MERRILL LYNCH
SMALL CAP
INDEX FUND
Merrill Lynch
Index Funds, Inc.
[GRAPHIC OMITTED]
STRATEGIC
Performance
Semi-Annual Report
June 30, 1999
<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
Christopher G. Ayoub, Senior Vice President
Robert C. Doll, 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
Jeffrey B. Hewson, Vice President
Donald C. Burke, Vice President and Treasurer
Ira P. Shapiro, Secretary
Custodian
Merrill Lynch Trust Company
800 Scudders Mill Road
Plainsboro, NJ 08536
Transfer Agent
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, 1999
DEAR SHAREHOLDER
Small-capitalization stocks suffered through a dismal period in the first
quarter of 1999, with the Russell 2000 Index ending March at 397.63, a level it
had first attained nearly two years earlier, in July 1997. However, during the
second quarter of the year, we witnessed a dramatic reversal, as the Index
rebounded strongly to post a strong +15.55% total return. Double-digit returns
in nearly every sector of the Index contributed to this result, led by the
technology, energy, producer durables, and the auto and transportation groups.
The June quarter was highlighted by the annual reconstitution of the Index on
the last day of the period to reflect the new capitalization sort of all
potential constituents. This year's changes were dominated by the removal from
the Index of some of the largest Internet-related companies whose market
capitalizations had grown to greater than $10 billion. In all, some 360
companies in the Index were removed, and approximately 500 new companies were
added. More companies are added than deleted on the reconstitution date since
companies deleted during the preceding 12 months since the last reconstitution
are not replaced in the Index until the end of June.
Portfolio Matters
The investment objective of the Fund is to seek to replicate the return of the
Russell 2000 Index. The Fund seeks to achieve its objective by investing all of
its assets in Merrill Lynch Small Cap Index Series. There are two principal
investments made by the Series in its attempt to replicate the return 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. In
addition, the Series frequently maintains a long position in Russell 2000
futures contracts, which are used as a mechanism to invest daily cash inflows.
Futures can be sold more easily and with less cost should the need for cash
arise in the event of Fund redemptions. In addition, futures are an efficient
way to invest cash flow in the Russell 2000 Index since there are a large number
of stocks in the benchmark, many of which are illiquid. If cash flows remain
steady, the Series converts futures contracts to underlying Russell 2000 Index
stocks periodically. The use of the underlying equity portfolio plus the futures
contracts allows the Series to be as fully invested as possible. We invest in an
"optimized" portfolio of equities, which consists of stocks in the Russell 2000
Index that are statistically selected to provide returns that closely
approximate those of the Russell 2000 Index as a whole.
For the quarter ended June 30, 1999, Merrill Lynch Small Cap Index Fund's Class
A and Class D Shares had total returns of +15.29% and +15.20%, respectively. The
Fund's benchmark, the unmanaged Russell 2000 Index, had a total return of
+15.55% for the same three-month period. (Complete performance information can
be found below on page 3 of this report to shareholders.) The Fund's slight
underperformance was attributed primarily to two factors. First, net cash
inflows and outflows represented, on a cumulative basis, approximately 30% of
the Fund's net assets during this period. The second factor was the cost to the
Fund resulting from the annual reconstitution, since trades totaling
approximately $40 million ($20 million in purchases and $20 million in sales)
were undertaken in order to maintain the correct weightings of new and existing
holdings.
The Fund closed the first half of 1999 with record net assets of $58.2 million.
This represents growth of more than 44% over the Fund's net assets of $40.4
million at the end of the first quarter of 1999. Net new cash inflows into the
Fund totaled $11.0 million during the second quarter. As of June 30, 1999, the
Series' portfolio was valued at $72.2 million. In addition, the Series held a
long position of Russell 2000 September 1999 futures contracts.
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 16, 1999
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:
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.
Recent
Performance
Results
<TABLE>
<CAPTION>
12 Month 3 Month Since Inception
Total Return Total Return Total Return
=====================================================================================
<S> <C> <C> <C>
ML Small Cap Index Fund Class A Shares* +0.82% +15.29% +33.71%
- -------------------------------------------------------------------------------------
ML Small Cap Index Fund Class D Shares* +0.51 +15.20 +32.91
- -------------------------------------------------------------------------------------
Russell 2000 Index** +1.50 +15.55 +35.72
=====================================================================================
</TABLE>
* 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.
Average Annual
Total Return
% Return
================================================================================
Class A Shares
================================================================================
Year Ended 6/30/99 + 0.82%
- --------------------------------------------------------------------------------
Inception (4/09/97) through 6/30/99 +13.95
- --------------------------------------------------------------------------------
% Return
================================================================================
Class D Shares
================================================================================
Year Ended 6/30/99 + 0.51%
- --------------------------------------------------------------------------------
Inception (4/09/97) through 6/30/99 +13.64
- --------------------------------------------------------------------------------
2 & 3
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1999
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND As of June 30, 1999
=============================================================================================================================
<S> <C> <C> <C>
Assets: Investment in Merrill Lynch Small Cap Index Series, at value (identified
cost--$57,400,375) (Note 1a) ................................................. $ 58,284,724
Deferred organization expenses (Note 1d) ....................................... 9,956
Prepaid registration fees and other assets (Note 1d) ........................... 8,959
------------
Total assets ................................................................... 58,303,639
------------
=============================================================================================================================
Liabilities: Payables:
Distributor (Note 2) ......................................................... $ 6,952
Administrator (Note 2) ....................................................... 5,726 12,678
---------
Accrued expenses and other liabilities ......................................... 60,638
------------
Total liabilities .............................................................. 73,316
------------
=============================================================================================================================
Net Assets: Net assets ..................................................................... $ 58,230,323
============
=============================================================================================================================
Net Assets Class A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized. $ 230
Consist of: Class D Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized. 292
Paid-in capital in excess of par ............................................... 53,040,099
Undistributed investment income--net ........................................... 257,478
Undistributed realized capital gains on investments from the Series--net ....... 4,047,875
Unrealized appreciation on investments from the Series--net .................... 884,349
------------
Net assets ..................................................................... $ 58,230,323
============
=============================================================================================================================
Net Asset Class A--Based on net assets of $25,649,132 and 2,299,096 shares outstanding ... $ 11.16
Value: ============
Class D--Based on net assets of $32,581,191 and 2,924,878 shares outstanding ... $ 11.14
============
=============================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND For the Six Months Ended June 30, 1999
=============================================================================================================================
<S> <C> <C> <C>
Investment Income Investment income allocated from the Series .................................... $ 412,400
(Note 1b): Expenses allocated from the Series ............................................. (40,767)
-----------
Net investment income from the Series .......................................... 371,633
-----------
=============================================================================================================================
Expenses: Administration fee (Note 2) .................................................... $ 52,761
Account maintenance fee--Class D (Note 2) ...................................... 35,077
Printing and shareholder reports ............................................... 23,800
Registration fees (Note 1d) .................................................... 11,702
Professional fees .............................................................. 11,342
Transfer agent fees (Note 2) ................................................... 9,327
Amortization of organization expenses (Note 1d) ................................ 1,838
Accounting services (Note 2) ................................................... 774
Other .......................................................................... 875
---------
Total expenses before reimbursement ............................................ 147,496
Reimbursement of expenses (Note 2) ............................................. (33,341)
---------
Total expenses after reimbursement ............................................. 114,155
-----------
Investment income--net ......................................................... 257,478
-----------
=============================================================================================================================
Realized & Realized gain on investments from the Series--net .............................. 3,807,497
Unrealized Gain Change in unrealized appreciation on investments from the Series--net .......... (92,963)
(Loss) from the -----------
Series--Net: Net Increase in Net Assets Resulting from Operations ........................... $ 3,972,012
===========
=============================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MERRILL LYNCH For the Six For the
SMALL CAP Months Ended Year Ended
INDEX FUND Increase (Decrease) in Net Assets: June 30, 1999 Dec. 31, 1998
====================================================================================================================================
<S> <C> <C> <C>
Operations: Investment income--net .............................................................. $ 257,478 $ 441,469
Realized gain on investments from the Series--net ................................... 3,807,497 5,424,578
Change in unrealized appreciation on investments from the Series--net ............... (92,963) (5,804,951)
----------- ------------
Net increase in net assets resulting from operations ................................ 3,972,012 61,096
----------- ------------
====================================================================================================================================
Dividends & Investment income--net:
Distributions to Class A ........................................................................... -- (202,428)
Shareholders Class D ........................................................................... -- (238,209)
(Note 1e): In excess of investment income--net:
Class A ........................................................................... -- (8,064)
Class D ........................................................................... -- (9,489)
Realized gain on investments from the Series--net:
Class A ........................................................................... -- (2,123,929)
Class D ........................................................................... -- (3,230,457)
----------- ------------
Net decrease in net assets resulting from dividends and distributions to shareholders -- (5,812,576)
----------- ------------
====================================================================================================================================
Capital Share Net increase (decrease) in net assets derived from capital share transactions ....... 5,195,452 (10,441,939)
Transactions ----------- ------------
(Note 4):
====================================================================================================================================
Net Assets: Total increase (decrease) in net assets ............................................. 9,167,464 (16,193,419)
Beginning of period ................................................................. 49,062,859 65,256,278
----------- ------------
End of period* ...................................................................... $58,230,323 $ 49,062,859
=========== ============
====================================================================================================================================
* Undistributed investment income--net ................................................ $ 257,478 $ --
=========== ============
====================================================================================================================================
</TABLE>
See Notes to Financial Statements.
4 & 5
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1999
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Class A
-------------------------------------------------
MERRILL LYNCH The following per share data and ratios have been derived For the Period
SMALL CAP from information provided in the financial statements. For the Six For the April 9,
INDEX FUND Months Ended Year Ended 1997+ to
Increase (Decrease) in Net Asset Value: June 30, 1999 Dec. 31, 1998 Dec. 31, 1997
===============================================================================================================================
<S> <C> <C> <C> <C>
Per Share Net asset value, beginning of period .................. $ 10.27 $ 12.28 $ 10.00
Operating ------------- ------------- -------------
Performance: Investment income--net ................................ .05 .13 .10
Realized and unrealized gain (loss) on investments from
the Series--net ..................................... .84 (.59) 2.60
------------- ------------- -------------
Total from investment operations ...................... .89 (.46) 2.70
------------- ------------- -------------
Less dividends and distributions:
Investment income--net .............................. -- (.13) (.10)
In excess of investment income--net ................. -- (.01) --++
Realized gain on investments from the Series--net ... -- (1.41) (.32)
------------- ------------- -------------
Total dividends and distributions ..................... -- (1.55) (.42)
------------- ------------- -------------
Net asset value, end of period ........................ $ 11.16 $ 10.27 $ 12.28
============= ============= =============
===============================================================================================================================
Total Investment Based on net asset value per share .................... 8.67%+++ (3.14%) 27.04%+++
Return: ============= ============= =============
===============================================================================================================================
Ratios to Average Expenses, net of reimbursement++ ...................... .50%* .50% .52%*
Net Assets: ============= ============= =============
Expenses++ ............................................ .66%* .84% 1.00%*
============= ============= =============
Investment income--net ................................ 1.23%* 1.14% 1.45%*
============= ============= =============
===============================================================================================================================
Supplemental Net assets, end of period (in thousands) .............. $ 25,649 $ 18,122 $ 26,478
Data: ============= ============= =============
===============================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
Class D
-------------------------------------------------
MERRILL LYNCH The following per share data and ratios have been derived For the Period
SMALL CAP from information provided in the financial statements. For the Six For the April 9,
INDEX FUND Months Ended Year Ended 1997+ to
Increase (Decrease) in Net Asset Value: June 30, 1999 Dec. 31, 1998 Dec. 31, 1997
===============================================================================================================================
<S> <C> <C> <C> <C>
Per Share Net asset value, beginning of period .................. $ 10.27 $ 12.28 $ 10.00
Operating ------------- ------------- -------------
Performance: Investment income--net ................................ .05 .11 .09
Realized and unrealized gain (loss) on investments from
the Series--net ..................................... .82 (.60) 2.60
------------- ------------- -------------
Total from investment operations ...................... .87 (.49) 2.69
------------- ------------- -------------
Less dividends and distributions:
Investment income--net .............................. -- (.11) (.09)
In excess of investment income--net ................. -- --++ --++
Realized gain on investments from the Series--net ... -- (1.41) (.32)
------------- ------------- -------------
Total dividends and distributions ..................... -- (1.52) (.41)
------------- ------------- -------------
Net asset value, end of period ........................ $ 11.14 $ 10.27 $ 12.28
============= ============= =============
===============================================================================================================================
Total Investment Based on net asset value per share .................... 8.47%+++ (3.41%) 26.87%+++
Return: ============= ============= =============
===============================================================================================================================
Ratios to Average Expenses, net of reimbursement++ ...................... .75%* .75% .77%*
Net Assets: ============= ============= =============
Expenses++ ............................................ .91%* 1.09% 1.25%*
============= ============= =============
Investment income--net ................................ .96%* .88% 1.20%*
============= ============= =============
===============================================================================================================================
Supplemental Net assets, end of period (in thousands) .............. $ 32,581 $ 30,941 $ 38,778
Data: ============= ============= =============
===============================================================================================================================
</TABLE>
* Annualized.
