merrill Lynch
Index Funds, Inc.
[GRAPHIC OMITTED]
STRATEGIC
Performance
Semi-Annual Report
June 30, 1998
<PAGE>
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
Jay C. Harbeck, Senior Vice President
Norman R. Harvey, Senior Vice President
Jeffrey B. Hewson, Senior Vice President
Gregory Mark Maunz, Senior Vice President
Joseph T. Monagle Jr., Senior Vice President
Eric S. Mitofsky, Senior Vice President and Portfolio Manager
Donald C. Burke, 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
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
DEAR SHAREHOLDER
The moderate first quarter rally in small-capitalization stocks could not be
sustained during the second quarter of 1998, as concerns about the Asian
economic crisis once again hit equity markets around the world. The
larger-capitalization stocks in the United States were able to avoid some of
these concerns. The unmanaged Standard & Poor's 500 Index had a total return of
+3.30% for the quarter ended June 30, 1998, despite a decline of almost 5%
between mid-April and mid-June. Small-capitalization stocks, however, could not
recover their lost momentum. The unmanaged Russell 2000 Index declined by more
than 11.6% from an all-time high of 491.14 on April 21, 1998 to its closing
level of 433.86 on June 15, 1998.
One of the main factors in the decline of the Russell 2000 was its large
weighting in technology stocks, which declined by more than 10% during the month
of May. However, between June 15, 1998 and June 30, 1998, the Russell 2000 Index
regained some of its lost ground to finish the first half of 1998 at 457.39. The
Russell 2000 Index declined 4.66% during the second quarter, but based on its
strength during the first quarter of 1998, produced a total return of +4.93% for
the first six months of the year.
Portfolio Matters
One of the major events of the second quarter was the annual rebalancing of the
Russell 2000 Index, which takes place at the end of each June. At this time,
Frank Russell Co. reconstitutes all of its indexes to reflect then-current
market capitalizations. While the newly reconstituted list becomes the official
Index as of June 30, companies are added to or deleted from the Index based upon
their market capitalizations at the end of May. After certain adjustments are
made for cross-holdings of shares, the largest 1000 eligible companies become
the Russell 1000 Index and the next largest 2000 become the Russell 2000 Index.
For the 1998 reshuffling, some 522 companies were added to the Russell 2000
Index, many of these being replacements for the 176 companies that had
disappeared from the Index during the past year as a result of mergers and
acquisitions. Companies that leave the Index during the succeeding twelve months
are not replaced at the time they are eliminated from the Index, as all of these
changes are made only one time a year, at the June rebalancing.
Merrill Lynch Small Cap Index Fund invests all of its assets in Merrill Lynch
Small Cap Index Series, which has the same investment objective as the Fund. The
Series seeks to replicate the total return of the Russell 2000 Index and
therefore, also underwent a rebalancing. This caused the Series to liquidate 138
of its existing holdings as they were being deleted from the Index, having an
approximate dollar value of $8.2 million. These companies were replaced with an
equivalent dollar value of companies that were members of the newly revised
Index. After all necessary rebalancing trades were complete, the resulting
equity portfolio of the Series consisted of approximately 1,100 stocks with a
market value of $73.52 million. At the end of June, the Series also held a long
position of seven Russell 2000 September futures contracts.
Net assets of the Fund declined during the first half of 1998 from $65.3 million
on December 31, 1997 to $41.1 million on June 30, 1998. This change primarily
reflected the redemption of a large Fund shareholder of approximately $13.8
million near the end of May. At that time, this liquidation represented more
than 15% of the Fund's net assets.
Performance Results
For the six-month period ended June 30, 1998, Merrill Lynch Small Cap Index
Fund's Class A and Class D Shares had total returns of +4.40% and +4.23%,
respectively, slightly below the Fund's bench- mark, the Russell 2000 Index,
which produced a total return of +4.93% during this same period. (Investment
results shown do not include sales charges and would be lower if sales charges
were included. For complete performance information, see page 3 of this report
to shareholders.)
In Conclusion
We thank you for your investment in Merrill Lynch Small Cap Index Fund, and we
look forward to assisting you with your investment needs in the months and years
ahead.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
President
/s/ Eric S. Mitofsky
Eric S. Mitofsky
Senior Vice President and
Portfolio Manager
August 14, 1998
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund through the Merrill
Lynch Select PricingSM System, which offers two pricing alternatives:
o 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.
o 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 "Recent Performance Results" and
"Average Annual 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>
<CAPTION>
Recent
Performance
Results
12 Month 3 Month Since Inception
Total Return Total Return Total Return
===================================================================================================
<S> <C> <C> <C>
ML Small Cap Index Fund Class A Shares* +15.22% -5.04% +32.62%
- ---------------------------------------------------------------------------------------------------
ML Small Cap Index Fund Class D Shares* +14.89 -5.11 +32.24
- ---------------------------------------------------------------------------------------------------
Russell 2000 Index** +16.51 -4.66 +33.71
===================================================================================================
</TABLE>
* Investment results shown do not reflect sales charges; results shown would
be lower if a sales charge was included. Total investment returns are
based on changes in net asset value for the periods shown, and assume
reinvestment of all dividends and capital gains distributions at net asset
value on the ex-dividend date. The Fund's inception date is 4/09/97.
** This unmanaged Index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors.
Since inception total return is from 4/09/97 to 6/30/98.
Average Annual
Total Return
% Return
==================================================================
Class A Shares
==================================================================
Year Ended 6/30/98 +15.22%
- ------------------------------------------------------------------
Inception (4/09/97) through 6/30/98 +25.93
- ------------------------------------------------------------------
% Return
==================================================================
Class D Shares
==================================================================
Year Ended 6/30/98 +14.89%
- ------------------------------------------------------------------
Inception (4/09/97) through 6/30/98 +25.63
- ------------------------------------------------------------------
2 & 3
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND As of June 30, 1998
===========================================================================================================================
<S> <C> <C>
Assets: Investment in Merrill Lynch Small Cap Index Series, at value (Note 1a)
(identified cost--$35,521,766) ........................................................... $41,113,260
Receivable from administrator (Note 2) ................................................... 944
Deferred organization expenses (Note 1d) ................................................. 13,019
Prepaid registration fees and other assets (Note 1d) ..................................... 17,213
-----------
Total assets ............................................................................. 41,144,436
-----------
===========================================================================================================================
Liabilities: Distributor payable (Note 2) ............................................................. 5,937
Accrued expenses and other liabilities ................................................... 62,600
-----------
Total liabilities ........................................................................ 68,537
-----------
===========================================================================================================================
Net Assets: Net assets ............................................................................... $41,075,899
===========
===========================================================================================================================
Net Assets Class A Shares of Common Stock, $0.0001 par value, 125,000,000 shares authorized ......... $ 105
Consist of: Class D Shares of Common Stock, $0.0001 par value, 125,000,000 shares authorized ......... 216
Paid-in capital in excess of par ......................................................... 32,113,970
Undistributed investment income--net ..................................................... 225,727
Undistributed realized capital gains on investments from the Series--net ................. 3,144,387
Unrealized appreciation on investments from the Series--net .............................. 5,591,494
-----------
Net assets ............................................................................... $41,075,899
===========
===========================================================================================================================
Net Asset Class A--Based on net assets of $13,426,855 and 1,046,991 shares outstanding ............. $ 12.82
Value: ===========
Class D--Based on net assets of $27,649,044 and 2,159,319 shares outstanding ............. $ 12.80
===========
===========================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND For the Six Months Ended June 30, 1998
===============================================================================================================================
<S> <C> <C> <C>
Investment Income Investment income allocated from the Series (net of $81 foreign withholding tax) . $ 400,547
(Note 1b): Expenses allocated from the Series ............................................... (44,923)
---------
Net investment income from the Series ............................................ 355,624
---------
===============================================================================================================================
Expenses: Administration fee (Note 2) ...................................................... $ 58,062
Registration fees (Note 1d) ...................................................... 42,575
Account maintenance fee--Class D (Note 2) ........................................ 41,971
Transfer agent fees (Note 2) ..................................................... 26,572
Printing and shareholder reports ................................................. 22,791
Professional fees ................................................................ 5,136
Amortization of organization expenses (Note 1d) .................................. 1,871
Accounting services (Note 2) ..................................................... 733
Other ............................................................................ 1,888
--------
Total expenses before reimbursement .............................................. 201,599
Reimbursement of expenses (Note 2) ............................................... (72,534)
--------
Total expenses after reimbursement ............................................... 129,065
---------
Investment income--net ........................................................... 226,559
---------
===============================================================================================================================
Realized & Realized gain on investments from the Series--net ................................ 2,956,648
Unrealized Gain Change in unrealized appreciation on investments from the Series--net ............ (1,190,769)
(Loss) from the -----------
Series--Net: Net Increase in Net Assets Resulting from Operations ............................. $ 1,992,438
===========
===============================================================================================================================
</TABLE>
See Notes to Financial Statements.
4 & 5
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Period
MERRILL LYNCH For the Six April 9, 1997+
SMALL CAP Months Ended to
INDEX FUND Increase (Decrease) in Net Assets: June 30, 1998 Dec. 31, 1997
====================================================================================================================================
<S> <C> <C> <C>
Operations: Investment income--net .......................................................... $ 226,559 $ 459,481
Realized gain on investments from the Series--net ............................... 2,956,648 1,806,858
Change in unrealized appreciation on investments from the Series--net ........... (1,190,769) 6,782,263
------------ ------------
Net increase in net assets resulting from operations ............................ 1,992,438 9,048,602
------------ ------------
====================================================================================================================================
Dividends & Investment income--net:
Distributions to Class A ...................................................................... -- (197,459)
Shareholders Class D ...................................................................... -- (262,022)
(Note 1e): In excess of investment income--net:
Class A ...................................................................... -- (358)
Class D ...................................................................... -- (474)
Realized gain on investments from the Series--net:
Class A ...................................................................... -- (624,160)
Class D ...................................................................... -- (994,959)
------------ ------------
Net decrease in net assets resulting from dividends and
distributions to shareholders ................................................. -- (2,079,432)
------------ ------------
====================================================================================================================================
Capital Share Net increase (decrease) in net assets derived from capital
Transactions share transactions ............................................................ (26,172,817) 58,262,108
(Note 4): ------------ ------------
====================================================================================================================================
Net Assets: Total increase (decrease) in net assets ......................................... (24,180,379) 65,231,278
Beginning of period ............................................................. 65,256,278 25,000
------------ ------------
End of period* .................................................................. $ 41,075,899 $ 65,256,278
============ ============
====================================================================================================================================
* Undistributed (accumulated distributions in excess of) investment income--net ... $ 225,727 $ (832)
============ ============
====================================================================================================================================
</TABLE>
+ Commencement of operations.
