MERRILL LYNCH
SMALL CAP
INDEX FUND
Merrill Lynch
Index Funds, Inc.
[GRAPHIC OMITTED]
STRATEGIC
Performance
Semi-Annual Report
June 30, 2000
<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, Jr., 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, 2000
DEAR SHAREHOLDER
Market Review
The unmanaged Russell 2000 Index ended 1999 at an all-time high of 504.75 as a
fourth-quarter rally helped the Index finally surpass the levels it had reached
in April 1998. As the new millennium began, the small-capitalization sector
continued to post strong gains propelled by strength in the biotechnology and
Internet-related groups. A strong rally that began in late February pushed the
Russell 2000 Index's momentum to new all-time highs, as it rose above the 600
level for the first time ever during the first week of March.
However, as a sign of the ever-present volatility in the US equity market,
renewed weakness surfaced in the latter half of March, just as the Federal
Reserve Board was preparing to raise interest rates for the second time during
the year on March 21, 2000. Especially hard hit during this period was the
Russell 2000 Index's technology sector, which had shown weakness in the middle
of the month, but crumbled as March drew to a close. The Russell 2000 Index fell
back to 539.09 by March 31, 2000, a loss of just over 11% in the last three
weeks of the calendar's first quarter. For the first quarter of 2000, the Index
produced a total return of +7.08%.
The correction in the technology sector continued through the middle of April,
dragging the Russell 2000 Index back down to the mid-450 range by the middle of
the month, a level first attained by the Index in September 1997. Between the
middle of April through the middle of May, the Russell 2000 Index reattained the
520 level, but once again sold off back down to the mid-450s. Despite the
Federal Reserve Board's third interest rate increase of the year (this time by
0.50% on May 16, 2000), the Russell 2000 Index managed an extraordinary +8.7% in
June, propelled by strong performance in the technology and healthcare sectors.
The Russell 2000 Index finished the first half of the year at 517.23, about 12.5
points higher than its level at year end.
Portfolio Matters
The investment objective of the Fund is to seek to replicate the return of the
Russell 2000 Index before expenses. The Fund seeks to achieve its objective by
investing all of its assets in Master Small Cap Index Series. There are two
principal investments made by the Series in its attempt to replicate the returns
of the benchmark Russell 2000 Index. The primary investment is an underlying
equity portfolio in which most of the assets are placed. In addition, the Series
maintains a long position in Russell 2000 futures contracts that are used as a
mechanism to invest daily cash inflows. The Series uses these futures as a way
to maintain a pool of liquidity should the need for cash arise in the event of
Fund redemptions.
At June 30, 2000, the Series had an equity portfolio valued at $122.3 million,
which represents more than 80% of total net assets. In addition, the Series held
a long position of 100 Russell 2000 futures contracts. At June 30, 2000, nearly
20% was invested in Russell 2000 futures contracts, having benefited from an
inexpensive calendar roll market during the quarter, as it rolled its holdings
of June futures contracts into the September expiration cycle.
Russell reconstitutes all of its Indexes (Russell 1000, 2000 and 3000) annually
at the end of June in order to reflect the new market capitalization weightings
of all potential constituents. The rebalanced weightings are based on market
capitalization data from the end of May. Master Small Cap Index Series was
rebalanced through a series of market trades and cross trades to ensure its
ability to correctly replicate the newly revised Index. In this year's rebalance
trade, the Series undertook trades involving the purchase (and sale) of
approximately $54 million of its equity portfolio.
Performance Results
For the six months ended June 30, 2000, Merrill Lynch Small Cap Index Fund's
Class A and Class D Shares had total returns of +3.48% and +3.40%, respectively.
Since inception (April 9, 1997), the Fund's Class A and Class D Shares had total
returns of +53.79% and +52.61%, respectively. The Russell 2000 Index produced a
total return of +3.04% for the first half of 2000 and +55.16% since the Fund's
inception through June 30, 2000. (Complete performance information can be found
on pages 3 and 4 of this report to shareholders.)
The Fund's outperformance for the first half of the year resulted from a
profitable exchange on February 18, 2000. In this trade, the Series replaced 90
Russell 2000 March futures with an equity portfolio with an equivalent dollar
value at $24.4 million. This type of transaction allowed us to sell futures at
an attractive level while simultaneously lowering the Series' expected tracing
error relative to the underlying Index. In addition, the Series benefited from
two quarterly futures expirations in which the roll traded cheaply in both March
and June.
The Fund closed the first half of 2000 with net assets of $104.3 million. This
represents an increase of more than 36% over the Fund's net assets of $76.6
million at the end of 1999. This growth was generated mainly by the steady
inflow of new cash into the Fund.
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 and Director
/s/ Eric S. Mitofsky
Eric S. Mitofsky
Senior Vice President and
Portfolio Manager
August 16, 2000
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. The
Fund's Administrator and the Series' Investment Adviser voluntarily waived a
portion of their administrative and management fees, respectively. Without such
waiver, the Fund's performance would have been lower.
2 & 3
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
PERFORMANCE DATA (concluded)
Recent Performance Results
Since
6 Month 12 Month Inception
As of June 30, 2000 Total Return Total Return Total Return
================================================================================
ML Small Cap Index Fund Class A Shares* +3.48% +15.02% +53.79%
--------------------------------------------------------------------------------
ML Small Cap Index Fund Class D Shares* +3.40 +14.82 +52.61
--------------------------------------------------------------------------------
Russell 2000 Index** +3.04 +14.32 +55.16
================================================================================
* 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 6/30/00 +15.02%
--------------------------------------------------------------------------------
Inception (4/09/97) through 6/30/00 +14.28
--------------------------------------------------------------------------------
% Return
================================================================================
Class D Shares
================================================================================
Year Ended 6/30/00 +14.82%
--------------------------------------------------------------------------------
Inception (4/09/97) through 6/30/00 +14.01
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND As of June 30, 2000
===================================================================================================================================
<C> <S> <C> <C>
Assets: Investment in Master Small Cap Index Series, at value (identified cost--$105,181,879) $104,303,655
Receivable from investment adviser .................................................. 16,888
Deferred organization expenses ...................................................... 6,893
Prepaid registration fees and other assets .......................................... 30,945
------------
Total assets ........................................................................ 104,358,381
------------
===================================================================================================================================
Liabilities: Payables:
Administrator .................................................................... $ 22,798
Distributor ...................................................................... 12,565 35,363
------------
Accrued expenses and other liabilities .............................................. 42,307
------------
Total liabilities ................................................................... 77,670
------------
===================================================================================================================================
Net Assets: Net assets .......................................................................... $104,280,711
============
===================================================================================================================================
Net Assets Class A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ..... $ 343
Consist of: Class D Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ..... 513
Paid-in capital in excess of par .................................................... 93,437,487
Undistributed investment income--net ................................................ 565,187
Undistributed realized capital gains on investments from the Series--net ............ 11,155,405
Unrealized depreciation on investments from the Series--net ......................... (878,224)
------------
Net assets .......................................................................... $104,280,711
============
===================================================================================================================================
Net Asset Class A--Based on net assets of $41,852,039 and 3,432,969 shares outstanding ........ $ 12.19
Value: ============
Class D--Based on net assets of $62,428,672 and 5,129,032 shares outstanding ........ $ 12.17
============
===================================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MERRILL LYNCH
SMALL CAP
INDEX FUND For the Six Months Ended June 30, 2000
===================================================================================================================================
<C> <S> <C> <C>
Investment Income: Investment income allocated from the Series .................................... $ 850,754
Expenses allocated from the Series ............................................. (36,526)
------------
Net investment income from the Series .......................................... 814,228
------------
===================================================================================================================================
Expenses: Administration fee ............................................................. $ 138,354
Account maintenance fee--Class D ............................................... 72,080
Registration fees .............................................................. 32,123
Printing and shareholder reports ............................................... 24,817
Professional fees .............................................................. 11,700
Transfer agent fees ............................................................ 2,510
Amortization of organization expenses .......................................... 1,857
Accounting services ............................................................ 771
Other .......................................................................... 442
------------
Total expenses before reimbursement ............................................ 284,654
Reimbursement of expenses ...................................................... (22,167)
------------
Total expenses after reimbursement ............................................. 262,487
------------
Investment income--net ......................................................... 551,741
------------
===================================================================================================================================
Realized & Realized gain on investments from the Series--net .............................. 10,035,369
Unrealized Gain Change in unrealized appreciation/depreciation on investments
(Loss) from the from the Series--net ........................................................... (9,215,218)
Series--Net: ------------
Net Increase in Net Assets Resulting from Operations ........................... $ 1,371,892
============
===================================================================================================================================
</TABLE>
See Notes to Financial Statements.
4 & 5
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
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, 2000 Dec. 31, 1999
===================================================================================================================================
<C> <S> <C> <C>
Operations: Investment income--net ......................................................... $ 551,741 $ 758,076
Realized gain on investments from the Series--net .............................. 10,035,369 3,496,913
Change in unrealized appreciation/depreciation on investments from the
Series--net .................................................................... (9,215,218) 7,359,682
------------ ------------
Net increase in net assets resulting from operations ........................... 1,371,892 11,614,671
------------ ------------
===================================================================================================================================
Dividends & Investment income--net:
Distributions to Class A ..................................................................... -- (341,771)
Shareholders: Class D ..................................................................... -- (402,859)
Realized gain on investments from the Series--net:
Class A ..................................................................... -- (1,085,010)
Class D ..................................................................... -- (1,532,245)
------------ ------------
Net decrease in net assets resulting from dividends and distributions
to shareholders ................................................................ -- (3,361,885)
------------ ------------
===================================================================================================================================
Capital Share Net increase in net assets derived from capital share transactions ............. 26,358,105 19,235,069
Transactions: ------------ ------------
===================================================================================================================================
Net Assets: Total increase in net assets ................................................... 27,729,997 27,487,855
Beginning of period ............................................................ 76,550,714 49,062,859
------------ ------------
End of period* ................................................................. $104,280,711 $ 76,550,714
============ ============
===================================================================================================================================
* Undistributed investment income--net ........................................... $ 565,187 $ 13,446
============ ============
===================================================================================================================================
</TABLE>
See Notes to Financial Statements.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Class A
---------------------------------------------------
The following per share data and ratios have been derived For the Year For the Period
MERRILL LYNCH from information provided in the financial statements. For the Six Ended Dec. 31, April 9, 1997+
SMALL CAP Months Ended --------------------- to
INDEX FUND Increase (Decrease) in Net Asset Value: June 30, 2000 1999 1998 Dec. 31, 1997
===================================================================================================================================
<C> <S> <C> <C> <C> <C>
Per Share Net asset value, beginning of period ...................... $ 11.78 $ 10.27 $ 12.28 $ 10.00
Operating --------- --------- --------- ---------
Performance: Investment income--net .................................... .07 .15 .13 .10
Realized and unrealized gain (loss) on investments
from the Series--net ...................................... .34 1.94 (.59) 2.60
--------- --------- --------- ---------
Total from investment operations .......................... .41 2.09 (.46) 2.70
--------- --------- --------- ---------
Less dividends and distributions:
Investment income--net ................................. -- (.14) (.13) (.10)
In excess of investment income--net .................... -- -- (.01) --**
Realized gain on investments from the Series--net ...... -- (.44) (1.41) (.32)
--------- --------- --------- ---------
Total dividends and distributions ......................... -- (.58) (1.55) (.42)
--------- --------- --------- ---------
Net asset value, end of period ............................ $ 12.19 $ 11.78 $ 10.27 $ 12.28
========= ========= ========= =========
===================================================================================================================================
Total Investment Based on net asset value per share ........................ 3.48%+++ 20.79% (3.14%) 27.04%+++
Return: ========= ========= ========= =========
===================================================================================================================================
Ratios to Average Expenses, net of reimbursement++ .......................... .47%* .50% .50% .52%*
Net Assets: ========= ========= ========= =========
Expenses++ ................................................ .52%* .61% .84% 1.00%*
========= ========= ========= =========
Investment income--net .................................... 1.30%* 1.50% 1.14% 1.45%*
========= ========= ========= =========
===================================================================================================================================
Supplemental Net assets, end of period (in thousands) .................. $ 41,852 $ 30,911 $ 18,122 $ 26,478
Data: ========= ========= ========= =========
===================================================================================================================================
<CAPTION>
Class D
---------------------------------------------------
The following per share data and ratios have been derived For the Year For the Period
MERRILL LYNCH from information provided in the financial statements. For the Six Ended Dec. 31, April 9, 1997+
SMALL CAP Months Ended --------------------- to
INDEX FUND Increase (Decrease) in Net Asset Value: June 30, 2000 1999 1998 Dec. 31, 1997
===================================================================================================================================
<C> <S> <C> <C> <C> <C>
Per Share Net asset value, beginning of period ...................... $ 11.77 $ 10.27 $ 12.28 $ 10.00
Operating --------- --------- --------- ---------
Performance: Investment income--net .................................... .06 .12 .11 .09
Realized and unrealized gain (loss) on investments from
the Series--net ........................................... .34 1.94 (.60) 2.60
--------- --------- --------- ---------
Total from investment operations .......................... .40 2.06 (.49) 2.69
--------- --------- --------- ---------
Less dividends and distributions:
Investment income--net ................................. -- (.12) (.11) (.09)
In excess of investment income--net .................... -- -- --** --**
Realized gain on investments from the Series--net ...... -- (.44) (1.41) (.32)
--------- --------- --------- ---------
Total dividends and distributions ......................... -- (.56) (1.52) (.41)
--------- --------- --------- ---------
Net asset value, end of period ............................ $ 12.17 $ 11.77 $ 10.27 $ 12.28
========= ========= ========= =========
===================================================================================================================================
Total Investment Based on net asset value per share ........................ 3.40%+++ 20.45% (3.41%) 26.87%+++
Return: ========= ========= ========= =========
===================================================================================================================================
Ratios to Average Expenses, net of reimbursement++ .......................... .72%* .74% .75% .77%*
Net Assets: ========= ========= ========= =========
Expenses++ ................................................ .77%* .86% 1.09% 1.25%*
========= ========= ========= =========
Investment income--net .................................... 1.05%* 1.24% .88% 1.20%*
========= ========= ========= =========
===================================================================================================================================
Supplemental Net assets, end of period (in thousands) .................. $ 62,429 $ 45,640 $ 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, 2000
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. The Fund's financial
statements are prepared in accordance with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. These unaudited financial statements reflect
all adjustments, which are, in the opinion of management, necessary to a fair
statement of the results for the interim period presented. All such adjustments
are of a normal, recurring nature. The Fund seeks to achieve its investment
objective by investing all of its assets in Master Small Cap Index Series (the
"Series") of the Quantitative Master Series Trust, which has the same investment
objective as the Fund. The value of the Fund's investment in the Series reflects
the Fund's proportionate interest in the net assets of the Series. The
performance of the Fund is directly affected by the performance of the Series.
The financial statements of the Series, including the Schedule of Investments,
are included elsewhere in this report and should be read in conjunction with the
Fund's financial statements. The Fund offers two classes of shares, Class A 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 accounting principles
generally accepted in the United States of America.
(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 Fund
Asset Management, L.P. ("FAM"). The general partner of FAM 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 .29% 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, 2000, FAM earned fees of $138,354, of which $22,167 were voluntarily
waived.
The Corporation has also entered into a Distribution Agreement and Distribution
Plan with FAM Distributors, Inc. ("FAMD" or the "Distributor"), 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 .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 FAM at cost.
Certain officers and/or directors of the Fund are officers and/or directors of
FAM, PSI, FAMD, 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, 2000 were $48,131,143 and $16,403,991, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions were
$26,358,105 and $19,235,069 for the six months ended June 30, 2000 and for the
year ended December 31, 1999, respectively.