+ Commencement of operations.
++ Includes the Fund's share of the Series' allocated expenses.
+++ 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, 1999
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 "Corporation"). 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 Merrill Lynch Small
Cap Index Series (the "Series") of 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's financial
statements are prepared in accordance with generally accepted accounting
principles, which may require the use of management accruals and estimates. The
Fund offers two classes of shares, Class A and Class D. 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 and have
extensive voting rights with respect to matters relating to its account
maintenance expenditures. The following is a summary of significant accounting
policies followed by the Fund.
(a) Valuation of investments--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 substantially all of its taxable income to shareholders. Therefore,
no Federal income tax provision is required. Under the applicable foreign tax
law, a withholding tax may be imposed on interest, dividends and capital gains
at various rates.
(d) Prepaid registration fees 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 Corporation has 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 Merrill Lynch &
Co., Inc. ("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, 1999, MLAM earned fees of $52,761, of which $33,341 were
voluntarily waived.
The Corporation has also entered into a Distribution Agreement and Distribution
Plan with Merrill Lynch Funds Distributor, Inc. ("MLFD" or the "Distributor"), a
division of Princeton Funds Distributor, Inc ("PFD"), which is a wholly-owned
subsidiary of Merrill Lynch Group, Inc. Pursuant to the Distribution Plan
adopted by the Corporation in accordance with Rule 12b-1 under the Investment
Company Act of 1940, the Fund pays the Distributor an ongoing account
maintenance fee. The fee is 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 Incorporated ("MLPF&S"), a subsidiary of ML & Co., also provides account
maintenance services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account maintenance
services to Class D shareholders.
Financial Data Services, Inc. ("FDS"), 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, FDS, and/or ML & Co.
3. Investments:
Increases and decreases in the Fund's investment in the Series for the six
months ended June 30, 1999 were $17,368,265 and $12,256,555, respectively.
4. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
were $5,195,452 and $(10,441,939) for the six months ended June 30, 1999 and the
year ended December 31, 1998, respectively. Transactions in capital shares for
each class were as follows:
- --------------------------------------------------------------------------------
Class A Shares for the Six Months Dollar
Ended June 30, 1999 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 1,462,238 $ 15,053,719
Shares redeemed ........................ (927,210) (9,244,219)
---------- ------------
Net increase ........................... 535,028 $ 5,809,500
========== ============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class A Shares for the Year Ended Dollar
December 31, 1998 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 1,822,073 $ 21,518,635
Shares issued to shareholders
in reinvestment of dividends
and distributions ...................... 219,531 2,153,600
---------- ------------
Total issued ........................... 2,041,604 23,672,235
Shares redeemed ........................ (2,433,281) (29,828,044)
---------- ------------
Net decrease ........................... (391,677) $ (6,155,809)
========== ============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class D Shares for the Six Months Dollar
Ended June 30, 1999 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 1,152,947 $ 11,886,031
Shares redeemed ........................ (1,240,853) (12,500,079)
---------- ------------
Net decrease ........................... (87,906) $ (614,048)
========== ============
- --------------------------------------------------------------------------------
Class D Shares for the Year Ended Dollar
December 31, 1998 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ............................ 2,397,589 $ 27,045,598
Shares issued to shareholders
in reinvestment of dividends
and distributions ...................... 302,281 2,965,374
---------- ------------
Total issued ........................... 2,699,870 30,010,972
Shares redeemed ........................ (2,845,324) (34,297,102)
---------- ------------
Net decrease ........................... (145,454) $ (4,286,130)
========== ============
- --------------------------------------------------------------------------------
8 & 9
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
Merrill Lynch Small Cap Index Series
------------------------------------------------------------------
Shares Value
COMMON STOCKS Issue Held (Note 1a)
====================================================================================
<S> <C> <C>
+ @ Entertainment, Inc. 1,800 $ 33,750
1st Source Corporation 879 28,128
+ 3Dfx Interactive, Inc. 1,500 23,437
+ 99 Cents Only Stores 704 35,156
A. Schulman, Inc. 2,731 46,939
A.M. Castle & Company 2,000 34,000
A.O. Smith Corporation 1,500 42,000
AAR Corp. 3,674 83,354
ABM Industries, Inc. 1,933 59,319
+ ABR Information Services, Inc. 2,100 189,131
+ ACTV, Inc. 3,000 41,625
+ ADVO Systems, Inc. 2,735 56,751
AGCO Corporation 4,000 45,250
AGL Resources Inc. 3,700 68,219
+ ALARIS Medical, Inc. 5,200 17,550
AMCOL International Corporation 2,750 39,531
AMCORE Financial, Inc. 3,700 85,331
AMETEK, Inc. 3,230 74,290
+ AMF Bowling, Inc. 5,000 42,187
+ ANADIGICS, Inc. 1,200 44,400
+ ANTEC Corporation 3,137 100,580
ARM Financial Group, Inc. 1,903 16,175
ASARCO Incorporated 2,711 51,001
+ ATMI, Inc. 1,900 56,525
+ AVT Corporation 1,000 37,875
+ AXENT Technologies, Inc. 2,446 27,212
Aaron Rents, Inc. 1,577 35,088
+ Abacus Direct Corporation 973 89,029
+ About.com, Inc. 200 10,375
+ AboveNet Communications Inc. 2,200 88,825
+ Acceptance Insurance Companies Inc. 2,600 39,162
+ Actel Corp. 2,271 33,497
+ Action Performance Companies, Inc. 1,269 41,877
+ Activision, Inc. 2,000 29,125
+ Acuson Corporation 2,600 44,687
+ Adaptive Broadband Corporation 2,002 43,794
+ Adtran, Inc. 2,262 82,280
+ Advance Paradigm, Inc. 700 42,700
+ Advanced Digital Information Corporation 900 36,450
+ Advanced Energy Industries, Inc. 700 28,394
+ Advanced Fibre Communications, Inc. 5,300 82,812
+ Advanced Radio Telecom Corp. 2,000 28,750
Advanta Corp. 2,839 51,279
+ Advent Software, Inc. 600 40,200
+ Aeroflex Incorporated 1,500 29,625
+ Affiliated Managers Group, Inc. 2,109 63,665
+ Affymetrix, Inc. 1,684 83,147
+ Aftermarket Technology Corp. 2,500 28,437
+ AgriBioTech, Inc. 3,727 22,595
+ Agribrands International, Inc. 708 28,010
Air Express International Corporation 3,778 95,867
Airborne Freight Corporation 3,400 94,137
+ Airgas, Inc. 4,710 57,697
+ AirTran Holdings, Inc. 5,100 29,325
+ Alaska Air Group, Inc. 1,904 79,492
+ Albany International Corp. (Class A) 2,002 41,541
Albemarle 1,100 25,437
Alexander & Baldwin, Inc. 3,432 76,362
Alfa Corporation 1,900 38,000
+ Algos Pharmaceutical Corporation 1,100 24,269
+ Alkermes, Inc. 2,302 53,234
+ Allaire Corporation 400 69,930
+ Alleghany Corporation 378 27,300
+ Allen Telecom Inc. 2,600 27,950
Alliance Bancorp 1,100 25,575
+ Alliant Techsystems Inc. 700 60,550
Allied Capital Corporation 3,300 79,200
+ Alpha Industries, Inc. 1,100 52,387
Alpharma, Inc. (Class A) 2,134 75,890
+ Alterra Healthcare Corporation 1,800 24,750
+ Amerco 1,375 30,937
America Retirement Corporation 1,545 19,312
+ America West Holdings (Class B) 4,286 80,898
+ American Freightways Corporation 1,682 32,904
American Health Properties, Inc. 1,800 36,225
American Heritage Life Investment
Corporation 1,268 31,066
+ American Italian Pasta Company (Class A) 1,885 57,257
+ American Management Systems,
Incorporated 4,562 146,269
+ American Xtal Technology, Inc. 1,200 28,575
+ AmeriCredit Corp. 6,019 96,304
+ AmeriSource Health Corporation (Class A) 4,222 107,661
AmerUs Life Holdings, Inc. (Class A) 1,200 32,400
+ Ames Department Stores, Inc. 1,853 84,543
+ Amkor Technology, Inc. 6,000 61,500
+ Amphenol Corp. (Class A) 1,294 51,436
Analysts International Corporation 2,300 33,062
Anchor Bancorp, Inc. 2,200 39,187
+ Anchor Gaming 389 18,696
+ Ancor Communications, Incorporated 2,100 67,987
+ Andrew Corporation 5,700 107,944
+ Anixter International, Inc. 3,053 55,717
+ AnnTaylor Stores Corporation 2,275 102,375
+ AnswerThink Consulting Group, Inc. 2,100 53,025
+ Apex Inc. 1,600 32,800
Apogee Enterprises, Inc. 4,462 59,958
Applebee's International, Inc. 2,869 86,429
Applied Industrial Technologies, Inc. 2,650 50,350
Applied Power Inc. (Class A) 2,981 81,419
+ AppliedTheory Corporation 400 5,100
+ Apria Healthcare Group Inc. 4,358 74,086
AptarGroup, Inc. 3,471 104,130
Aquarion Company 958 33,290
+ Arcadia Financial Ltd. 3,600 27,900
Arch Chemicals, Inc. 1,400 34,037
Arch Coal, Inc. 2,000 27,750
+ Ardent Software, Inc. 1,300 27,625
Argonaut Group, Inc. 1,700 40,800
+ Armco, Inc. 9,886 65,495
Arnold Industries, Inc. 2,000 30,875
Arrow International, Inc. 1,000 25,875
+ Artesyn Technologies, Inc. 3,512 77,922
Arthur J. Gallagher & Co. 1,452 71,874
Arvin Industries, Inc. 1,990 75,371
+ Ascent Entertainment Group, Inc. 4,490 63,421
+ Aspect Development, Inc. 1,990 36,815
+ Aspect Telecommunications 5,112 49,842