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Class A Class D
The following per share data and ratios ------------------------------- -------------------------------
MERRILL LYNCH have been derived from information For the Six For the Period For the Six For the Period
SMALL CAP provided in the financial statements. Months Ended April 9, 1997+ to Months Ended April 9, 1997+ to
INDEX FUND June 30, December 31, June 30, December 31,
Increase (Decrease) in Net Asset Value: 1998 1997 1998 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period ......... $ 12.28 $ 10.00 $ 12.28 $ 10.00
Operating -------- -------- -------- --------
Performance: Investment income--net ....................... .09 .10 .06 .09
Realized and unrealized gain on investments
from the Series--net ......................... .45 2.60 .46 2.60
-------- -------- -------- --------
Total from investment operations ............. .54 2.70 .52 2.69
-------- -------- -------- --------
Less dividends and distributions:
Investment income--net .................... -- (.10) -- (.09)
In excess of investment income--net ....... -- --++ -- --++
Realized gain on investments from the
Series--net ............................... -- (.32) -- (.32)
-------- -------- -------- --------
Total dividends and distributions ............ -- (.42) -- (.41)
-------- -------- -------- --------
Net asset value, end of period ............... $ 12.82 $ 12.28 $ 12.80 $ 12.28
======== ======== ======== ========
====================================================================================================================================
Total Investment Based on net asset value per share ........... 4.40%+++ 27.04%+++ 4.23%+++ 26.87%+++
Return: ======== ======== ======== ========
====================================================================================================================================
Ratios to Average Expenses, net of reimbursement** ............. .50%* .52%* .75%* .77%*
Net Assets: ======== ======== ======== ========
Expenses** ................................... .82%* 1.00%* 1.07%* 1.25%*
======== ======== ======== ========
Investment income--net ....................... 1.02%* 1.45%* .76%* 1.20%*
======== ======== ======== ========
====================================================================================================================================
Supplemental Net assets, end of period (in thousands) ..... $ 13,427 $ 26,478 $ 27,649 $ 38,778
Data: ======== ======== ======== ========
====================================================================================================================================
</TABLE>
* Annualized.
** Includes the Fund's share of the Series' allocated
expenses.
+ Commencement of operations.
+++ Aggregate total investment return.
++ Amount is less than $.01 per share.
See Notes to Financial Statements.
6 & 7
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
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. 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 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. 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. Under the applicable foreign tax law, a
withholding tax may be imposed on interest, dividends and capital gains at
various rates.
(d) Prepaid registration fees 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 period not exceeding five years.
(e) Dividends and distributions--Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates. Distributions in excess of net investment
income are due primarily to differing tax treatments for post-October losses.
(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 ("MLFD" or "Distributor"), a division of
Princeton Funds Distributor, Inc. ("PFD"), which is a wholly-owned subsidiary of
Merrill Lynch Group, Inc. Pursuant to the Distribution Plans adopted by the Fund
in accordance with Rule 12b-1 under the Investment Company Act of 1940, the Fund
pays the Distributor ongoing account maintenance 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 six months ended June 30, 1998, MLAM earned
fees of $58,062, all of which were voluntarily waived. MLAM also reimbursed the
Fund for additional expenses of $14,472.
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, PFD, MLFDS, and/or ML & Co.
3. Investments:
Increases and decreases in the Fund's investment in the Series for the six
months ended June 30, 1998 were $12,672,059 and $38,899,980, respectively.
4. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
were $(26,172,817) and $58,262,108 for the six months ended June 30, 1998 and
the period ended April 9, 1997 to December 31, 1997, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------
Class A Shares for the Six Months Dollar
Ended June 30, 1998 Shares Amount
- -------------------------------------------------------------------
Shares sold ............................ 925,015 $ 11,789,499
Shares redeemed ........................ (2,033,769) (25,558,132)
---------- ------------
Net decrease ........................... (1,108,754) $(13,768,633)
========== ============
- -------------------------------------------------------------------
- -------------------------------------------------------------------
Class A Shares for the Period Dollar
April 9, 1997+ to December 31, 1997 Shares Amount
- -------------------------------------------------------------------
Shares sold ............................ 3,127,791 $ 34,673,781
Shares issued to shareholders in
reinvestment of dividends and
distributions .......................... 63,047 776,099
---------- ------------
Total issued ........................... 3,190,838 35,449,880
Shares redeemed ........................ (1,036,343) (12,153,441)
---------- ------------
Net increase ........................... 2,154,495 $ 23,296,439
========== ============
- -------------------------------------------------------------------
+ Prior to April 9, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
- -------------------------------------------------------------------
Class D Shares for the Six Months Dollar
Ended June 30, 1998 Shares Amount
- -------------------------------------------------------------------
Shares sold ............................ 866,340 $ 11,028,330
Shares redeemed ........................ (1,865,259) (23,432,514)
---------- ------------
Net decrease ........................... (998,919) $ 12,404,184)
========== ============
- -------------------------------------------------------------------
- -------------------------------------------------------------------
Class D Shares for the Period Dollar
April 9, 1997+ to December 31, 1997 Shares Amount
- -------------------------------------------------------------------
Shares sold ............................ 4,135,846 $ 46,521,104
Shares issued to shareholders in
reinvestment of dividends and
distributions .......................... 85,348 1,050,621
---------- ------------
Total issued ........................... 4,221,194 47,571,725
Shares redeemed ........................ (1,064,206) (12,606,056)
---------- ------------
Net increase ........................... 3,156,988 $ 34,965,669
========== ============
- -------------------------------------------------------------------
+ Prior to April 9, 1997 (commencement of operations), the Fund
issued 1,250 shares to MLAM for $12,500.
8 & 9
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
SCHEDULE OF INVESTMENTS
Merrill Lynch Small Cap Index Series
- --------------------------------------------------------------------------------
Shares Value
Issue Held (Note 1a)
================================================================================
COMMON STOCKS
+ 3Dfx Interactive, Inc. 1,500 $ 25,688
AAR Corporation 1,650 48,778
ABM Industries, Inc. 1,500 41,812
+ ABR Information Services, Inc. 2,465 58,544
+ ADAC Laboratories 1,600 36,000
+ ADVO, Inc. 2,300 64,831
AGL Resources, Inc. 3,700 73,537
AK Steel Holding Corporation 5,100 91,162
+ ALARIS Medical, Inc. 5,200 36,075
ALBANK Financial Corporation 1,600 112,900
AMCOL International Corp. 2,750 33,172
AMCORE Financial Inc. 3,700 88,800
AMETEK, Inc. 3,000 87,938
+ ANTEC Corporation 3,400 78,838
+ APAC Teleservices, Inc. 2,700 15,778
ASA Holdings, Inc. 2,059 102,178
+ ATL Ultrasound, Inc. 1,600 73,000
+ ATMI, Inc. 1,900 28,500
+ Abacus Direct Corporation 800 41,550
+ Acceptance Insurance Holdings, Inc. 2,600 63,862
+ Access Health, Inc. 1,856 47,328
+ Actel Corp. 3,600 38,700
+ Action Performance Companies, Inc. 1,000 32,187
+ Acuson Corporation 2,600 47,287
+ Acxiom Corp. 3,508 87,481
+ Adelphia Communications Corporation
(Class A) 1,900 70,537
+ Adtran, Inc. 1,900 49,637
+ Advanced Tissue Sciences, Inc. 3,900 17,306
+ Advanta Corp. 2,300 50,456
+ Affiliated Computer Services, Inc. 3,500 134,750
+ Affiliated Managers Group, Inc. 1,758 65,266
+ Affymetrix, Inc. 1,800 43,312
+ Aftermarket Technology Corp. 2,500 46,875
+ Agouron Pharmaceuticals, Inc. 2,808 85,118
+ AgriBioTech Inc. 3,100 85,831
Air Express International Corporation 3,300 88,275
Airborne Freight Corporation 3,300 115,294
+ Airgas, Inc. 3,600 51,750
+ Alaska Air Group, Inc. 1,500 81,844
Albany International Corp. (Class A) 1,955 46,791
Albemarle Corporation 1,167 25,747
Alexander Haagen Properties, Inc. 5,200 78,325
+ Algos Pharmaceutical Corporation 1,100 29,700
Aliant Communications, Inc. 2,400 65,850
+ Alkermes, Inc. 2,300 41,113
+ Allen Telecom Inc. 2,600 30,225
+ Alliant Techsystems, Inc. 700 44,275
Allied Group, Inc. 1,750 81,922
Alpharma, Inc. (Class A) 2,134 46,948
+ Alternative Living Services, Inc. 1,000 27,000
+ Alternative Resources Corp. 2,900 35,888
+ Amerco 1,400 41,213
+ America West Holdings Corp. (Class B) 3,555 101,540
+ American Business Information, Inc.
(Class B) 3,700 59,200
+ American Disposal Services, Inc. 1,700 79,688
+ American Eagle Outfitters Inc. 1,100 42,419
American Health Properties, Inc. 1,800 45,000
+ American Italian Pasta Company (Class A) 1,500 55,875
+ American Management Systems, Inc. 3,900 116,756
+ American Oncology Resources, Inc. 3,000 36,656
+ AmeriCredit Corp. 2,500 89,219
+ Amerin Corporation 1,800 52,538
+ AmeriSource Health Corp. (Class A) 2,202 144,644
+ Amphenol Corp. (Class A) 1,000 39,000
Analysts International Corp. 2,300 65,263
+ Anchor Bancorp, Inc. 1,100 42,969
+ Anchor Gaming 389 30,196
+ Andrx Corporation 900 33,075
+ Anixter International Inc. 4,498 85,743
+ AnnTaylor Stores Corporation 3,448 73,055
Apogee Enterprises, Inc. 3,600 55,125
Apple South, Inc. 3,325 43,433
Applebee's International, Inc. 3,318 74,240
Applied Industrial Technologies, Inc. 2,650 54,491
+ Applied Micro Circuits Corporation 1,800 46,575
Applied Power Inc. (Class A) 2,333 80,197
+ Apria Healthcare Group, Inc. 5,500 36,781
AptarGroup, Inc. 1,988 123,629
Aquarion Company 4,200 143,588
+ Arbor Software Corp. 1,200 37,725
Arch Coal, Inc. 2,000 49,750
Argonaut Group, Inc. 1,700 53,763
+ Armco, Inc. 7,900 50,363
Arnold Industries, Inc. 2,000 29,500
Arrow International, Inc. 1,000 27,438
+ Artesyn Technologies, Inc. 2,900 46,038
Arvin Industries, Inc. 1,600 58,100
+ Ascent Entertainment Group, Inc. 4,900 54,513
+ Aspect Development, Inc. 700 52,938
+ Aspect Telecommunications Corp. 6,048 165,564
+ Aspen Technologies, Inc. 1,800 90,900
Associated Estates Realty Corp. 4,500 84,094
+ Associated Group, Inc. (Class A) 1,869 76,629
Atmos Energy Corporation 3,100 94,550
+ Atwood Oceanics, Inc. 777 30,934
Authentic Fitness Corp. 2,000 31,625
+ Avant Corporation 2,883 71,354
+ Avid Technology, Inc. 2,294 76,849
+ Aviron 1,300 40,544
+ Avis Rent-A-Car, Inc. 2,600 64,350
+ Axent Technologies 2,000 61,250
+ Aztar Corporation 5,400 36,788
+ Aztec Technology Partners, Inc. 1,973 15,044
+ BE Aerospace, Inc. 2,500 72,813
+ BISYS Group, Inc. 2,000 82,000
BMC Industries, Inc. 3,100 27,125
Baldor Electric Company 2,687 65,496
Ball Corp. 2,900 116,544
Ballard Medical Products 3,300 59,400
+ Bally Total Fitness Holding Corporation 1,900 68,400
BancorpSouth, Inc. 4,900 102,900
+ BancTec, Inc. 3,200 74,000
Bank of Granite Corp. 2,650 83,475
Banknorth Group, Inc. 2,400 88,800
Banta Corporation 2,200 67,925
Barnett Banks, Inc. 3,000 60,750
+ Barrett Resources Corp. 2,940 110,066
Bassett Furniture Industries, Inc. 2,400 67,500
Battle Mountain Gold Company 5,000 29,688
Bay State Gas Company 1,100 42,144
Belden, Inc. 2,982 91,324
+ Bell & Howell Co. (Series B) 1,600 41,300
+ Benchmark Electronics, Inc. 2,100 42,000
+ Benton Oil & Gas Co. 4,200 44,625
+ Beringer Wine Estates Holdings, Inc.