Transactions in capital shares for each class were as follows:
--------------------------------------------------------------------------------
Class A Shares for the Six Months Dollar
Ended June 30, 2000 Shares Amount
--------------------------------------------------------------------------------
Shares sold .............................. 2,209,484 $ 27,938,888
Shares redeemed .......................... (1,401,601) (17,614,840)
------------ ------------
Net increase ............................. 807,883 $ 10,324,048
============ ============
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Class A Shares for the Year Ended Dollar
December 31, 1999 Shares Amount
--------------------------------------------------------------------------------
Shares sold .............................. 2,628,319 $ 27,696,362
Shares issued to shareholders in
reinvestment of dividends and
distributions ............................ 118,208 1,282,561
------------ ------------
Total issued ............................. 2,746,527 28,978,923
Shares redeemed .......................... (1,885,509) (19,675,972)
------------ ------------
Net increase ............................. 861,018 $ 9,302,951
============ ============
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Class D Shares for the Six Months Dollar
Ended June 30, 2000 Shares Amount
--------------------------------------------------------------------------------
Shares sold .............................. 2,044,737 $ 25,445,522
Shares redeemed .......................... (794,623) (9,411,465)
------------ ------------
Net increase ............................. 1,250,114 $ 16,034,057
============ ============
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Class D Shares for the Year Ended Dollar
December 31, 1999 Shares Amount
--------------------------------------------------------------------------------
Shares sold .............................. 2,711,657 $ 28,801,963
Shares issued to shareholders in
reinvestment of dividends and
distributions ............................ 160,372 1,738,434
------------ ------------
Total issued ............................. 2,872,029 30,540,397
Shares redeemed .......................... (2,005,895) (20,608,279)
------------ ------------
Net increase ............................. 866,134 $ 9,932,118
============ ============
--------------------------------------------------------------------------------
8 & 9
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS
Master Small Cap Index Series
--------------------------------------------------------------------------------
COMMON STOCKS
Shares
Issue Held Value
================================================================================
1st Source Corporation 1,341 $ 21,037
+ 24/7 Media, Inc. 2,712 42,375
+ 3Dfx Interactive, Inc. 3,602 28,028
+ the 3DO Company 4,500 34,780
+ 4Kids Entertainment, Inc. 1,500 38,921
+ 99 Cents Only Stores 1,533 61,128
A. Schulman, Inc. 4,025 48,552
AAR Corp. 4,249 50,988
+ ABIOMED, Inc. 700 21,444
ABM Industries, Inc. 2,339 53,797
+ ACNielsen Corporation 6,800 149,221
+ ACT Manufacturing, Inc. 1,600 74,116
+ ACTV, Inc. 4,433 66,218
+ ADAC Laboratories 2,200 52,547
+ ADVO Systems, Inc. 2,582 108,444
AGCO Corporation 8,150 99,838
+ AGENCY.COM Inc. 300 5,309
AGL Resources Inc. 6,932 110,479
AK Steel Holding Corporation 9,500 74,907
AMCOL International Corporation 3,462 57,123
AMCORE Financial, Inc. 3,479 63,709
AMETEK, Inc. 4,164 72,870
+ ANADIGICS, Inc. 3,776 128,620
A.O. Smith Corporation 2,737 57,306
+ APAC Customer Services Inc. 2,300 25,179
+ ARIAD Pharmaceuticals, Inc. 3,500 46,191
+ ATMI, Inc. 2,597 120,761
+ ATS Medical, Inc. 1,600 23,216
+ AVANT Immunotherapeutics, Inc. 4,800 50,148
+ AVT Corporation 4,430 32,671
+ AXENT Technologies, Inc. 3,986 98,903
Aaron Rents, Inc. 2,211 27,776
+ Abercrombie & Fitch Co. (Class A) 11,200 135,419
+ About.com, Inc. 1,783 56,165
+ Acacia Research Corporation 1,500 35,827
+ Accredo Health, Incorporated 1,529 52,846
+ Accrue Software, Inc. 2,500 88,462
The Ackerley Group Inc. 612 7,191
+ Aclara Biosciences Inc. 1,000 50,822
+ Acme Communications, Inc. 800 14,508
+ Actel Corp. 3,037 138,563
+ Active Software, Inc. 2,200 170,659
+ Actuate Corporation 3,635 194,018
+ Acuson Corporation 3,114 42,039
+ Adaptive Broadband Corporation 4,784 175,812
+ Ade Corporation 700 13,307
+ Adelphia Business Solutions, Inc. 3,665 84,982
+ Adept Technology, Inc. 1,300 60,625
+ Administaff, Inc. 1,288 81,788
+ Advance Paradigm, Inc. 2,883 59,102
+ Advanced Digital Information Corporation 6,561 104,566
+ Advanced Energy Industries, Inc. 1,426 84,045
+ Advanced Lighting Technologies, Inc. 2,200 40,447
Advanced Marketing Services, Inc. 400 7,329
+ Advanced Radio Telecom Corp. 3,616 52,884
+ Advanced Tissue Sciences, Inc. 8,700 68,872
Advanta Corp. 3,342 40,731
+ Advantage Learning Systems, Inc. 618 9,502
+ Advent Software, Inc. 3,374 217,623
+ Aeroflex Incorporated 2,708 134,554
+ Affiliated Managers Group, Inc. 2,927 133,179
+ Agribrands International, Inc. 1,553 65,129
Airborne Freight Corporation 6,354 120,329
+ Airgas, Inc. 6,887 39,170
+ AirGate PCS, Inc. 1,300 68,182
+ Airnet Communications Corporation 1,000 26,010
+ AirTran Holdings, Inc. 7,410 30,798
Alabama National BanCorporation 411 8,143
+ Alamosa PCS Holdings, Inc. 900 18,684
+ Alaska Air Group, Inc. 3,186 86,420
+ Alaska Communications Systems
Holdings, Inc. 700 7,182
+ Albany International Corp. (Class A) 2,208 32,016
+ Albany Molecular 1,114 60,643
+ Albemarle 3,048 60,198
+ Alexander & Baldwin, Inc. 5,482 120,947
+ Alexander's, Inc. 286 20,950
Alexandria Real Estate Equities, Inc. 1,554 53,322
Alexion Pharmaceuticals 1,500 107,077
+ Alfa Corporation 5,040 88,200
+ Algos Pharmaceutical Corporation 1,545 23,561
+ Allaire Corporation 2,868 105,399
+ Alleghany Corporation 597 100,296
+ Allen Telecom Inc. 3,832 67,779
+ Alliance Pharmaceutical Corp. 6,700 74,604
+ Alliance Semiconductor Corporation 3,404 83,611
+ Alliant Techsystems Inc. 1,260 84,971
Allied Capital Corporation 9,531 162,027
+ Allied Riser Communications Corporation 7,000 98,070
+ Allscripts, Inc. 2,000 46,010
Alpharma, Inc. (Class A) 2,802 174,425
+ Amerco 1,098 21,960
+ America West Holdings (Class B) 4,794 82,097
+ American Axle & Manufacturing Holdings, Inc. 433 6,143
American Capital Strategies, Ltd. 3,200 76,032
+ American Classic Voyages Co. 1,157 23,863
+ American Eagle Outfitters, Inc. 2,300 31,947
American Financial Holdings, Inc. 3,100 48,856
+ American Freightways Corporation 2,808 40,716
American Greetings Corporation (Class A) 8,200 155,156
+ American Industrial Properties REIT 1,209 16,397
+ American Italian Pasta Company (Class A) 2,310 47,788
+ American Management Systems,
Incorporated 5,589 183,476
American National Insurance Company 1,100 56,077
American States Water Company 1,105 32,874
+ American Superconductor Corp. 2,279 109,962
+ American Technical Ceramics Corp. 600 16,656
+ American TeleSource International, Inc. 5,800 35,945
+ American Xtal Technology, Inc. 2,124 91,863
+ AmeriCredit Corp. 9,692 164,764
+ AmeriPath, Inc. 3,959 35,136
+ AmeriSource Health Corporation (Class A) 6,533 202,523
AmerUs Life Holdings, Inc. (Class A) 1,627 33,557
+ Ames Department Stores, Inc. 4,617 35,782
+ Amli Residential Properties Trust 1,917 45,169
+ Amylin Pharmaceuticals, Inc. 6,500 97,971
Analogic Corporation 755 30,200
Analysts International Corporation 2,682 24,976
+ Anaren Microwave, Inc. 1,400 183,567
Anchor Bancorp, Inc. 3,829 58,632
+ Anchor Gaming 1,084 51,964
+ Ancor Communications, Incorporated 3,784 135,278
Andover Bancorp Inc. 672 19,362
+ Anesta Corp. 1,927 47,934
+ Anixter International Inc. 3,064 81,196
+ AnnTaylor Stores Corporation 2,926 96,924
+ AnswerThink Consulting Group, Inc. 3,908 64,971
+ Apex Inc. 2,603 113,881
+ Aphton Corporation 1,400 35,889
Applebee's International, Inc. 3,468 105,124
+ Applica Incorporated 3,260 36,879
Applied Industrial Technologies, Inc. 3,069 50,255
Applied Power Inc. (Class A) 5,078 170,113
+ Applied Science and Technology, Inc. 1,800 46,368
+ AppliedTheory Corporation 1,367 20,505
+ AppNet, Inc. 4,300 154,305
+ Apria Healthcare Group Inc. 6,037 73,953
AptarGroup, Inc. 4,237 114,399
+ Aradigm Corporation 2,600 45,201
+ Arch Capital Group Ltd. 1,420 21,211
Arch Chemicals, Inc. 2,450 53,594
Arch Coal, Inc. 2,267 17,428
+ Arch Communications Group, Inc. 5,200 33,202
Arctic Cat Inc. 2,373 28,179
Arden Realty, Inc. 7,600 177,933
Area Bancshares Corporation 738 16,467
+ AremisSoft Corporation 1,000 31,010
Argonaut Group, Inc. 2,221 38,035
+ Argosy Gaming Company 2,397 34,457
+ Arguss Holdings, Inc. 1,447 27,312
+ Arkansas Best Corporation 1,100 10,805
+ Armor Holdings, Inc. 1,300 16,750
Armstrong Holdings, Inc. 4,100 62,643
Arnold Industries, Inc. 2,629 31,712
Arrow International, Inc. 1,449 48,542
+ Artesyn Technologies, Inc. 4,463 124,127
+ ArthroCare Corporation 1,200 63,762
Arthur J. Gallagher & Co. 4,710 197,820
Arvin Industries, Inc. 3,062 53,202
+ Ask Jeeves, Inc. 2,300 41,279
+ Aspect Medical Systems, Inc. 700 18,819
+ Aspen Technology, Inc. 3,315 127,628
+ Astec Industries, Inc. 1,962 49,786
Astoria Financial Corporation 6,400 164,743
+ Asyst Technologies, Inc. 3,677 125,937
+ Atlantic Coast Airlines Holdings, Inc. 1,488 47,244
+ Atlas Air, Inc. 1,958 70,243
Atmos Energy Corporation 4,107 71,873
+ Atwood Oceanics, Inc. 1,162 51,564
+ Audiovox Corporation (Class A) 1,900 41,700
+ Aurora Biosciences Corporation 2,500 170,181
+ Aurora Food Inc. 472 1,888
+ Avant! Corporation 4,971 93,129
+ Avid Technology, Inc. 3,163 37,956
+ Avigen, Inc. 1,700 74,392
+ Aviron 2,379 73,452
+ Avis Rent A Car, Inc. 3,314 62,138
Avista Corporation 6,019 104,956
+ Aware, Inc. 2,143 109,561
+ Aztar Corporation 4,980 77,190
+ Azurix Corp. 3,300 22,720
+ BARRA, Inc. 1,376 68,198
+ BOK FINANCIAL CORP 588 10,327
+ BRE Properties, Inc. 5,729 165,425
BSB Bancorp, Inc. 620 12,439
10 & 11
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
+ BSQUARE Corporation 1,100 $ 24,555
BT Financial Corporation 2,109 36,380
+ Bacou USA, Inc. 300 6,000
Baldor Electric Company 3,230 60,159
Baldwin & Lyons, Inc. (Class B) 1,553 26,498
+ Ball Corporation 3,600 115,875
+ Bally Total Fitness Holding Corporation 3,336 84,651
BancFirst Corporation 212 6,678
BancorpSouth, Inc. 7,104 99,900
Bandag, Incorporated 1,450 35,163
Bank of Granite Corp. 1,471 33,649
Bank United Corp. (Class A) 4,212 148,210
BankAtlantic Bancorp, Inc. (Class B) 5,396 31,702
Banta Corporation 3,390 64,198
+ Barnes & Noble, Inc. 5,800 128,383
Barnes Group Inc. 2,166 35,333
+ barnesandnoble.com inc. 2,170 14,173
+ Barr Laboratories, Inc. 2,584 115,818
+ Barrett Resources Corporation 3,743 113,928
+ Basin Exploration, Inc. 2,261 40,415
+ Battle Mountain Gold Company 19,686 43,063
Bay View Capital Corporation 3,628 35,600
+ Be Free, Inc. 2,600 23,101
+ Beasley Broadcast Group, Inc. (Class A) 1,700 22,967
+ bebe stores, inc. 300 2,513
Bedford Property Investors, Inc. 2,404 44,624
Bel Fuse Inc. 700 18,644
+ Belco Oil & Gas Corp. 700 5,881
Belden Inc. 3,151 80,744
+ Bell & Howell Company 2,325 56,381
+ Ben & Jerry's Homemade, Inc. (Class A) 400 17,354
+ Benchmark Electronics, Inc. 2,083 76,160
Bergen Brunswig Corporation (Class A) 15,700 85,499
+ Beringer Wine Estates Holdings,
Inc. (Class B) 1,333 47,072
Berkley (W.R.) Corporation 2,230 41,813
Berry Petroleum Company (Class A) 2,430 41,310
+ Bethlehem Steel Corporation 16,888 60,164
+ Beverly Enterprises, Inc. 12,962 36,456
+ Billing Concepts Corp. 6,196 27,495
Bindley Western Industries, Inc. 3,485 92,135
+ BindView Development Corporation 4,515 54,180
+ BioCryst Pharmaceuticals, Inc. 1,300 37,144
+ BioMarin Pharmaceutical Inc. 1,700 28,704
+ Biomatrix, Inc. 1,927 43,598
+ Biopure Corporation 2,200 41,134
+ Bio-Rad Laboratories, Inc. (Class A) 1,021 25,525
+ Biosite Diagnostics Incorporated 2,000 96,145
+ Bio-Technology General Corp. 7,081 93,381
+ Black Box Corporation 2,522 199,671
Black Hills Corporation 2,791 62,972
+ BlackRock, Inc. 1,900 54,881
