MERRILL LYNCH
S&P 500
INDEX FUND
Merrill Lynch
Index Funds, Inc.
[GRAPHIC OMITTED]
STRATEGIC
Performance
Semi-Annual Report
June 30, 2000
<PAGE>
Merrill Lynch S&P 500 Index Fund
Officers and Directors
Terry K. Glenn, President and Director
M. Colyer Crum, Director
Laurie Simon Hodricks, Director
Jack B. Sunderland, Director
Stephen B. Swensrud, Director
J. Thomas Touchton, Director
Fred G. Weiss, Director
Arthur Zeikel, 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 S&P 500 Index Fund, June 30, 2000
DEAR SHAREHOLDER
One of the most prominent features of the US equity market during the first half
of 2000 was the continued heightened level of volatility. Inflationary fears
combined with several rounds of interest rate increases by the Federal Reserve
Board kept investors wary of the market's ability to sustain the year-end rally
of 1999. Having closed 1999 at an all-time high of 1469.25, the Standard &
Poor's 500 Composite (S&P 500) Index drifted lower for much of January and
February. The S&P 500 Index then surged during the last half of March, and
managed to post a positive total return for the year's first quarter. Between
March 14, 2000 and the end of the month, the S&P 500 Index added nearly 140
points (a nearly 10% advance) to close March at 1498.58, after briefly passing
the 1500 level for the first time. In the first quarter, strong returns in the
S&P 500 Index's technology sector, and to a lesser extent its energy group,
powered this advance and allowed the Index to overcome weakness in nearly all
other sectors.
Although the technology group posted strong returns during the first quarter,
the period ended on a note of weakness, which turned into a full-blown
correction for this sector in early April. This dragged the entire market down
with it, and by April 14 the S&P 500 Index had dropped more than 170 points off
its all-time high. Although the market staged a recovery in the last two weeks
of April, the S&P 500 Index posted a loss of more than 3% during the month.
Despite several days of 2% gains and losses during the next two months, the S&P
500 Index ended the first half of the year little changed from the level at
which it ended the month of April. On June 30, 2000, the S&P 500 Index stood at
1454.60, about 1% below its level on December 31, 1999.
Portfolio Matters
For the six months ended June 30, 2000, the Fund's Class A and Class D Shares
had total returns of -0.59% and -0.72%, respectively. This compares to the
Fund's benchmark, the unmanaged S&P 500 Index, which had a total return of
-0.42% for the same six-month period. (Complete performance information can be
found on pages 3 and 4 of this report to shareholders.)
Net assets of the Master S&P 500 Index Series stood at $1.7 billion at the end
of 1999. Cash flow into the Series remained consistently positive throughout the
first half of 2000. Since the Series generally receives new cash on a daily
basis, the inevitable build up of the Series' futures position occurs rapidly.
As a result, we seek opportunities to unwind these futures contracts, replacing
them with an equivalent dollar value of the 500 underlying securities in the S&P
500 Index.
The Fund invests all of its assets in the Series, which has the same investment
objective as the Fund. The principal investments of the Series are a fully
replicating portfolio of all 500 stocks in the S&P 500 Index and a long position
in S&P 500 Index futures contracts. The Series closed the second quarter of 2000
with net assets of $1.8 billion, a small decline of $14 million compared with
the level at the end of the first quarter of 2000, but nearly $70 million higher
than at the end of 1999. At the end of June, the Series' equity portfolio was
valued at $1.7 billion, representing more than 99% of the Fund's net assets. In
addition, the Series held a long position of S&P 500 Index September 2000
futures contracts. Through its holdings of equities and futures contracts, it is
our goal to be 100% invested in the S&P 500 Index at all times.
Composition activity continued at a rapid pace throughout the first half of
2000. During the first quarter of the year, we added the following equities to
the Series in response to their inclusion in the S&P 500 Index: NCR Corporation,
Young & Rubicam Inc., Biogen, Inc., Harley-Davidson, Inc., Conexant Systems,
Inc., Sabre Holdings Corporation and Linear Technology Corporation The second
quarter of the year was even more active in terms of composition changes to the
S&P 500 Index. During this period, we added to the Series: VERITAS Software
Corporation, Altera Corporation, Siebel Systems, Inc., Sapient Corporation,
Maxim Integrated Products, Inc., American Power Conversion Corporation, Agilent
Technologies, Inc., Starbucks Corporation, Convergys Corporation, MedImmune,
Inc., Charter One Financial, Inc., Novellus Systems, Inc., Sanmina Corporation,
Tiffany & Co., Mercury Interactive Corporation, Visteon Corporation and Broadcom
Corporation.