(Class B) 1,200 52,875
Berkley (W.R.) Corporation 1,500 60,094
Berry Petroleum Co. (Class A) 3,700 48,100
+ Bethlehem Steel Corporation 4,800 59,700
+ Big Flower Press Holdings, Inc. 2,200 66,000
+ Billing Information Concepts 2,400 37,200
+ Biomatrix, Inc. 1,400 57,400
+ Bio-Rad Laboratories, Inc. (Class A) 1,400 42,875
+ Bio-Technology General Corp. 6,800 48,238
Birmingham Steel Corp. 3,500 43,313
+ Black Box Corporation 1,400 46,463
Black Hills Corporation 3,300 75,900
Blanch (E.W.), Holdings Inc. 1,400 51,450
Block Drug Company, Inc. (Class A) 727 27,399
Blount International, Inc. (Class A) 1,945 55,433
Bob Evans Farms, Inc. 3,800 80,513
+ Boole & Babbage, Inc. 2,250 53,719
+ Boron, LePore & Associates, Inc. 1,000 38,000
Bowne & Co., Inc. 2,000 90,000
+ Boyd Gaming Corporation 5,400 31,050
Brady (W.H.) Company (Class A) 2,139 59,491
Brandywine Realty Trust 3,000 67,125
Brightpoint, Inc. 4,617 66,947
+ Bristol Hotel Company 4,300 105,350
+ BroadVision, Inc. 1,700 40,588
+ Broderbund Software, Inc. 2,400 54,750
+ Brookdale Living Communities Inc. 1,700 43,563
Brush Wellman, Inc. 2,300 47,294
+ Buckeye Technologies Inc. 3,109 73,256
+ Budget Group, Inc. 1,700 54,294
+ Buffets, Inc. 4,931 77,355
+ Burlington Industries, Inc. 6,200 87,188
Burnham Pacific Properties, Inc. 6,900 97,894
+ Burr-Brown Corp. 2,550 53,550
C.H. Robinson Worldwide, Inc., 3,400 84,575
CBL & Associates Properties, Inc. 3,700 89,725
CCA Prison Realty Trust 2,100 64,313
+ CCC Information Services Group, Inc. 2,741 45,227
+ CD Radio Inc. 1,000 38,500
+ CDI Corporation 800 21,400
+ CDW Computer Centers, Inc. 389 19,450
CFSB Bancorp, Inc. 2,600 74,750
CFW Communications Company 2,300 53,475
+ CHS Electronics, Inc. 3,079 55,037
CILCORP, Inc. 2,300 110,400
CMAC Investment Corp. 2,294 141,081
+ CMG Information Services, Inc. 1,300 91,975
+ CNA Surety Corporation 2,800 41,300
CNB Bancshares, Inc. 1,765 84,720
+ CONMED Corporation 1,700 39,100
+ COR Therapeutics, Inc. 3,390 47,036
+ CORT Business Services Corp. 1,900 59,850
CPI Corporation 1,769 42,123
CRIIMI MAE, Inc. 5,400 74,925
+ CSG Systems International, Inc. 1,800 84,375
10 & 11
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
SCHEDULE OF INVESTMENTS (continued)
Merrill Lynch Small Cap Index Series (continued)
- --------------------------------------------------------------------------------
Shares Value
Issue Held (Note 1a)
================================================================================
COMMON STOCKS
(continued)
+ CSK Auto Corporation 1,500 $ 37,875
+ CSS Industries, Inc. 1,300 42,575
+ CUNO Incorporated 2,300 49,738
+ Cable Design Technologies 2,500 51,563
Cabot Oil & Gas Corp. 3,100 62,000
+ Cadiz Land Company, Inc. 3,700 42,781
Calgon Carbon Corporation 6,200 61,613
+ California Microwave, Inc. 3,800 66,500
California Water Service Co. 2,000 50,250
CalMat Company 2,300 50,600
+ Calpine Corporation 3,400 68,638
Cambrex Corporation 3,020 79,275
Camden Property Trust 8,518 253,411
+ Canandaigua Wine Company, Inc. 1,263 62,124
Capital Re Corporation 1,069 76,567
+ CapStar Hotel Company 2,235 62,580
Caraustar Industries, Inc. 1,600 46,200
+ Carbide/Graphite Group, Inc. (The) 1,900 52,844
+ Caribiner International, Inc. 1,900 33,250
+ Carmike Cinemas, Inc. (Class A) 1,700 45,794
Carolina First Corporation 2,400 60,900
Carpenter Technology Corporation 1,810 90,953
Carter-Wallace, Inc. 2,510 45,337
Casey's General Stores, Inc. 4,200 69,563
Cash America International, Inc. 5,300 80,825
Castle (A.M.) & Company 2,000 44,000
+ Castle & Cooke, Inc. 3,000 57,000
+ Catalina Marketing Corporation 2,379 123,559
+ Catalytica, Inc. 3,700 72,613
Cato Corporation (The) (Class A) 2,400 41,775
+ C-Cube Microsystems, Inc. 3,425 63,577
+ CellNet Data Systems, Inc. 5,000 48,438
+ Cellular Communications
International, Inc. 1,350 67,331
+ Centennial Cellular Corporation (Class A) 1,800 67,163
+ Central Garden & Pet Company 2,442 76,007
Central Hudson Gas & Electric 1,300 59,638
Central Maine Power Company 5,000 97,500
Century Aluminum Company 3,700 54,575
Century Business Services Inc. 3,200 64,000
+ Cephalon, Inc. 4,000 31,500
+ Cerner Corporation 2,600 73,613
+ Champion Enterprises, Inc. 4,100 119,925
+ Charming Shoppes, Inc. 11,200 53,200
Charter Municipal Mortgage Acceptance
Company 3,000 42,188
+ CheckFree Holdings Corporation 4,088 120,341
+ Checkpoint Systems, Inc. 3,300 46,613
+ Cheesecake Factory (The) 1,950 44,119
ChemFirst Inc. 3,500 88,375
Chesapeake Corporation 1,840 71,645
Chittenden Corporation 2,250 78,750
+ Choice Hotels International, Inc. 5,000 67,813
+ ChoicePoint Inc. 1,000 50,625
Church & Dwight Co., Inc. 1,500 48,563
Churchill Downs Incorporated 1,300 53,950
Cincinnati Milacron, Inc. 3,200 77,800
Circle International Group Inc. (The) 2,100 58,800
+ Cirrus Logic, Inc. 6,800 75,650
Claire's Stores, Inc. 4,300 88,150
Clarcor, Inc. 2,550 53,550
+ Clarify Inc. 3,200 43,200
Cleco Corporation 2,900 86,275
+ Cliffs Drilling Company 1,500 49,219
+ Coach USA, Inc. 1,500 68,438
Coachmen Industries, Inc. 2,200 57,475
+ Cognex Corporation 3,783 69,986
+ Coherent, Inc. 2,200 37,744
Cohu, Inc. 1,300 31,606
+ Coldwater Creek Inc. 1,200 33,000
+ Cole National Corporation 1,300 52,000
+ Collins & Aikman Corp. 6,700 49,831
Colonial Properties Trust 2,900 89,900
+ Columbia Laboratories, Inc. 4,400 25,300
+ Comfort Systems USA, Inc. 2,800 65,450
Commerce Bancorporation Inc. 1,600 93,600
Commerce Group, Inc. 1,600 62,000
Commercial Federal Corp. 3,200 101,200
Commercial Metals Co. 2,300 70,725
+ Commnet Cellular, Inc. 2,500 36,719
Commonwealth Bancorp, Inc. 1,900 43,581
Community First Bankshares, Inc. 3,000 78,563
+ Computer Horizons Corporation 2,450 90,803
Computer Task Group, Inc. 1,265 42,378
+ Concentra Managed Care, Inc. 3,771 98,046
+ Concentric Network Corporation 1,500 45,469
+ Concord Communications, Inc. 1,400 35,788
Cone Mills Corporation 4,900 42,263
Conning Corporation 2,100 40,950
+ Consolidated Freightways Corporation 3,400 47,388
+ Consolidated Products, Inc. 3,450 72,881
+ Cooper Companies, Inc. 900 32,794
Coors (Adolph) Co. (Class B) 2,400 81,600
+ Corn Products International Inc. 2,800 94,850
+ Corporate Express Inc. 8,100 102,769
+ Coulter Pharmaceutical Inc. 1,300 39,488
Cousins Properties, Inc. 2,100 62,738
+ Covance, Inc. 5,582 125,595
+ Coventry Health Care Inc. 5,400 78,975
+ Cox Radio, Inc. (Class A) 1,200 51,900
Crawford & Company (Class B) 3,200 60,000
+ Credence Systems Corp. 1,700 32,300
Cross Timbers Oil Company 4,928 93,940
Cullen/Frost Bankers, Inc. 1,700 92,225
+ Curative Health Services, Inc. 1,100 31,350
+ Cylink Corporation 3,300 39,600
+ Cymer, Inc. 3,019 48,681
+ Cypress Semiconductor Corporation 6,100 50,706
+ Cytyc Corporation 1,800 29,363
+ DII Group, Inc. 2,400 40,950
D & N Financial Corporation 2,300 61,669
+ DSP Communications, Inc. 4,181 57,489
Dain Rauscher Corporation 800 43,800
+ Dal-Tile International Inc. 5,140 50,436
Dallas Semiconductor Corporation 1,500 46,547
Dames & Moore Group 2,800 36,050
+ Data General Corporation 4,600 68,713
+ Data Transmission Network Corp. 1,200 48,000
+ Datascope Corp. 1,800 47,813
+ Datastream Systems, Inc. 1,600 30,500
+ Delco Remy International Inc. 3,500 45,063
+ Delphi Financial Group, Inc. (Class A) 2,346 132,109
Deltic Timber Corporation 1,500 37,594
+ Dendrite International, Inc. 900 33,863