+ Aspen Technology, Inc. 2,000 23,500
Associated Estates Realty Corporation 1,464 17,293
+ Astec Industries, Inc. 1,000 40,750
+ Asyst Technologies, Inc. 1,000 29,937
+ Atlas Air, Inc. 900 29,025
Atmos Energy Corporation 3,641 91,025
+ Atwood Oceanics, Inc. 777 24,281
+ Auspex Systems, Inc. 2,400 26,100
Authentic Fitness Corp. 2,000 35,000
Avado Brands, Inc 3,222 26,984
+ Avant! Corporation 3,070 38,759
+ Aviation Sales Company 700 27,650
+ Avid Technology, Inc. 2,599 41,909
+ Aviron 1,300 37,375
+ Avis Rent A Car, Inc. 2,768 80,618
Avista Corporation 4,948 80,405
+ Avondale Industries, Inc. 744 29,016
+ Aware, Inc. 1,300 59,962
+ Aztar Corporation 5,400 49,612
+ BE Aerospace, Inc. 2,614 48,849
BMC Industries, Inc. 3,100 31,969
BRE Properties, Inc. 3,492 90,574
Baldor Electric Company 3,256 64,713
Baldwin & Lyons, Inc. (Class B) 1,174 27,809
Ballard Medical Products 3,508 81,780
+ Bally Total Fitness Holding Corporation 2,331 66,142
BancorpSouth, Inc. 5,745 104,128
+ BancTec, Inc. 2,582 46,315
BancWest Corporation 1,723 63,966
Bandag, Incorporated 996 34,549
Bank of Granite Corp. 958 23,591
Bank United Corp. (Class A) 2,233 89,739
BankAtlantic Bancorp, Inc. (Class B) 4,080 33,150
Banknorth Group, Inc. 2,841 93,753
Banta Corporation 2,743 57,603
Barnes Group Inc. 1,401 30,472
+ barnesandnoble.com inc 2,100 37,800
+ Barr Laboratories, Inc. 700 27,912
+ Barrett Resources Corporation 3,043 116,775
Bassett Furniture Industries, Incorporated 2,001 44,522
Battle Mountain Gold Company 5,000 12,187
Bay View Capital Corporation 1,478 30,299
Bedford Property Investors, Inc. 1,500 26,812
Belden Inc. 2,459 58,862
+ Bell & Howell Company 1,961 74,150
+ Benchmark Electronics, Inc. 1,422 51,103
+ Beringer Wine Estates Holdings,
Inc. (Class B) 800 33,425
Berkley (W.R.) Corporation 1,500 37,500
Berkshire Realty Company, Inc. 2,657 30,722
Berry Petroleum Company (Class A) 3,069 42,774
+ Bethlehem Steel Corporation 9,100 69,956
+ Beverly Enterprises, Inc. 6,200 49,987
+ Beyond.com Corporation 1,700 48,769
+ Big Flower Holdings, Inc. 2,200 70,125
+ Billing Concepts Corp. 3,023 33,820
Bindley Western Industries, Inc. 1,326 30,589
+ BindView Development Corporation 1,200 28,500
+ Biomatrix, Inc. 2,066 44,677
+ Bio-Rad Laboratories, Inc. (Class A) 1,400 36,575
+ Bio-Technology General Corp. 5,027 32,675
+ Black Box Corporation 1,705 85,463
Black Hills Corporation 1,739 40,214
Block Drug Company, Inc. (Class A) 1,132 47,190
Blount International, Inc. (Class A) 1,945 52,880
Bob Evans Farms, Inc. 4,393 87,311
</TABLE>
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Merrill Lynch Small Cap Index Fund, June 30, 1999
SCHEDULE OF INVESTMENTS (continued)
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<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
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COMMON STOCKS Shares Value
(continued) Issue Held (Note 1a)
====================================================================================
<S> <C> <C>
+ The Bombay Company, Inc. 3,300 $ 25,369
+ Borders Group, Inc. 5,700 90,131
Bowne & Co., Inc. 4,089 53,157
+ Boyd Gaming Corporation 5,400 37,800
+ The Boyds Collection, Ltd. 4,300 74,444
Boykin Lodging Company 817 12,561
Bradley Real Estate, Inc. 1,434 29,755
Brandywine Realty Trust 3,557 70,473
+ Brightpoint, Inc. 5,453 33,059
+ BroadVision, Inc. 1,428 105,315
+ Brooks Automation, Inc. 1,000 27,062
Brown & Brown 839 31,882
Brown Shoe Company Inc. 1,706 37,105
Brush Wellman, Inc. 2,608 47,270
+ Buckeye Technologies Inc. 2,722 41,340
+ Budget Group, Inc. (Class A) 2,196 27,038
+ Buffets, Inc. 5,207 59,880
+ Building One Services Corporation 3,118 43,262
Burlington Coat Factory Warehouse
Corporation 1,500 28,969
+ Burlington Industries, Inc. 5,600 50,750
Burnham Pacific Properties, Inc. 4,766 58,681
+ Burr-Brown Corp. 2,592 94,932
C&D Technologies, Inc. 991 30,349
C.H. Robinson Worldwide, Inc. 4,142 152,218
+ CB Richard Ellis Services Inc. 1,400 34,825
CBL & Associates Properties, Inc. 1,832 48,319
CBRL Group, Inc. 3,500 60,594
+ C-Cube Microsystems Inc. 3,514 111,350
+ CCC Information Services Group Inc. 2,676 34,453
+ CD Radio, Inc. 1,200 36,562
+ CDI Corp. 800 27,250
+ CDnow Inc. 1,545 27,231
+ CEC Entertainment Inc. 949 40,095
CFSB Bancorp, Inc. 689 16,967
CFW Communications Company 1,073 26,020
+ CHS Electronics, Inc. 3,002 13,134
+ CIBER, Inc. 3,000 57,375
CILCORP, Inc. 1,105 69,062
CKE Restaurants, Inc. 3,300 53,625
CLARCOR Inc. 3,348 64,240
CMP Group Inc. 2,622 68,664
+ CONMED Corporation 2,062 63,149
+ COR Therapeutics, Inc. 4,090 60,327
+ CORT Business Services Corporation 2,073 49,622
CPI Corp. 1,568 51,744
+ CSK Auto Corporation 1,872 50,544
+ CSS Industries, Inc. 1,300 36,562
CSW Credit, Inc. 800 32,900
CTS Corporation 717 50,190
+ CUNO Incorporated 2,300 43,987
+ Cable Design Technologies Corporation 2,848 43,966
Cabot Industrial Trust 1,700 36,125
Cabot Oil & Gas Corporation (Class A) 2,968 55,279
+ Cadiz Inc. 3,700 34,919
Calgon Carbon Corporation 4,986 29,604
California Water Service Group 951 24,845
Callaway Golf Company 5,400 78,975
Cambrex Corporation 2,606 68,407
+ Cambridge Technology Partners, Inc. 3,600 63,225
Camden Property Trust 3,600 99,900
+ Canadaigua Brands, Inc. (Class A) 1,473 77,240
Capital Re Corporation 2,138 34,342
+ CapRock Communications Corp. 2,300 93,150
Capstead Mortgage Corporation 4,900 26,644
Caraustar Industries, Inc. 2,158 53,276
+ Career Education Corporation 800 27,050
+ Carmike Cinemas, Inc. (Class A) 1,700 27,094
Carolina First Corporation 2,952 71,955
Carpenter Technology Corporation 2,210 63,123
Carter-Wallace, Inc. 2,510 45,651
Casey's General Stores, Inc. 5,131 76,965
Cash America International, Inc. 3,627 46,698
+ Castle & Cooke, Inc. 3,000 52,875
+ Catalytica, Inc. 4,458 62,412
Cathay Bancorp, Inc. 710 30,175
The Cato Corporation (Class A) 2,400 27,900
+ Celera Genomics 2,100 33,994
+ Celgene Corporation 1,600 28,100
+ CellNet Data Systems, Inc. 4,819 43,371
+ Cellular Communications of Puerto Rico, Inc. 1,032 29,412
+ Centennial Bancorp 1,560 21,547
CenterPoint Properties Corporation 900 32,962
Centertrust Retail Properties, Inc. 1,895 22,266
+ Central Garden & Pet Company 2,965 30,391
Central Hudson Gas & Electric Corporation 1,300 54,600
+ Century Business Services, Inc. 4,590 66,555
+ Cephalon, Inc. 2,244 38,989
+ Cerner Corporation 2,861 59,992
+ Champion Enterprises, Inc. 4,517 84,129
+ Championship Auto Racing Teams, Inc. 800 23,950
+ Chaparral Resources, Inc. 4,100 161,950
Charles E. Smith Residential Realty, Inc. 1,412 47,920
+ Charming Shoppes, Inc. 11,200 68,250
Charter Municipal Mortgage Acceptance
Company 3,000 38,437
Chatequ Communities, Inc. 1,663 49,786
+ Chattem, Inc. 800 25,450
+ Checkpoint Systems, Inc. 3,956 35,357
+ The Cheesecake Factory Incorporated 1,820 55,510
Chelsea GCA Realty, Inc. 1,231 45,701
Chemed Corporation 650 21,612
ChemFirst Inc. 2,432 59,128
Chemical Financial Corporation 742 25,831
Chesapeake Corporation 1,840 68,885
Chicago Title Corporation 1,118 39,899
+ The Children's Place Retail Stores, Inc. 1,400 56,700
Chiquita Brands International, Inc. 3,281 29,529
+ ChiRex Inc. 1,100 35,337
Chittenden Corporation 1,234 38,562
+ Choice Hotels International, Inc. 4,641 91,660
+ ChoicePoint Inc. 1,255 84,242
Church & Dwight Co., Inc. 1,899 82,606
Churchill Downs Incorporated 1,300 44,850
Circle International Group, Inc. 1,653 36,159
+ Cirrus Logic, Inc. 6,959 61,761
+ Cisco Systems, Inc. 338 21,806
+ Citadel Communications Corporation 1,400 50,662
Citizens Banking Corporation 1,947 58,532
City Holding Company 1,000 29,000
+ Clarify Inc. 1,650 68,062
Cleco Corporation 2,445 74,267
Cleveland-Cliffs Inc. 884 28,619
+ Coach USA, Inc. 1,941 81,401
Coachmen Industries, Inc. 2,499 58,102
+ Cognex Corporation 3,487 110,058
+ Coherent, Inc. 2,859 53,249
Cohu, Inc. 1,300 45,987
+ Coinstar, Inc. 1,400 40,162
+ Coldwater Creek Inc. 1,200 23,400
Collins & Aikman Corporation 8,119 61,907
Colonial Properties Trust 2,900 81,925
+ Coltec Industries Inc. 3,200 69,400
+ Columbia Laboratories, Inc. 3,260 27,914
+ Com21, Inc. 1,400 23,887
+ Comfort Systems USA, Inc. 3,450 62,100
Commerce Bancorp, Inc. 2,512 107,388
The Commerce Group, Inc. 2,049 49,944
Commercial Metals Company 2,092 59,622
Commercial Net Lease Realty 1,087 13,995
+ CommNet Cellular Inc. 2,500 65,625
Commonwealth Bancorp, Inc. 2,648 47,498
Commonwealth Energy System 1,493 62,706
+ Commonwealth Telephone Enterprises, Inc. 600 24,262
+ CommScope, Inc. 3,318 102,028
Community First Bankshares, Inc. 3,866 92,301
+ Complete Business Solutions, Inc. 1,900 34,081
+ CompUSA Inc. 7,200 53,550
+ Computer Horizons Corp. 2,966 40,968
+ Computer Network Technology Corporation 2,000 43,250
Computer Task Group, Incorporated 1,613 27,421
+ Concentra Managed Care, Inc. 3,843 56,924
+ Concentric Network Corporation 3,236 128,631
+ Concord Communications, Inc. 1,632 73,440
+ Concur Technologies, Inc. 1,000 28,125
+ Concurrent Computer Corporation 4,400 27,775
Connecticut Energy Corporation 816 31,467
Conning Corporation 2,100 34,125
+ Consolidated Freightways Corporation 3,400 43,669
+ Consolidated Graphics, Inc. 888 44,400
+ Consolidated Products, Inc. 3,305 59,490
+ Conventry Health Care Inc. 5,715 62,151
Cooper Companies, Inc. 900 22,444
+ Copart, Inc. 1,500 31,875
+ Corixa Corporation 1,100 19,594
Corn Products International, Inc. 3,187 97,004
Cornerstone Realty Income Trust, Inc. 2,300 24,725
+ The Corporate Executive Board Company 700 24,894
+ Corporate Express, Inc. 8,100 56,700
+ Cost Plus, Inc. 1,100 50,050