In Conclusion
We appreciate your investment in Merrill Lynch S&P 500 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 1, 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 Investment Adviser
voluntarily waived a portion of its management fee. Without such waiver,
the Fund's performance would have been lower.
2 & 3
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
PERFORMANCE DATA (concluded)
<TABLE>
<CAPTION>
================================================================================================
Recent Performance Results
6 Months 10 Months Since Inception
As of June 30, 2000 Total Return Total Return Total Return
================================================================================================
<S> <C> <C> <C>
ML S&P 500 Index Fund Class A Shares* -0.59% +6.87% +100.84%
------------------------------------------------------------------------------------------------
ML S&P 500 Index Fund Class D Shares* -0.72 +6.60 + 99.24
------------------------------------------------------------------------------------------------
S&P 500 Index** -0.42 +7.25 +103.07
================================================================================================
</TABLE>
* Total investment returns are based on changes in net asset value for the
periods shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date. The Fund's
inception date is 4/03/97.
** This unmanaged broad-based Index is comprised of common stocks. Since
inception total return is from 4/03/97.
================================================================================
Average Annual Total Return
% Return
===================================================================
Class A Shares
===================================================================
Year Ended 6/30/00 + 6.87%
-------------------------------------------------------------------
Inception (4/03/97) through 6/30/00 +24.01
-------------------------------------------------------------------
% Return
===================================================================
Class D Shares
===================================================================
Year Ended 6/30/00 + 6.60%
-------------------------------------------------------------------
Inception (4/03/97) through 6/30/00 +23.70
-------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MERRILL LYNCH
S&P 500
INDEX FUND As of June 30, 2000
====================================================================================================================================
<S> <C> <C> <C>
Assets: Investment in Master S&P 500 Index Series, at value
(identified cost--$1,287,490,589) ..................................... $ 1,759,877,935
Deferred organization expenses ........................................... 9,822
Prepaid registration fees and other assets ............................... 11,112
---------------
Total assets ............................................................. 1,759,898,869
---------------
====================================================================================================================================
Liabilities: Payables:
Administrative fees ................................................... $ 332,241
Distributor ........................................................... 181,049 513,290
-------------
Accrued expenses ......................................................... 135,915
---------------
Total liabilities ........................................................ 649,205
---------------
====================================================================================================================================
Net Assets: Net assets ............................................................... $ 1,759,249,664
===============
====================================================================================================================================
Net Assets Class A Shares of Common Stock, $.0001 par value,
Consist of: 125,000,000 shares authorized ......................................... $ 4,936
Class D Shares of Common Stock, $.0001 par value,
125,000,000 shares authorized ......................................... 4,897
Paid-in capital in excess of par ......................................... 1,326,732,654
Undistributed investment income--net ..................................... 6,379,290
Accumulated realized capital losses on investments from the Series--net .. (26,973,205)
Accumulated distributions in excess of realized capital gains on
investments from the Series--net ...................................... (19,286,254)
Unrealized appreciation on investments from the Series--net .............. 472,387,346
---------------
Net assets ............................................................... $ 1,759,249,664
===============
====================================================================================================================================
Net Asset Class A--Based on net assets of $884,354,782 and 49,355,945
Value: shares outstanding .................................................... $ 17.92
===============
Class D--Based on net assets of $874,894,882 and 48,968,226
shares outstanding .................................................... $ 17.87
===============
====================================================================================================================================
</TABLE>
See Notes to Financial Statements.