+ Department 56, Inc. 2,481 88,076
Devon Energy Corporation 971 33,924
Devry, Inc. 4,000 87,750
Dexter Corporation (The) 2,200 69,988
+ Dialogic Corporation 900 26,775
+ Diamond Multimedia Systems, Inc. 3,800 26,006
+ Digital Microwave Corp. 4,585 33,241
Dime Community Bancorp, Inc. 2,300 63,825
Dimon, Inc. 4,700 52,875
+ Dionex Corporation 2,000 52,750
+ Documentum, Inc. 1,194 57,312
+ Dollar Thrifty Automotive Group, Inc. 2,500 33,125
+ Dominick's Supermarkets, Inc. 875 38,992
Donaldson Company, Inc. 2,800 66,150
+ Doubleclick Inc. 1,300 64,594
+ Downey Savings & Loan Association 1,995 65,212
+ Dress Barn, Inc. (The) 1,600 39,800
Dreyers Grand Ice Cream, Inc. 1,800 36,225
+ Duane Reade Inc. 1,600 48,000
+ Dura Pharmaceuticals, Inc. 3,300 73,838
+ Dycom Industries, Inc. 1,200 40,500
Dynex Capital, Inc. 6,400 71,200
+ e.spire Communications Inc. 4,200 94,763
E'Town Corporation 1,100 41,250
+ E* Trade Group, Inc. 2,900 66,519
+ EEX Corporation 7,600 71,250
+ Eagle Hardware & Garden, Inc. 2,600 60,125
Earthgrains Company (The) 2,010 112,309
+ EarthLink Network, Inc. 600 46,050
Eastern Enterprises 2,100 90,038
+ Eastern Environmental Services Inc. 1,800 61,200
Eastern Utilities Associates 3,100 81,375
Eaton Vance Corp. 2,200 101,888
+ El Paso Electric Company 8,200 75,338
Elcor Corp. 1,350 34,088
+ Elder-Beerman Stores Corp. 1,700 45,369
+ Electroglas, Inc. 2,900 37,881
+ Electronics For Imaging Inc. 4,100 86,613
+ Emmis Broadcasting Corp. (Class A) 1,300 62,156
Empire District Electric Company (The) 3,800 79,325
Energen Corporation 5,100 102,638
Enesco Group Inc. 1,940 59,655
Enhanced Financial Services Group, Inc. 1,362 45,968
+ Entremed Inc. 1,000 33,250
+ Envoy Corporation 1,800 85,275
+ Enzo Biochem, Inc. 2,335 31,231
Equitable Resources, Inc. 2,400 73,200
Equity Inns Inc. 6,400 84,400
+ Essex International Inc. 2,267 53,558
+ Esterline Technologies Corporation 2,400 49,350
+ Etec Systems, Inc. 2,092 73,612
Excel Realty Trust, Inc. 3,600 103,725
+ Excite, Inc. 1,000 93,500
Executive Risk Inc. 1,265 93,294
Exide Corporation 1,825 30,683
+ Exodus Communications Inc. 1,100 49,225
Expeditors International of
Washington, Inc. 2,589 113,916
+ Express Scripts, Inc. (Class A) 1,100 88,000
+ Extended Stay America, Inc. 4,800 54,000
12 & 13
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
SCHEDULE OF INVESTMENTS (continued)
Merrill Lynch Small Cap Index Series (continued)
- --------------------------------------------------------------------------------
Shares Value
Issue Held (Note 1a)
================================================================================
COMMON STOCKS
(continued)
+ F & M National Corp. 2,600 $ 75,400
FBL Financial Group, Inc. (Class A) 3,800 97,375
F.N.B. Corporation 1,575 52,566
+ FSI International, Inc. 2,400 23,250
+ Fabri-Centers of America, Inc. (Class A) 1,500 41,063
Fair Isaac & Company, Inc. 1,400 53,200
+ Fairfield Communities, Inc. 3,500 67,156
+ FelCor Suite Hotels, Inc. 2,900 90,988
Ferro Corporation 3,809 96,415
Fidelity National Financial, Inc. 3,390 134,964
Fifth Third Bancorp 1,256 79,128
+ FileNet Corporation 3,566 102,968
Fingerhut Companies, Inc. 4,111 135,663
First American Financial Corporation 2,084 187,560
First Brands Corporation 2,700 69,188
First Citizens Bancshares, Inc. 800 80,050
First Commonwealth Financial Corp. 3,600 101,700
First Colorado Bancorp. Inc. 1,900 52,725
First Financial Bancorp 2,980 77,108
First Industrial Realty Trust, Inc. 3,900 123,825
First Midwest Bancorp, Inc. 1,900 83,541
First Savings Bank of Washington
Bancorp, Inc. 3,100 78,275
+ First Sierra Financial Inc. 1,300 39,650
First Western Bancorp, Inc. 2,900 85,369
FirstBank Puerto Rico 5,148 133,848
Firstbank of Illinois Co. 2,800 117,600
Fleming Companies, Inc. 3,700 64,981
+ Florida Panthers Holdings Inc. (Class A) 3,787 74,557
Florida Rock Industries, Inc. 1,700 49,619
Flowserve Corporation 3,532 86,976
+ Foodmaker, Inc. 4,986 84,139
+ Footstar, Inc. 2,790 133,920
+ Forcenergy Inc. 1,400 24,938
Foremost Corporation of America 1,800 43,425
+ Forest Oil Corporation 3,100 44,369
Foster Wheeler Corporation 2,400 51,450
Franchise Finance Corporation of America 4,700 121,906
+ Franklin Covey Co. 3,600 69,300
+ Freedom Securities Corp. 1,500 27,188
+ Friedman Billings Ramsey Group Inc. 3,000 43,313
+ Fritz Companies, Inc. 3,600 48,150
Frontier Insurance Group, Inc. 2,420 54,601
Fuller (H.B.) Company 971 53,830
Fund American Enterprises Inc. 600 88,800
Furon Company 2,600 47,125
G & K Services, Inc. (Class A) 1,700 74,163
+ GC Companies, Inc. 900 46,688
+ Galey & Lord, Inc. 2,300 34,213
Gallagher (Arthur J.) & Co. 2,200 98,450
+ Garden Ridge Corp. 2,600 50,375
+ Gaylord Container Corp. 6,200 47,663
+ GelTex Pharmaceuticals, Inc. 1,900 35,388
GenCorp, Inc. 2,125 53,656
General Cable Corp. 2,550 73,631
General Chemical Group, Inc. (The) 2,300 63,825
+ General Magic Inc. 2,800 34,475
+ Genesco Inc. 3,600 58,725
+ Genesis Health Ventures, Inc. 2,300 57,500
+ GenRad, Inc. 2,700 53,325
+ Gentex Corporation 6,400 116,000
Geon Company (The) 2,800 64,225
Georgia Gulf Corporation 2,700 61,594
Gerber Scientific, Inc. 3,500 79,625
+ Getchell Gold Corp. 3,400 51,000
+ Getty Images Inc. 2,300 51,175
+ Gibson Greetings, Inc. 2,500 62,500
+ Gilead Sciences, Inc. 2,849 91,346
+ Glenayre Technologies, Inc. 5,789 62,232
Glimcher Realty Trust Inc. 4,500 87,469
+ Global DirectMail Corp. 1,459 18,420
+ Global Industrial Technologies, Inc. 3,900 56,063
+ Grand Casino, Inc. 3,700 61,975
Gray Comm Systems Inc. 1,700 55,038
Great Atlantic & Pacific Tea Company,
Inc. (The) 1,755 58,025
Greater Bay Bancorp 1,500 52,031
+ Greif Brothers Corporation (Class A) 2,100 78,488
Grent Pee Dee Bancorp Inc. 4,300 74,713
+ Griffon Corporation 6,000 76,875
+ Group Maintenance America Corp. 2,700 48,600
+ Gtech Holdings Corporation 2,800 94,325
Guaranty Life Company 1,400 30,625
+ Guitar Center Inc. 2,444 73,626
+ Gymboree Corp. 1,800 27,281
+ HA-LO Industries, Inc. 2,200 68,475
HCC Insurance Holdings, Inc. 3,655 80,410
+ HMT Technology Corporation 4,382 36,699
+ HNC Software Inc. 1,900 77,544
+ HS Resources Inc. 4,000 58,250
HSB Group Inc. 2,587 138,404
HUBCO, Inc. 2,327 83,336
+ Hadco Corporation 1,300 30,306
+ Haemonetics Corporation 2,700 43,200
+ Hain Food Group Inc. 1,300 33,638
+ Hambrecht & Quist Group 1,700 61,731
Hancock Fabrics, Inc. 8,070 100,875
Hancock Holding Co. 1,000 53,000
+ Handleman Company 6,270 72,105
Hanna (M.A.) Company 4,200 76,913
+ Hanover Compressor Co. 2,100 56,831
+ Harbinger Corp. 2,984 72,176
+ Harken Energy Corporation 10,200 49,088
Harland (John H.) Co. (The) 3,640 61,653
Harman International Industries, Inc. 1,800 69,300
+ Hartmarx Corporation 4,800 36,300
Hawaiian Electric Industries, Inc. 2,800 111,125
+ Hayes Lemmerz International Inc. 3,092 122,907
+ Headlands Mortgage Co. 2,500 46,875
Health Care Property Investors, Inc. 2,400 86,550
+ Healthcare Financial Partners Inc. 1,100 67,444
Healthcare Realty Trust Inc. 2,900 79,025
Healthplan Services Corporation 2,400 42,000
+ Hecla Mining Company 8,000 42,500
Heilig-Meyers Company 5,800 71,413
Helix Technology Corporation 2,300 34,500
Helmerich & Payne, Inc. 3,300 73,425
Henry (Jack) & Associates 2,400 82,500
+ Henry Schein, Inc. 1,200 55,350
+ Hexcel Corporation 2,100 47,512
+ Highlands Insurance Group, Inc. 2,300 42,550