+ Blaze Software, Inc. 900 12,267
Block Drug Company, Inc. (Class A) 1,495 63,257
+ Blount International, Inc. 1,465 11,262
+ Bluestone Software, Inc. 2,000 51,145
Blyth, Inc. 4,400 129,800
Bob Evans Farms, Inc. 5,244 78,332
+ Boca Resorts, Inc. (Class A) 3,576 35,313
+ Bone Care International, Inc. 500 11,724
+ Borders Group, Inc. 10,079 156,854
BorgWarner, Inc. 3,100 108,888
+ Bottomline Technologies, Inc. 944 32,273
Bowne & Co., Inc. 5,006 50,373
+ Boyd Gaming Corporation 4,800 26,700
+ The Boyds Collection, Ltd. 7,450 63,325
Boykin Lodging Company 2,177 29,390
Bradley Real Estate, Inc. 3,394 72,335
Brandywine Realty Trust 4,330 82,811
+ Braun Consulting, Inc. 800 16,808
+ Breakaway Solutions, Inc. 1,100 29,573
Brenton Banks, Inc. 837 11,613
Briggs & Stratton Corporation 2,500 85,487
+ Bright Horizons Family Solutions, Inc. 2,069 44,225
+ Brightpoint, Inc. 6,667 57,711
+ Brio Technology Inc. 1,888 40,002
+ Broadbase Software, Inc. 3,700 112,887
Brookline Bancorp. 1,281 14,651
+ Brooks Automation, Inc. 1,998 127,747
+ Brooktrout Inc. 1,853 40,419
Brown & Brown 1,384 71,968
Brown Shoe Company, Inc. 2,502 32,526
Brush Engineered Materials 2,121 33,141
+ Buca, Inc. 100 1,551
+ Buckeye Technologies Inc. 3,331 73,074
+ The Buckle, Inc. 223 2,620
+ Buffets, Inc. 6,255 79,360
Burlington Coat Factory Warehouse
Corporation 2,288 24,739
Burnham Pacific Properties, Inc. 4,104 28,215
+ Burns International Services Corporation 497 6,213
+ Bush Boake Allen Inc. 454 19,863
Bush Industries, Inc. (Class A) 449 7,184
C&D Technologies, Inc. 3,222 182,043
+ CACI International Inc. 1,026 20,007
+ CAIS Internet, Inc. 500 2,458
CARBO Ceramics Inc. 300 10,503
+ CB Richard Ellis Services Inc. 2,602 23,743
CBL & Associates Properties, Inc. 2,975 74,189
CBRL Group, Inc. 7,571 111,199
+ CCC Information Services Group Inc. 2,828 30,048
+ C-COR.net Corp. 3,367 90,909
+ C-Cube Microsystems Inc. 5,221 102,462
+ CDI Corp. 1,727 35,188
+ CEC Entertainment Inc. 3,453 88,483
CFW Communications Company 1,680 63,000
CH Energy Group, Inc. 2,164 73,441
+ CIBER, Inc. 6,035 79,964
CLARCOR Inc. 3,443 68,430
CMP Group Inc. 4,199 123,083
CNA Surety Corp. 1,102 13,155
CNF Transportation Inc. 6,200 140,498
+ COMSAT Corporation 6,400 149,664
+ CONMED Corporation 2,344 60,651
CONSOL Energy Inc. 2,437 36,860
+ COPE, Inc. 100 5,307
CPB Inc. 514 12,850
CPI Corp. 1,776 37,518
+ CSK Auto Corporation 2,391 18,082
+ CSS Industries, Inc. 1,369 27,979
CT Communications, Inc. 2,078 59,093
+ CTC Communications Group, Inc. 1,971 70,956
CTG Resources, Inc. 1,413 51,839
CTS Corporation 3,599 161,955
+ CUNO Incorporated 2,302 53,234
+ CV Therapeutics, Inc. 1,800 124,555
CVB Financial Corp. 2,265 35,815
+ CYTOGEN Corporation 10,000 100,100
+ Cable Design Technology 3,803 127,401
Cabot Industrial Trust 5,224 102,848
+ Cabot Microelectronics Corporation 700 31,944
Cabot Oil & Gas Corporation (Class A) 3,448 73,055
+ Cadiz Inc. 4,548 36,384
+ Cais Internet Inc. 1,290 18,141
+ Cal Dive International, Inc. 1,745 94,557
+ Caldera Systems, Inc. 1,200 15,537
Calgon Carbon Corporation 4,796 37,169
+ Calico Commerce, Inc. 2,500 40,337
+ California Amplifier, Inc. 1,800 82,143
California Water Service Group 1,550 37,588
+ Caliper Technologies Corp. 400 18,354
Callaway Golf Company 9,934 162,048
+ Callon Petroleum Company 100 1,476
Cambrex Corporation 3,170 142,650
+ Cambridge Technology Partners, Inc. 6,778 59,096
Camden Property Trust 4,960 145,700
+ Caminus Corporation 900 21,946
+ Canadaigu Brands, Inc. (Class A) 1,852 93,410
+ Capital Automotive 3,477 49,113
Capital City Bank Group, Inc. 560 10,920
Capitol Federal Financial 4,521 50,014
+ CapRock Communications Corp. 4,646 90,597
Caraustar Industries, Inc. 3,291 49,776
+ CardioDynamics International Corporation 4,500 27,748
+ Career Education Corporation 1,466 71,101
+ CareInsite, Inc. 800 14,208
+ Caremark Rx, Inc. 25,594 174,359
Carlisle Companies Incorporated 3,900 175,109
Carpenter Technology Corporation 2,660 56,193
+ Carreker Corporation 400 3,554
+ Carrier Access Corporation 1,347 71,223
Carter-Wallace, Inc. 3,041 61,200
Cascade Natural Gas Corporation 1,423 23,746
+ Casella Waste Systems, Inc. (Class A) 3,213 34,540
Casey's General Stores, Inc. 6,700 69,513
Cash America International, Inc. 3,323 24,507
+ Castle & Cooke, Inc. 2,367 45,713
+ Catalytica, Inc. 4,701 51,711
+ Catellus Development Corporation 13,600 203,644
Cathay Bancorp, Inc. 932 43,222
The Cato Corporation (Class A) 2,860 33,247
+ C-bridge Internet Solutions, Inc. 100 1,726
+ Celeritek, Inc. 1,000 40,697
+ Cell Genesys, Inc. 4,000 111,540
+ Cell Pathways, Inc. 2,722 63,967
+ Cell Therapeutics, Inc. 3,400 103,734
+ Celsion Corporation 4,400 12,144
+ Centennial Communications Corp. 300 4,090
CenterPoint Properties Corporation 2,654 108,151
Centex Construction Products, Inc. 499 11,321
Centex Corporation 7,600 178,060
+ Centillium Communications, Inc. 600 41,331
+ Central Garden & Pet Company 1,512 13,561
Central Parking Corporation 1,131 26,791
Century Aluminum Company 600 6,456
+ Century Business Services, Inc. 8,924 17,290
12 & 13
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
Century South Banks, Inc. 769 $ 14,899
+ Cerner Corporation 3,172 86,437
+ Cerus Corporation 900 45,965
+ Champion Enterprises, Inc. 6,050 29,494
+ Championship Auto Racing Teams, Inc. 1,415 36,083
+ Charles E. Smith Residential Realty, Inc. 2,577 97,926
+ Charming Shoppes, Inc. 12,522 63,784
Charter Municipal Mortgage Acceptance
Company 2,682 33,022
Chatequ Communities, Inc. 2,759 77,942
+ Cheap Tickets, Inc. 1,200 14,389
+ Checkpoint Systems, Inc. 4,282 32,115
+ The Cheesecake Factory Incorporated 3,390 93,211
Chelsea GCA Realty, Inc. 2,092 72,305
Chemed Corporation 1,576 44,424
ChemFirst Inc. 2,585 62,363
Chemical Financial Corporation 1,774 46,124
+ The Cherry Corporation 1,300 34,057
Chesapeake Corporation 2,043 60,524
+ Chesapeake Energy Corporation 13,424 104,036
+ Chico's FAS, Inc. 2,062 41,240
+ The Children's Place Retail Stores, Inc. 2,166 44,403
Chiquita Brands International, Inc. 5,033 19,817
+ ChiRex Inc. 1,786 35,720
Chittenden Corporation 3,482 85,091
+ Choice Hotels International, Inc. 6,886 68,430
+ Choice One Communications Inc. 700 28,572
+ Chordiant Software, Inc. 1,000 16,510
+ ChromaVision Medical Systems, Inc. 1,100 14,380
Church & Dwight Co., Inc. 4,935 88,830
Churchill Downs Incorporated 1,124 26,274
Circle International Group, Inc. 1,763 44,295
+ Cirrus Logic, Inc. 7,660 122,560
+ Citadel Communications Corporation 4,739 165,569
Citizens Banking Corporation 5,416 87,925
CityBank 700 18,207
Claire's Stores, Inc. 4,600 88,044
+ Clarent Corporation 2,500 178,462
+ Clarus Corporation 1,600 62,016
+ Clayton Homes, Inc. 12,700 101,600
+ Clayton Williams Energy, Inc. 200 6,365
Cleco Corporation 2,970 99,495
Cleveland-Cliffs Inc. 1,831 47,263
+ click2learn.com, Inc. 700 12,257
+ Closure Medical Corporation 472 10,856
Coachmen Industries, Inc. 1,743 20,045
+ Cobalt Networks, Inc. 3,600 207,936
Coca-Cola Bottling Co. Consolidated 200 9,100
+ Cognizant Technology Solutions Corporation 824 27,347
+ Coherent, Inc. 3,236 271,420
Cohu, Inc. 2,582 69,633
+ Coinstar, Inc. 2,538 25,539
+ Coldwater Creek Inc. 300 9,038
+ Collateral Therapeutics, Inc. 700 17,671
+ Collins & Aikman Corporation 7,959 41,287
The Colonial BancGroup, Inc. 11,000 104,610
Colonial Properties Trust 2,829 77,444
+ Columbia Sportswear Company 486 13,061
+ Columbia Laboratories, Inc. 3,702 21,287
Columbus McKinnon Corporation 982 13,625
+ Com21, Inc. 3,048 76,200
+ Comfort Systems USA, Inc. 3,728 14,912
Commerce Bancorp, Inc. 3,928 180,688
The Commerce Group, Inc. 3,160 93,220
Commercial Federal Corporation 7,200 112,050
Commercial Metals Company 1,998 54,945
Commercial Net Lease Realty 3,926 41,223
+ Commonwealth Telephone Enterprises, Inc. 1,515 71,300
Community First Bankshares, Inc. 7,173 117,010
+ Complete Business Solutions, Inc. 3,352 58,870
+ CompuCredit Corporation 1,190 35,700
+ Computer Horizons Corp. 4,072 54,718
+ Computer Network Technology Corporation 3,602 62,585
CompX International Inc. 800 16,193
+ Comstock Resources, Inc. 3,700 29,174
+ Concord Camera Corp. 2,900 60,204
+ Concord Communications, Inc. 2,287 91,194
+ Concurrent Computer Corporation 6,644 87,203
Conectiv, Inc. 11,600 179,191
+ Connetics Corporation 4,100 59,747
+ Consolidated Products, Inc. 3,050 27,450
+ Conventry Health Care Inc. 7,435 98,978
+ Convergent Communications, Inc. 700 5,519
Cooper Companies, Inc. 1,826 66,421
Cooper Tire & Rubber Company 7,100 79,094
+ Copart, Inc. 4,750 76,000
+ Corillian Corporation 100 1,651
+ Corinthian Colleges, Inc. 300 7,031
+ Corixa Corporation 2,428 104,252
Corn Products International, Inc. 4,831 128,022
Cornerstone Realty Income Trust, Inc. 5,005 50,050
+ The Corporate Executive Board Company 1,245 74,544
+ Corsair Communications, Inc. 2,500 71,587
Corus Bankshares, Inc. 690 18,242
+ CorVel Corporation 300 7,372
+ Cost Plus, Inc. 2,651 76,051
+ CoStar Group Inc. 1,500 37,594
+ Coulter Pharmaceutical, Inc. 2,504 51,332
+ Cousins Properties, Inc. 3,222 124,047
+ Covance Inc. 7,348 64,754
Crawford & Company (Class B) 4,530 49,830
+ Creative BioMolecules, Inc. 4,000 55,540
+ Credit Acceptance Corporation 2,114 11,759
+ Crestline Capital Corp. 1,905 32,504
Crompton Corporation 14,588 178,703
Cross Timbers Oil Company 5,930 131,201
+ Crossmann Communities, Inc. 199 3,284
+ Crossroad Systems, Inc. 1,000 25,135
+ Crown Media Holdings, Inc. (Class A) 1,900 28,875
+ CryoLife, Inc. 800 18,308
+ Cubist Pharmaceuticals, Inc. 3,400 167,059
Cullen/Frost Bankers, Inc. 6,700 176,294
Cummins Engine Company, Inc. 5,300 144,034
+ Cumulus Media Inc. (Class A) 5,294 48,308
+ CuraGen Corporation 3,000 113,842
Curtiss-Wright Corporation 623 23,168
+ Cyber-Care, Inc. 6,500 63,948
+ Cyberonics, Inc. 2,512 30,144
+ CyberOptics Corporation 1,100 50,748
+ CyberSource Corporation 2,800 38,353
+ Cybex Computer Products Corporation 2,288 98,384
+ Cygnus, Inc. 3,689 52,568
+ Cylink Corporation 2,300 38,260
+ Cymer, Inc. 3,764 179,731
+ Cypress Communications, Inc. 600 4,281
+ Cysive, Inc. 100 2,376
+ Cytec Industries Inc. 5,381 132,843
+ DDi Corp. 1,100 31,223
D.R. Horton, Inc. 6,302 85,471
+ DSET Corporation 1,500 45,390
+ DSL.net, Inc. 4,200 42,829
+ DSP Group, Inc. 3,428 191,968
+ DUSA Pharmaceuticals, Inc. 2,000 58,770
+ DVI, Inc. 482 7,712
Dain Rauscher Corporation 1,691 111,606
+ Dal-Tile International Inc. 7,076 58,377
+ Daleen Technologies, Inc. 900 13,790
+ Data Broadcasting Corporation 7,524 47,495
+ Data Return Corporation 1,900 54,881
Datascope Corp. 1,917 69,012
+ Datastream Systems, Inc. 2,159 26,988
+ David's Bridal, Inc. 1,200 13,737
+ Davox Corporation 2,100 26,927
Dean Foods Company 4,600 145,740
+ Del Monte Foods Company 6,744 45,944
+ Del Webb Corporation 2,086 31,942
+ Delco Remy International, Inc. 2,745 22,818
+ Delphi Financial Group, Inc. (Class A) 1,946 66,042
Delta and Pine Land Company 5,027 125,989
+ Deltathree.com, Inc. (Class A) 1,800 26,005
Deltic Timber Corporation 1,416 30,267
+ Denbury Resources Inc. 200 1,014
+ Dendrite International, Inc. 3,908 130,185
Detroit Diesel Corporation 229 3,378
Developers Diversified Realty Corporation 7,506 112,121
The Dexter Corporation 3,012 144,576
Diagnostic Products Corporation 1,356 43,392
The Dial Corporation 10,900 111,276
+ Diametrics Medical, Inc. 1,900 10,528
+ Diamond Technology Partners Incorporated 2,594 228,272
+ Digene Corporation 1,600 64,416
+ Digimarc Corporation 1,300 49,900
+ Digital Courier Technologies, Inc. 3,000 18,780
+ Digital Impact, Inc. 1,400 19,614
+ Digital Insight Corporation 1,900 64,381
+ Digital Island 8,200 397,782
+ Digital River, Inc. 3,221 24,761
+ DigitalThink, Inc. 300 10,728
+ Digitas Inc. 800 12,958
Dillard's, Inc. (Class A) 12,000 157,302
Dime Community Bancshares 1,635 26,569
+ Dionex Corporation 2,999 80,223
+ Direct Focus, Inc. 1,342 65,758
+ Diversa Corporation 800 26,408
+ Documentum, Inc. 2,076 185,543
Dole Food Company, Inc. 5,100 73,660
+ Dollar Thrifty Automotive Group, Inc. 3,336 61,508