+ Coulter Pharmaceutical, Inc. 1,561 35,220
Cousins Properties, Inc. 2,647 89,502
+ Covance Inc. 5,450 130,459
Crawford & Company (Class B) 4,122 66,982
+ Credence Systems Corporation 1,700 63,112
+ Cree Research, Inc. 900 69,244
Crompton & Knowles Corporation 4,300 84,119
Cross Timbers Oil Company 4,500 66,937
Crown American Realty Trust 1,696 12,402
+ Cumulus Media Inc. (Class A) 1,700 37,187
+ CustomTracks Corporation 1,200 67,125
+ Cybex Computer Products Corporation 900 25,087
+ Cymer, Inc. 2,744 68,600
+ Cypress Semiconductor Corporation 7,467 123,205
</TABLE>
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Merrill Lynch Small Cap Index Fund, June 30, 1999
SCHEDULE OF INVESTMENTS (continued)
<TABLE>
<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
------------------------------------------------------------------
COMMON STOCKS Shares Value
(continued) Issue Held (Note 1a)
====================================================================================
<S> <C> <C>
Cyprus Amax Minerals Company 6,200 $ 94,162
+ Cytec Industries Inc. 2,800 89,250
+ Cytyc Corporation 1,800 35,100
D.R. Horton, Inc. 2,848 47,348
+ The DII Group, Inc. 2,577 96,154
DIMON Incorporated 3,606 18,706
+ DSP Communications, Inc. 3,880 112,035
+ DSP Group, Inc. 1,000 36,000
Dain Rauscher Corporation 1,120 60,620
Dallas Semiconductor Corporation 1,949 98,424
+ Dal-Tile International Inc. 4,740 53,917
+ Data Broadcasting Corporation 2,700 28,519
+ Data General Corporation 4,987 72,623
+ Data Transmission Network Corporation 1,512 42,525
+ Datascope Corp. 2,020 64,892
+ Datastream Systems, Inc. 1,600 25,600
+ Dave & Buster's, Inc. 900 26,100
+ Del Monte Foods Company 3,300 55,275
+ Delco Remy International, Inc. 3,475 38,225
+ Delphi Financial Group, Inc. (Class A) 1,208 43,337
Delta and Pine Land Company 2,800 88,200
Deltic Timber Corporation 1,500 40,406
+ Dendrite International, Inc. 2,178 78,680
+ Department 56, Inc. 2,077 55,819
Developers Diversified Realty Corporation 3,763 62,560
Developers Diversified Realty Corporation 1,070 17,789
The Dexter Corporation 2,256 92,073
+ Dialogic Corporation 900 39,487
+ Digital Microwave Corporation 4,885 62,284
+ Digital River, Inc. 1,200 39,900
Dime Community Bancshares 2,300 53,475
+ Dionex Corporation 2,452 99,306
+ Documentum, Inc. 1,435 18,745
+ Dollar Thrifty Automotive Group, Inc. 2,938 68,308
Donaldson Company, Inc. 3,525 86,362
Doral Financial Corporation 1,812 31,257
Downey Financial Corp. 1,995 43,765
+ The Dress Barn, Inc. 2,188 35,008
Dreyer's Grand Ice Cream, Inc. 2,450 37,056
+ Duane Read Inc. 1,882 57,636
+ Dura Automotive Systems, Inc. 1,200 39,900
+ Dura Pharmaceuticals, Inc. 4,121 49,194
+ Duramed Pharmaceuticals, Inc. 1,800 28,125
+ Dycom Industries, Inc. 2,175 121,800
+ e.spire Communications, Inc. 4,989 52,696
E.W. Blanch Holdings, Inc. 1,033 70,438
+ EEX Corporation 2,533 17,573
EG&G, Inc. 3,565 127,003
EVEREN Capital Corporation 1,000 29,812
+ Eagle USA Airfreight, Inc. 700 29,706
The Earthgrains Company 4,233 109,264
+ EarthWeb Inc. 400 14,900
Eastern Enterprises 2,100 83,475
Eastern Utilities Associates 1,656 48,231
EastGroup Properties, Inc. 1,164 23,353
Eaton Vance Corp. 2,450 84,372
+ Eclipsys Corporation 2,300 55,056
+ Education Management Corporation 1,400 29,050
+ El Paso Electric Company 7,887 70,490
Elcor Corporation 1,713 74,837
+ Electro Scientific Industries, Inc. 1,000 41,781
+ Electroglas, Inc. 2,571 51,420
+ Emmis Communications Corp. (Class A) 1,555 76,778
Empire District Electric Company 1,404 36,592
+ Emulex Corporation 500 55,594
Energen Corporation 2,159 40,211
Enesco Group Inc. 2,328 53,835
Enhance Financial Services Group Inc. 1,816 35,866
+ Entercom Communications Corp. 1,600 68,400
+ EntreMed, Inc. 1,000 22,500
+ Entrust Technologies Inc. 1,200 39,900
+ Enzo Biochem, Inc. 2,335 23,058
+ Enzon, Inc. 3,200 66,200
+ Epicor Software Corporation 3,600 26,775
Equitable Resources, Inc. 3,052 115,213
Equity Inns Inc. 5,304 49,062
Essex Property Trust, Inc. 1,312 46,412
+ Esterline Technologies Corporation 2,895 41,616
+ Etec Systems, Inc. 2,077 69,060
Ethan Allen Interiors Inc. 2,800 105,700
E'Town Corporation 1,100 50,325
Executive Risk Inc. 1,163 98,928
Exide Corporation 1,825 26,919
+ Extended Stay America, Inc. 6,120 73,440
F&M Bancorp 421 14,130
F&M Bancorporation, Inc. 700 26,425
F&M National Corporation 2,600 86,287
F.N.B. Corporation 1,653 44,528
+ F.Y.I. Incorporated 933 29,273
FBL Financial Group, Inc. (Class A) 1,161 22,639
+ FPIC Insurance Group, Inc. 757 36,714
+ FSI International, Inc. 2,400 19,950
FactSet Research Systems Inc. 700 39,637
Fair, Isaac and Company, Incorporated 1,648 57,783
+ Fairfield Communities, Inc. 4,389 70,773
+ Family Golf Centers, Inc. 1,677 12,892
Federal Realty Investment Trust 3,157 72,414
Federal Signal Corporation 3,590 76,063
Ferro Corporation 3,371 92,702
Fidelity National Financial, Inc. 2,675 56,175
+ FileNET Corporation 3,366 38,499
The First American Financial Corporation 5,630 100,636
First Charter Corporation 1,100 27,225
First Citizens BancShares, Inc. (Class A) 800 64,600
First Commerce BancShares, Inc. (Class B) 416 9,906
First Commonwealth Financial Corporation 3,523 84,112
First Financial Bancorp 3,278 74,165
+ First Health Group Corp. 3,500 75,469
First Industrial Realty Trust, Inc. 3,048 83,629
First Liberty Financial Corp. 1,000 31,375
First Merchants Corporation 623 14,796
First Midwest Bancorp, Inc. 2,331 92,657
+ First Republic Bank 800 23,150
First Sentinel Bancorp Inc. 3,594 31,897
+ First Sierra Financial, Inc. 1,300 32,500
First United Bancshares, Inc. 1,994 37,138
First Washington Bancorp, Inc. 993 19,860
First Western Bancorp, Inc. 923 30,920
Firstbank Corp. 1,953 44,065
+ FirstFed Financial Corp. 1,724 33,187
Fisher Scientific International Inc. 2,900 64,706
+ FlashNet Communications, Inc. 700 20,606
Fleetwood Enterprises, Inc. 1,700 44,944
Fleming Companies, Inc. 3,774 43,873
Florida East Coast Industries, Inc. 2,441 108,014
+ Florida Panthers Holdings, Inc. 3,587 38,336
Florida Rock Industries, Inc. 1,700 77,350
Flowserve Corporation 3,869 73,269
+ Foodmaker, Inc. 4,088 115,997
+ Footstar, Inc. 1,765 65,636
Foremost Corporation of America 1,800 39,600
Forest City Enterprises, Inc. (Class A) 900 25,200
+ Forest Oil Corporation 4,009 50,363
+ Fossil, Inc. 600 29,025
Foster Wheeler Corporation 3,164 44,691
+ Franklin Covey Co. 2,775 20,466
Freedom Securities Corporation 1,500 25,687
+ Friedman, Billings, Ramsey Group,
Inc. (Class A) 3,000 35,625
+ Fritz Companies, Inc. 2,954 31,755
Frontier Financial Corporation 1,000 24,500
Frontier Insurance Group, Inc. 3,102 47,693
+ Furniture Brands International, Inc. 3,100 86,412
Furon Company 3,155 59,945
G & K Services, Inc. (Class A) 2,036 106,635
GBC Bancorp 933 18,893
+ GC Companies, Inc. 900 32,175
+ GTECH Holdings Corporation 3,475 81,880
Gables Residential Trust 2,065 49,818
+ Gaylord Container Corporation (Class A) 6,200 49,212
Gaylord Entertainment Company 660 19,800
+ Geltex Pharmaceuticals, Inc. 1,751 31,518
GenCorp Inc. 2,766 69,841
General Cable Corporation 3,188 51,008
+ General Nutrition Companies, Inc. 4,700 109,569
+ Genesco Inc. 3,404 49,571
+ GenRad, Inc. 3,262 67,890
Gentek Inc. 1,712 23,754
The Geon Company 1,692 54,567
Georgia Gulf Corporation 2,820 47,587
Gerber Scientific, Inc. 2,509 55,355
+ Getty Images, Inc. 2,300 43,412
+ Gilead Sciences, Inc. 2,915 152,309
+ Glenayre Technologies, Inc. 6,954 24,991
Glenborough Realty Trust Incorporated 1,539 26,932
Glimcher Realty Trust 1,949 31,671
+ Global Industrial Technologies, Inc. 3,900 49,969
+ Global Industrial Technologies, Inc. 3,900 47,044
+ Go2Net, Inc. 1,600 147,000
Golf Trust of America, Inc. 515 12,585
Graco Inc. 1,147 33,693
Granite Construction Incorporated 821 24,066
Gray Communications Systems, Inc. 2,550 51,000
The Great Atlantic & Pacific Tea
Company, Inc. 1,755 59,341
+ Great Plains Software, Inc. 700 33,031
Greater Bay Bancorp 1,795 59,684
+ Greif Bros. Corporation (Class A) 2,428 61,914
+ Griffon Corporation 4,592 35,875
+ Group 1 Automotive, Inc. 1,200 25,350
+ Group Maintenance America Corp. 2,700 34,931
The Guarantee Life Companies Inc. 1,953 49,069
+ Guilford Pharmaceuticals Inc. 1,976 25,194
+ Guitar Center, Inc. 1,881 19,633
</TABLE>
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SCHEDULE OF INVESTMENTS (continued)
<TABLE>
<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
------------------------------------------------------------------
COMMON STOCKS Shares Value
(continued) Issue Held (Note 1a)
====================================================================================
<S> <C> <C>
+ The Gymboree Corporation 1,800 $ 18,900
H.B. Fuller Company 971 66,392
+ HA-LO Industries, Inc. 3,892 38,433
HCC Insurance Holdings, Inc. 4,359 98,895
+ HNC Software Inc. 1,900 58,544
+ HS Resources, Inc. 3,033 44,737
HSB Group, Inc. 3,056 125,869
+ Hadco Corporation 1,555 61,811
+ Haemonetics Corporation 3,180 63,799
+ The Hain Food Group, Inc. 1,300 26,812
+ Hambrecht & Quist Group 2,131 79,113
Hancock Holding Company 1,000 44,875
+ Handleman Company 4,804 56,747
+ Hanger Orthopedic Group, Inc. 1,663 23,594
+ Hanover Compressor Company 2,626 84,360
+ Harbinger Corporation 3,284 41,050
+ Harken Energy Corporation 10,200 16,575
Harleysville National Corporation 433 15,480
Harman International Industries,
Incorporated 1,863 81,972
+ Harmonic Inc. 800 45,950
Harsco Corporation 3,249 103,968
Haverty Furniture Companies, Inc. 800 28,200
Hawaiian Electric Industries, Inc. 2,671 94,820
+ Hayes Lemmerz International, Inc. 1,436 42,182