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MERRILL LYNCH
S&P 500
INDEX FUND For the Six Months Ended June 30, 2000
====================================================================================================================================
<S> <C> <C> <C>
Investment Income: Investment income allocated from the Series .............................. $ 10,558,414
Expenses allocated from the Series ....................................... (353,656)
---------------
Net investment income from the Series .................................... 10,204,758
---------------
====================================================================================================================================
Expenses: Administration fee ....................................................... $ 2,083,086
Account maintenance fee--Class D ......................................... 1,067,758
Registration fees ........................................................ 249,787
Printing and shareholder reports ......................................... 204,715
Transfer agent fees ...................................................... 191,253
Professional fees ........................................................ 50,174
Amortization of organization expenses 4,710
Accounting services ...................................................... 1,373
Other .................................................................... 2,160
-------------
Total expenses before reimbursement ...................................... 3,855,016
Reimbursement of expenses ................................................ (9,416)
-------------
Total expenses after reimbursement ....................................... 3,845,600
---------------
Investment income--net ................................................... 6,359,158
---------------
====================================================================================================================================
Realized & Realized loss on investments from the Series--net ........................ (14,313,416)
Unrealized Change in unrealized appreciation on investments from the Series--net .... (1,142,990)
Loss from the ---------------
Series--Net: Net Decrease in Net Assets Resulting from Operations ..................... $ (9,097,248)
===============
====================================================================================================================================
</TABLE>
See Notes to Financial Statements.
4 & 5
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MERRILL LYNCH For the Six For the
S&P 500 Months Ended Year Ended
INDEX FUND Increase (Decrease) in Net Assets: June 30, 2000 Dec. 31, 1999
====================================================================================================================================
<S> <C> <C> <C>
Operations: Investment income--net .............................................. $ 6,359,158 $ 13,361,135
Realized loss on investments from the Series--net ................... (14,313,416) (12,925,029)
Change in unrealized appreciation on investments from the Series--net (1,142,990) 282,264,783
--------------- ---------------
Net increase (decrease) in net assets resulting from operations ..... (9,097,248) 282,700,889
--------------- ---------------
====================================================================================================================================
Dividends & Investment income--net
Distributions to Class A .......................................................... -- (7,708,322)
Shareholders: Class D .......................................................... -- (6,171,913)
In excess of realized gain on investments from the Series--net
Class A .......................................................... -- (9,542,324)
Class D .......................................................... -- (9,743,930)
--------------- ---------------
Net decrease in net assets resulting from dividends and
distributions to shareholders ...................................... -- (33,166,489)
--------------- ---------------
====================================================================================================================================
Capital Share Net increase in net assets derived from capital share transactions .. 78,838,146 322,049,353
Transactions: --------------- ---------------
====================================================================================================================================
Net Assets: Total increase in net assets ........................................ 69,740,898 571,583,753
Beginning of period ................................................. 1,689,508,766 1,117,925,013
--------------- ---------------
End of period* ...................................................... $ 1,759,249,664 $ 1,689,508,766
=============== ===============
====================================================================================================================================
* Undistributed investment income--net ................................ $ 6,379,290 $ 20,132
=============== ===============
====================================================================================================================================
</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 3, 1997+
S&P 500 Months Ended ------------------- to