Donaldson Company, Inc. 5,084 100,409
+ Donaldson, Lufkin & Jenrette,
Inc.--DLJdirect 2,000 14,250
Doral Financial Corporation 4,058 46,413
+ Dot Hill Systems Corp. 700 7,619
Dover Downs Entertainment, Inc. 879 12,306
Downey Financial Corp. 2,472 71,688
+ The Dress Barn, Inc. 2,434 53,852
14 & 15
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
Dreyer's Grand Ice Cream, Inc. 2,600 $ 54,600
+ Dril-Quip, Inc. 1,100 51,425
+ Drugstore.com, Inc. 1,500 11,124
+ Duane Read Inc. 2,257 58,118
+ DuPont Photomasks, Inc. 419 28,702
+ Dura Automotive Systems, Inc. 2,282 24,674
+ Dura Pharmaceuticals, Inc. 5,725 82,297
+ EEX Corporation 5,265 30,603
+ EMCOR Group, Inc. 1,225 28,405
+ EMCORE Corporation 1,534 184,080
+ ESCO Technologies Inc. 800 13,508
+ ESS Technology, Inc. 3,241 46,995
E.W. Blanch Holdings, Inc. 1,695 34,430
+ Eagle USA Airfreight, Inc. 1,759 54,089
The Earthgrains Company 5,571 108,286
+ EarthShell Corporation 1,608 4,874
East West Bancorp, Inc. 3,861 54,537
EastGroup Properties, Inc. 1,984 41,788
+ eBenX Inc. 600 12,643
+ Eclipsys Corporation 5,647 42,353
+ Edison Schools, Inc. 1,400 32,301
+ Education Management Corporation 2,581 46,619
+ Edwards Lifesciences Corporation 7,400 136,751
+ eGain Communications Corporation 3,100 37,231
+ eGlobe, Inc. 5,700 16,444
+ El Paso Electric Company 7,066 79,051
+ Elantec Semiconductor, Inc. 2,500 173,775
Elcor Corporation 2,946 67,758
+ Electric Lightwave, Inc. (Class A) 1,544 28,854
+ Electro Rent Corporation 583 7,142
+ Electro Scientific Industries, Inc. 3,652 160,802
+ Electroglas, Inc. 2,660 57,190
+ Electronics Boutique Holdings Corp. 700 11,463
+ Eloyalty Corp. 6,032 76,908
+ eMachines, Inc. 800 2,058
+ eMagin Corporation 1,800 22,855
+ Embarcadero Technologies, Inc. 200 5,852
+ e-MedSoft.com 4,100 32,328
+ eMerge Interactive, Inc. (Class A) 500 8,911
+ Emisphere Technologies, Inc. 2,000 84,989
Empire District Electric Company 2,247 49,574
+ Encompass Services Corporation 8,086 46,495
+ Endocare, Inc. 1,700 34,229
Energen Corporation 4,048 88,297
+ Energy Conversion Devices, Inc. 1,200 30,312
EnergyNorth, Inc. 200 11,827
Enhance Financial Services Group Inc. 3,500 50,313
Entertainment Properties Trust 1,808 24,973
+ EntreMed, Inc. 2,068 61,911
+ Envision Development Corporation 200 5,177
+ Enzo Biochem, Inc. 2,871 198,099
+ Enzon, Inc. 5,175 219,938
+ EpicEdge, Inc. 900 20,596
+ ePlus inc. 300 7,897
+ Epresence, Inc. 2,799 20,293
+ Eprise Corporation 100 1,632
Equity Inns Inc. 4,706 28,824
+ eSPEED, Inc. (Class A) 1,400 60,652
+ e.spire Communications, Inc. 8,102 54,689
Essex Property Trust, Inc. 2,235 93,870
+ Esterline Technologies Corporation 2,257 33,573
Ethan Allen Interiors Inc. 5,381 129,144
Ethyl Corporation 8,403 21,008
E'Town Corporation 1,303 86,568
+ eToys Inc. 8,600 53,568
+ Evergreen Resources, Inc. 2,077 61,531
+ Exar Corporation 2,395 208,814
+ Excalibur Technologies Corporation 1,364 54,475
+ Excel Technology, Inc. 1,400 70,276
+ eXcelon Corporation 4,100 32,072
+ Exchange Applications Inc. 3,370 89,726
+ Exelixis, Inc. 900 29,934
Exide Corporation 3,097 24,776
+ Expedia, Inc. (Class A) 400 5,879
+ Extended Stay America, Inc. 9,824 90,872
+ Extended Systems Incorporated 1,000 95,885
+ Extensity, Inc. 300 10,240
+ F5 Networks, Inc. 2,300 125,229
F&M Bancorp 2,103 41,534
F&M National Corporation 3,231 67,851
FBL Financial Group, Inc. (Class A) 1,567 24,680
+ FEI Company 1,500 45,577
The FINOVA Group Inc. 7,000 90,318
F.N.B. Corporation 2,235 45,259
+ FSI International, Inc. 3,713 80,526
+ F.Y.I. Incorporated 1,945 65,522
+ Factory 2-U Stores Inc. 1,808 68,365
FactSet Research Systems Inc. 2,593 73,252
Fair, Isaac and Company, Incorporated 1,502 66,088
+ Fairfield Communities, Inc. 5,263 41,446
Farmer Brothers Co. 24 4,200
Farmers Capital Bank Corporation 851 25,849
Fedders Corporation 3,406 19,797
Federal-Mogul Corporation 8,100 76,628
Federal Realty Investment Trust 5,027 100,540
Federal Signal Corporation 5,780 95,370
FelCor Lodging Trust Inc. 6,100 122,000
Ferro Corporation 4,483 94,143
+ FiberNet Telecom Group, Inc. 400 6,754
Fidelity National Financial, Inc. 6,838 125,221
+ FileNET Corporation 4,711 86,565
+ Financial Federal Corporation 783 13,605
+ Fire Pond, Inc. 300 10,765
The First American Financial Corporation 7,008 100,302
First Busey Corporation 486 7,989
First Charter Corporation 3,223 50,762
First Citizens BancShares, Inc. (Class A) 730 43,435
First Commonwealth Financial
Corporation 7,447 67,488
+ First Consulting Group, Inc. 1,302 7,242
First Federal Capital Corp 799 8,839
First Financial Bancorp 4,438 87,373
First Financial Bankshares, Inc. 1,256 34,540
First Financial Corporation 862 26,291
First Financial Holdings, Inc. 807 11,096
First Indiana Corporation 537 10,673
First Industrial Realty Trust, Inc. 4,944 145,848
First Merchants Corporation 1,522 32,247
First Midwest Bancorp, Inc. 4,734 110,066
First Niagara Financial Group 1,160 10,875
First Sentinel Bancorp Inc. 4,679 38,456
First United Bancshares, Inc. 3,292 49,997
First Washington Realty Trust, Inc. 537 11,848
Firstbank Corp. 2,775 51,511
+ FirstCom Corporation 3,700 55,306
+ FirstFed Financial Corp. 2,179 30,778
+ FirstWorld Communications Inc. (Class B) 600 6,231
+ Fisher Scientific International Inc. 5,075 125,606
Fleetwood Enterprises, Inc. 4,273 60,890
Fleming Companies, Inc. 5,346 69,832
Florida Rock Industries, Inc. 2,422 86,284
Flowserve Corporation 4,789 72,134
+ Footstar, Inc. 2,689 89,409
+ Forcenergy Inc. 1,300 26,013
Forest City Enterprises, Inc. (Class A) 1,788 59,675
+ Forest Oil Corporation 4,229 67,400
+ Forrester Research, Inc. 1,260 91,744
+ Forward Air Corporation 1,746 69,404
+ Fossil, Inc. 2,061 40,061
Foster Wheeler Corporation 5,373 46,342
+ Foundation Health Systems,
Inc. (Class A) 13,200 174,082
Franchise Finance Corporation of America 7,200 164,853
Franklin Electric Co., Inc. 580 39,295
Fred's, Inc. 600 10,731
+ Freeport-McMoRan Copper & Gold,
Inc. (Class B) 17,000 156,618
Fremont General Corporation 7,500 29,531
+ Friede Goldman Halter, Inc. 4,756 42,507
Friedman, Billings, Ramsey Group,
Inc. (Class A) 3,069 24,936
+ Fritz Companies, Inc. 2,667 27,503
+ Frontier Airlines, Inc. 2,236 32,003
Frontier Financial Corporation 1,849 33,975
+ Frontier Oil Corporation 2,100 16,558
+ Frontline Capital Group 2,700 57,233
+ FuelCell Energy, Inc. 400 27,579
Fulton Financial Corporation 9,100 160,036
+ Furniture Brands International, Inc. 6,315 95,514
+ FutureLink Corp. 3,700 26,168
G & K Services, Inc. (Class A) 2,614 65,513
GBC Bancorp 1,377 40,277
+ GC Companies, Inc. 756 16,916
+ GRIC Communications, Inc. 900 16,040
+ GTECH Holdings Corporation 4,714 106,949
+ Gabelli Asset Management Inc. (Class A) 200 4,977
Gables Residential Trust 3,145 81,180
+ Gadzoox Networks, Inc. 900 12,215
+ Gaiam, Inc. 800 14,708
+ Gardner Denver Inc. 1,255 22,433
Gartner Group, Inc. (Class A) 8,600 102,211
+ GaSonics International Corporation 1,900 74,713
+ Gaylord Container Corporation (Class A) 7,138 19,183
Gaylord Entertainment Company 2,307 49,601
+ Geltex Pharmaceuticals, Inc. 2,448 50,031
GenCorp Inc. 4,345 34,760
+ Gene Logic Inc. 3,100 110,275
General Cable Corporation 3,903 31,712
+ General Communication, Inc. (Class A) 3,251 16,661
+ General Semiconductor, Inc. 4,542 66,995
+ Genesco Inc. 3,387 54,404
+ The Genlyte Group Incorporated 939 19,778
+ Genome Therapeutics Corp. 2,900 87,935
+ Genomic Solutions Inc. 800 11,608
+ GenRad, Inc. 3,933 35,397
+ Genta Incorporated 600 3,831
16 & 17
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
Gentek, Inc. 795 $ 8,894
+ Genzyme Transgenics Corporation 2,100 56,721
The Geon Company 2,674 49,469
Georgia Gulf Corporation 4,135 86,060
+ Geoworks Corporation 2,000 31,270
Gerber Scientific, Inc. 2,997 34,466
+ Geron Corporation 3,000 95,655
+ GetThere Inc. 300 3,134
Gibraltar Steel Corporation 199 2,786
+ Glenayre Technologies, Inc. 8,267 87,320
Glenborough Realty Trust Incorporated 3,837 66,908
+ Glimcher Realty Trust 3,552 51,060
+ Global Crossing Ltd. 1 4
+ GlobalNet Financial.com, Inc. 2,400 50,124
+ Globix Corporation 2,157 63,227
+ Go2Net, Inc. 3,523 177,251
+ GoAmerica, Inc. 2,000 30,645
Gold Banc Corporation 2,300 11,235
+ Golden Telecom, Inc. 900 26,671
+ GoTo.com, Inc. 3,500 53,191
Graco Inc. 2,583 83,948
Granite Construction Incorporated 2,369 58,041
Great American Financial Resources, Inc. 900 15,919
The Great Atlantic & Pacific Tea
Company, Inc. 2,185 36,326
Great Lakes Chemical Corporation 6,100 191,748
+ Great Lakes REIT, Inc. 2,128 36,176
+ Great Plains Software, Inc. 1,469 28,829
Greater Bay Bancorp 2,494 116,595
Greif Bros. Corporation (Class A) 1,766 54,305
Grey Advertising Inc. 16 8,320
+ Grey Wolf, Inc. 20,437 102,185
+ Griffon Corporation 5,552 30,883
+ Group 1 Automotive, Inc. 2,125 25,500
+ Guess?, Inc. 683 9,562
+ Guilford Pharmaceuticals Inc. 3,548 53,442
+ Guitar Center, Inc. 2,871 30,146
+ Gulf Island Fabrication, Inc. 300 5,065
+ HA-LO Industries, Inc. 5,640 31,725
H.B. Fuller Company 1,675 76,317
HCC Insurance Holdings, Inc. 5,308 100,189
HEICO Corporation (Class A) 1,700 24,029
+ HNC Software Inc. 3,304 204,022
HON INDUSTRIES Inc. 6,900 162,150
HRPT Properties Trust 15,100 91,633
+ HS Resources, Inc. 2,552 76,560
HSB Group, Inc. 3,758 116,968
+ Haemonetics Corporation 3,515 73,815
+ Hain Celestial Group, Inc. 3,988 146,310
+ Hall, Kinion & Associates, Inc. 1,500 49,796
Hancock Holding Company 1,126 38,284
+ Handleman Company 4,312 53,900
+ Hanover Direct, Inc. 15,000 23,438
Harbor Florida Bancshares, Inc 1,723 17,984
Harleysville Group Inc. 955 15,996
Harleysville National Corporation 1,057 34,617
Harman International Industries,
Incorporated 2,054 125,294
Harris Financial, Inc. 1,000 6,188
Harsco Corporation 5,168 131,784
Haverty Furniture Companies, Inc. 2,059 17,502
Hawaiian Electric Industries, Inc. 4,114 134,991
+ Hayes Lemmerz International, Inc. 2,339 28,214
+ Health Care Property Investors, Inc. 6,292 171,457
+ Health Care REIT, Inc. 3,637 59,101
+ Healthcare Realty Trust, Inc. 5,008 85,449
+ Heartland Express, Inc. 1,840 30,705
+ Heidrick & Struggles International, Inc. 2,424 153,015
Helix Technology Corporation 3,150 122,850
+ Henry Schein, Inc. 2,926 50,474
Herbalife International, Inc. (Class A) 758 6,633
+ Hexcel Corporation 2,358 22,401
+ hi/fn, inc. 1,053 46,727
Hickory Tech Corporation 900 10,865
+ High Speed Access Corp. 5,000 32,237
+ Highwoods Properties, Inc. 7,600 181,980
Hilb, Rogal and Hamilton Company 1,701 59,003
Hollinger International Inc. 4,000 54,075
+ Hollywood Entertainment Corporation 4,522 35,611
+ Hollywood.com, Inc. 1,400 10,689
Home Properties of New York, Inc. 2,979 89,370
+ HomeGrocer.com 2,000 11,833
Hooper Holmes, Inc. 8,300 66,400
Horace Mann Educators Corporation 5,209 78,135
+ Horizon Offshore, Inc. 1,800 27,693
+ Hospitality Properties Trust 6,499 146,634
+ Hot Topic, Inc. 1,400 44,639
+ Hotel Reservations Network, Inc. (Class A) 900 26,671
+ HotJobs.com, Ltd. 1,500 20,546
Houghton Mifflin Company 3,600 168,075
+ The Houston Exploration Company 619 15,552
Hudson United Bancorp 7,037 157,893
Hughes Supply, Inc. 3,003 59,309
+ Humana Inc. 18,300 87,407
+ Hutchinson Technology Incorporated 3,418 48,707
+ Hypercom Corporation 1,023 14,706
+ Hyperion Solutions Corporation 4,240 137,535
+ Hyseq, Inc. 1,500 67,984
+ ICG Communications, Inc. 6,256 138,414
IDAcorp Inc. 4,860 156,735
IDEX Corporation 3,714 117,223
+ IDEXX Laboratories, Inc. 4,663 106,666
+ IDT Corporation 2,820 95,704
+ IDX Systems Corporation 2,005 28,321
+ IGEN International, Inc. 1,595 26,417
+ IHOP Corp. 2,579 43,198
+ II-VI Incorporated 400 19,304
IKON Office Solutions, Inc. 17,600 68,920
+ ILEX Oncology, Inc. 2,500 87,837
+ IMPATH Inc. 1,367 74,160
+ IMPCO Technologies, Inc. 200 8,452
+ IMPSAT Fiber Networks Inc. 1,100 18,430
+ IMRglobal Corp. 2,092 27,327
+ INAMED Corporation 1,400 51,114
IRT Property Company 4,779 40,622
+ I-STAT Corporation 1,500 25,984
+ ITC/\ DeltaCom, Inc. 6,497 144,964
+ ITT Educational Services, Inc. 1,868 32,807
+ ITXC Corp. 600 21,175