Health Care Property Investors, Inc. 3,038 87,722
Health Care REIT, Inc. 1,400 32,550
+ HealthCare Financial Partners, Inc. 1,100 37,675
Healthcare Realty Trust, Inc. 3,823 80,283
+ Heidrick & Struggles International, Inc. 1,000 19,000
Heilig-Meyers Company 6,546 44,595
Helix Technology Corporation 2,300 55,056
Helmerich & Payne, Inc. 4,079 97,131
+ Hemispherx Biopharma, Inc. 1,900 14,250
+ Henry Schein, Inc. 1,580 50,066
+ Hexcel Corporation 2,100 21,262
+ Hollywood Entertainment Corporation 2,400 46,950
+ Hollywood Park, Inc. 2,500 42,500
Home Properties of New York, Inc. 1,428 39,448
Hooper Holmes, Inc. 2,376 48,411
Horace Mann Educators Corporation 3,356 91,241
Hospitality Properties Trust 3,266 88,590
+ Host Marriot Services Corporation 3,906 31,736
Hudson United Bancorp 2,396 73,377
Hughes Supply, Inc. 2,229 66,173
+ Human Genome Sciences, Inc. 2,258 89,191
Hussmann International, Inc. 5,316 88,046
+ Hutchinson Technology Incorporated 2,106 58,441
+ Hyperion Solutions Corporation 2,894 51,549
+ ICG Communications, Inc. 4,324 91,615
IDAcorp Inc. 2,966 93,429
+ IDEC Pharmaceuticals Corporation 1,794 138,250
IDEX Corporation 2,995 98,461
+ IDEXX Laboratories, Inc. 3,967 92,481
+ IDT Corporation 1,500 33,375
+ IDX Systems Corporation 1,102 24,864
+ IGEN International, Inc. 1,000 29,125
+ IHOP Corp. 2,670 64,080
IMCO Recycling Inc. 1,185 20,293
+ IPC Communications, Inc. 700 47,775
IRT Property Company 6,421 63,407
+ ISS Group, Inc. 1,900 71,725
+ The IT Group, Inc. 1,800 28,912
+ ITC DeltaCom, Inc. 3,369 94,332
+ ITT Educational Services, Inc. 1,188 30,962
+ IVEX Packaging Corporation 1,619 35,618
+ IXC Communications, Inc. 2,290 90,026
+ Identix Incorporated 1,605 15,749
+ Imation Corp. 4,406 109,324
+ Imclone Systems 2,600 65,975
+ Imperial Bancorp 3,845 76,179
Imperial Credit Commercial Mortgage
Investment Corp. 5,097 55,111
+ Imperial Credit Industries, Inc. 2,300 16,316
+ InaCom Corp. 3,969 50,109
+ Incyte Pharmaceuticals, Inc. 2,373 62,736
Independence Community Bank Corp. 4,407 59,494
Independent Bank Corp. 3,100 48,825
Indiana Energy, Inc. 2,357 50,234
IndyMac Mortgage Holdings, Inc. 5,600 89,600
+ InfoCure Corporation 1,200 63,525
+ Information Resources, Inc. 4,393 38,439
+ Informix Corporation 14,900 127,116
+ infoUSA Inc. (Class B) 3,700 31,450
+ Inhale Therapeutic Systems 1,883 44,839
+ Innkeepers USA Trust 1,977 19,770
+ Input/Output, Inc. 4,685 35,430
+ Insight Enterprises, Inc. 2,514 62,221
+ Insignia Financial Group, Inc. 1,733 18,196
+ Insituform Technologies, Inc. (Class A) 3,500 75,687
+ Integrated Device Technology, Inc. 8,785 95,537
+ Integrated Electrical Services, Inc. 2,039 32,879
+ Integrated Health Services, Inc. 3,900 31,200
+ Integrated Systems 1,945 22,854
Interface, Inc. 5,715 49,292
+ Intergraph Corp. 5,509 42,695
+ Interim Services 5,201 107,271
+ Intermedia Communications Inc. 3,700 111,000
International Bancshares Corporation 805 34,062
+ International Home Foods, Inc. 1,909 35,197
International Multifoods 2,279 51,420
+ International Rectifier Corp. 4,976 66,243
+ International Telecommunications
Data Systems 1,600 25,600
Inter-Tel Inc. 2,441 44,548
+ InterVoice, Inc. 2,300 33,206
+ InterVu Inc. 500 19,156
Interwest Bancorp Inc. 1,142 28,550
Invacare Corp. 2,901 77,602
Investors Financial Services 1,097 43,880
+ Iomega Corporation 5,400 26,662
+ Ionics, Inc. 1,631 59,531
+ Iron Mountain Incorporated 1,338 38,300
+ Isis Pharmaceuticals 2,900 29,544
+ iTurf Inc. (Class A) 300 5,419
+ iVillage Inc. 1,100 55,275
J.B. Hunt Transport Services, Inc. 1,800 29,250
The J. M. Smucker Company (Class A) 2,862 63,679
+ JDA Software Group, Inc. 1,925 17,927
JDN Realty Corporation 2,620 58,622
JLG Industries, Inc. 3,537 72,066
JSB Financial, Inc. 659 33,527
Jack Henry & Associates, Inc. 1,710 67,118
+ Jacobs Engineering Group Inc. 2,517 95,646
Jefferies Group Inc. "New" 1,849 55,470
+ Jo-Ann Stores Inc. 1,972 29,580
John H. Harland Company 4,080 81,345
The John Nuveen Company (Class A) 600 25,613
+ Jones Apparel Group, Inc. 333 11,417
+ Jones Lang Lasalle, Inc 2,166 64,574
Jones Pharmaceuticals, Inc. 1,863 73,239
Jostens, Inc. 4,251 89,537
+ Journal Register Co. 2,927 65,858
+ Juno Lighting, Inc. 177 3,009
+ Just for Feet, Inc. 2,520 16,223
+ K-V Pharmaceutical Company
(Class B) 1,192 18,923
Kaman Corp. (Class A) 4,080 64,005
Kaufman and Broad Home Corporation 4,284 106,565
Kaydon Corp. 3,320 111,635
Kellwood Co. 2,822 76,547
Kelly's Services, Inc. (Class A) 1,407 45,200
+ Kemet Corp. 4,039 92,645
Kennametal Inc. 1,500 46,500
+ Kent Electronics Corporation 3,181 63,024
Kilroy Realty Corporation 1,139 27,763
Kimball International, (Class B) 4,385 73,997
+ Kirby 2,582 54,706
+ Knoll, Inc. 777 20,688
Koger Equity, Inc. 2,180 40,194
+ Komag, Incorporated 3,000 9,938
Korn/Ferry International 1,900 32,300
+ Kronos, Inc. 976 44,408
+ Kulicke and Soffa Industries 2,300 61,669
The L.S. Starrett Company (Class A) 488 13,115
+ LAM Research Corp. 3,435 160,372
LNR Property Corp. 3,143 67,182
LTC Properties 4,666 60,658
The LTV Corporation 9,101 60,863
LTX Corporation 3,200 42,600
La-Z-Boy Inc. 4,490 103,270
+ Labor Ready, Inc. 1,800 58,500
Laclede Gas Company 1,390 32,318
Lance, Inc. 1,600 25,000
LandAmerica Financial Group, Inc. 753 21,649
Landauer, Inc. 427 12,597
+ Landry's Seafood Restaurants 2,279 18,232
+ Land's End, Inc. 1,069 51,847
+ Landstar System, Inc. 1,507 54,393
Laser Vision Centers, Inc. 900 56,700
+ Lason, Inc. 1,199 59,500
+ Lattice Semiconductor Corporation 1,663 103,522
Leap Wireless International, Inc. 1,600 32,400
Lee Enterprises, Incorporated 3,495 106,598
Lennar Corporation 2,700 64,800
Leucadia National Corporation 3,340 84,753
Lexington Corporate Properties Trust 1,454 16,903
Libbey, Inc. 1,459 42,311
The Liberty Corporation 1,223 66,654
Liberty Financial Companies, Inc. 1,038 30,232
Life USA Holding, Inc. 1,900 38,475
LifePoint Hospitals, Inc. 2,700 36,281
+ Ligand Pharmaceuticals Incorporated
(Class B) 3,556 39,561
</TABLE>
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COMMON STOCKS Shares Value
(continued) Issue Held (Note 1a)
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<S> <C> <C>
Lilly Industries, Inc. (Class A) 3,497 $ 64,913
Lincoln Electric Holdings, Inc. 2,972 60,926
Lindsay Manufacturing Co. 2,332 40,956
The Liposome Company, Inc. 3,200 61,200
+ Littelfuse Inc. 2,518 48,472
+ Local Financial Corp. 4,272 42,720
Lone Star Industries, Inc. 1,560 58,598
+ Lone Star Steakhouse & Saloon, Inc. 3,582 34,813
+ Lone Star Technologies, Inc. 2,525 44,819
Long Beach Financial Corporation 1,900 27,906
Longview & Fibre Company 5,534 86,469
Louis Dreyfus Natural Gas Corp. 1,531 33,012
Luby's Cafeterias Inc. 2,846 42,690
+ Lydall, Inc. 2,591 29,797
M.A. Hanna Company 4,039 66,391
MAF Bancorp, Inc. 1,964 47,627
+ MAPICS, Inc. 2,037 21,516
MDC Holdings, Inc. 2,600 55,900
MDU Resources Group 4,241 96,748
+ MEDE AMERICA Corporation 1,100 41,525
MGC Communications, Inc. 1,200 31,200
MGI Properties, Inc. 1,086 30,680
+ MIPS Technologies, Inc. (Class A) 900 43,144
+ MMC Networks, Inc. 2,400 107,400
MMI Companies, Inc. 1,600 27,000
The MONY Group Inc. 3,725 121,528
+ MRV Communications, Inc. 1,940 25,463
MSC Industrial Direct Co., Inc. (Class A) 1,900 19,475
MacDermid, Inc. 1,241 57,707
Macerich Company 3,300 86,625
Macrovision Corporation 600 44,925
Madison Gas & Electric Co. 1,352 27,716
+ Magellan Health Services, Inc. 3,293 32,930
+ Magnetek, Inc. 3,812 40,264
+ Mail-Well, Inc. 3,438 55,653
The Manitowoc Co., Inc. 2,989 124,417
Manu Home Communications 2,900 75,400
+ Manugistics Group, Inc. 1,795 26,028
Marcus Corporation 3,801 46,800
+ Marine Drilling Co., Inc. 4,997 68,396
Mark IV 4,205 88,831
+ Markel Corporation 340 63,580
+ Marshall Industries 2,016 72,450
Masotech, Inc. 3,357 56,859
+ MasTec, Inc. 1,400 39,550
+ Mastech Corporation 2,738 50,995
Mathews International Corp. (Class A) 1,223 36,231
+ Maxxim Medical, Inc. 1,100 25,644
+ Medaphis Corporation 7,940 45,655
Media General, Inc. (Class A) 1,768 90,168
+ Medical Assurance, Inc. 2,976 84,072
+ Medical Manager Corporation 1,200 53,100
+ Medicis Pharmaceutical (Class A) 2,295 58,236
+ MedPartners, Inc. 15,010 113,513
+ MedQuist Inc. 2,571 112,481
+ MemberWorks Incorporated 900 26,100
+ The Men's Warehouse, Inc. 2,646 67,473
Mentor Corporation 2,300 42,838
+ Mentor Graphics Corporation 7,064 90,508
+ Mercury Interactive Corp. 3,394 120,063
Meristar Hospitality Corp. 3,593 80,618
Merrill Corp. 2,100 30,450
+ MessageMedia, Inc. 2,100 39,900
+ Metamor Worldwide, Inc. 3,325 79,592
Methode Electronics 3,826 87,520
Metris Companies Inc. 3,216 131,052
+ Metro Networks, Inc. 706 37,683
+ Metromedia International Group, Inc. 4,300 32,250
+ Mettler-Toledo International 4,035 100,118
+ The Metzler Group, Inc. 2,700 74,588
Michael Foods, Inc. 1,166 27,401
+ Michael's Stores 2,515 77,022
+ Micrel, Inc. 1,083 80,142
+ Micro Warehouse, Inc. 3,765 67,299
+ Micromuse, Inc. 1,000 49,875
+ Micron Electronics, Inc. 3,159 31,787
+ Micros Systems, Inc. 2,000 68,000
+ MicroStrategy Incorporated 3,200 121,200
+ Mid Atlantic Medical Services, Inc. 4,161 41,090
Mid-America Apartment Communities, Inc. 1,492 34,503
Mid-State Bancshares 800 27,000
Midas Group, Inc. 2,585 73,349
+ Midway Games, Inc. 2,874 37,182
+ Midwest Express Holdings 1,731 58,854
Milacron Inc. 3,648 67,488
+ Millennium Pharmaceuticals, Inc. 3,083 110,988
+ Miller Industries, Inc. 4,140 16,301
Mills Corp. 2,400 52,050
Minerals Technologies, Inc. 1,913 106,769
Mississippi Chemical 3,410 33,461
Mitchell Energy & Development Corp.