+ Hollywood Park, Inc. 2,500 31,562
+ Hologic, Inc. 1,900 34,556
+ Horizon Group Properties, Inc. 200 1,319
Hospitality Properties Trust 2,570 82,561
+ Host Marriott Corporation 4,100 59,706
Houghton Mifflin Company 2,700 85,725
Hughes Supply, Inc. 1,850 67,756
+ Human Genome Sciences, Inc. 2,200 78,512
Hussman International Inc. 4,400 81,675
+ Hutchinson Technology, Inc. 2,040 55,590
+ Hyperion Software Corp. 2,378 67,773
+ ICG Communications, Inc. 3,600 131,625
+ ICOS Corporation 3,600 68,850
+ IDEC Pharmaceuticals Corporation 1,655 38,996
IDEX Corp. 2,900 100,050
+ IDEXX Laboratories, Inc. 3,900 97,012
+ IDT Corporation 1,500 45,094
+ IHOP Corp. 2,000 81,500
+ INTERSOLV, Inc. 2,300 36,944
IRT Property Company 8,400 92,400
ITC/DeltaCom Inc. 2,200 94,016
IVAX Corporation 7,200 66,600
+ IXC Communications, Inc. 1,880 91,180
+ Igen International Inc. 1,000 40,875
+ Imation Corp. 4,906 81,256
+ ImClone Systems Incorporated 2,600 31,850
+ Immune Response Corporation (The) 2,400 36,000
+ Imperial Bancorp 3,400 102,000
Imperial Credit Commercial Mortgage Investment Corp. 3,900 50,944
+ Imperial Credit Industries, Inc. 2,300 54,050
+ Inacom Corp. 1,600 50,800
+ Incyte Pharmaceuticals, Inc. 2,000 68,250
Independent Bank Corporation 3,100 60,062
Indiana Energy, Inc. 600 17,925
+ Industri-Matematik International Corp. 2,711 29,652
+ Information Resources, Inc. 4,470 82,695
+ Informix Corp. 4,800 37,950
+ Infoseek Corporation 2,000 71,750
+ Inhale Therapeutic Systems 1,555 38,486
+ Inland Steel Industries, Inc. 3,400 97,219
+ Inprise Corporation 4,800 35,400
+ Input/Output, Inc. 3,892 69,326
+ Insight Enterprises Inc. 900 36,000
+ Insignia Financial Group, Inc. (Class A) 2,300 56,350
+ Insituform Technologies, Inc. (Class A) 3,500 48,453
+ Integrated Device Technology, Inc. 7,365 52,706
+ Integrated Process Equipment Corp. 2,500 28,125
+ Integrated Systems Inc. 1,945 29,904
Inter-Tel Inc. 2,000 32,000
Interface, Inc. (Class A) 4,986 100,655
+ Intergraph Corporation 4,100 35,106
+ Interim Services, Inc. 5,641 181,217
International Multifoods Corporation 1,900 52,250
+ International Network Services 2,300 94,300
+ International Rectifier Corporation 5,600 47,600
International Speedway Corp. 2,200 62,562
+ International Telecommunications Data
Systems, Inc 1,200 34,800
Invacare Corporation 3,775 96,734
Investors Financial Services Corporation 1,100 58,300
+ Ionics, Incorporated (Ordinary) 1,272 46,905
Irvine Apartment Communities, Inc. 1,625 47,023
14 & 15
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
SCHEDULE OF INVESTMENTS (continued)
Merrill Lynch Small Cap Index Series (continued)
- --------------------------------------------------------------------------------
Shares Value
Issue Held (Note 1a)
================================================================================
COMMON STOCKS
(continued)
+ Isis Pharmaceuticals, Inc. 2,900 $ 39,694
J.B. Hunt Transport Services, Inc. 1,800 64,125
+ JDA Software Group, Inc. 1,100 48,125
JLG Industries, Inc. 4,892 98,757
+ Jabil Circuit, Inc. 1,600 52,900
+ Jacobs Engineering Group, Inc. 2,100 67,462
Jefferies Group, Inc. 1,900 77,900
John Alden Financial Corporation 2,800 61,600
Jones Pharma Inc. 1,483 49,032
Jostens, Inc. 3,600 86,850
+ Journal Register Company 4,988 83,549
Juno Lighting, Inc. 3,000 70,875
+ Just For Feet, Inc. 2,802 79,857
K2, Inc. 2,500 44,062
KCS Energy, Inc. 2,700 30,881
Kaman Corporation (Class A) 4,200 79,931
Kaufman and Broad Home Corporation 3,700 117,475
Kaydon Corporation 3,293 116,284
Kellwood Company 2,800 100,100
Kelly Services, Inc. 1,700 60,137
+ Kemet Corporation 4,500 59,203
+ Kent Electronics Corporation 3,683 67,445
Kimball International, Inc. 4,600 83,375
+ Kirby Corporation 3,400 85,850
+ Knoll, Inc. 777 22,921
Koger Equity Inc. 4,100 82,769
Kuhlman Corporation 1,950 77,147
+ Kulicke and Soffa Industries, Inc. 2,300 39,100
+ LCC International Inc. (Class A) 2,000 37,000
LNR Property Corp. 2,500 64,062
LTC Porperties, Inc. 7,600 141,550
LTV Corporation (The) 6,900 65,981
La-Z-Boy Chair Company 1,200 67,800
+ Labor Ready Inc. 1,500 45,281
+ Laidlaw Environmental Services, Inc. 13,720 49,735
+ Lam Research Corporation 2,700 51,637
Lance, Inc. 1,600 35,800
+ Landry's Seafood Restaurants, Inc. 2,762 49,975
+ Lands' End, Inc. 1,069 33,807
+ Landstar System, Inc. 2,900 101,319
+ LaSalle Partners Inc. 1,600 71,200
+ Lason Inc. 1,000 54,500
+ Lattice Semiconductor Corporation 1,300 36,928
+ Legato Systems, Inc. 3,385 132,015
+ Level One Communications, Inc. 3,014 70,829
Lexington Corporate Properties Trust 6,400 93,600
Libbey, Inc. 1,459 55,898
Life Re Corp. 1,394 114,308
Life Technologies, Inc. 1,100 34,512
+ Ligand Pharmaceuticals 4,100 52,787
Lilly Industries, Inc. (Class A) 4,000 86,500
Lindsay Manufacturing Co. 2,700 73,237
+ Linens `N Things 2,605 79,615
+ Littelfuse, Inc. 3,000 75,750
+ Lo-Jack Corp. 2,685 33,395
+ Local Financial Corp. 4,400 57,200
Lomak Petroleum, Inc. 3,185 33,243
Lone Star Industries, Inc. 1,600 123,300
+ Lone Star Steakhouse & Saloon, Inc. 3,300 45,581
+ Lone Star Technologies, Inc. 2,525 38,506
Longs Drug Stores Corp. 2,900 83,737
Longview Fibre Company 5,000 71,250
Luby's Cafeterias, Inc. 4,000 70,250
Lufkin Industries Inc. 1,800 59,400
+ Lycos Inc. 1,340 101,002
+ Lydall, Inc. 3,400 49,512
MAF Bancorp, Inc. 2,050 74,569
M.D.C. Holdings, Inc. 2,600 51,350
MDU Resources Group, Inc. 3,600 128,475
+ MMC Networks, Inc. 2,400 76,500
MMI Companies Inc. 1,600 37,000
+ MRV Communications Inc. 1,940 40,255
MacDermid, Inc. 2,000 56,500
Macerich Company (The) 3,300 96,731
+ Macromedia Inc. 4,072 76,095
Madison Gas & Electric Company 3,000 47,640
+ Magellan Health Services, Inc. 3,293 83,560
+ Magnetek, Inc. 3,000 47,250
+ Mail-Well Holdings Inc. 2,850 61,809
Manitowoc Company, Inc. (The) 2,283 92,033
Manufactured Home Communities, Inc. 2,900 69,962
+ Manugistics Group, Inc. 1,595 39,476
Marcus Corporation (The) 5,195 92,861
+ Marine Drilling Companies, Inc. 4,788 76,608
+ Marine Transportation Corp. 510 2,072
+ Mariner Health Group, Inc. 3,200 53,200
Mark IV Industries, Inc. 3,200 69,200
+ Marquette Medical Systems, Inc. 2,000 51,312
+ Marshall Industries 2,789 76,000
Mascotech, Inc. 2,600 62,400
Matthews International Corporation 3,600 88,425
Maxim Group Inc. 2,000 39,750
McClatchy Newspapers, Inc. (Class A) 2,400 83,100
McDonald's & Company Investments 2,400 78,750
+ Medaphis Corp. 7,940 68,625
+ Medical Assurance, Inc. 2,310 64,102
+ Medicis Pharmaceutical Corp. 1,240 45,260
+ Medimmune, Inc. 2,388 148,951
Medusa Corporation 2,100 131,775
+ Men's Wearhouse, Inc. (The) 2,555 84,298
Mentor Corporation 2,527 61,280
+ Mentor Graphics Corporation 6,885 72,723
+ Mercury Interactive Corp. 1,725 76,978
Merrill Corporation 2,100 46,331
+ Metamor Worldwide, Inc. 2,900 102,044
Methode Electronics, Inc. (Class A) 3,900 60,450
+ Metro Networks, Inc. 1,800 77,625
Metromedia International Group, Inc. 3,900 46,556
+ Mettler-Toledo Holding Inc. 3,400 68,212
+ Michaels Stores, Inc. 2,200 77,619
+ Micrel Inc. 845 27,462
+ Micro Warehouse Inc. 3,300 51,150
+ Microchip Technology Inc. 3,900 101,887
+ Micromuse Inc. 1,000 40,812
+ Micron Electronics, Inc. 2,600 31,362
+ Micros Systems, Inc. 2,200 72,806
Mid Am, Inc. 4,670 117,917
+ Mid Atlantic Medical Services, Inc. 5,238 60,237
Midas Inc. 2,200 44,275
+ Midway Games, Inc. 2,874 44,906