+ IVEX Packaging Corporation 2,630 29,259
+ IXYS Corporation 500 26,630
+ i2 Technologies, Inc. 1 52
+ iBasis, Inc. 1,600 68,716
+ iBEAM Broadcasting Corporation 900 16,096
+ Ibis Technology Corporation 1,200 72,312
+ Identix Incorporated 2,895 45,415
+ Igate Capital Corporation 4,421 60,789
+ Illuminet Holdings, Inc. 2,500 126,900
+ Imation Corp. 4,995 146,728
+ Imatron Inc. 8,700 19,391
+ Immersion Corporation 1,900 56,781
+ The Immune Response Corporation 2,100 22,596
+ ImmunoGen, Inc. 4,900 58,543
+ Immunomedics, Inc. 3,500 85,347
+ Imperial Bancorp 5,044 78,497
Independence Community Bank Corp. 8,954 118,641
+ Indus International, Inc. 800 6,758
IndyMac Mortgage Holdings, Inc. 9,595 130,132
+ InFocus Corporation 3,066 98,687
+ Infogrames, Inc. 1,988 16,156
+ Informatica Corporation 3,074 251,876
+ Information Architects Corp. 3,600 24,561
+ Information Holdings Inc. 914 33,818
+ Inforte Corp. 100 3,588
+ infoUSA Inc. 3,539 23,004
Ingles Markets, Incorporated (Class A) 2,462 25,697
+ Inhale Therapeutic Systems 2,115 214,606
Innkeepers USA Trust 4,495 41,017
+ Inprise Corporation 5,700 34,257
+ Input/Output, Inc. 4,952 41,783
+ Insight Communications Company, Inc. 4,300 66,693
+ Insight Enterprises, Inc. 2,718 161,211
+ Insignia Financial Group, Inc. 3,009 30,090
+ Insituform Technologies, Inc. (Class A) 2,423 65,724
+ Insurance Auto Auctions, Inc. 600 12,606
Integra Bank Corporation 2,269 38,573
+ Integrated Circuit Systems, Inc. 1,200 20,412
+ Integrated Electrical Services, Inc. 4,216 21,607
+ Integrated Silicon Solution, Inc. 2,800 106,078
+ Intelect Communications, Inc. 7,100 15,602
+ InteliData Technologies Corporation 4,100 41,810
+ Interact Commerce Corporation 1,700 20,081
+ Interactive Intelligence, Inc. 300 11,215
+ The InterCept Group, Inc. 600 10,131
+ InterDigital Communications Corporation 6,756 111,896
Interface, Inc. 5,924 22,585
+ Intergraph Corp. 6,626 50,109
+ Interim Services 7,847 139,284
+ Interliant Inc. 6,100 141,505
+ Interlink Electronics, Inc. 1,600 66,816
+ Interlogix Inc. 537 7,384
+ Intermedia Communications Inc. 6,287 187,038
+ Intermune Pharmaceuticals, Inc. 600 24,718
International Bancshares Corporation 2,007 65,478
+ International Fibercom, Inc. 3,123 79,637
+ International Home Foods, Inc. 4,390 91,916
International Multifoods 2,817 48,769
+ International Specialty Products Inc. 1,300 7,394
+ Internet Pictures Corporation 6,300 94,563
+ Internet.com LLC 1,100 21,530
Interpool, Inc. 200 1,950
Interstate Bakeries Corporation 4,800 71,554
+ InterTAN, Inc. 3,506 41,196
Inter-Tel Inc. 2,750 44,172
+ Intertrust Technologies Corporation 7,800 159,490
+ InterVoice, Inc. 4,507 29,577
18 & 19
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
Interwest Bancorp Inc. 1,751 $ 24,514
+ InterWorld Corporation 2,700 55,039
+ Interwoven, Inc. 2,200 241,713
+ IntraBiotics Pharmaceuticals, Inc. 600 15,943
+ IntraNet Solutions, Inc. 2,200 84,172
+ Intraware, Inc. 2,224 35,723
+ Intrusion.com, Inc. 1,000 11,197
Invacare Corp. 3,485 91,481
+ Investment Technology Group, Inc. 3,500 137,847
Investors Financial Services 4,042 160,417
+ Invitrogen Corporation 1,059 79,640
+ Iomega Corporation 34,731 138,924
+ Ionics, Inc. 2,361 72,306
Irwin Financial Corporation 574 8,287
+ Isis Pharmaceuticals 5,027 72,892
+ Isle of Capri Casinos, Inc. 3,900 52,445
+ iVillage Inc. 3,602 30,392
+ iXL Enterprises, Inc. 4,900 70,486
+ JAKKS Pacific, Inc. 3,067 45,238
J.B. Hunt Transport Services, Inc. 3,039 46,915
+ JDA Software Group, Inc. 2,715 52,094
+ J.D. Edwards & Company 6,300 94,169
JDN Realty Corporation 4,395 44,774
JLG Industries, Inc. 5,310 63,056
The J. M. Smucker Company (Class A) 3,298 63,486
+ JNI Corp. 500 15,755
JP Realty, Inc. 924 16,459
+ Jack in the Box Inc. 5,365 132,113
+ Jacobs Engineering Group Inc. 3,054 99,828
+ Jason Incorporated 400 3,804
Jefferies Group, Inc. 3,014 60,845
John H. Harland Company 4,021 60,064
The John Nuveen Company (Class A) 932 39,086
John Wiley & Sons, Inc. (Class A) 5,900 132,083
+ Jones Lang Lasalle Inc. 3,348 44,780
+ Journal Register Co. 5,873 107,182
+ Juno Online Services Inc. 2,844 30,573
+ Jupiter Communications, Inc. 500 11,442
Justin Industries, Inc. 2,065 45,172
+ Kaiser Aluminum Corporation 1,466 5,864
Kaman Corp. (Class A) 3,075 32,864
Kansas City Life Insurance Company 477 12,730
Kansas City Power & Light Company 8,400 188,805
Kaufman and Broad Home Corporation 6,200 122,838
Kaydon Corp. 4,069 85,449
Keithley Instruments, Inc. 1,100 95,711
Kellwood Co. 3,749 79,198
Kelly's Services, Inc. (Class A) 2,457 56,818
Kennametal Inc. 3,902 83,649
+ Kenneth Cole Productions, Inc. (Class A) 200 7,977
+ Kent Electronics Corporation 3,668 109,352
+ Key Energy Services, Inc. 9,824 94,556
+ Key Production Company, Inc. 1,800 31,293
+ Keynote Systems, Inc. 2,200 154,984
Keystone Financial, Inc. 6,800 143,718
+ kforce.com, Inc. 5,006 34,729
Kilroy Realty Corporation 3,386 87,824
Kimball International (Class B) 4,075 60,106
+ Kirby Corporation 3,186 67,703
+ Knight Transportation, Inc. 881 12,830
Koger Equity, Inc. 3,408 57,510
+ Korn/Ferry International 4,328 137,144
+ Kos Pharmaceuticals, Inc. 700 11,163
+ Krispy Kreme Doughnuts, Inc. 500 36,692
+ Kronos, Inc. 1,861 48,386
+ Kulicke and Soffa Industries 3,055 181,391
+ Kv Pharmaceutical Co Cl B 1,495 40,645
+ LCC International, Inc. (Class A) 1,700 46,236
LNR Property Corp. 3,467 67,606
The LTV Corporation 13,953 40,115
+ LTX Corporation 5,994 209,415
+ Labor Ready, Inc. 4,997 33,105
+ Laboratory Corporation of America Holdings 820 63,243
+ LaBranche & Co. Inc. 4,000 57,040
Laclede Gas Company 2,435 46,874
Lancaster Colony Corporation 4,100 79,822
Lance, Inc. 3,666 32,994
LandAmerica Financial Group, Inc. 1,292 29,635
Landry's Seafood Restaurants 4,384 37,264
+ Land's End, Inc. 1,896 63,279
+ Landstar System, Inc. 1,440 85,770
+ Lante Corporation 300 6,097
LaSalle Hotel Properties 541 7,777
+ Latitude Communications, Inc. 2,300 25,662
Lawson Products, Inc. 661 16,277
La-Z-Boy Inc. 6,742 94,388
+ Leap Wireless International, Inc. 3,278 154,066
+ Lear Corporation 8,400 167,345
+ Learning Tree International, Inc. 1,386 84,892
Lee Enterprises, Incorporated 5,604 130,643
+ Legato Systems, Inc. 11,100 166,611
Lennar Corporation 6,747 136,627
Lennox International Inc. 4,200 55,167
Leucadia National Corporation 4,712 107,493
+ Level 8 Systems, Inc. 400 8,379
+ Lexicon Genetics Incorporated 700 23,982
+ Lexington Corporate Properties Trust 3,110 34,793
Libbey, Inc. 1,916 61,551
The Liberty Corporation 2,003 84,126
Liberty Financial Companies, Inc. 1,462 32,073
+ Liberty Livewire Corporation (Class A) 100 7,013
+ LifeMinders, Inc. 1,300 38,282
+ LifePoint Hospitals, Inc. 4,443 98,857
+ Ligand Pharmaceuticals Incorporated
(Class B) 6,701 88,369
+ Lightbridge, Inc. 1,800 42,768
+ LightPath Technologies, Inc. (Class A) 1,700 67,486
Lilly Industries, Inc. (Class A) 3,076 92,472
+ Lincare Holdings Inc. 5,200 127,751
Lincoln Electric Holdings, Inc. 4,400 62,700
Lindsay Manufacturing Co. 1,752 34,383
+ Linens `n Things, Inc. 5,100 138,338
Liqui-Box Corporation 183 9,058
+ Littelfuse Inc. 2,502 122,598
+ LodgeNet Entertainment Corporation 1,200 28,962
Lone Star Steakhouse & Saloon, Inc. 4,423 44,783
+ Lone Star Technology 3,023 139,814
Longs Drug Stores Corporation 3,300 71,775
Longview Fibre Company 6,789 75,103
+ LookSmart, Ltd. 4,800 88,248
+ Loudeye Technologies, Inc. 200 3,464
+ Louis Dreyfus Natural Gas Corp. 2,555 80,003
Louisiana-Pacific Corporation 13,300 144,178
The Lubrizol Corporation 6,900 144,486
Luby's Inc. 2,979 23,832
+ Luminex Corporation 400 16,604
+ Lynx Therapeutics, Inc. 1,500 71,171
M.A. Hanna Company 6,265 56,385
MAF Bancorp, Inc. 3,064 55,726
+ MAXIMUS, Inc. 1,496 33,099
+ MCK Communications, Inc. 900 20,709
+ MCSi, Inc. 1,676 43,286
MDC Holdings, Inc. 2,763 51,461
MDU Resources Group 7,771 168,048
+ MEMC Electronic Materials, Inc. 4,233 76,194
+ META Group, Inc. 500 9,568
+ MGC Communications, Inc. 4,021 241,009
+ MGI Pharma, Inc. 2,400 68,761
+ MIPS Technologies, Inc. (Class A) 1,882 79,867
+ MKS Instruments Inc. 600 23,475
+ MMC Networks, Inc. 3,884 207,551
+ MP3.com, Inc. 2,200 29,585
+ MRV Communications, Inc. 6,374 428,651
+ M.S. Carriers, Inc. 1,103 19,440
+ MSI Holdings, Inc. 4,000 35,790
+ MTI Technology Corporation 4,804 38,432
MacDermid, Inc. 1,892 44,462
+ Macerich Company 4,025 88,802
Madison Gas & Electric Co. 2,044 40,369
+ Magnetek, Inc. 2,445 19,560
+ Mail.com, Inc. 6,100 33,992
+ Mail-Well, Inc. 5,141 44,341
+ The Management Network Group, Inc. 400 13,954
+ Manhattan Associates, Inc. 196 4,900
The Manitowoc Co., Inc. 3,524 94,267
+ Manor Care, Inc. 9,100 62,654
Manu Home Communications 2,883 69,012
+ Manugistics Group, Inc. 2,925 136,744
+ MapInfo Corporation 1,300 52,663
+ Mapquest.com Inc. 157 2,614
Marcus Corporation 2,883 34,956
+ Marimba, Inc. 2,200 30,548
Mark IV 6,005 125,354
+ Markel Corporation 742 105,086
+ Marketwatch.com Inc. 385 7,243
+ Martek Biosciences Corporation 1,800 33,543
+ Martha Stewart Living Omnimedia,
Inc. (Class A) 700 15,320
Mascotech, Inc. 4,782 51,705
Mathews International Corp. (Class A) 1,854 53,766
+ Matrix Pharmaceutical, Inc. 3,500 45,316
+ MatrixOne, Inc. 500 20,255
+ Mattson Technology, Inc. 1,800 58,293
+ Maverick Tube Corporation 2,235 65,094
+ Maxim Pharmaceuticals, Inc. 2,400 123,024
+ Maxtor Corporation 8,159 86,179
+ Maxygen Inc. 800 45,320
+ McAfee.com Corporation 1,100 28,542
The McClatchy Company (Class A) 2,400 79,500
McGrath Rentcorp 345 5,865
+ McMoran Exploration Co. 1,288 21,252
+ Meade Instruments Corp. 800 20,008
+ Mechanical Technology 2,958 44,370
Medallion Financial Corp. 635 9,803
+ Media 100 Inc. 1,700 43,580
20 & 21
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
Media General, Inc. (Class A) 2,700 $ 131,119
+ Media Metrix Inc. 1,698 43,193
+ Mediacom Communications Corporation 3,300 50,358
+ Mediaplex, Inc. 1,900 36,475
+ Medical Assurance, Inc. 2,397 26,966
+ Medical Manager Corporation 4,900 166,343
+ MedicaLogic/Medscape, Inc. 200 1,827
+ Medicis Pharmaceutical (Class A) 3,878 221,046
+ Meditrust Companies 12,900 46,926
+ MedQuist Inc. 4,785 214,284
Medtris Companies Inc. 7,508 188,638
+ MemberWorks Incorporated 1,204 40,259
+ The Men's Warehouse, Inc. 4,049 90,343
Mentor Corporation 2,807 76,315
+ Mentor Graphics Corporation 8,920 177,285
+ Mercator Software, Inc. 3,117 214,294
Merchants New York Bancorp, Inc. 2,403 41,301
+ Mercury Computer Systems, Inc. 2,599 83,980
Mercury General Corporation 2,900 68,352
Meredith Corporation 4,800 161,954
+ The Meridian Resource Corporation 1,600 9,100
Meristar Hospitality Corp. 4,548 95,508
Meritor Automotive, Inc. 8,000 88,000
+ Mesa Air Group, Inc. 2,443 13,437
+ Mesaba Holdings, Inc. 316 3,022
+ MetaCreations Corporation 3,600 42,786
Metals USA, Inc. 2,264 10,612
+ Metasolv Software, Inc. 1,100 48,274
+ Metawave Communications Corporation 500 13,286
Methode Electronics 4,563 176,246
+ Metricom, Inc. 2,490 69,409
+ Metrocall, Inc. 10,900 96,847
+ Metromedia International Group, Inc. 9,100 43,225
+ Mettler-Toledo International 4,971 198,840
Michael Foods, Inc. 2,171 53,189
+ Michael's Stores 3,649 167,170
+ Micron Electronics, Inc. 4,584 57,300
+ Micros Systems, Inc. 2,300 42,694
+ Microsemi Corporation 1,700 57,498
+ MicroStrategy Incorporated 3,560 106,800
+ Microvision, Inc. 1,500 73,328
+ Mid Atlantic Medical Services, Inc. 5,982 80,757
Mid-America Apartment Communities, Inc. 2,293 55,032
MidAmerica Bancorp 605 15,125
Midas Group, Inc. 2,596 51,920
Midcoast Energy Resources, Inc. 700 10,945
The Midland Company 200 4,900
Mid-State Bancshares 1,434 39,076
+ Midway Games Inc. 3,794 30,589
+ Midwest Express Holdings 1,778 38,227
Milacron Inc. 4,566 66,207
Millennium Chemicals Inc. 8,500 144,121
Mills Corp. 2,664 50,116
Mine Safety Appliances Company 740 17,760
Minerals Technologies, Inc. 2,666 122,636
Minnesota Power, Inc. 9,400 162,151
+ Miravant Medical Technologies 1,400 31,077
Mississippi Valley Bancshares, Inc. 264 6,402
Mitchell Energy & Development Corp.