(Class A) 948 18,308
Modine Manufacturing Co. 2,564 83,490
+ Molecular Devices Corporation 800 30,000
+ Monaco Coach Corporation 900 38,081
+ Moog Inc. (Class A) 316 10,863
Morgan Keenan, Inc. 2,330 44,124
+ Motivepower Industries, Inc. 2,055 36,476
+ Mpath Interactive, Inc. 800 17,600
+ Mueller Industries, Inc. 3,641 123,566
+ Multex.com Inc. 900 23,513
+ Musicland Stores Corporation 3,835 34,036
Myers Industries, Inc. 860 17,200
NACCO Industries, Inc. (Class A) 778 57,183
+ NBTY Inc. 5,693 37,005
+ NCI Building Systems, Inc. 1,184 25,308
+ NCS Healthcare (Class A) 1,997 10,859
+ NFO Worldwide, Inc. 2,740 38,360
NL Industries, Inc. 1,651 18,367
NUI Corporation 673 16,825
+ NVR, Inc. 700 36,531
National Bancorp of Alaska, Inc. 1,186 31,429
National City Bancshares, Inc. 1,171 37,399
National Computer Systems, Inc. 2,510 84,713
+ National Discount Brokers Group, Inc. 700 40,600
+ National Equipment Services, Inc. 2,200 26,400
National Health Investors, Inc. 1,921 43,823
+ National Instruments Corporation 1,616 65,246
National Penn Bancshares, Inc. 1,019 23,978
+ National R.V. Holdings, Inc. 1,200 29,100
National Steel Corp. 3,200 26,800
+ National-Oilwell, Inc. 2,700 37,800
Nationwide Health Properties, Inc. 5,075 96,742
Natures Sunshine Products, Inc. 2,000 21,000
+ Nautica Enterprises, Inc. 4,069 68,664
+ The Neiman Marcus Group, Inc. 1,500 38,531
+ Net.B@nk, Inc. 1,800 68,400
+ Network Equipment Technologies, Inc. 3,086 30,474
Nevada Power Company 4,400 110,000
New England Business Services, Inc. 2,100 64,838
New Jersey Resources Corporation 1,411 52,824
+ Newfield Exploration Company 3,150 89,578
+ Newpark Resources, Inc. 6,196 54,990
Newport News Shipbuilding Inc. 2,584 76,228
+ NeXstar Pharmaceuticals, Inc. 2,400 47,850
+ Nichols Research Corporation 1,165 25,484
Nordson Corporation 1,549 94,779
Norrell Corporation 1,457 27,410
North Carolina Natural Gas Corporation 712 24,253
Northwest Natural Gas Company 1,600 38,600
Northwestern Corporation 1,877 45,400
+ Novoste Corporation 1,200 25,200
+ Nuevo Energy Company 2,007 26,593
OEA, Inc. 2,125 18,859
+ OEC Medical Systems, Inc. 745 18,253
OM Group, Inc. 2,293 79,109
OMEGA Healthcare Investors, Inc. 2,710 69,952
ONEOK, Inc. 3,052 96,901
+ Oak Industries Inc. 2,127 92,923
Oakwood Homes Corporation 4,535 59,522
Ocean Financial Corp. 1,243 22,529
+ Oceaneering International, Inc. 2,627 42,360
+ OfficeMax, Inc. 8,200 84,153
+ Offshore Logistics, Inc. 2,711 30,160
Ogden Corporation 3,871 104,275
Ohio Casualty Corporation 2,462 88,940
Olin Corporation 2,200 29,013
Olsten Corporation 6,319 39,889
Omega Financial Corporation 475 16,506
+ Omnipoint Corporation 3,025 87,536
+ On Assignment, Inc. 1,988 51,937
One Valley Bancorp, Inc. 3,421 128,288
Oneida Ltd. 1,100 30,938
+ OneMain.com, Inc. 1,200 28,350
+ Open Market, Inc. 2,800 39,725
Optical Coating Laboratory, Inc. 800 66,900
Orange and Rockland Utilities, Inc. 1,066 62,294
+ Orbital Sciences Corporation 2,700 63,788
Oregon Steel Mills, Inc. 3,459 46,048
+ O'Reilly Automotive, Inc. 1,925 96,972
+ Organogenesis Inc. 3,186 29,869
Oriental Financial Group Inc. 1,880 45,355
Orion Capital Corporation 1,300 46,638
+ Orthodontic Centers of America, Inc. 4,035 56,994
OshKosh B'Gosh, Inc. (Class A) 1,200 25,350
+ Osteotech, Inc. 1,200 34,500
Otter Tail Power Company 974 37,560
Overseas Shipholding Group, Inc. 3,685 47,444
Owens & Minor, Inc. 3,325 36,575
P.H. Glatfelter Company 2,400 35,100
+ PAREXEL International Corporation 2,461 32,762
+ P-Com, Inc. 4,282 22,414
+ PETCO Animal Supplies, Inc. 2,755 43,391
+ PETsMART, Inc. 8,900 91,225
</TABLE>
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COMMON STOCKS Shares Value
(continued) Issue Held (Note 1a)
====================================================================================
<S> <C> <C>
+ PFF Bancorp, Inc. 1,216 $ 22,800
+ PICO Holdings, Inc. 2,100 53,156
+ PLX Technology, Inc. 1,100 52,113
PMA Capital Corporation (Class A) 1,764 36,272
+ PRI Automation, Inc. 1,500 54,375
PS Business Parks, Inc. 1,200 29,250
+ PSS World Medical, Inc. 6,794 76,008
Pacific Capital Bancorp 1,532 48,258
+ Pacific Gateway Exchange, Inc. 922 26,853
Pacific Gulf Properties, Inc. 849 19,209
+ Pacific Sunwear of California, Inc. 3,368 82,083
+ PageMart Wireless, Inc. (Class A) 3,894 29,448
+ PairGain Technologies, Inc. 6,604 75,946
+ Palm Harbor Homes, Inc. 2,078 52,080
+ Papa John's International, Inc. 2,337 04,435
Park Electrochemical Corp. 1,340 38,525
Park National Corporation 640 64,000
+ Parker Drilling Company 8,151 27,000
Parkway Properties, Inc. 846 28,024
+ PathoGenesis Corporation 1,820 25,821
+ Patterson Dental Company 2,580 89,655
+ Paxar Corporation 3,037 27,333
+ Paxson Communications Corporation 2,400 32,400
+ Paymentech, Inc. 1,282 32,531
+ Pediatrix Medical Group, Inc. 1,417 30,111
+ Pegasus Communications Corporation 892 35,123
+ Pegasus Systems, Inc. 1,300 48,669
+ Pegasystems Inc. 2,256 23,124
Pennsylvania Enterprises, Inc. 635 19,487
PennzEnergy Company 2,200 36,713
Pennzoil-Quaker State Company 4,600 69,000
Penton Media, Inc. 1,400 33,950
Peoples Bancorp, Inc. 2,796 27,873
The Pep Boys--Manny, Moe & Jack 4,000 86,500
+ Perclose, Inc. 600 28,838
+ Peregrine Systems, Inc. 2,000 51,375
+ Performance Food Group Company 964 26,209
+ Perrigo Company 6,686 50,981
+ Personnel Group of America, Inc. 3,683 36,830
+ Pervasive Software Inc. 1,300 32,338
+ Pharmaceutical Product
Development, Inc. 2,274 62,251
+ Pharmacyclics, Inc. 1,400 39,200
Philadelphia Suburban Corporation 2,797 64,506
Phillips-Van Heusen Corporation 4,169 41,169
Phoenix Investment Partners, Ltd. 5,813 50,137
+ Phoenix Technologies Ltd. 2,400 42,900
+ Photronics, Inc. 1,746 42,777
+ PhyCor, Inc. 6,507 48,192
+ PictureTel Corporation 5,713 45,704
Piedmont Natural Gas Company, Inc. 2,481 77,221
Pier 1 Imports, Inc. 7,000 78,750
+ Pinnacle Holdings Inc. 1,500 36,750
+ Pinnacle Systems, Inc. 1,800 60,525
The Pioneer Group, Inc. 2,300 39,675
Pioneer Natural Resources Company 7,500 82,500
Pioneer-Standard Electronics, Inc. 3,564 42,768
Pittson BAX Group 2,130 20,235
Pittston Brink's Group 2,300 61,525
Pittway Corporation 1,800 59,963
+ Plantronics, Inc. 1,869 121,719
+ Playboy Enterprises, Inc. 1,575 41,836
+ Playtex Products, Inc. 2,190 34,082
+ Plexus Corporation 1,249 37,626
Pogo Producing Company 3,112 57,961
Polaris Industries, Inc. 2,281 99,224
Polaroid Corporation 3,200 88,400
+ Policy Management Systems Corporation 2,500 75,000
+ Polycom, Inc. 1,600 62,400
+ Polymer Group, Inc. 3,898 45,802
+ Pool Energy Services Co. 2,473 50,233
Potlatch Corporation 2,047 89,940
+ Power Integrations, Inc. 900 65,813
+ Powertel, Inc. 1,900 56,763
+ Powerwave Technologies, Inc. 1,000 32,250
Precision Castparts Corp. 2,002 85,085
Premier Bancshares, Inc. 2,125 38,914
+ Premiere Technologies, Inc. 3,700 42,550
+ Premisys Communications, Inc. 2,374 17,360
Prentiss Properties Trust 2,496 58,656
+ Pre-Paid Legal Services, Inc. 2,460 66,881
Presidential Life, Corporation 2,000 39,250
Preview Travel, Inc. 1,200 26,325
+ Price Communications Corporation 2,100 31,500
+ Pride International, Inc. 4,090 43,201
+ Primark Corporation 2,460 69,034
+ Prime Hospitality Corp. 5,782 69,384
Prime Retail, Inc. 4,367 37,938
Primex Technologies, Inc. 2,000 43,125
+ Primus Telecommunications Group,
Incorporated 1,900 42,631
+ Priority Healthcare Corporation (Class B) 335 11,558
+ ProBusiness Services, Inc. 1,000 35,875
+ The Profit Recovery Group International, Inc. 1,500 70,969
+ Progress Software Corporation 2,359 66,642
+ Protein Design Labs, Inc. 1,863 41,335
Provident Bancshares Corporation 3,430 79,748
+ Proxicom, Inc. 700 17,981
+ Proxim, Inc. 900 52,200
+ ProxyMed, Inc. 1,800 28,688
Public Service Company of New Mexico 4,040 80,295
Public Service Company of North
Carolina, Inc. 762 22,289
Pulte Corporation 1,400 32,288
+ QRS Corporation 608 47,424
+ QuadraMed Corporation 1,900 15,438
Quanex Corporation 2,386 68,001
+ Quanta Services, Inc. 1,900 83,600
Queens County Bancorp Inc. 2,250 72,844
+ Quest Diagnostics Incorporated 2,266 62,032
+ Quiksilver, Inc. 1,600 41,700
+ Quorum Health Group, Inc. 4,900 61,556
R.H. Donnelley Corporation 1,800 35,213
+ REMEC, Inc. 1,900 30,638
RFS Hotel Investors, Inc. 3,725 46,795
RLI Corp. 600 23,250
Radian Group Inc. 3,402 166,060
+ Ralcorp Holdings, Inc. 3,398 54,580
+ Rare Medium Group, Inc. 2,300 28,606
Raymond James Financial, Inc. 2,400 57,450
Rayonier Inc. 2,193 109,239
+ Rayovac Corporation 3,149 71,443
+ Read-Rite Corporation 4,754 29,490
Realty Income Corporation 2,166 51,443
Reckson Associates Realty Corporation 4,383 103,001
Reckson Associates Realty Corporation 555 13,251
+ Red Roof Inns, Inc. 3,355 60,180
+ Reebok International Ltd. 3,200 59,600
Regal-Beloit Corporation 2,725 64,378
Regency Realty Corporation 3,000 65,813
+ Regeneron Pharmaceuticals, Inc. 1,348 10,531
Regis Corporation 3,402 65,276
Reliance Bancorp, Inc. 1,400 38,675
Reliance Group Holdings, Inc. 3,200 23,800
Reliance Steel & Aluminum Co. 1,022 39,858
+ Remedy Corporation 2,567 68,988
+ Renaissance Worldwide, Inc. 2,700 21,431
+ Renal Care Group, Inc. 4,057 104,975
+ Rent-A-Center, Inc. 2,145 51,480
+ Rent-Way, Inc. 1,400 34,475
+ Rental Service Corporation 1,836 52,556
Republic Bancorp Inc. 5,858 88,968
Republic Security Financial Corporation 4,384 36,716
+ Res-Care, Inc. 1,300 29,575
+ ResMed Inc. 1,100 36,506
Resource America, Inc. (Class A) 1,700 24,650
+ Respironics, Inc. 2,849 43,091
+ Rexall Sundown, Inc. 2,300 28,031
Richfood Holdings, Inc. 4,648 81,921
Richmond County Financial Corp. 1,884 36,267
Riggs National Corporation 1,566 32,201
+ Risk Capital Holdings, Inc. 2,700 36,450
+ Roberts Pharmaceutical Corporation 2,072 50,246
Rochester Gas and Electric Corporation 3,576 94,988
Rock-Tenn Company (Class A) 2,594 43,287
+ Rogers Corporation 396 11,682
Rollins Truck Leasing Corp. 6,575 73,147
Rollins, Inc. 3,412 54,379
+ Romac International, Inc. 4,554 40,417
Roper Industries, Inc. 3,333 106,656
Ruby Tuesday, Inc. 3,721 70,699
Ruddick Corporation 3,300 66,000
Russell Corporation 1,454 28,353
+ Ryan's Family Steak Houses, Inc. 5,210 60,241
Ryerson Tull Inc. 2,109 47,584
The Ryland Group, Inc. 1,211 35,952
S&T Bancorp, Inc. 1,146 28,937
+ S3 Incorporated 5,954 54,144
+ SCM Microsystems, Inc. 1,103 51,152
SCPIE Holdings Inc. 1,013 33,049
+ SEACOR SMIT Inc. 1,394 74,579
SIGCORP, Inc. 1,927 54,558
+ SIPEX Corporation 1,504 30,832
SL Green Realty Corp. 1,078 22,032
+ SLI, Inc. 1,350 36,450
+ SMART Modular Technologies, Inc. 2,805 48,737
+ SPS Technologies, Inc. 1,487 55,763
+ SS&C Technologies, Inc. 1,300 9,913
STAR Telecommunications, Inc. 2,400 18,750
+ STERIS Corporation 4,900 94,938
+ SVI Holdings, Inc. 2,100 25,200
+ Sabratek Corporation 857 18,747
+ Safeskin Corporation 3,200 38,400
</TABLE>
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<TABLE>
<CAPTION>
Merrill Lynch Small Cap Index Series (continued)
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COMMON STOCKS Shares Value
(continued) Issue Held (Note 1a)
====================================================================================
<S> <C> <C>
+ Saga Systems Inc. 2,998 $ 38,225
+ Salton, Inc. 500 25,000
+ Sanchez Computer Associates, Inc. 1,000 34,625
+ SanDisk Corporation 1,966 88,470
+ SangStat Medical Corporation 2,259 38,968
+ Sawtek Inc. 900 41,288
+ Sbarro, Inc. 1,060 28,686
+ Scholastic Corporation 1,433 72,546
+ School Specialty, Inc. 1,500 24,094
Schweitzer-Manduit International, Inc. 1,688 25,320
Scotsman Industries, Inc. 2,287 49,313
+ Scott Technologies, Inc. 887 17,075
+ The Scotts Company (Class A) 2,087 99,393
+ Seacoast Financial Services Corporation 2,300 26,163
+ Security Capital Group Incorporated
(Class B) 1,826 26,591
+ Security Dynamics Technologies, Inc. 3,530 75,013
+ Security First Technologies Corporation 2,000 90,250
+ Seitel, Inc. 2,625 42,492
Selective Insurance Group, Inc. 3,313 63,154
+ Semtech Corporation 1,200 62,550
Sensormatic Electronics Corporation 6,433 89,660
+ Sequa Corporation (Class A) 700 49,000