+ Midwest Express Holdings Inc. 1,459 52,798
+ Millennium Pharmaceuticals Inc. 3,125 44,141
+ Miller Industries Inc. 4,140 32,085
Mills Corp. 2,400 57,600
+ Mindspring Enterprises Inc. 500 51,437
Minerals Technologies, Inc. 2,190 111,416
Minnesota Power & Light Company 3,100 123,225
Mississippi Chemical Corporation 3,500 57,531
Modine Manufacturing Company 2,300 79,637
Morgan Keegan, Inc. 3,701 95,763
+ Motivepower Industries Inc. 1,370 33,565
+ Mueller Industries, Inc. 3,984 147,906
+ Musicland Stores Corporation 3,200 44,800
+ Mycogen Corp. 2,700 64,884
+ N2K Inc. 1,500 29,437
NAC Re Corp. 971 51,827
NACCO Industries, Inc. (Class A) 655 84,659
+ NBTY, Inc. 5,747 105,601
+ NCS Healthcare, Inc. (Class A) 2,100 59,850
+ NFO Worldwide, Inc. 2,740 48,977
NL Industries, Inc. (New Shares) 1,651 33,020
+ NTL Inc. 2,850 152,475
National Computer System, Inc. 3,590 86,160
+ National Data Corporation 1,265 45,224
National Instruments Corp. 2,200 96,250
National R V Holdings Inc. 800 36,100
+ National Steel Corp. 3,200 38,000
+ National Surgery Centers, Inc. 1,700 49,406
Nationwide Health Properties, Inc. 4,200 100,275
+ Natural Microsystems Corp. 1,200 19,200
Natures Sunshine Products, Inc. 2,000 45,125
+ Nautica Enterprises, Inc. 3,600 96,525
+ Navigant International Inc. 986 8,381
+ Network Appliance, Inc. 2,790 108,634
+ Network Equipment Technologies, Inc. 3,600 56,475
+ Neurex Corporation 2,102 63,848
Nevada Power Company 4,600 118,450
+ New England Business Service, Inc. 2,100 67,725
New Plan Realty Trust 5,200 127,400
+ Newfield Exploration Co. 2,623 65,247
+ Newpark Resources, Inc. 5,809 64,625
Newport News Shipbuilding Inc. 3,800 101,650
Nordson Corporation 1,600 75,200
Norrell Corp. 1,457 29,049
+ North Face Inc. 1,900 45,600
Northwest Natural Gas Company 1,600 44,750
Northwestern Corporation 4,200 105,000
+ Nova Corporation 2,133 76,255
+ Novacare Employee Services Inc. 3,500 33,250
+ NovaCare, Inc. 5,800 68,150
+ Novellus Systems, Inc. 2,400 85,650
+ Nuevo Energy Co. 1,855 59,592
OEA, Inc. 2,125 34,000
O M Group Inc. 2,978 122,842
+ OMI Corp. 5,100 40,800
ONEOK, Inc. 2,500 99,687
+ Oak Industries, Inc. 2,583 91,374
Oakwood Homes Corporation 5,383 161,490
+ Oceaneering International, Inc. 3,700 65,675
+ Offshore Logistics, Inc. 4,100 72,775
Old National Bancorp 3,335 159,246
Olsten Corporation (The) 5,000 55,937
Omega Healthcare Investors, Inc. 2,710 95,189
+ Omnipoint Corporation 3,025 69,386
16 & 17
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
SCHEDULE OF INVESTMENTS (continued)
Merrill Lynch Small Cap Index Series (continued)
- --------------------------------------------------------------------------------
Shares Value
Issue Held (Note 1a)
================================================================================
COMMON STOCKS
(continued)
Omniquip International Inc. 1,855 $ 34,317
+ On Assignment, Inc. 1,700 59,394
One Valley Bancorp, Inc. 2,850 103,669
+ O'Reilly Automotive, Inc. 2,000 72,000
Oregon Steel Mills, Inc. 3,300 61,462
+ Organogenesis, Inc. 2,915 57,571
Oriental Financial Group Inc. 1,410 51,994
+ Orthodontic Center 4,075 85,320
Otter Tail Power Company 1,700 63,006
Overseas Shipholding Group, Inc. 3,400 69,275
Owens & Minor, Inc. 4,400 44,000
+ Oxford Health Plans, Inc. 6,000 91,875
+ P-COM, Inc. 4,282 39,207
+ PETsMART, Inc. 8,300 83,000
+ PFF Bancorp, Inc. 3,100 57,737
P.H. Glatfelter Company 2,400 37,950
+ PJ America Inc. 2,500 45,625
+ PMC-Sierra, Inc. 3,375 158,203
+ PMT Services, Inc. 4,692 119,353
+ PRI Automation, Inc. 1,500 25,594
+ PSINet, Inc. 5,107 66,391
+ PSS World Medical, Inc. 6,111 89,373
+ Pacific Gateway Exchange Inc. 973 38,981
+ Pacific Sunwear of California 2,250 78,750
Pairgain Technologies, Inc. 5,400 94,162
+ Palm Harbor Homes, Inc. 1,325 56,478
+ Panavision Inc. 118 3,097
+ Papa John's International, Inc. 2,032 80,137
+ Paragon Health Network, Inc. 3,748 60,436
+ Parexel International Corporation 2,040 74,205
Park Electrochemical Corporation 2,800 59,150
+ Parker Drilling Company 6,500 45,906
Parkway Properties Inc. 2,500 73,750
+ PathoGenesis Corp. 1,540 44,660
+ Patterson Dental Co. 2,623 96,067
+ Paxar Corporation 3,037 34,925
+ Pediatrix Medical Group, Inc. 1,167 43,398
+ Pegasus Communications Corp. 1,900 39,900
+ Pegasus Systems, Inc. 1,300 33,312
Penn Corp. Financial Group, Inc. 2,510 51,455
+ Perrigo Co. 6,600 66,412
+ Personnel Group of America, Inc. 3,000 60,000
+ Petco Animal Supplies, Inc. 2,755 54,928
+ Pharmaceutical Product Development, Inc. 2,590 56,980
+ Pharmacyclics Inc. 1,400 33,250
Phillips-Van Heusen Corp. 4,000 59,000
Phoenix Investment Parners, Ltd. 7,100 61,681
+ Photronics, Inc. 1,361 30,027
+ PhyCor, Inc. 5,100 84,469
+ Physio-Control International Corp. 2,600 68,412
+ Picturetel Corp. 5,600 51,800
Piedmont Natural Gas Company, Inc. 3,300 110,962
+ Pinnacle Systems, Inc. 900 29,137
Pioneer Group, Inc. 2,300 60,519
Pioneer Standard Electronics 5,100 49,087
Pittston Minerals Group 2,900 45,131
+ Plantronics, Inc. 1,600 82,400
+ Platinum Software Corporation 1,700 41,437
+ Playboy Enterprises, Inc. (Class B) 2,500 44,375
+ Playtex Products, Inc. 2,190 34,903
Pogo Producing Company 2,400 60,300
Polaris Industries, Inc. 2,500 94,062
+ Polymer Group, Inc. 5,300 61,612
+ Pool Energy Services Co. 2,900 42,775
Precision Castparts Corporation 1,600 85,400
Premier Bancshares Inc. 1,700 45,050
+ Premier Parks Inc. 1,119 74,553
+ Premiere Technologies, Inc. 2,400 19,912
+ Premisys Communications, Inc. 2,592 64,476
+ Prepaid Legal Services, Inc. 2,193 69,216
Presidential Life Corporation 2,000 42,750
+ Preview Travel Inc. 1,200 41,250
Price Enterprises, Inc. 8,000 147,000
+ Pride Petroleum Services, Inc. 4,222 71,510
+ Primark Corp. 2,061 64,535
+ Prime Hospitality Corp. 4,800 83,700
Prime Retail, Inc. 2,865 34,201
Prime Retail, Inc. (Preferred) 960 19,680
Primex Technologies Inc. 1,000 51,250
+ Priority Healthcare Corp. (Class B) 2,000 36,250
+ Progress Software Corporation 2,200 90,200
+ Protein Design Labs, Inc. 1,840 44,332
Provident Bankshares Corp. 2,773 81,803
Public Service Company of New Mexico 5,000 113,437
Pulte Corp. 1,400 41,825
+ QRS Corporation 1,000 37,625
+ Quadramed Corp. 1,300 35,506
Quaker State Corporation 4,340 71,067
Quanex Corporation 2,500 75,781
Queens County Bancorp, Inc. 1,500 65,437
+ Quest Diagnostics Incorporated 3,055 66,828
+ RCN Corporation 2,400 46,350
+ REMEC, Inc. 1,900 21,612
RFS Hotel Investors, Inc. 3,725 70,775
+ Ralcorp Holdings Inc. 3,802 71,763
+ Rambus Inc. 875 53,484
+ Rational Software Corporation 7,662 116,845
+ Rayovac Corp. 2,600 58,987
+ Read-Rite Corp. 4,800 43,500
+ Realnetworks Inc. 800 29,850
Realty Income, Corp. 3,800 100,225
Reckson Associates Realty Corp. 3,600 85,050
+ Reckson Service Industries, Inc. 960 3,180
+ Recoton Corporation 1,200 40,200
+ Red Roof Inns, Inc. 3,800 64,362
Regal-Beloit Corp. 3,000 85,500
Regency Realty Corp. 3,000 75,375
+ Regeneron Pharmaceuticals, Inc. 2,900 26,734
Regis Corporation 1,900 56,169
Reinsurance Group of America 2,600 153,725
Reliance Bancorp, Inc. 1,400 53,637
Reliance Steel & Aluminum Co. 1,022 39,475
+ Remedy Corp. 2,670 45,390
+ Renaissance Worldwide, Inc. 1,800 39,150
+ Renal Care Group, Inc. 2,787 122,802
+ Rent-Way Inc. 1,200 36,600
+ Renters Choice, Inc. 1,800 51,075
Republic Bancorp Inc. 3,200 60,400
+ Respironics, Inc. 2,400 37,350