INDEX FUND Increase (Decrease) in Net Asset Value: June 30, 2000 1999 1998 Dec. 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period ............... $ 18.02 $ 15.30 $ 12.55 $ 10.00
Operating -------- -------- -------- --------
Performance: Investment income--net ............................. .07 .18 .18 .11
Realized and unrealized gain (loss) on investments
from the Series--net .............................. (.17) 2.92 3.33 2.97
-------- -------- -------- --------
Total from investment operations ................... (.10) 3.10 3.51 3.08
-------- -------- -------- --------
Less dividends and distributions:
Investment income--net .......................... -- (.17) (.16) (.11)
Realized gain on investments from the Series--net -- -- (.60) (.42)
In excess of realized gain on investments from
the Series--net ............................... -- (.21) -- --
-------- -------- -------- --------
Total dividends and distributions .................. -- (.38) (.76) (.53)
-------- -------- -------- --------
Net asset value, end of period ..................... $ 17.92 $ 18.02 $ 15.30 $ 12.55
======== ======== ======== ========
====================================================================================================================================
Total Investment Based on net asset value per share ................. (.59%)++ 20.45% 28.24% 30.80%+++
Return: ======== ======== ======== ========
====================================================================================================================================
Ratios to Average Expenses, net of reimbursement++ ................... .37%* .38% .39% .40%*
Net Assets: ======== ======== ======== ========
Expenses++ ......................................... .37%* .38% .40% .57%*
======== ======== ======== ========
Investment income--net ............................. .87%* 1.03% 1.27% 1.71%*
======== ======== ======== ========
====================================================================================================================================
Supplemental Net assets, end of period (in thousands) ........... $884,355 $848,591 $682,669 $445,016
Data: ======== ======== ======== ========
====================================================================================================================================
</TABLE>
<TABLE>
<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 3, 1997+
S&P 500 Months Ended ------------------- to
INDEX FUND Increase (Decrease) in Net Asset Value: June 30, 2000 1999 1998 Dec. 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period ............... $ 18.00 $ 15.28 $ 12.54 $ 10.00
Operating -------- -------- -------- --------
Performance: Investment income--net ............................. .06 .13 .11 .11
Realized and unrealized gain (loss) on investments
from the Series--net .............................. (.19) 2.94 3.37 2.95
-------- -------- -------- --------
Total from investment operations ................... (.13) 3.07 3.48 3.06
-------- -------- -------- --------
Less dividends and distributions:
Investment income--net .......................... -- (.14) (.14) (.10)
Realized gain on investments from the Series--net -- -- (.60) (.42)
In excess of realized gain on investments from
the Series--net ............................... -- (.21) -- --
-------- -------- -------- --------
Total dividends and distributions .................. -- (.35) (.74) (.52)
-------- -------- -------- --------
Net asset value, end of period ..................... $ 17.87 $ 18.00 $ 15.28 $ 12.54
======== ======== ======== ========
====================================================================================================================================
Total Investment Based on net asset value per share ................. (.72%)++ 20.16% 27.95% 30.53%+++
Return: ======== ======== ======== ========
====================================================================================================================================
Ratios to Average Expenses, net of reimbursement++ ................... .62%* .63% .64% .65%*
Net Assets: ======== ======== ======== ========
Expenses++ ......................................... .62%* .63% .65% .82%*
======== ======== ======== ========
Investment income--net ............................. .62%* .77% 1.00% 1.47%*
======== ======== ======== ========
====================================================================================================================================
Supplemental Net assets, end of period (in thousands) ........... $874,895 $840,918 $435,256 $157,567
Data: ======== ======== ======== ========
====================================================================================================================================
</TABLE>
+ Commencement of operations.
++ Includes the Fund's share of the Series' allocated
expenses.
+++ Aggregate total investment return.
* Annualized.
See Notes to Financial Statements.
6 & 7
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
NOTES TO FINANCIAL STATEMENTS
MERRILL LYNCH
S&P 500
INDEX FUND
1. Significant Accounting Policies:
Merrill Lynch S&P 500 Index Fund (the "Fund") is part of Merrill Lynch Index
Funds, Inc. (the "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 the Master S&P 500 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 exclusive 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.
(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.