(Class A) 2,606 83,718
+ Mobile Mini, Inc. 700 15,363
+ Modem Media Poppe Tyson 1,802 22,412
Modine Manufacturing Co. 3,012 81,324
+ Modis Professional Services, Inc. 11,700 89,213
+ Mohawk Industries, Inc. 4,800 103,860
+ Molecular Devices Corporation 1,557 107,725
+ Monaco Coach Corporation 2,001 27,264
+ Moog Inc. (Class A) 516 13,609
Morgan Keenan, Inc. 2,828 41,713
+ Morrison Knudsen Corporation 2,445 17,726
Morrison Management Specialists, Inc. 1,255 35,375
+ Motient Corporation 4,944 77,559
+ Mueller Industries, Inc. 4,649 130,172
+ Multex.com Inc. 2,356 59,342
+ Musicland Stores Corporation 3,511 26,113
Myers Industries, Inc. 2,259 24,284
+ MyPoints.com, Inc. 2,600 48,979
+ Myriad Genetics, Inc. 1,200 177,556
NACCO Industries, Inc. (Class A) 840 29,505
+ NBC Internet, Inc. (Class A) 4,108 51,350
NBT Bancorp Inc. 1,445 15,443
+ NBTY Inc. 7,645 48,737
NCH Corporation 274 9,915
+ NCI Building Systems, Inc. 2,891 58,543
+ NCO Group, Inc. 2,807 64,912
+ NETRIX Corporation 5,100 62,207
+ NETsilicon, Inc. 1,000 32,635
+ NHancement Technologies Inc. 1,700 22,436
NL Industries, Inc. 3,142 47,915
+ NPC International, Inc. 1,300 11,659
+ NPS Pharmaceuticals, Inc. 2,800 74,578
+ NS Group, Inc. 1,700 35,398
NUI Corporation 1,695 45,765
+ NVR, Inc. 1,422 81,054
+ NYFIX, Inc. 2,700 112,921
+ Nabi 3,100 22,312
+ Nanogen, Inc. 1,600 67,716
+ Nanometrics Incorporated 800 32,858
National Bancorp of Alaska, Inc. 1,527 54,781
National Computer Systems, Inc. 4,280 210,790
National Data Corporation 4,200 96,600
+ National Discount Brokers Group, Inc. 1,573 50,139
National Golf Properties, Inc. 1,117 23,597
National Health Investors, Inc. 3,110 34,210
+ National Information Consortium, Inc. 1,600 18,016
National Penn Bancshares, Inc. 2,232 46,035
National Presto Industries, Inc. 591 18,173
National Service Industries, Inc. 4,600 90,401
National Steel Corp. 5,074 21,247
+ National Western Life Insurance Company
(Class A) 355 25,560
+ NationsRent, Inc. 2,557 9,749
+ Nationwide Health Properties, Inc. 6,109 85,144
+ Natural MicroSystems Corporation 2,100 235,877
+ Nautica Enterprises, Inc. 4,860 51,941
+ Navigant Consulting, Inc. 4,793 20,370
+ The Neiman Marcus Group, Inc. (Class A) 4,300 128,252
+ Neon Systems 480 9,000
+ NeoRx Corporation 2,900 54,404
+ Neose Technologies, Inc. 1,100 46,142
+ Net Perceptions Inc. 2,058 32,671
+ Net.B@nk, Inc. 3,730 45,926
+ net.Genesis Corp. 200 3,590
+ Net2000 Communications, Inc. 1,700 27,642
+ Net2Phone, Inc. 1,100 39,130
+ Netcentives Inc. 3,500 64,785
+ NetCreations, Inc. 600 27,419
+ Netegrity, Inc. 2,200 165,435
+ netGuru, Inc. 300 5,328
+ NetIQ Corporation 3,200 190,432
+ Netobjects Inc. 2,123 19,372
+ Netopia, Inc. 1,690 68,022
+ NetRatings, Inc. 300 7,653
+ Netro Corporation 4,400 251,944
+ NetScout Systems, Inc. 1,200 15,312
+ Netsol International, Inc. 700 24,770
+ NetSolve, Incorporated 500 12,943
+ Network Access Solutions Corporation 1,500 14,171
+ Network Commerce Inc. 4,700 25,310
+ Network Equipment Technologies, Inc. 3,139 31,586
+ Network Peripherals Inc. 2,298 38,491
+ Network Plus Corp. 800 11,258
+ NetZero, Inc. 3,000 15,311
+ Neurocrine Biosciences, Inc. 2,700 95,708
+ Neurogen Corporation 1,396 40,309
New England Business Services, Inc. 1,615 26,244
+ New Era of Networks, Inc. 3,200 135,632
New Jersey Resources Corporation 2,218 84,423
New Plan Excel Realty Trust 11,200 144,312
+ Newpark Resources, Inc. 9,268 87,467
Newport News Shipbuilding Inc. 3,758 138,106
+ Nexell Therapeutics Inc. 1,400 20,664
+ NextCard, Inc. 4,336 36,856
+ Niku Corporation 800 26,908
Nordson Corporation 1,795 90,647
+ Nortek Inc. 1,139 22,495
North Pittsburgh Systems, Inc. 1,262 18,614
+ NorthEast Optic Network, Inc. 858 52,874
Northwest Bancorp, Inc. 1,684 11,577
Northwest Natural Gas Company 3,268 73,121
Northwestern Corporation 2,954 68,311
+ Novadigm, Inc. 1,100 21,599
+ Noven Pharmaceuticals, Inc. 2,800 83,853
+ Novoste Corporation 1,985 121,085
+ Nu Skin Enterprises, Inc. (Class A) 4,200 23,667
+ Nuance Communications Inc. 500 41,599
+ Nucentrix Broadband Networks, Inc. 700 17,770
+ Nuevo Energy Company 2,533 47,810
+ Numerical Technologies, Inc. 600 29,106
OGE Energy Corp. 10,600 195,491
OM Group, Inc. 3,067 134,948
ONEOK, Inc. 3,812 98,874
+ ORATEC Interventions, Inc. 300 9,978
+ OSI Pharmaceuticals, Inc. 2,600 74,614
+ OTG Software, Inc. 400 11,379
+ Oak Technology, Inc. 4,800 102,948
+ Oakley, Inc. 2,905 33,407
+ Objective Systems Integrators, Inc. 3,200 33,832
+ Oceaneering International, Inc. 3,146 59,774
OceanFirst Financial Corp. 1,577 29,076
+ O'Charley's Inc. 931 12,685
+ Ocular Sciences, Inc. 2,747 32,277
+ Ocwen Financial Corporation 3,821 21,254
+ OfficeMax, Inc. 13,178 65,890
+ Offshore Logistics, Inc. 3,453 49,637
Ogden Corporation 6,322 56,898
22 & 23
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
Ohio Casualty Corporation 8,787 $ 93,362
Olin Corporation 4,632 76,428
Omega Financial Corporation 1,123 28,356
Omnicare, Inc. 11,800 105,880
Omnova Solutions Inc. 4,245 26,531
+ On Assignment, Inc. 3,089 94,214
+ On Command Corporation 353 5,030
+ On2.com Inc. 1,500 7,515
One Valley Bancorp, Inc. 4,321 135,031
Oneida Ltd. 2,196 38,979
+ OneMain.com, Inc. 2,785 31,331
+ Onvia.com, Inc. 1,700 14,467
+ Onyx Software 2,426 72,022
+ Open Market, Inc. 4,929 68,082
+ Optical Cable Corporation 259 7,835
+ Orbital Sciences Corporation 4,917 59,926
+ Orchid Biosciences 1,100 41,639
+ O'Reilly Automotive, Inc. 4,606 63,908
+ Organic, Inc. 200 1,927
+ Organogenesis Inc. 4,342 49,662
Oriental Financial Group Inc. 1,462 21,108
+ Orthodontic Centers of America, Inc. 5,493 124,279
OshKosh B'Gosh, Inc. (Class A) 2,168 35,501
Oshkosh Truck Corporation 1,888 67,496
+ Osicom Technologies, Inc. 1,200 101,412
Otter Tail Power Company 3,110 65,310
Overseas Shipholding Group, Inc. 3,715 91,482
Owens & Minor, Inc. 5,015 86,195
Owens Corning 5,700 52,656
+ PAREXEL International Corporation 3,353 32,063
+ PC Connection, Inc. 600 34,200
+ P-Com, Inc. 9,876 56,170
+ PC-Tel, Inc. 1,400 53,039
+ PETCO Animal Supplies, Inc. 3,134 61,505
+ PETsMART, Inc. 16,594 56,005
+ P.F. Chang's China Bistro, Inc. 1,062 33,918
PFF Bancorp, Inc. 1,666 30,404
P.H. Glatfelter Company 3,380 34,434
+ PICO Holdings, Inc. 1,674 23,541
+ PLX Technology, Inc. 1,916 79,514
PMA Capital Corporation (Class A) 2,201 41,819
+ PRAECIS Pharmaceuticals Incorporated 1,300 36,088
+ PRI Automation, Inc. 2,568 167,923
PS Business Parks, Inc. 3,007 72,168
+ PSS World Medical, Inc. 9,958 66,905
Pacific Capital Bancorp 3,084 77,293
Pacific Gulf Properties, Inc. 2,401 60,175
+ Pacific Sunwear of California, Inc. 4,050 75,937
+ Packaging Corp. of America 4,800 48,048
+ Packard BioScience Company 1,100 18,574
+ Packeteer, Inc. 2,300 66,723
+ Pactiv Corporation 21,600 168,950
+ Pac-West Telecomm, Inc. 1,800 35,793
+ Palm Harbor Homes, Inc. 2,327 33,741
Pan Pacific Retail Properties, Inc. 533 10,727
+ Papa John's International, Inc. 2,596 63,602
+ Paradigm Genetics, Inc. 1,200 14,487
+ Paradyne Networks, Inc. 1,800 58,406
Park Electrochemical Corp. 1,382 49,838
Park National Corporation 966 87,664
+ Parker Drilling Company 10,266 63,521
+ ParkerVision, Inc. 1,173 59,163
Parkway Properties, Inc. 1,276 38,918
+ PathoGenesis Corporation 2,445 63,570
Patina Oil & Gas Corporation 2,000 41,270
+ Patterson Energy, Inc. 4,177 119,044
+ Paxar Corporation 5,081 60,654
+ Paxson Communications Corporation 4,279 34,232
+ Payless ShoeSource, Inc. 2,900 148,625
+ Pegasus Systems, Inc. 3,077 33,462
Penn Engineering & Manufacturing Corp. 400 14,054
+ Penn National Gaming, Inc. 400 5,404
Penn Real Estate Invest TST 912 15,618
Penn Virginia Corporation 400 9,804
+ Pennaco Energy, Inc. 2,300 37,398
Pennzoil-Quaker State Company 11,037 133,134
Penton Media, Inc. 2,766 96,810
People's Bank 2,900 52,989
Peoples Energy Corporation 4,500 145,504
The Pep Boys--Manny, Moe & Jack 5,973 35,838
+ Peregrine Systems, Inc. 4,156 144,161
+ Performance Food Group Company 1,599 51,168
+ Pericom Semiconductor Corporation 1,200 81,462
+ Perot Systems Corporation (Class A) 6,300 68,576
+ Perrigo Company 8,204 51,788
+ Per-Se Technologies, Inc. 4,606 43,181
+ Persistence Software, Inc. 1,000 18,130
+ Pharmaceutical Product Development, Inc. 2,339 49,119
+ Pharmacopeia, Inc. 2,600 120,276
+ Pharmacyclics, Inc. 1,939 118,279
+ Philadelphia Consolidated Holding Corp. 830 13,954
Philadelphia Suburban Corporation 4,454 91,307
Phillips-Van Heusen Corporation 2,898 27,531
Phoenix Investment Partners, Ltd. 5,677 59,608
+ Phoenix Technologies Ltd. 3,558 58,040
+ Photogen Technologies, Inc. 700 5,738
+ Photon Dynamics, Inc. 1,400 104,402
+ Photronics, Inc. 2,582 73,264
Piedmont Natural Gas Company, Inc. 3,600 95,625
Pier 1 Imports, Inc. 13,127 127,988
Pilgrim's Pride Corporation 807 5,750
+ Pinnacle Entertainment, Inc. 3,060 59,479
+ Pinnacle Systems, Inc. 5,222 117,413
+ The Pioneer Group, Inc. 3,297 139,710
+ Pioneer Natural Resources Company 13,470 171,742
Pioneer-Standard Electronics, Inc. 4,136 61,006
Pittston Brink's Group 6,819 93,335
+ Pixelworks, Inc. 1,100 24,899
+ Plains Resources Inc. 1,310 20,960
+ Plantronics, Inc. 2,073 239,431
+ Playboy Enterprises, Inc. 2,636 33,938
+ Playtex Products, Inc. 3,630 41,064
+ Plexus Corporation 2,215 250,295
Pogo Producing Company 5,149 113,922
Polaris Industries, Inc. 3,039 97,248
Polaroid Corporation 5,770 104,221
+ Policy Management Systems Corporation 4,643 71,386
+ Polo Ralph Lauren Corporation 6,100 86,247
+ PolyMedica Corporation 1,500 64,703
Polymer Group, Inc. 2,619 24,226
Pope & Talbot, Inc. 1,200 19,062
Potlatch Corporation 3,657 121,138
+ Power Integrations, Inc. 3,463 81,597
Precision Castparts Corp. 3,109 140,682
+ Predictive Systems, Inc. 300 10,747
Premier National Bancorp, Inc. 3,038 39,494
Prentiss Properties Trust 4,681 112,344
+ Pre-Paid Legal Services, Inc. 2,837 84,755
Presidential Life, Corporation 2,605 36,144
+ Presstek, Inc. 3,574 58,301
+ Price Communications Corporation 6,368 150,046
+ Prima Energy Corporation 1,100 58,724
+ Primark Corporation 2,959 110,223
Prime Group Realty Trust 366 5,559
+ Prime Hospitality Corp. 7,090 66,912
Primex Technologies, Inc. 1,232 27,104
+ Primus Knowledge Solutions, Inc. 1,700 76,305
+ Primus Telecommunications Group,
Incorporated 3,521 87,585
+ Priority Healthcare Corporation (Class B) 1,301 96,680
Prison Realty Trust, Inc. 12,100 38,187
+ Private Media Group, Inc. 1,000 9,073
+ ProBusiness Services, Inc. 1,894 50,309
+ Procom Technology, Inc. 800 41,258
+ Prodigy Communications Corporation
(Class A) 2,711 28,469
+ Professional Detailing, Inc. 500 17,031
+ The Profit Recovery Group
International, Inc. 4,628 76,940
+ Progress Software Corporation 4,880 87,535
+ Project Software & Development, Inc. 1,613 29,034
+ ProsoftTraining.com 1,400 23,377
Providence Energy Corporation 500 20,193
Provident Bancshares Corporation 4,066 54,891
Provident Financial Group, Inc. 3,200 76,166
+ Province Healthcare Company 2,901 104,799
+ Proxim, Inc. 1,628 161,121
Public Service Company of New Mexico 4,914 75,860
Pulitzer Inc. 768 32,400
Pulte Corporation 3,903 84,402
+ Puma Technology, Inc. 3,800 101,451
+ PurchasePro.com, Inc. 1,500 61,328
+ Pure Resources, Inc. 5,900 104,784
+ QRS Corporation 1,963 48,216
Quanex Corporation 2,144 31,892
+ Quantum Corporation-Hard Disk Drive 10,800 119,475
+ Quantum Effect Devices, Inc. 300 17,066
Queens County Bancorp Inc. 2,148 39,604
+ QuickLogic Corporation 2,200 48,697
+ Quiksilver, Inc. 2,858 44,478
+ Quintus Corporation 2,800 55,284
+ Quokka Sports, Inc. 1,600 12,666
+ Quorum Health Group, Inc. 9,103 93,875
R & G Financial Corporation 697 5,532
+ RARE Hospitality International, Inc. 924 26,103
+ REMEC, Inc. 3,226 135,089
RFS Hotel Investors, Inc. 3,870 45,472
RGS Energy Group Inc. 4,537 100,948
+ R.H. Donnelley Corporation 4,091 79,263
RLI Corp. 971 33,742
RPC, Inc. 1,700 17,956
RPM, Inc. 12,100 121,903
+ RTI International Metals, Inc. 1,615 18,371
+ Radiant Systems, Inc. 1,872 44,928
+ RadiSys Corporation 1,651 93,694
+ Rainbow Technologies, Inc. 1,500 72,765
24 & 25
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
+ Ralcorp Holdings, Inc. 3,908 $ 47,873
+ Ramp Networks, Inc. 2,400 28,224
+ Rare Medium Group, Inc. 3,942 62,333
Raymond James Financial, Inc. 4,999 112,477
Rayonier Inc. 3,484 124,988
+ Rayovac Corporation 3,525 78,872
+ Razorfish Inc. 1,743 27,997
Realty Income Corporation 3,400 80,112
Reckson Associates Realty Corporation 5,762 136,847
+ Reebok International Ltd. 5,822 92,788
Regal-Beloit Corporation 3,137 50,388
+ Regency Realty Corporation 3,826 90,868
+ Regeneron Pharmaceuticals, Inc. 2,324 69,284
+ Regent Communications, Inc. 3,100 26,284
Regis Corporation 4,143 51,787
+ Register.com, Inc. 400 12,179
+ RehabCare Group, Inc. 2,200 59,697
Reliance Group Holdings, Inc. 8,405 6,304
Reliance Steel & Aluminum Co. 2,591 49,553
+ Remedy Corporation 3,354 186,985
+ Renal Care Group, Inc. 5,820 142,317
+ Rent A Center Inc. 2,484 55,890
+ Rent-Way, Inc. 2,776 81,024
Republic Bancorp Inc. 5,757 51,453
Republic Security Financial Corporation 8,859 44,295
+ Res-Care, Inc. 2,469 13,271
+ Research Frontiers Incorporated 1,000 29,885
+ ResMed Inc. 3,834 102,559
+ Respironics, Inc. 4,274 76,932
+ Retek Inc. 500 15,943
+ Revlon, Inc. (Class A) 1,100 6,944
+ Rhythms NetConnections Inc. 7,400 92,112
+ Ribozyme Pharmaceuticals, Inc. 1,400 35,977
+ Rica Foods, Inc. 600 13,731
Richmond County Financial Corp. 3,984 76,194
Riggs National Corporation 2,529 31,929
+ Rightchoice Managed Care, Inc. (Class A) 1,200 18,762
Riviana Foods Inc. 300 5,231
Roadway Express, Inc. 1,614 37,828
Robbins & Myers, Inc. 390 8,897
+ The Robert Mondavi Corporation (Class A) 1,001 30,718
+ Robotic Vision Systems, Inc. 4,800 85,848
Rock-Tenn Company (Class A) 1,525 13,058
+ Rogers Corporation 1,950 68,250
Rollins, Inc. 2,850 42,394
Rollins Truck Leasing Corp. 6,134 42,555
Roper Industries, Inc. 4,069 104,268
Roslyn Bancorp, Inc. 8,600 142,841
Ruby Tuesday, Inc. 8,676 108,992
Ruddick Corporation 4,076 48,148
+ Rudolph Technologies, Inc. 400 15,454
+ Rural Cellular Corporation (Class A) 1,100 84,092
Russ Berrie and Company, Inc. 1,355 26,084
Russell Corporation 3,765 75,300
+ Ryan's Family Steak Houses, Inc. 5,827 48,801
Ryder System, Inc. 7,600 143,940
Ryerson Tull, Inc. 2,946 30,565
The Ryland Group, Inc. 1,873 41,440
S&T Bancorp, Inc. 3,347 61,083
+ S3 Incorporated 11,566 170,598
+ SAGA Communications, Inc. (Class A) 799 17,578
+ SAGA Systems, Inc. 3,773 46,927
+ SAVVIS Communications Corporation 1,500 19,421
+ SBA Communications Corporation 3,000 155,468
+ SBS Technologies, Inc. 500 18,411
+ SCM Microsystems, Inc. 1,700 102,956
+ SCP Pool Corporation 1,636 38,446
SCPIE Holdings Inc. 1,191 24,415
+ SEACOR SMIT Inc. 2,409 93,198
SEMCO Energy, Inc. 2,280 29,640
+ SICOR Inc. 5,491 43,928