+ Sequent Computer Systems, Inc. 4,348 77,177
+ Serologicals Corporation 2,717 22,076
+ Service Experts, Inc. 1,852 40,628
+ ShopKo Stores, Inc. 2,438 88,378
+ Shorewood Packaging Corporation 1,300 23,969
Shurgard Storage Centers, Inc. (Class A) 2,277 61,764
+ Sicor Inc. 2,103 8,938
+ Sierra Health Services, Inc. 2,299 33,192
Sierra Pacific Resources 2,480 90,210
+ Silgan Holdings Inc. 1,554 30,886
+ Silicon Valley Bancshares 2,332 57,717
+ Silicon Valley Group, Inc. 3,590 60,357
+ Siliconix Incorporated 188 6,439
Simmons First National Corporation
(Class A) 515 16,544
Simpson Industries, Inc. 1,350 13,838
+ Sinclair Broadcast Group, Inc. (Class A) 1,800 29,475
Sky Financial Group, Inc. 4,451 120,455
Skyline Corporation 759 22,248
+ SkyTel Communications Inc. 5,458 113,254
SkyWest, Inc. 1,359 33,890
+ Smithfield Foods, Inc. 3,296 110,210
+ SoftNet Systems, Inc. 700 19,513
+ Sola International Inc. 2,094 40,702
+ Sonic Corp. 2,342 76,408
South Jersey Industries, Inc. 663 18,771
Southern Peru Limited 4,359 62,933
+ Southern Union Company 1,430 31,103
+ Southwest Bancorporation of Texas, Inc. 3,841 69,138
Southwest Gas Corporation 2,408 68,929
Southwest Securities Group, Inc. 878 62,997
Southwestern Energy Company 4,019 42,451
Sovran Self Storage, Inc. 622 16,755
Spartech Corporation 1,183 37,412
+ Speedfam-IPEC Inc. 1,975 31,723
+ SportsLine USA, Inc. 1,200 43,050
Spring Industries, Inc. (Class A) 1,325 57,803
+ Spyglass, Inc. 1,200 24,150
St. Johns Knits, Inc. 1,878 54,932
St. Mary Land & Exploration Company 1,541 31,687
St. Paul Bancorp, Inc. 3,917 99,884
+ Staff Leasing, Inc. 1,600 20,600
+ StaffMark, Inc. 2,188 21,948
Standard Pacific Corp. 3,562 46,083
Standard PDTS 2,048 52,480
The Standard Register Company 1,008 30,996
Staten Island Bancorp, Inc. 4,835 87,030
+ Station Casinos, Inc. 1,400 28,525
+ Steel Dynamics, Inc. 3,545 54,837
+ Steinway Musical Instruments, Inc. 723 19,160
Sterling Bancshares, Inc. 4,646 62,140
Stewart & Stevenson Services, Inc. 2,841 43,325
+ Stillwater Mining Company 3,389 110,778
Stone & Webster, Incorporated 1,200 31,950
+ Stone Energy Corporation 1,594 67,546
Storage USA, Inc. 2,093 66,714
The Stride Rite Corporation 5,689 58,668
+ Structural Dynamics Research Corporation 3,977 73,823
Sturm, Ruger & Company, Inc. 2,364 25,265
+ Suiza Foods Corporation 2,400 100,500
Summit Properties Inc. 1,857 36,676
+ Summit Technology, Inc. 3,400 74,800
Sun Communities, Inc. 1,346 47,783
Sunbeam Corporation 6,300 50,006
+ Sunglass Hut International, Inc. 3,436 59,056
+ Sunrise Assisted Living, Inc. 1,029 35,886
+ Sunrise Medical Inc. 3,341 23,805
+ Sunrise Technologies International, Inc. 3,600 44,100
Sunstone Hotel Investors, Inc. 2,628 22,338
+ Sunterra Corporation 2,500 34,844
Superior Industries International, Inc. 2,449 66,888
+ Superior National Insurance Group, Inc. 1,600 43,600
+ Superior Services, Inc. 2,788 74,405
Superior Telecom 8.5% Conv Prfd 252 10,836
Susquehanna Bancshares, Inc. 4,625 81,805
+ Swift Energy Company 2,119 22,647
+ Swift Transportation Co., Inc. 3,589 78,958
+ Sybase, Inc. 7,649 84,139
+ Sykes Enterprises, Incorporated 1,600 53,400
+ Syntroleum Corporation 2,500 21,875
+ Systemax Inc. 2,359 29,193
+ Systems & Computer Technology
Corporation 3,405 49,585
+ TALK.com, Inc. 3,700 41,625
+ THQ Inc. 1,100 31,625
TJ International, Inc. 2,165 66,574
TNP Enterprises, Inc. 1,015 36,794
+ TSI International Software Ltd. 1,400 39,725
The Talbots, Inc. 800 30,500
Taubman Centers, Inc. 2,710 35,738
+ Techne Corporation 2,813 71,380
Technitrol, Inc. 1,947 62,791
+ Technology Solutions Company 4,932 53,327
Tecumseh Products Company (Class A) 1,458 88,300
+ Tekelec 1,958 23,863
Tektronix, Inc. 3,200 96,600
+ Telebanc Financial Corporation 1,300 50,375
+ TeleTech Holdings, Inc. 1,700 17,213
Tennant Company 746 23,872
+ Terayon Communication Systems, Inc. 1,100 61,463
+ Terex Corporation 1,309 39,843
Terra Industries, Inc. 3,800 15,200
+ Tesoro Petroleum Corporation 3,058 48,737
+ Tetra Tech, Inc. 4,290 70,785
Texas Industries, Inc. 2,324 90,055
Texas Regional Bancshares, Inc.
(Class A) 1,178 32,027
+ theglobe.com, inc. 700 13,781
+ Theragenics Corporation 2,537 17,600
+ Thermo Cardiosystems Inc. 1,740 18,923
Thomas Industries Inc. 2,889 59,225
The Timken Company 3,000 58,500
+ The Titan Corporation 3,300 36,300
Titanium Metals Corporation 1,802 20,047
+ Toll Brothers, Inc. 3,188 68,343
The Topps Company, Inc. 3,700 26,941
+ Tom Brown, Inc. 3,012 46,874
The Toro Company 1,645 64,772
+ Total Renal Care Holdings, Inc. 5,500 85,594
+ Tower Automotive, Inc. 3,735 95,009
Town & Country Trust 1,166 20,842
+ Trammell Crow Company 3,139 51,597
+ Trans World Airlines, Inc. 5,000 24,688
+ Trans World Entertainment Corporation 2,400 27,000
+ Transaction Network Services, Inc. 900 26,325
+ Transaction Systems Architects, Inc.
(Class A) 2,283 89,037
+ Transkaryotic Therapies, Inc. 2,125 70,125
+ TransMontaigne Inc. 3,580 44,974
+ TranSwitch Corporation 1,200 56,850
Tredegar Corporation 1,552 33,756
Trenwick Group Inc. 1,761 43,420
+ Triad Guaranty Inc. 2,030 36,413
+ Triad Hospitals, Inc. 2,700 36,450
Triangle Bancorp, Inc. 3,891 65,904
+ Triangle Pharmaceuticals, Inc. 2,300 41,400
+ Triarc Companies, Inc. 2,041 43,371
+ Trimble Navigation Limited 3,378 43,492
TriNet Corporate Realty Trust, Inc. 2,970 82,232
Trinity Industries, Inc. 3,403 114,001
+ TriQuint Semiconductor, Inc. 700 39,769
+ Triumph Group, Inc. 1,360 34,680
True North Communications Inc. 2,800 84,000
The Trust Company of New Jersey 1,353 31,796
TrustCo Bank Corp NY 2,191 58,883
+ Tuboscope Inc. 4,701 64,345
Tupperware Corporation 3,600 91,800
+ Tut Systems, Inc. 900 44,044
+ Twinlab Corporation 2,224 19,113
+ Tyler Technologies, Inc. 3,500 24,063
+ U.S. Bioscience, Inc. 1,900 18,525
+ U.S. Francise Systems, Inc. 1,300 30,144
+ U.S. Home Corporation 1,005 35,678
+ UCAR International Inc. 3,200 80,800
UGI Corporation 3,200 64,600
+ UICI 2,440 67,405
UMB Financial Corporation 1,765 75,674
+ UNOVA, Inc. 3,887 61,706
+ URS Corporation 1,100 32,244
+ US Oncology, Inc. 3,611 43,332
USBANCORP, Inc. 1,146 18,050
USEC Inc. 6,300 93,713
USFreightways Corporation 2,756 127,637
</TABLE>
22 & 23
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1999
SCHEDULE OF INVESTMENTS (concluded)
<TABLE>
<CAPTION>
Merrill Lynch Small Cap Index Series (concluded)
------------------------------------------------------------------
COMMON STOCKS Shares Value
(concluded) Issue Held (Note 1a)
====================================================================================
<S> <C> <C>
+ USinternetworking, Inc. 800 $ 33,600
UST Corp. 3,940 119,185
+ Ultratech Stepper, Inc. 2,375 35,773
+ UniCapital Corporation 3,949 24,928
Unifi, Inc. 4,200 89,250
UniFirst Corporation 2,168 39,837
+ UniSource Energy Corporation 4,093 48,860
+ Unistar Financial Service Corp. 1,300 76,700
United Asset Management Corporation 4,216 95,914
United Bankshares, Inc. 4,619 122,404
United Community Financial Corp. 2,500 36,719
United Dominion Realty Trust, Inc. 7,700 90,475
The United Illuminating Company 1,723 73,120
United National Bancorp 713 16,934
+ United States Satellite Broadcasting
Company, Inc. 4,571 82,265
+ United Stationers, Inc. 2,580 56,760
United Television, Inc. 307 32,197
United Water Resources Inc. 2,140 48,551
+ Unitrode Corporation 2,345 67,272
Universal Corporation 1,980 56,306
Universal Foods Corporation 5,090 107,526
Urban Shopping Centers, Inc. 1,100 34,650
+ VWR Scientific Products Corporation 1,610 59,067
+ Vail Resorts, Inc. 2,995 52,413
Valero Energy Corporation 3,200 68,600
Valmont Industries, Inc. 2,844 48,437
+ ValueVision International, Inc. (Class A) 2,300 45,713
+ The Vantive Corporation 2,300 26,306
+ Varco International, Inc. 3,700 40,469
+ Varian Inc. 2,500 33,750
Varian Medical Systems, Inc. 2,364 59,691
+ Varian Semiconductor Equipment
Associates, Inc. 2,400 40,800
Varlen Corporation 1,100 44,550
+ Veeco Instruments Inc. 600 20,400
+ Ventana Medical Systems, Inc. 1,400 26,775
Ventas, Inc. 7,039 37,835
+ Veritas DGC Inc. 2,321 42,503
+ Verity, Inc. 1,100 59,606
+ Vertex Pharmaceuticals Incorporated 2,499 60,288
+ VerticalNet, Inc. 1,300 136,500
+ Veterinary Centers of America, Inc. 2,613 35,439
+ Viatel, Inc. 700 39,288
+ Vical Incorporated 1,800 21,825
+ Vicor Corporation 2,196 46,528
Vintage Petroleum, Inc. 3,053 32,820
+ Visio Corporation 2,638 100,409
+ Visual Networks, Inc. 1,866 59,712
+ Vlasic Foods International Inc. 2,300 16,819
W.H. Brady Co. 2,129 69,193
+ W.R. Grace & Co. 4,000 73,500
WD-40 Company 2,161 54,025
WICOR, Inc. 3,019 84,343
+ WMS Industries Inc. 1,800 30,600
WPS Resources Corporation 2,160 64,800
Wabash National Corporation 2,828 54,793
The Wackenhut Corporation (Class A) 1,430 42,543
+ Wackenhut Corrections Corporation 1,200 23,775
Walden Residential Properties, Inc. 1,960 42,140
Wallace Computer Services, Inc. 3,577 89,425
+ Walter Industries, Inc. 3,629 46,950
Washington Federal, Inc. 4,419 99,151
Washington Gas Light Company 4,200 109,200
Washington Real Estate Investment Trust 2,700 45,731
+ Waste Connections, Inc. 1,000 30,500
Watsco, Inc. 2,700 44,213
Watts Industries, Inc. (Class A) 1,996 38,298
Wausau-Mosinee Paper Corporation 5,006 90,108
+ Wave Systems Corp. (Class A) 2,900 55,100
+ Wavo Corporation 1,900 12,113
Webster Financial Corporation 3,465 93,988
+ WebTrends Corporation 500 23,063
Weeks Corporation 1,594 48,617
Weingarten Realty Investors 2,104 87,842
Wellman, Inc. 3,235 51,558
+ Wellsford Real Properties Inc. 4,971 53,438
Werner Enterprises, Inc. 3,385 70,239
WesBanco, Inc. 1,655 49,650
+ Wesley Jessen VisionCare, Inc. 1,000 32,375
West Coast Bancorp 1,149 20,108
West Pharmaceutical Services, Inc. 1,007 39,525
Westamerica Bancorporation 3,158 115,267
Western Bancorp 1,212 52,722
+ Western Digital Corporation 6,900 44,850
Western Investment Real Estate Trust 5,022 58,381
Westernbank Puerto Rico 2,296 29,992
Westfield America, Inc. 2,278 34,312
Westinghouse Air Brake Co. 1,361 35,301
+ Westwood One, Inc. 1,625 57,992
+ The Wet Seal, Inc. (Class A) 1,355 38,787
White Mountains Insurance Group Inc 600 84,600
Whitney Holding Corporation 2,359 93,770
+ Whole Foods Market, Inc. 1,800 86,513
+ Wind River Systems, Inc. 3,502 56,251
+ Windmere-Durable Holdings, Inc. 1,952 32,940
+ Wisconsin Central Transportation
Corporation 4,082 77,048
Witco Corporation 3,300 66,000
+ Wolverine Tube, Inc. 1,459 36,657
Wolverine World Wide, Inc. 3,802 53,228
+ World Access, Inc. 3,517 49,678
+ World Color Press, Inc. 3,928 108,020
Worthington Industries, Inc. 6,026 99,052
+ Wyman-Gordon Company 2,040 39,398
Wynn's International, Inc. 2,816 51,920
XL Capital Ltd. (Class A) 1,130 63,846
+ XTRA Corporation 1,600 73,500
+ Xircom, Inc. 1,561 46,928
+ Xomed Surgical Products, Inc. 900 43,819
+ Xoom.com, Inc. 600 31,425
Yankee Energy System, Inc. 836 33,179
+ Yellow Corporation 3,127 54,527
+ Young Broadcasting Inc. (Class A) 1,100 46,819
Zebra Technologies Corporation
(Class A) 2,343 90,059
Zenith National Insurance Corp. 797 19,626
+ Ziff-Davis Inc.--ZDNet 900 23,400
------------------------------------------------------------------
Total Common Stocks (Cost--$73,141,699)--76.0% 72,199,388
</TABLE>
<TABLE>
<CAPTION>
=======================================================================================================
SHORT-TERM Face
OBLIGATIONS Amount Issue
=======================================================================================================
<S> <C> <C> <C>
Commercial $4,250,000 American Home Products, Inc., 5.70% due 7/01/1999 4,250,000
Paper* 4,500,000 Associates Corporation of North America, 5.50% due 7/01/1999 4,500,000
4,200,000 CSW Credit, Inc., 5.28% due 7/01/1999 4,200,000
4,500,000 Ford Motor Credit Company, 5.50% due 7/01/1999 4,500,000
4,500,000 General Electric Capital Corp., 5.75% due 7/01/1999 4,500,000
772,000 General Motors Acceptance Corp., 5.63% due 7/01/1999 772,000
=======================================================================================================
Total Short-Term Obligations (Cost--$22,722,000)--23.9% 22,722,000