(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 .245% 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 $2,083,086, of which $9,416 was 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 investments in the Series for the six
months ended June 30, 2000 were $174,869,064 and $100,015,016, respectively.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions was
$78,838,146 and $322,049,353 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 .................... 17,594,921 $ 307,796,151
Shares redeemed ................ (15,319,465) (268,026,312)
---------- -------------
Net increase ................... 2,275,456 $ 39,769,839
========== =============
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Class A Shares for the Year Ended Dollar
December 31, 1999 Shares Amount
--------------------------------------------------------------------------------
Shares sold .................... 43,531,071 $ 714,509,919
Shares issued to shareholders
in reinvestment of dividends
and distributions .............. 950,102 16,408,260
---------- -------------
Total issued ................... 44,481,173 730,918,179
Shares redeemed ................ (42,032,381) (704,821,899)
---------- -------------
Net increase ................... 2,448,792 $ 26,096,280
========== =============
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Class D Shares for the Six Months Dollar
Ended June 30, 2000 Shares Amount
--------------------------------------------------------------------------------
Shares sold .................... 13,939,467 $ 243,866,874
Shares redeemed ................ (11,701,136) (204,798,567)
---------- -------------
Net increase ................... 2,238,331 $ 39,068,307
========== =============
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Class D Shares for the Year Ended Dollar
December 31, 1999 Shares Amount
--------------------------------------------------------------------------------
Shares sold .................... 34,981,106 $ 573,245,057
Shares issued to shareholders
in reinvestment of dividends
and distributions .............. 790,655 13,630,892
---------- -------------
Total issued ................... 35,771,761 586,875,949
Shares redeemed ................ (17,530,176) (290,922,876)
---------- -------------
Net increase ................... 18,241,585 $ 295,953,073
========== =============
--------------------------------------------------------------------------------
8 & 9
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS
Master S&P 500 Index Series
------------------------------------------------------------------------------
Shares
Issue Held Value
==============================================================================
Common Stocks
+ 3Com Corporation ............................. 49,020 $ 2,824,778
+ ADC Telecommunications, Inc. ................. 47,127 3,952,777
+ The AES Corporation .......................... 59,563 2,717,562
AFLAC Incorporated ........................... 37,095 1,704,052
ALLTEL Corporation ........................... 44,060 2,728,966
+ ALZA Corporation ............................. 14,290 844,896
+ AMR Corporation .............................. 20,965 554,262
AT&T Corp. ................................... 524,353 16,582,664
Abbott Laboratories .......................... 216,522 9,648,762
+ Adaptec, Inc. ................................ 14,526 330,466
Adobe Systems Incorporated ................... 16,732 2,173,068
Adolph Coors Company (Class B) ............... 5,152 311,696
+ Advanced Micro Devices, Inc. ................. 21,409 1,653,845
Aetna Inc. ................................... 19,692 1,263,980
+ Agilent Technologies, Inc. ................... 63,158 4,657,902
Air Products and Chemicals, Inc. ............. 32,045 987,387
Alberto-Culver Company (Class B) ............. 7,842 239,671
Albertson's, Inc. ............................ 59,193 1,968,167
Alcan Aluminum Ltd. .......................... 30,583 948,073
Alcoa Inc. ................................... 120,713 3,500,677
Allegheny Technologies Incorporated .......... 11,653 209,754
Allergan Inc. ................................ 18,141 1,351,504
+ Allied Waste Industries, Inc. ................ 26,451 264,510
The Allstate Corporation ..................... 104,049 2,315,090
+ Altera Corporation ........................... 27,812 2,835,086
Amerada Hess Corporation ..................... 12,680 782,990
Ameren Corporation ........................... 19,214 648,472
+ America Online, Inc. ......................... 321,031 16,934,385
American Electric Power Company, Inc. ........ 44,828 1,328,035
American Express Company ..................... 186,666 9,729,965
American General Corporation ................. 34,709 2,117,249
American Greetings Corporation
(Class A) ................................. 9,034 171,646
American Home Products Corporation ........... 182,268 10,708,245
American International Group, Inc. ........... 215,388 25,308,090
+ American Power Conversion Corporation ........ 27,088 1,105,529