+ SIPEX Corporation 2,770 76,694
+ SITEL Corporation 5,890 29,082
SJW Corp. 148 17,593
SL Green Realty Corp. 2,759 73,803
SLI, Inc. 2,180 26,432
+ SPS Technologies, Inc. 1,601 65,741
+ SPSS INC. 978 28,484
+ STAAR Surgical Company 2,300 25,467
+ STERIS Corporation 8,651 76,778
+ SVI Holdings, Inc. 1,732 8,876
+ Saba Software, Inc. 200 4,177
+ Sagnet Technology, Inc. 2,904 41,382
+ Salem Communications Corporation
(Class A) 2,000 18,333
+ Salton, Inc. 1,426 52,584
+ Sanchez Computer Associates, Inc. 1,700 40,375
Sandy Spring Bancorp, Inc. 1,498 30,615
+ SangStat Medical Corporation 2,336 67,452
+ Sanmina Corporation 1 34
Santander BanCorp 700 8,925
+ SatCon Technology Corporation 600 15,269
Sauer-Danfoss, Inc. 1,500 14,640
Saul Centers, Inc. 1,270 20,479
+ Schein Pharmaceutical, Inc. 300 6,453
+ Scholastic Corporation 1,769 108,130
+ School Specialty, Inc. 2,898 53,794
Schweitzer-Manduit International, Inc. 2,431 30,387
+ SciClone Pharmaceuticals, Inc. 4,500 57,701
+ Scientific Games Holdings Corp. 1,656 40,675
+ SciQuest.com, Inc. 2,900 32,835
+ The Scotts Company (Class A) 2,331 85,082
+ Scott Technologies, Inc. 1,622 27,878
+ SeaChange International, Inc. 1,800 51,768
Seacoast Financial Services Corporation 3,308 31,426
+ Secure Computing Corporation 2,600 48,614
+ Security Capital Group Incorporated
(Class B) 3,951 67,167
+ Seitel, Inc. 2,353 19,118
+ Selectica, Inc. 400 27,979
Selective Insurance Group, Inc. 3,381 64,239
+ Seminis Inc. (Class A) 3,400 8,534
+ Semitool, Inc. 1,500 25,796
Senior Housing Properties Trust 1,600 12,000
+ Sensormatic Electronics Corporation 9,161 144,858
+ Sequa Corporation (Class A) 783 29,901
+ Sequenom Inc. 900 40,734
+ Sequoia Software Corporation 1,200 19,512
+ Serena Software Inc. 1,938 87,997
Service Corporation International 32,200 100,165
+ The Shaw Group Inc. 1,500 70,515
+ ShopKo Stores, Inc. 3,837 58,994
Shoreline Financial Corporation 13 154
+ Shurgard Storage Centers, Inc. (Class A) 3,725 83,812
Sierra Pacific Resources 9,972 125,273
+ Silicon Graphics, Inc. 23,600 86,465
+ Silicon Image, Inc. 1,900 94,544
+ Silicon Valley Bancshares 5,404 230,345
+ Silicon Valley Group, Inc. 4,304 111,366
+ SilverStream Software, Inc. 1,300 74,926
+ Simpson Manufacturing Co., Inc. 1,095 52,355
+ Sinclair Broadcast Group, Inc. (Class A) 5,562 61,182
+ Sirius Satellite Radio Inc. 4,095 181,460
+ Skechers U.S.A., Inc. (Class A) 2,400 37,674
Sky Financial Group, Inc. 9,874 157,367
Skyline Corporation 1,770 38,055
SkyWest, Inc. 2,983 110,557
+ Smart & Final Inc. 100 757
+ SmartDisk Corporation 600 16,431
+ SmartServ Online, Inc. 600 42,269
+ Smithfield Foods, Inc. 7,005 196,578
Snap-On Incorporated 7,500 199,182
Sodexho Marriott Services, Inc. 3,300 52,501
+ SoftNet Systems, Inc. 4,228 40,694
+ Software Technologies Corporation 300 9,172
Solutia Inc. 13,900 189,745
+ Somera Communications, Inc. 3,100 41,881
+ Sonic Automotive, Inc. 1,600 16,916
+ Sonic Corp. 2,695 79,166
+ Sonic Foundry, Inc. 1,700 33,805
+ Sonic Innovations, Inc. 100 1,845
+ SonoSite, Inc. 1,500 43,046
Sotheby's Holdings, Inc. (Class A) 4,700 81,779
+ The Source Information Management
Company 1,956 29,829
The South Financial Group, Inc. 4,735 68,657
South Jersey Industries, Inc. 1,480 38,480
Southern Peru Limited 3,198 38,976
+ Southern Union Company 3,972 62,806
+ Southwest Bancorporation of Texas, Inc. 4,224 87,648
Southwest Gas Corporation 3,982 69,685
Southwest Securities Group, Inc. 1,672 62,282
Southwestern Energy Company 4,412 27,575
Sovran Self Storage, Inc. 1,547 33,164
+ Spanish Broadcasting System,
Inc. (Class A) 4,100 83,835
Spartech Corporation 1,950 52,650
+ Specialty Equipment Companies, Inc. 1,408 38,192
+ SpectraLink Corporation 1,900 27,569
+ Spectra-Physics Lasers, Inc. 300 20,947
+ SpeedFam-IPEC, Inc. 3,633 66,075
+ Speedway Motorsports, Inc. 1,300 29,762
Spiegel Inc.-Cl A 1,925 16,362
+ Spinnaker Exploration Company 500 12,755
+ SportsLine USA, Inc. 2,731 46,598
Springs Industries, Inc. (Class A) 1,595 51,339
+ Spyglass, Inc. 2,310 72,332
St. Mary Land & Exploration Company 2,122 89,257
+ Stamps.com Inc. 3,400 24,472
StanCorp Financial Group, Inc. 3,652 117,320
Standard Pacific Corp. 4,011 40,110
The Standard Register Company 1,684 23,997
Standex International Corporation 1,490 23,654
+ Stanford Microdevices, Inc. 1,800 49,918
+ Star Scientific, Inc. 4,100 13,366
+ StarBase Corporation 6,700 70,417
26 & 27
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master Small Cap Index Series (continued)
--------------------------------------------------------------------------------
COMMON STOCKS (continued)
Shares
Issue Held Value
================================================================================
+ StarMedia Network, Inc. 4,200 $ 78,792
+ StarTek, Inc. 854 43,020
State Auto Financial Corporation 868 10,307
Staten Island Bancorp, Inc. 4,676 82,414
+ Station Casinos, Inc. 2,982 74,550
+ Steel Dynamics, Inc. 6,552 59,378
+ Stein Mart, Inc. 2,655 27,214
Stepan Company 460 10,695
+ Stericycle, Inc. 2,253 54,072
Sterling Bancshares, Inc. 3,306 35,746
+ Steve Madden, Ltd. 600 3,869
Stewart & Stevenson Services, Inc. 4,425 66,651
Stewart Enterprises, Inc. (Class A) 9,300 32,024
Stewart Information Services Corporation 464 6,786
+ Stillwater Mining Company 4,954 138,093
+ Stone Energy Corporation 2,172 129,777
+ Stoneridge, Inc. 807 7,061
+ Storage Technology Corporation 12,000 129,928
Storage USA, Inc. 3,532 104,194
Strayer Education, Inc. 891 21,384
The Stride Rite Corporation 6,954 42,593
+ Structural Dynamics Research Corporation 4,385 66,049
The Student Loan Corporation 183 7,686
Sturm, Ruger & Company, Inc. 2,567 22,782
+ Suiza Foods Corporation 3,941 192,616
Summit Properties Inc. 3,128 65,688
+ Summit Technology, Inc. 6,182 116,685
Sun Communities, Inc. 2,287 76,471
+ Sunbeam Corporation 9,260 31,831
+ Sunglass Hut International, Inc. 4,989 41,003
+ Sunrise Assisted Living, Inc. 2,446 45,251
+ Sunrise Technologies International, Inc. 6,584 65,840
+ Superconductor Technologies Inc. 2,400 94,074
+ SuperGen, Inc. 3,073 111,396
+ Superior Energy Services, Inc. 6,800 69,768
Superior Industries International, Inc. 2,834 72,975
Superior TeleCom Inc. 1,160 11,527
+ Supertex, Inc. 1,200 60,162
+ SurModics, Inc. 400 10,354
Susquehanna Bancshares, Inc. 5,019 71,521
+ Swift Energy Company 2,801 79,478
+ Swift Transportation Co., Inc. 5,332 74,648
+ Switchboard Incorporated 1,300 12,851
+ Sykes Enterprises, Incorporated 3,080 39,655
+ SymmetriCom, Inc. 2,500 62,838
+ Symyx Technologies 2,500 106,236
+ Syncor International Corporation 1,320 95,040
+ Syntel, Inc. 200 2,000
+ Syntroleum Corporation 3,512 60,143
+ Systemax Inc. 1,240 4,805
+ Systems & Computer Technology
Corporation 4,125 82,500
+ TALK.com, Inc. 6,236 36,247
+ THQ Inc. 3,082 37,562
+ Take-Two Interactive Software, Inc. 3,300 39,633
Tanger Factory Outlet Centers, Inc. 453 10,645
+ Tanning Technology Corporation 1,100 21,049
+ Targeted Genetics Corporation 4,000 59,040
Taubman Centers, Inc. 4,416 48,576
+ Techniclone Corporation 11,800 44,368
Technitrol, Inc. 1,504 145,700
+ Technology Solutions Company 5,956 36,853
Tecumseh Products Company (Class A) 2,100 80,194
Tejon Ranch Co. 271 6,114
Tektronix, Inc. 9 666
+ Telaxis Communications Corporation 700 21,795
+ TelCom Semiconductor, Inc. 1,900 76,494
+ Teledyne Technologies Incorporated 2,800 46,578
Teleflex Incorporated 4,900 174,773
+ Teligent, Inc. (Class A) 2,200 51,768
+ Telocity, Inc. 300 1,334
Telxon Corporation 2,400 42,624
+ Tenfold Corporation 1,320 21,697
Tennant Company 1,334 50,025
Tenneco Automotive Inc. 2,700 14,129
+ Terex Corporation 3,349 47,305
+ Terremark Worldwide, Inc. 13,700 66,068
+ Tesoro Petroleum Corporation 4,202 42,545
+ Tetra Tech, Inc. 4,433 101,405
+ Texas Biotechnology Corporation 5,700 107,645
Texas Industries, Inc. 2,731 78,858
Texas Regional Bancshares, Inc. (Class A) 1,875 47,578
+ Theragenics Corporation 3,393 29,052
+ Therma-Wave Inc. 1,100 24,417
+ Thermo Cardiosystems Inc. 1,948 19,480
+ Thermo Ecotek Corporation 400 3,750
+ Thermo Electron Corporation 212 4,464
+ Thermo Fibertek Inc. 800 3,800
Thomas Industries Inc. 1,986 35,127
Thor Industries, Inc. 883 18,543
+ Thoratec Laboratories Corporation 1,300 20,894
+ Three-Five Systems, Inc. 2,700 158,990
+ The Timberland Company (Class A) 1,096 77,610
The Timken Company 6,389 118,995
+ Titan Pharmaceuticals, Inc. 2,700 115,790
+ TiVo Inc. 2,200 76,747
+ Toll Brothers, Inc. 3,196 65,518
+ Tollgrade Communications, Inc. 1,500 198,578
+ Tom Brown, Inc. 4,139 95,456
+ Too Inc. 3,500 88,629
+ The Topps Company, Inc. 5,563 63,974
The Toro Company 1,830 60,276
+ Total Renal Care Holdings, Inc. 9,526 57,156
+ Tower Automotive, Inc. 5,189 64,862
+ Town & Country Trust 2,049 35,217
+ Trammell Crow Company 3,155 33,916
+ Trans World Entertainment Corporation 4,654 56,430
+ Transaction Systems Architects,
Inc. (Class A) 4,621 79,135
+ Transkaryotic Therapies, Inc. 2,741 100,732
+ TransMontaigne Inc. 3,391 20,770
+ Travelocity.com Inc. 1,953 31,980
Tredegar Corporation 2,786 52,934
+ Trendwest Resorts, Inc. 300 4,838
Trenwick Group Inc. 2,136 31,105
+ Trex Company, Inc. 510 25,500
+ Triad Guaranty Inc. 1,662 38,122
+ Triad Hospitals, Inc. 4,775 115,495
+ Triangle Pharmaceuticals, Inc. 4,101 37,165
+ Triarc Companies, Inc. 2,331 47,785
+ Trico Marine Services, Inc. 2,600 32,851
+ Tricord Systems, Inc. 2,600 46,664
+ Trimble Navigation Limited 2,979 145,412
+ Trimeris, Inc. 2,100 146,627
Trinity Industries, Inc. 5,078 93,943
+ Triumph Group, Inc. 1,512 42,147
+ The TriZetto Group, Inc. 2,100 33,752
The Trust Company of New Jersey 2,095 38,234
TrustCo Bank Corp NY 6,320 79,000
Trustmark Corporation 7,900 136,951
Tucker Anthony Sutro Corporation 2,071 37,278
+ Tuesday Morning Corp. 601 6,310
+ Tularik Inc. 1,100 32,324
+ Tumbleweed Communications Corporation 1,000 50,760
Tupperware Corporation 7,453 163,966
+ Tut Systems, Inc. 2,065 118,479
+ Tweeter Home Entertainment Grp 1,664 50,544
+ Twinlab Corporation 2,771 17,665
+ UCAR International Inc. 5,814 75,945
+ UCBH Holdings, Inc. 700 18,601
UGI Corporation 3,543 72,631
+ UICI 4,946 32,458
UMB Financial Corporation 2,046 67,134
+ UNOVA, Inc. 5,547 40,562
+ URS Corporation 1,689 25,757
+ U.S. Aggregates, Inc. 100 1,801
U.S.B. Holding Co., Inc. 2,163 30,552
+ U.S. Can Corporation 542 9,417
U.S. Industries, Inc. 10,400 124,939
+ U.S. Interactive, Inc. 1,600 20,516
+ US LEC Corp. (Class A) 1,555 26,435
+ US Oncology, Inc. 11,111 55,555
+ U.S. Wireless Corporation 1,500 31,890
USEC Inc. 11,789 54,524
USFreightways Corporation 3,600 88,425
+ UTI Energy Corp. 1,741 69,858
+ Ulticom, Inc. 200 4,780
+ Ultimate Electronics, Inc. 1,400 37,355
+ Ultratech Stepper, Inc. 3,352 49,861
+ Unifi, Inc. 7,746 95,857
+ Unify Corporation 2,800 23,653
+ Unigraphics Solution Inc. 229 4,465
+ Uniroyal Technology Corporation 1,100 12,042
UniSource Energy Corporation 4,003 60,045
+ Unit Corporation 3,200 42,832
United Asset Management Corporation 6,312 147,543
+ United Auto Group, Inc. 729 6,652
United Bankshares, Inc. 5,146 93,593
United Community Financial Corp. 5,781 38,480
United Dominion Realty Trust, Inc. 13,226 145,486
The United Illuminating Company 1,955 85,531
United National Bancorp 2,060 37,852
+ United Natural Foods, Inc. 1,100 15,125
+ United Rentals, Inc. 3,700 63,271
+ United Stationers, Inc. 4,135 133,871
United Television, Inc. 497 63,989
+ United Therapeutics Corporation 1,700 184,042
United Water Resources Inc. 3,584 124,992
+ Universal Compression Holdings, Inc. 1,100 36,724
Universal Corporation 3,585 75,733
+ Universal Display Corporation 1,900 56,188
+ Universal Electronics Inc. 1,300 31,782
Universal Foods Corporation 6,229 115,236
Universal Forest Products, Inc. 848 11,660
Urban Shopping Centers, Inc. 1,353 45,579
+ VASCO Data Security International, Inc. 900 12,215
28 & 29
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (concluded)
Master Small Cap Index Series (concluded)
--------------------------------------------------------------------------------
COMMON STOCKS (concluded)
Shares
Issue Held Value
================================================================================
+ VIA NET.WORKS, Inc. 1,500 $ 22,984
+ VISX, Incorporated 6,900 193,321
+ VIVUS, Inc. 5,100 34,795
+ Vail Resorts, Inc. 1,952 31,842
+ Valence Technology, Inc. 3,270 60,291
+ Valentis, Inc. 2,900 33,742
Valhi, Inc. 1,000 10,375
Valmont Industries, Inc. 1,887 37,504
The Valspar Corporation 4,800 162,000
+ Value City Department Stores, Inc. 748 7,106
Value Line, Inc. 300 11,550
+ ValueVision International, Inc. (Class A) 4,898 117,552
+ Vans, Inc. 800 11,608
+ Varian Inc. 4,404 203,134
+ Varian Medical Systems, Inc. 4,013 157,009
+ Varian Semiconductor Equipment
Associates, Inc. 4,067 255,458
+ Vasomedical, Inc. 4,700 21,638
+ VaxGen, Inc. 600 13,056
Vector Group Ltd. 1,039 15,325
Vectren Corporation 7,859 135,568
+ Veeco Instruments Inc. 3,019 221,142
+ Venator Group, Inc. 17,600 178,986
+ Ventana Medical Systems, Inc. 1,338 31,443
Ventas, Inc. 7,911 25,216
+ Ventiv Health, Inc. 2,000 22,250
+ Ventro Corporation 2,500 46,900
+ Veritas DGC Inc. 3,272 85,072
+ Verity, Inc. 3,662 139,156
+ Versata, Inc. 400 16,079
+ Vertel Corporation 3,900 67,802
+ Vertex Interactive, Inc. 800 8,058
+ Veterinary Centers of America, Inc. 3,351 46,076
+ Viador Inc. 1,900 29,944
+ The viaLink Company 1,500 15,296
+ Viant Corporation 4,800 141,648
+ ViaSat, Inc. 800 43,308
+ Viasystems Group, Inc. 5,100 81,970
+ Viatel, Inc. 6,414 183,200
+ Vical Incorporated 2,504 48,202
+ Vicinity Corporation 600 11,706
+ Vicor Corporation 2,550 88,772
Vintage Petroleum, Inc. 6,264 141,331
+ Visual Networks, Inc. 3,166 90,231
Vital Signs, Inc. 358 6,489
+ Volt Information Sciences, Inc. 717 23,616
+ Voyager.net, Inc. 500 3,943
+ Vyyo Inc. 600 16,131
WD-40 Company 2,315 48,036
+ WESCO International, Inc. 2,527 24,164
+ WFS Financial Inc. 600 10,281
W Holding Company, Inc. 3,501 28,883
W.H. Brady Co. 2,233 72,572
+ WMS Industries Inc. 2,867 44,259
WPS Resources Corporation 3,026 90,969
+ W.R. Grace & Co. 8,340 101,122
Wabash National Corporation 3,181 37,973
Wabtec Corporation 3,544 36,769
+ The Wackenhut Corporation (Class A) 2,003 25,914
Wallace Computer Services, Inc. 5,024 49,612
Walter Industries, Inc. 4,262 48,747
The Warnaco Group, Inc. 7,400 56,603
Washington Federal, Inc. 6,975 127,294
Washington Gas Light Company 5,980 143,894
Washington Real Estate Investment Trust 4,555 81,421
+ Waste Connections, Inc. 2,613 51,607
+ WatchGuard Technologies, Inc. 1,300 71,269
Watsco, Inc. 2,655 33,187
Watts Industries, Inc. (Class A) 2,424 30,603
Wausau-Mosinee Paper Corporation 6,703 57,394
+ Wave Systems Corp. (Class A) 5,963 94,290
+ WebLink Wireless, Inc. 6,762 89,596
+ Websense, Inc. 300 7,539
Webster Financial Corporation 5,962 132,282