=======================================================================================================
Total Investments (Cost--$95,863,699)--99.9% 94,921,388
Variation Margin on Financial Futures Contracts**--0.2% 248,400
Liabilities in Excess of Other Assets--(0.1%) (122,547)
-----------
Net Assets--100.0% $95,047,241
===========
=======================================================================================================
</TABLE>
+ Non-income producing security.
* Commercial Paper is traded on a discount basis; the interest rates
shown reflect the discount rates paid at the time of purchase by
the Series.
** Financial futures contracts purchased as of June 30, 1999 were as
follows:
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
Number of Expiration Value
Contracts Issue Date (Notes 1a & 1b)
- --------------------------------------------------------------------------------
108 Russell 2000 September 1999 $24,948,000
- --------------------------------------------------------------------------------
(Total Contract Price--$24,089,039) $24,948,000
===========
- --------------------------------------------------------------------------------
24 & 25
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1999
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX SERIES As of June 30, 1999
=====================================================================================================================
<S> <C> <C> <C>
Assets: Investments, at value (identified cost--$95,863,699) (Note 1a) .. $ 94,921,388
Cash ............................................................ 376,361
Cash on deposit for financial futures contracts (Note 1b) ....... 1,242,000
Receivables:
Securities sold .............................................. $ 20,725,726
Contributions ................................................ 394,681
Variation margin (Note 1b) ................................... 248,400
Dividends .................................................... 72,759 21,441,566
------------
Deferred organization expenses (Note 1e) ........................ 4,237
Prepaid expenses and other assets ............................... 4,713
------------
Total assets .................................................... 117,990,265
------------
=====================================================================================================================
Liabilities: Payables:
Securities purchased ......................................... 21,798,937
Withdrawals .................................................. 1,134,173
Investment adviser (Note 2) .................................. 5,349 22,938,459
------------
Accrued expenses and other liabilities .......................... 4,565
------------
Total liabilities ............................................... 22,943,024
------------
=====================================================================================================================
Net Assets: Net assets ...................................................... $ 95,047,241
============
=====================================================================================================================
Net Assets Partners' capital ............................................... $ 95,130,591
Consist of: ------------
Unrealized depreciation on investments--net ..................... (83,350)
=====================================================================================================================
Net assets ...................................................... $ 95,047,241
============
=====================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX SERIES For the Six Months Ended June 30, 1999
=====================================================================================================================
<S> <C> <C> <C>
Investment Income Dividends (net of $108 foreign withholding tax) ................. $ 410,613
(Note 1d): Interest and discount earned .................................... 293,307
------------
Total income .................................................... 703,920
------------
=====================================================================================================================
Expenses: Investment advisory fees (Note 2) ............................... $ 32,832
Professional fees ............................................... 29,019
Custodian fees .................................................. 16,531
Accounting services (Note 2) .................................... 650
Amortization of organization expenses (Note 1e) ................. 614
Trustees' fees and expenses ..................................... 291
Other ........................................................... 244
Total expenses before reimbursement ............................. 80,181
------------
Reimbursement of expenses (Note 2) .............................. (10,445)
------------
Total expenses after reimbursement .............................. 69,736
------------
Investment income--net .......................................... 634,184
------------
=====================================================================================================================
Realized & Realized gain from investments--net ............................. 6,173,710
Unrealized Gain on Change in unrealized depreciation on investments--net ........... 143,226
Investments--Net ------------
(Notes 1b, 1d & 3): Net Increase in Net Assets Resulting from Operations ............ $ 6,951,120
============
=====================================================================================================================
</TABLE>
See Notes to Financial Statements.
26 & 27
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1999
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MERRILL LYNCH For the Six For the
SMALL CAP Months Ended Year Ended
INDEX SERIES Increase (Decrease) in Net Assets: June 30, 1999 Dec. 31, 1998
==========================================================================================================
<S> <C> <C> <C>
Operations: Investment income--net ................................... $ 634,184 $ 1,124,877
Realized gain on investments--net ........................ 6,173,710 6,658,814
Change in unrealized appreciation/depreciation on
investments--net ...................................... 143,226 (7,991,435)
------------ ------------
Net increase (decrease) in net assets resulting from
operations ............................................ 6,951,120 (207,744)
------------ ------------
==========================================================================================================
Net Capital Increase (decrease) in net assets derived from net capital
Contributions: contributions ......................................... 4,265,466 (11,706,710)
------------ ------------
==========================================================================================================
Net Assets: Total increase (decrease) in net assets .................. 11,216,586 (11,914,454)
Beginning of period ...................................... 83,830,655 95,745,109
------------ ------------
End of period* ........................................... $ 95,047,241 $ 83,830,655
============ ============
==========================================================================================================
* Undistributed investment income--net ..................... $ 2,568,196 $ 1,934,012
============ ============
==========================================================================================================
</TABLE>
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MERRILL LYNCH For the Six For the For the Period
SMALL CAP The following ratios have been derived from Months Ended Year Ended April 9, 1997+ to
INDEX SERIES information provided in the financial statements. June 30, 1999 Dec. 31, 1998 Dec. 31, 1997
===================================================================================================================================
<S> <C> <C> <C>
Ratios to Average Expenses, net of reimbursement ........................ .17%* .17% .18%*
Net Assets: ======= ======= =======
Expenses .............................................. .20%* .28% .29%*
======= ======= =======
Investment income--net ................................ 1.55%* 1.46% 1.78%*
======= ======= =======
===================================================================================================================================
Supplemental Net assets, end of period (in thousands) .............. $95,047 $83,831 $95,745
Data: ======= ======= =======
Portfolio turnover .................................... 31.56% 48.16% 16.45%
======= ======= =======
===================================================================================================================================
</TABLE>
* Annualized.
+ Commencement of operations.
See Notes to Financial Statements.
28 & 29
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 1999
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. The Fund's financial
statements are prepared in accordance with generally accepted accounting
principles, which may require the use of management accruals and estimates.
These unaudited financial statements reflect all adjustments which are, in the
opinion of management, necessary to a fair statement of the results for the
interim period presented. All such adjustments are of a normal recurring nature.
The following is a summary of significant accounting policies followed by the
Series.
(a) Valuation of investments--Portfolio securities that are traded on stock
exchanges 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 that are traded both in the
over-the-counter market and on a stock exchange are valued according to the
broadest and most representative market. Options written or purchased are valued
at the last sale price in the case of exchange-traded options. In the case of
options traded in the over-the-counter market, valuation is the last asked price
(options written) or the last bid price (options purchased). Short-term
securities are valued at amortized cost, which approximates market value. Other
investments, including futures contracts and related options, are stated at
market value. Securities and assets for which market quotations are not readily
available are valued at fair market value, as determined in good faith by or
under the direction of the Trust's Board of Trustees.
(b) Derivative financial instruments--The Series may engage in various portfolio
investment 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 withholding tax may be imposed on interest, dividends 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 Trust 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, 1999, MLAM earned fees of $32,832, of
which $10,445 were 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, 1999 were $22,687,067 and $30,415,931, respectively.
Net realized gains for the six months ended June 30, 1999 and net unrealized
gains (losses) as of June 30, 1999 were as follows:
- --------------------------------------------------------------------------------
Realized Unrealized
Gains Gains (Losses)
- --------------------------------------------------------------------------------
Long-term investments ..................... $5,035,995 $ (942,311)
Financial futures contracts ............... 1,137,715 858,961
---------- ----------
Total ..................................... $6,173,710 $ (83,350)
========== ==========
- --------------------------------------------------------------------------------
As of June 30, 1999, net unrealized depreciation for Federal income tax purposes
aggregated $942,311, of which $7,079,267 related to appreciated securities and
$8,021,578 related to depreciated securities. At June 30, 1999, the aggregate
cost of investments for Federal income tax purposes was $95,863,699.
30 & 31
<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--6/99
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