+ Amgen Inc. ................................... 143,474 10,079,048
AmSouth Bancorporation ....................... 54,892 864,549
Anadarko Petroleum Corporation ............... 17,920 883,680
+ Analog Devices, Inc. ......................... 49,438 3,757,288
+ Andrew Corporation ........................... 11,284 378,719
Anheuser-Busch Companies, Inc. ............... 63,133 4,715,246
Aon Corporation .............................. 35,752 1,110,546
Apache Corporation ........................... 15,924 936,530
+ Apple Computer, Inc. ......................... 45,435 2,379,658
+ Applied Materials, Inc. ...................... 112,836 10,225,762
Archer-Daniels-Midland Company ............... 84,131 825,535
Armstrong World Industries Inc. .............. 5,631 86,225
Ashland Inc. ................................. 9,863 345,821
Associates First Capital Corporation
(Class A) .................................. 101,782 2,271,011
Autodesk, Inc. ............................... 8,147 282,599
Automatic Data Processing, Inc. .............. 87,638 4,694,110
+ AutoZone, Inc. ............................... 18,695 411,290
Avery Dennison Corporation ................... 15,705 1,054,198
Avon Products, Inc. .......................... 33,180 1,476,510
The B.F. Goodrich Company .................... 15,029 511,925
BB&T Corporation ............................. 48,701 1,162,736
+ BMC Software, Inc. ........................... 34,117 1,244,737
Baker Hughes Incorporated .................... 46,118 1,475,776
Ball Corporation ............................. 4,166 134,093
Bank of America Corporation .................. 231,561 9,957,123
The Bank of New York Company, Inc. ........... 103,050 4,791,825
Bank One Corporation ......................... 160,266 4,257,066
Barrick Gold Corporation ..................... 55,294 1,005,660
Bausch & Lomb Incorporated ................... 7,416 573,813
Baxter International Inc. .................... 40,602 2,854,828
The Bear Stearns Companies Inc. .............. 15,456 643,356
Becton, Dickinson and Company ................ 35,243 1,011,034
+ Bed Bath & Beyond Inc. ....................... 19,587 710,029
Bell Atlantic Corporation .................... 215,983 10,974,636
BellSouth Corporation ........................ 262,939 11,207,775
Bemis Company, Inc. .......................... 7,449 250,473
+ Best Buy Co., Inc. ........................... 28,562 1,806,546
Bestfoods .................................... 38,361 2,656,499
+ Bethlehem Steel Corporation .................. 18,435 65,675
+ Biogen, Inc. ................................. 20,784 1,340,568
Biomet, Inc. ................................. 16,534 635,526
The Black & Decker Corporation ............... 11,924 468,762
The Boeing Company ........................... 126,769 5,300,529
Boise Cascade Corporation .................... 7,998 206,948
+ Boston Scientific Corporation ................ 56,974 1,249,867
Briggs & Stratton Corporation ................ 3,172 108,641
Bristol-Myers Squibb Company ................. 275,643 16,056,205
+ Broadcom Corporation (Class A) ............... 28,170 6,167,469
Brown-Forman Corporation (Class B) ........... 9,568 514,280
Brunswick Corporation ........................ 12,307 203,835
Burlington Northern Santa Fe Corp. ........... 59,842 1,372,626
Burlington Resources Inc. .................... 30,088 1,150,866
CIGNA Corporation ............................ 22,762 2,128,247
CMS Energy Corporation ....................... 15,371 340,083
CP&L, Inc. ................................... 22,308 712,462
C.R. Bard, Inc. .............................. 7,038 338,704
CSX Corporation .............................. 30,526 646,770
CVS Corporation .............................. 54,520 2,180,800
+ Cabletron Systems, Inc. ...................... 25,470 643,117
Campbell Soup Company ........................ 59,036 1,719,423
Capital One Financial Corporation ............ 27,418 1,223,528
Cardinal Health, Inc. ........................ 38,468 2,846,632
Carnival Corporation ......................... 84,490 1,647,555
Caterpillar Inc. ............................. 48,712 1,650,119
+ Cendant Corporation .......................... 100,773 1,410,822
Centex Corporation ........................... 8,296 194,956
CenturyTel, Inc. ............................. 19,619 564,046
+ Ceridian Corporation ......................... 20,264 487,602
The Charles Schwab Corporation ............... 190,221 6,396,181
Charter One Financial, Inc. .................. 29,264 673,072
The Chase Manhattan Corporation .............. 172,810 7,960,084
Chevron Corporation .......................... 91,118 7,727,945
The Chubb Corporation ........................ 24,498 1,506,627
Cincinnati Financial Corporation ............. 22,514 707,784
Cinergy Corp. ................................ 22,256 566,137
Circuit City Stores--Circuit City Group ...... 28,472 944,914
+ Cisco Systems, Inc. .......................... 972,040 61,785,292
Citigroup Inc. ............................... 471,540 28,410,285