Richfood Holdings Inc. (Class A) 4,977 102,962
Riggs National Corporation 6,334 185,071
+ Rio Hotel & Casino, Inc. 2,200 41,525
+ Risk Capital Holdings, Inc. 2,700 67,331
Rochester Gas and Electric Corporation 3,600 114,975
Rock-Tenn Co. (Class A) 4,200 52,762
Rollins, Inc. 2,640 54,120
Rollins Truck Leasing Corp. 7,650 94,669
+ Romac International, Inc. 4,227 128,395
Roper Industries Inc. 3,586 93,684
Roslyn Bancorp, Inc. 4,300 95,944
Ruby Tuesday, Inc. 4,746 73,563
Ruddick Corporation 2,700 48,937
+ Rural/Metro Corp. 2,200 28,600
+ Ryan's Family Steak House, Inc. 8,100 82,519
Ryland Group, Inc. (The) 4,200 110,250
+ S3 Inc. 7,100 35,944
+ SCM Microsystems Inc. 900 56,250
SCPIE Holdings Inc. 2,400 81,300
+ SEACOR SMIT, Inc. 1,600 98,100
SEI Corporation 1,488 92,256
SEMCO Energy, Inc. 1 13
+ SFX Broadcasting Inc. (Class A) 1,100 50,394
+ SLH Corp. 1,600 29,200
+ SLI Inc. 1,350 35,269
+ SMART Modular Technologies, Inc. 2,400 35,100
+ SPS Technologies, Inc. 1,984 116,064
+ SPX Corp. 1,167 75,125
+ SS&C Technologies Inc. 1,100 25,025
+ Safeguard Scientifics, Inc. 2,646 110,305
+ Samsonite Corp. 873 9,385
+ SanDisk Corporation 2,400 33,150
+ SangStat Medical Corp. 1,900 59,612
+ Santa Fe Energy Resources, Inc. 5,800 62,350
+ Scholastic Corp. 1,200 47,850
+ School Specialty Inc. 1,096 17,947
Schulman (A.), Inc. 3,900 76,294
Schweitzer-Mauduit International, Inc. 2,467 71,543
+ Scios Inc. 4,600 40,825
Scotsman Industries, Inc. 2,200 61,050
+ Scotts Co. (The) 3,300 122,925
+ Seagull Energy Corporation 4,000 66,250
+ Security Dynamics Technologies, Inc. 2,900 53,650
+ Seitel, Inc. 3,400 55,037
Selective Insurance Group, Inc. 4,000 89,625
Sensormatic Electronics Corp. 5,000 70,000
+ Sepracor, Inc. 2,611 108,356
+ Sequa Corporation (Class A) 700 46,725
+ Sequent Computer Systems, Inc. 4,300 51,869
+ Sequus Pharmaceuticals, Inc. 5,400 61,425
+ Serologicals Corporation 1,800 58,050
+ Service Experts, Inc. 1,500 51,750
+ Shiva Corporation 4,600 38,525
+ ShopKo Stores, Inc. 1,994 67,796
+ Showbiz Pizza Time, Inc. 1,847 74,457
+ Sierra Health Services, Inc. 2,185 55,035
Sierra Pacific Resources 4,100 148,881
Sigcorp, Inc. 3,000 96,187
+ Silgan Holdings, Inc. 2,000 56,000
+ Silicon Valley Bancshares 3,100 110,341
+ Silicon Valley Group, Inc. 2,900 46,581
+ Siliconix Inc. 1,300 31,850
+ Sitel Corporation 5,873 38,909
Skyline Corporation 2,500 81,562
Skytel Communications Inc. 4,500 105,187
18 & 19
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
SCHEDULE OF INVESTMENTS (continued)
Merrill Lynch Small Cap Index Series (continued)
- --------------------------------------------------------------------------------
Shares Value
Issue Held (Note 1a)
================================================================================
COMMON STOCKS
(continued)
Smith (A.O.) Corp. 1,000 $ 51,687
Smith (Charles E) Residential Realty, Inc. 2,500 80,000
+ Smithfield Foods, Inc. 2,700 82,350
Smucker J.M. Company (The) (Class A) 3,000 74,437
Snyder Oil Corp. 4,973 99,149
+ Software AG Systems Inc. 2,400 70,200
+ Sola International, Inc. 2,490 81,392
+ Sonic Corp. 2,400 53,700
Sothebys Holdings, Inc. 3,500 78,312
Southern Peru Copper Corporation 5,900 76,700
+ Southwest Bancorporation of Texas, Inc. 3,300 62,081
Southwestern Energy Company 6,700 61,556
Specialty Teleconstructors, Inc. 800 29,600
+ Sports Authority, Inc. (The) 3,690 55,119
+ Sportsline USA Inc. 1,200 43,875
Springs Industries, Inc. (Class A) 1,325 61,116
St. John Knits, Inc. 2,190 84,589
St. Mary Land & Exploration Company 2,200 53,075
St. Paul Bancorp Inc. 3,200 72,300
+ Staff Leasing Inc. 1,600 47,200
+ StaffMark, Inc. 1,588 58,160
+ Stage Stores, Inc. 2,310 104,527
Standard Pacific Corp. 6,300 129,937
Standard Products Company (The) 3,100 87,187
+ Star Telecommunications 1,500 33,562
Staten Island Bancorp Inc. 4,400 100,100
+ Steel Dynamics, Inc. 2,800 38,850
Sterling Bancshares, Inc. 3,800 59,850
Stewart & Stevenson Services, Inc. 3,100 55,800
+ Stillwater Mining Co. 2,470 66,999
Stone & Webster, Inc. 1,200 47,550
Stone Energy Corporation 1,500 53,343
Storage Realty Trust Inc. 4,000 93,500
Storage USA, Inc. 3,200 112,000
+ Stratus Computer, Inc. 2,493 63,104
Stride Rite Corp. (The) 5,600 84,350
+ Structural Dynamics Research Corp. 3,292 76,127
Sturm, Ruger & Company, Inc. 2,700 45,225
Summit Properties, Inc. 4,300 81,431
+ Sun Healthcare Group, Inc. 4,100 59,962
+ Sunglass Hut International, Inc. 6,074 67,194
+ Sunrise Assisted Living, Inc. 800 27,500
+ Sunrise Medical, Inc. 2,700 40,500
Superior Industries International, Inc. 2,500 70,469
+ Superior Services, Inc. 2,300 69,144
Susquenhanna Bancshares, Inc. 3,100 115,862
+ Swift Energy Company 2,170 34,584
+ Swift Transportation Co., Inc. 1,894 37,525
+ Sybase, Inc. 6,000 41,813
+ Sylvan Learning Systems, Inc. 2,798 91,634
+ Symantec Corp. 5,600 146,300
+ Synetic Inc. 1,765 100,605
+ Systems & Computer Technology Corp. 3,188 86,076
+ TETRA Tech, Inc. 2,750 66,687
TJ International, Inc. 2,700 81,000
TNP Enterprises, Inc. 2,700 83,362
TR Financial Corporation 2,100 87,937
+ Tava Technologies Inc. (Class A) 2,400 23,700
+ Techne Corporation 2,400 45,750
Technitrol, Inc. 1,625 64,898
+ Technology Solutions Co. 2,750 87,141
+ Tel-Save Holdings 3,700 54,575
+ Telemundo Group Inc. (Class A) 1,500 63,844
Telxon Corporation 2,500 80,937
Tennant Co. 1,700 75,225
Terra Industries, Inc. 3,800 34,200
+ Tesoro Petroleum Corporation 2,429 38,560
Texas Industries, Inc. 2,100 111,300
Texas Regional Bancshares, Inc. (Class A) 2,150 70,412
+ Theragenics Corporation 2,092 54,523
+ Thermo Cardiosystems Inc. 1,740 39,585
Thomas Industries, Inc. 3,600 87,975
+ Titan Exploration, Inc. 5,000 44,375
Titanium Metals Corporation 2,170 47,876
+ Toll Brothers, Inc. 3,000 86,062
+ Tom Brown, Inc. 2,910 54,744
Toro Company (The) 1,800 61,650
+ Tower Automotive, Inc. 1,600 68,600
+ Trammell Crow Co. 2,600 86,937
Trans Financial, Inc. 2,400 137,700
+ Trans World Airlines, Inc. 5,000 51,875
+ Transaction Systems Architects, Inc.
(Class A) 1,800 69,300
+ Transition Systems, Inc. 2,685 28,528
+ Transkaryotic Therapies, Inc. 2,000 51,500
+ TransMontaigne Oil Company 4,400 65,450
Trenwick Group, Inc. 2,050 79,630
+ Triad Guaranty, Inc. 1,600 54,400
Triangle Bancorp., Inc. 2,200 69,025
+ Triangle Pacific 2,500 137,500
+ Triarc Companies, Inc. (Class A) 2,041 44,774
+ Trico Marine Services, Inc. 3,000 41,062
+ Trimble Navigation Ltd. 3,600 58,275
Trinet Corporate Realty Trust, Inc. 2,970 100,980
+ Triumph Group, Inc. 1,470 61,740
Trust Company of New Jersey (The) 3,700 99,900
TrustCo Bank Corp. N.Y. 4,580 120,225
+ Tuboscope Inc. 5,273 104,142
+ Twinlab Corporation 2,000 87,375
+ Tyler Corp. 3,100 31,969
UGI Corp. (New Shares) 3,200 79,600
UMB Financial Corp. 1,765 87,367
USBancorp, Inc. 1,200 92,775
+ USCS International, Inc. 2,646 54,739
USFreightways Corp. 2,907 95,477
UST Corporation 3,200 84,800
+ U.S. Home Corporation 1,800 74,250
U.S. Trust Corporation 3,700 282,125
+ Ultratech Stepper, Inc. 1,900 37,525
+ Unicapital Corp. 4,000 76,750
Unifirst Corp. 2,500 62,500
+ Unisource Energy Corporation 3,510 55,282
United Bankshares, Inc. 4,000 136,500
United Companies Financial Corporation 2,785 43,516
United Dominion Realty Trust, Inc. 7,700 106,837
United Illuminating Company (The) 2,400 121,500
+ United International Holdings Inc.