+ WebTrends Corporation 1,792 69,328
+ Weingarten Realty Investors 3,426 138,325
+ Weirton Steel Corporation 2,200 6,897
Wellman, Inc. 4,572 74,009
Wells Fargo Company 568 22,010
Werner Enterprises, Inc. 4,397 50,840
WesBanco, Inc. 2,457 59,582
+ Wesley Jessen VisionCare, Inc. 2,519 94,620
West Pharmaceuticial Services, Inc. 1,365 29,518
+ Westamerica Bancorp 4,700 122,788
Westcorp 983 11,734
+ Westell Technologies, Inc. 2,288 34,320
+ Western Digital Corporation 17,633 88,165
Western Gas Resources, Inc. 1,947 40,887
Western Properties Trust 2,225 26,422
Western Resources, Inc. 9,500 146,158
Westfield America, Inc. 2,941 39,887
WestPoint Stevens Inc. 4,300 47,792
+ White Electronic Designs Corporation 1,200 15,087
+ Whitehall Jewellers, Inc. 1,763 32,836
Whitney Holding Corporation 2,904 99,281
+ Whole Foods Market, Inc. 3,431 141,743
+ Wild Oats Markets, Inc. 3,317 41,670
+ Wilsons The Leather Experts Inc. 600 8,744
+ Wink Communications, Inc. 2,400 72,924
Winnebago Industries, Inc. 1,795 23,447
+ Wisconsin Central Transportation
Corporation 6,740 87,620
+ Wit Soundview Group, Inc. 8,400 89,203
+ Wolverine Tube, Inc. 1,139 19,363
Wolverine World Wide, Inc. 6,329 62,499
Woodhead Industries, Inc. 900 16,322
Woodward Governor Company 544 15,402
+ World Access, Inc. 7,138 78,964
+ World Wrestling Federation
Entertainment, Inc. 900 18,628
+ WorldGate Communications, Inc. 1,971 34,985
+ Worldpages.com Inc. 3,427 20,562
Worthington Industries, Inc. 9,194 96,537
+ Wyndham International--Cia 18,464 46,160
Wynn's International, Inc. 2,387 54,155
+ XM Satellite Radio Holdings Inc. (Class A) 1,200 44,787
X-Rite, Incorporated 1,200 10,812
+ XTRA Corporation 1,822 71,855
+ Xceed Inc. 2,375 21,672
+ Xircom, Inc. 3,447 163,733
+ Xpedior Incorporated 700 9,588
+ Xybernaut Corporation 4,700 52,041
+ The Yankee Candle Company, Inc. 1,400 30,114
+ Yellow Corporation 3,953 58,060
York International Corporation 4,400 110,732
+ Young Broadcasting Inc. (Class A) 1,333 34,241
+ Zale Corporation 4,500 164,250
+ Zebra Technologies Corporation (Class A) 3,327 147,428
Zenith National Insurance Corp. 1,141 24,246
+ Ziff-Davis Inc. 3,271 29,439
+ ZixIt Corporation 2,149 98,988
+ Zoll Medical Corporation 1,300 63,551
+ Zomax Incorporated 3,608 47,129
+ Zoran Corporation 1,700 111,898
+ Z-Tel Technologies, Inc. 1,400 16,639
+ Zygo Corporation 1,500 136,046
------------------------------------------------------------------------------
Total Common Stocks (Cost--$122,591,988)--81.9% 122,310,023
================================================================================
SHORT-TERM OBLIGATIONS
Commercial Paper*
Face
Amount Issue
================================================================================
$7,000,000 Associates First Capital Corp., 7% due 7/03/2000 6,997,278
7,000,000 The CIT Group Holdings, Inc., 7.05% due 7/03/2000 6,997,258
6,000,000 General Electric Capital Corp., 6.90% due 7/03/2000 5,997,700
5,741,000 General Motors Acceptance Corp., 7.13% due 7/03/2000 5,738,726
================================================================================
Total Short-Term Obligations (Cost--$25,730,962)--17.2% 25,730,962
================================================================================
Total Investments (Cost--$148,322,950)--99.1% 148,040,985
Variation Margin on Financial Futures Contracts**--0.2% 349,065
Other Assets Less Liabilities--0.7% 986,746
------------
Net Assets--100.0% $149,376,796
============
================================================================================
* 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.
+ Non-income producing security.
** Financial futures contracts purchased as of June 30, 2000 were as follows:
-----------------------------------------------------------------------------
Number of Expiration
Contracts Issue Date Value
-----------------------------------------------------------------------------
100 Russell 2000 September 2000 $26,130,000
-----------------------------------------------------------------------------
(Total Contract Price--$26,027,091) $26,130,000
===========
-----------------------------------------------------------------------------
See Notes to Financial Statements.
30 & 31
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MASTER
SMALL CAP
INDEX SERIES As of June 30, 2000
=========================================================================================================================
<C> <S> <C> <C>
Assets: Investments, at value (identified cost--$148,322,950) .................. $148,040,985
Cash ................................................................... 90,975
Cash on deposit for financial futures contracts ........................ 1,870,000
Receivables:
Securities sold ..................................................... $ 43,539,352
Contributions ....................................................... 461,312
Variation margin .................................................... 349,065
Dividends ........................................................... 50,457 44,400,186
------------
Deferred organization expenses ......................................... 2,933
Prepaid expenses and other assets ...................................... 38,850
------------
Total assets ........................................................... 194,443,929
------------
=========================================================================================================================
Liabilities: Payables:
Securities purchased ................................................ 44,717,465
Withdrawals ......................................................... 322,569
Investment adviser .................................................. 13,695 45,053,729
------------
Accrued expenses and other liabilities ................................. 13,404
------------
Total liabilities ...................................................... 45,067,133
------------
=========================================================================================================================
Net Assets: Net assets ............................................................. $149,376,796
============
=========================================================================================================================
Net Assets Partners' capital ...................................................... $149,555,852
Consist of: Unrealized depreciation on investments--net ............................ (179,056)
------------
Net assets ............................................................. $149,376,796
============
=========================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MASTER
SMALL CAP
INDEX SERIES For the Six Months Ended June 30, 2000
=========================================================================================================================
<C> <S> <C> <C>
Investment Income: Interest and discount earned ..................................... $ 644,635
Dividends (net of $281 foreign withholding tax) .................. 586,551
------------
Total income ..................................................... 1,231,186
------------
=========================================================================================================================
Expenses: Professional fees ................................................ $ 20,589
Custodian fees ................................................... 14,829
Accounting services .............................................. 9,604
Investment advisory fees ......................................... 6,911
Amortization of organization expenses ............................ 1,171
Pricing fees ..................................................... 423
Trustees' fees and expenses ...................................... 231
Other ............................................................ 829
------------
Total expenses before reimbursement .............................. 54,587
Reimbursement of expenses ........................................ (1,561)
------------
Total expenses after reimbursement ............................... 53,026
------------
Investment income--net ........................................... 1,178,160
------------
=========================================================================================================================
Realized & Realized gain from investments--net .............................. 14,484,121
Unrealized Gain Change in unrealized appreciation/depreciation on investments--net (12,811,798)
(Loss) On ------------
Investments--Net: Net Increase in Net Assets Resulting from Operations ............. $ 2,850,483
============
=========================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MASTER For the Six For the
SMALL CAP Months Ended Year Ended
INDEX SERIES Increase (Decrease) in Net Assets: June 30, 2000 Dec. 31, 1999
=========================================================================================================================
<C> <S> <C> <C>
Operations: Investment income--net ............................................. $ 1,178,160 $ 1,660,469
Realized gain on investments--net .................................. 14,484,121 4,277,316
Change in unrealized appreciation/depreciation on investments--net . (12,811,798) 12,859,318
------------ ------------
Net increase in net assets resulting from operations ............... 2,850,483 18,797,103
------------ ------------
=========================================================================================================================
Net Capital Increase in net assets derived from net capital contributions ...... 31,727,152 12,171,403
Contributions: ------------ ------------
=========================================================================================================================
Net Assets: Total increase in net assets ....................................... 34,577,635 30,968,506
Beginning of period ................................................ 114,799,161 83,830,655
------------ ------------
End of period* ..................................................... $149,376,796 $114,799,161
============ ============
=========================================================================================================================
* Undistributed investment income--net ............................... $ 4,772,641 $ 3,594,481
============ ============
=========================================================================================================================
</TABLE>
See Notes to Financial Statements.
32 & 33
<PAGE>
Merrill Lynch Small Cap Index Fund, June 30, 2000
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
For the Year
MASTER For the Six Ended Dec. 31, For the Period
SMALL CAP The following ratios have been derived from Months Ended ---------------------- April 9, 1997+
INDEX SERIES information provided in the financial statements. June 30, 2000 1999 1998 to Dec. 31, 1997
====================================================================================================================================
<C> <S> <C> <C> <C> <C>
Ratios to Average Expenses, net of reimbursement .................... .08%* .14% .17% .18%*
Net Assets: ========= ========= ========= ========
Expenses .......................................... .08%* .17% .28% .29%*
========= ========= ========= ========
Investment income--net ............................ 1.70%* 1.83% 1.46% 1.78%*
========= ========= ========= ========
====================================================================================================================================
Supplemental Net assets, end of period (in thousands) .......... $ 149,377 $ 114,799 $ 83,831 $ 95,745
Data: ========= ========= ========= ========
Portfolio turnover ................................ 46.34% 51.20% 48.16% 16.45%
========= ========= ========= ========
====================================================================================================================================
</TABLE>
* Annualized.
+ Commencement of operations.
See Notes to Financial Statements.
NOTES TO FINANCIAL STATEMENTS
MASTER SMALL CAP INDEX SERIES
1. Significant Accounting Policies:
Master Small Cap Index Series (the "Series") is part of Quantitative Master
Series Trust (the "Trust"). The Trust is registered under the Investment Company
Act of 1940 and is organized as a Delaware business trust. The Series' financial
statements are prepared in accordance with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. These unaudited financial statements reflect
all adjustments, which are, in the opinion of management, necessary to a fair
statement of the results for the interim period presented. All such adjustments
are of a normal, recurring nature. The following is a summary of significant
accounting policies followed by the Series.
(a) Valuation of investments--Portfolio securities that are traded on stock
exchanges 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 Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML &
Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series' net
assets. For the six months ended June 30, 2000, FAM earned fees of $6,911, of
which $1,561 were voluntarily waived.
For the six months ended June 30, 2000, Merrill Lynch, Pierce, Fenner & Smith
Incorporated, a subsidiary of ML & Co., earned $51 in commissions on the
executing of all portfolio security transactions.
Merrill Lynch Trust Company, an indirect, wholly-owned subsidiary of ML & Co.,
is the Series' custodian.
Accounting services are provided to the Series by FAM at cost.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 2000 were $79,093,510 and $53,665,172, respectively.
Net realized gains for the six months ended June 30, 2000 and net unrealized
gains (losses) as of June 30, 2000 were as follows:
--------------------------------------------------------------------------------
Realized Unrealized
Gains Gains (Losses)
--------------------------------------------------------------------------------
Long-term investments ................... $13,413,625 $ (281,965)
Financial futures contracts ............. 1,070,496 102,909
----------- -----------
Total ................................... $14,484,121 $ (179,056)
=========== ===========
--------------------------------------------------------------------------------
As of June 30, 2000, net unrealized depreciation for Federal income tax purposes
aggregated $281,965, of which $12,742,782 related to appreciated securities and
$13,024,747 related to depreciated securities. At June 30, 2000, the aggregate
cost of investments for Federal income tax purposes was $148,322,950.
34 & 35
<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--6/00
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