(Class A) 4,500 72,000
+ United Rentals Inc. 1,500 63,000
+ United States Satellite Broadcasting
Company, Inc. 7,000 81,812
+ United Stationers, Inc. 1,000 64,750
+ Unitrode Corporation 2,345 26,967
Universal Corporation 1,900 71,012
Universal Foods Corporation 5,000 110,937
+ Unova, Inc. 3,100 66,844
Urban Shopping Centers, Inc. 1,100 34,650
+ Usweb Corp. 3,100 73,431
+ VLSI Technology, Inc. 3,200 53,700
+ VWR Scientific Products Corporation 1,610 39,646
+ Vail Resorts, Inc. 3,100 82,537
+ Valassis Communications, Inc. 2,300 88,694
Valmont Industries, Inc. 3,500 69,891
+ Vanguard Cellular Systems, Inc. (Class A) 4,300 81,162
+ Vanstar Corporation 4,887 71,167
+ Ventana Medical System Inc. 1,400 39,200
+ Ventas, Inc. 6,000 82,875
+ Veritas DGC Inc. 2,022 100,974
Vermont Financial Service Corp. 3,200 87,800
+ Vertex Pharmaceuticals, Inc. 2,892 65,070
Vesta Insurance Group, Inc. 899 19,160
+ Veterinary Centers of America, Inc. 2,085 39,224
+ Viasoft, Inc. 2,125 34,398
+ Vical, Inc. 1,800 30,487
+ Vicor Corporation 3,593 49,853
Vintage Petroleum, Inc. 2,331 43,998
+ Vishay Intertechnology, Inc. 3,700 66,369
+ Visio Corp. 2,190 104,572
+ Visual Networks Inc. 1,500 54,937
+ Vitalink Pharmacy Services, Inc. 1,900 41,919
+ Vivus, Inc. 3,825 23,070
+ Vlasic Foods International Inc. 2,300 46,287
WD-40 Company 2,500 67,812
+ WHX Corporation 3,200 42,200
WPS Resources Corporation 2,800 91,875
+ W.R. Grace & Co. 4,800 81,900
Wabash National Corporation 2,800 72,100
+ Wackenhut Corrections Corporation 1,200 28,050
+ Walden Residential Properties, Inc. 6,600 161,700
Wallace Computer Services, Inc. 2,900 68,875
+ Walter Industries, Inc. 2,700 51,131
+ Wang Laboratories, Inc. 3,700 94,119
+ Washington Gas Light Company 4,200 112,350
Washington Real Estate Investment Trust 2,700 46,912
Washington Water Power Company (The) 5,300 118,919
Watsco, Inc. 1,800 63,337
Watts Industries Inc. (Class A) 2,400 50,100
Wausau-Mosinee Paper Corporation 4,000 91,500
+ Wavephore Inc. 1,900 21,969
Webster Financial Corporation 2,800 93,100
Weeks Corp. 2,800 88,550
Wellman, Inc. 2,725 61,823
+ Wellsford Real Properties 3,800 53,675
Werner Enterprises, Inc. 2,721 51,869
Wesbanco, Inc. 2,900 77,937
West America Bancorp 4,800 154,200
Western Investment Real Estate Trust 6,600 90,337
+ Western Wireless Corporation 7,900 157,506
Westinghouse Air Brake Company 1,361 35,896
+ Westwood One, Inc. 2,800 70,612
+ Wet Seal, Inc. (Class A) (The) 1,355 43,360
Whitney Holding Corp. 2,500 126,875
Wicor, Inc. 4,800 111,000
20 & 21
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
SCHEDULE OF INVESTMENTS (concluded)
Merrill Lynch Small Cap Index Series (concluded)
- --------------------------------------------------------------------------------
Shares Value
Issue Held (Note 1a)
================================================================================
COMMON STOCKS
(concluded)
Wiley (John) & Sons, Inc. (Class A) 1,644 $ 100,078
+ Wind River Systems Inc. 1,993 71,499
Windmere-Durable Holdings Inc. 2,600 93,112
+ Winstar Communications, Inc. 3,000 128,812
Wisconsin Central Transportation Corp. 3,200 70,000
+ Wolverine Tube, Inc. 1,459 55,442
Wolverine World Wide, Inc. 3,000 66,000
+ Workflow Management Inc. 1,315 10,602
+ World Access, Inc. 1,900 57,000
+ World Color Press, Inc. 3,986 139,510
+ Wyman-Gordon Company 2,040 40,672
+ Wynn's International, Inc. 3,900 75,075
X-Rite, Inc. 2,800 38,325
Xtra Corporation 1,600 96,800
+ Xylan Corp. 3,400 101,362
+ Yellow Corporation 3,300 61,256
+ Young Broadcasting Inc. (Class A) 1,100 71,500
+ Zale Corporation 3,325 105,777
+ Zebra Technologies Corporation (Class A) 2,092 89,433
Zenith National Insurance Corp. 2,500 70,469
+ Zoltek Companies, Inc. 1,100 22,137
+ Zonagen Inc. 1,300 28,519
- -------------------------------------------------------------------------------
Total Common Stocks (Cost--$68,354,312)--96.7% 73,518,055
SHORT-TERM Face
OBLIGATIONS Amount Issue
=============================================================================
Commercial $2,650,000 General Motors Acceptance Corp.,
Paper* 6.50% due 7/01/1998 2,650,000
==============================================================================
Total Short-Term Obligations
(Cost--$2,650,000)--3.5% 2,650,000
==============================================================================
Total Investments (Cost--$71,004,312)--100.2% 76,168,055
Variation Margin on Financial Futures
Contracts**--0.0% 8,225
Liabilities in Excess of Other Assets--(0.2%) (144,840)
-----------
Net Assets--100.0% $76,031,440
===========
==============================================================================
+ Non-income producing security.
* Commercial Paper is traded on a discount basis; the interest
rates shown are the discount rates paid at the time of
purchase by the Series.
** Financial futures contracts purchased as of June 30, 1998 were
as follows:
See Notes to Financial Statements.
-----------------------------------------------------------------
Number of Expiration Value
Contracts Issue Date (Notes 1a & 1b)
-----------------------------------------------------------------
7 Russell 2000 September 1998 $1,618,225
-----------------------------------------------------------------
(Total Contract Price--$1,566,277) $1,618,225
==========
-----------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX SERIES As of June 30, 1998
======================================================================================================================
<S> <C> <C> <C>
Assets: Investments, at value (identified cost--$71,004,312) (Note 1a) ......... $ 76,168,055
Cash on deposit for financial futures contracts (Note 1b) .............. 45,500
Receivables:
Securities sold ..................................................... $ 13,413,940
Contributions ....................................................... 398,983
Dividends ........................................................... 58,767
Variation margin (Note 1b) .......................................... 8,225
Investment adviser (Note 2) ......................................... 5,041 13,884,956
------------
Deferred organization expenses (Note 1e) ............................... 5,540
------------
Total assets ........................................................... 90,104,051
------------
======================================================================================================================
Liabilities: Payables:
Securities purchased ................................................ 13,365,719
Withdrawals ......................................................... 97,159 13,462,878
------------
Accrued expenses and other liabilities ................................. 609,733
------------
Total liabilities ...................................................... 14,072,611
------------
======================================================================================================================
Net Assets: Net assets ............................................................. $ 76,031,440
============
======================================================================================================================
Net Assets Partners' capital ...................................................... $ 70,815,749
Consist of: Unrealized appreciation on investments--net ............................ 5,215,691
------------
Net assets ............................................................. $ 76,031,440
============
======================================================================================================================
</TABLE>
See Notes to Financial Statements.
22 & 23
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX SERIES For the Six Months Ended June 30, 1998
===================================================================================================================
<S> <C> <C> <C>
Investment Income Dividends (net of $132 foreign withholding tax) ................ $ 430,540
(Note 1d): Interest and discount earned ................................... 215,616
-----------
Total income ................................................... 646,156
-----------
===================================================================================================================
Expenses: Investment advisory fees (Note 2) .............................. $ 34,207
Professional fees .............................................. 23,981
Custodian fees ................................................. 18,082
Accounting services (Note 2) ................................... 16,767
Amortization of organization expenses (Note 1e) ................ 495
Trustees' fees and expenses .................................... 456
Pricing fees ................................................... 228
Other .......................................................... 186
--------
Total expenses before reimbursement ............................ 94,402
Reimbursement of expenses (Note 2) ............................. (21,713)
--------
Total expenses after reimbursement ............................. 72,689
-----------
Investment income--net ......................................... 573,467
-----------
===================================================================================================================
Realized & Realized gain from investments--net ............................ 5,340,905
Unrealized Gain (Loss) Change in unrealized appreciation on investments--net .......... (2,549,168)
on Investments--Net -----------
(Notes 1b, 1d & 3): Net Increase in Net Assets Resulting from Operations ........... $ 3,365,204
===========
===================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the Period
MERRILL LYNCH Six Months April 9, 1997+
SMALL CAP Ended to
INDEX SERIES Increase (Decrease) in Net Assets: June 30, 1998 Dec. 31, 1997
===================================================================================================================================
<S> <C> <C> <C>
Operations: Investment income--net .................................................... $ 573,467 $ 809,135
Realized gain on investments--net ......................................... 5,340,905 1,553,214
Change in unrealized appreciation on investments--net ..................... (2,549,168) 7,764,859
------------ -----------
Net increase in net assets resulting from operations ...................... 3,365,204 10,127,208
------------ -----------
===================================================================================================================================
Net Capital Increase (decrease) in net assets derived from net capital contributions .. (23,078,873) 85,617,901
Contributions: ------------ -----------
===================================================================================================================================
Net Assets: Total increase (decrease) in net assets ................................... (19,713,669) 95,745,109
Beginning of period ....................................................... 95,745,109 --
------------ -----------
End of period ............................................................. $ 76,031,440 $95,745,109
============ ===========
===================================================================================================================================
</TABLE>
+ Commencement of operations.
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
For the For the Period
MERRILL LYNCH Six Months April 9, 1997+
SMALL CAP The following ratios have been derived from Ended to
INDEX SERIES information provided in the financial statements. June 30, 1998 Dec. 31, 1997
==============================================================================================================
<S> <C> <C> <C>
Ratios to Average Expenses, net of reimbursement ............................ .17%* .18%*
Net Assets: ======== ========
Expenses .................................................. .22%* .29%*
======== ========
Investment income--net .................................... 1.34%* 1.78%*
======== ========
==============================================================================================================
Supplemental Net assets, end of period (in thousands) .................. $ 76,031 $ 95,745
Data: ======== ========
Portfolio turnover ........................................ 30.08% 16.45%
======== ========
==============================================================================================================
</TABLE>
+ Commencement of operations.
* Annualized.
See Notes to Financial Statements.
24 & 25
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1998
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.
o Financial futures contracts--The Series may purchase or sell financial 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.
o Options--The Series is authorized to purchase and write call and put options.
When the Series writes an option, an amount equal to the premium received by the
Series is reflected as an asset and an equivalent liability. The amount of the
liability is subsequently marked to market to reflect the current market value
of the option written. When a security is purchased or sold through an exercise
of an option, the related premium paid (or received) is added to (or deducted
from) the basis of the security acquired or deducted from (or added to) the
proceeds of the security sold. When an option expires (or the Series enters into
a closing transaction), the Series realizes a gain or loss on the option to the
extent of the premiums received or paid (or a gain or loss to the extent that
the cost of the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(c) Income taxes--The Series is classified as a partnership for Federal income
tax purposes. As 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 foreign withholding tax may be imposed on interest and
capital gains at various rates.
(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 period not exceeding five years.
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 six months ended June 30, 1998, MLAM earned fees of $34,207, of
which $21,713 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 six
months ended June 30, 1998 were $23,781,589 and $36,137,211, respectively.
Net realized gains for the six months ended June 30, 1998 and net unrealized
gains as of June 30, 1998 were as follows:
- --------------------------------------------------------------------------------
Realized Unrealized
Gains Gains
- --------------------------------------------------------------------------------
Long-term investments ............................. $ 4,979,802 $ 5,163,743
Financial futures contracts ....................... 361,103 51,948
----------- -----------
Total ............................................. $ 5,340,905 $ 5,215,691
=========== ===========
- --------------------------------------------------------------------------------
As of June 30, 1998, net unrealized appreciation for Federal income tax purposes
aggregated $5,163,743, of which $10,065,662 related to appreciated securities
and $4,901,919 related to depreciated securities. At June 30, 1998, the
aggregate cost of investments for Federal income tax purposes was $71,004,312.
26 & 27
<PAGE>
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--6/98
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