+ Citrix Systems, Inc. ......................... 25,919 490,841
+ Clear Channel Communications, Inc. ........... 47,358 3,551,850
The Clorox Company ........................... 32,800 1,469,850
The Coastal Corporation ...................... 29,897 1,819,980
The Coca-Cola Company ........................ 345,882 19,866,597
Coca-Cola Enterprises Inc. ................... 58,772 958,718
Colgate-Palmolive Company .................... 80,595 4,825,626
Columbia Energy Group ........................ 11,297 741,366
+ Comcast Corporation (Class A) ................ 125,450 5,080,725
Comerica Incorporated ........................ 21,857 980,833
Compaq Computer Corporation .................. 237,305 6,066,109
Computer Associates International, Inc. ...... 82,257 4,210,530
+ Computer Sciences Corporation ................ 23,389 1,746,866
+ Compuware Corporation ........................ 50,379 522,682
+ Comverse Technology, Inc. .................... 21,351 1,985,643
ConAgra, Inc. ................................ 68,779 1,311,100
+ Conexant Systems, Inc. ....................... 30,375 1,476,984
Conoco Inc. (Class B) ........................ 87,252 2,143,127
Conseco, Inc. ................................ 45,453 443,167
Consolidated Edison, Inc. .................... 29,618 877,433
+ Consolidated Stores Corporation .............. 15,498 185,976
Constellation Energy Group ................... 20,908 680,817
+ Convergys Corporation ........................ 21,440 1,112,200
Cooper Industries, Inc. ...................... 13,051 424,973
Cooper Tire & Rubber Company ................. 10,345 115,088
Corning Incorporated ......................... 38,547 10,402,872
+ Costco Wholesale Corporation ................. 62,401 2,059,233
Countrywide Credit Industries, Inc. .......... 15,810 479,241
Crane Co. .................................... 8,479 206,146
Crown Cork & Seal Company, Inc. .............. 17,929 268,935
Cummins Engine Company, Inc. ................. 5,811 158,350
DTE Energy Company ........................... 19,983 610,730
Dana Corporation ............................. 21,334 452,014
Danaher Corporation .......................... 19,796 978,665
Darden Restaurants, Inc. ..................... 17,290 280,962
Deere & Company .............................. 32,732 1,211,084
+ Dell Computer Corporation .................... 359,835 17,744,363
Delphi Automotive Systems
Corporation ............................... 78,681 1,145,792
Delta Air Lines, Inc. ........................ 17,117 865,478
Deluxe Corporation ........................... 10,114 238,311
Dillard's, Inc. (Class A) .................... 13,079 160,218
Dollar General Corporation ................... 45,989 896,785
Dominion Resources, Inc. ..................... 33,261 1,426,065
Dover Corporation ............................ 28,367 1,150,636
The Dow Chemical Company ..................... 94,479 2,852,085
Dow Jones & Company, Inc. .................... 12,365 905,736
Duke Energy Corporation ...................... 51,352 2,894,969
The Dun & Bradstreet Corporation ............. 22,644 648,185
E.I. du Pont de Nemours and Company .......... 146,322 6,401,587
+ EMC Corporation .............................. 303,188 23,326,527
Eastern Enterprises .......................... 3,744 235,872
Eastman Chemical Company ..................... 10,766 514,076
Eastman Kodak Company ........................ 43,289 2,575,695
Eaton Corporation ............................ 10,167 681,189
Ecolab Inc. .................................. 18,119 707,773
Edison International ......................... 46,434 951,897
El Paso Energy Corporation ................... 32,322 1,646,402
Electronic Data Systems Corporation .......... 65,096 2,685,210
Eli Lilly and Company ........................ 157,841 15,764,370
Emerson Electric Co. ......................... 59,629 3,600,101
Engelhard Corporation ........................ 17,832 304,258
Enron Corp. .................................. 102,303 6,598,543
Entergy Corporation .......................... 32,134 873,643
Equifax Inc. ................................. 19,766 518,857
Exxon Mobil Corporation++ .................... 486,508 38,190,878
+ FMC Corporation .............................. 4,232 245,456
FPL Group, Inc. .............................. 24,900 1,232,550
+ FedEx Corp. .................................. 40,520 1,539,760
Federal Home Loan Mortgage ...................
Association ............................... 97,128 3,933,684
10 & 11
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (continued)
Master S&P 500 Index Series (continued)
------------------------------------------------------------------------------
Shares
Issue Held Value
==============================================================================
Common Stocks (continued)
Federal National Mortgage Association ........ 140,754 $ 7,345,599
+ Federated Department Stores, Inc. ............ 29,963 1,011,251
Fifth Third Bancorp .......................... 43,244 2,735,183
First Data Corporation ....................... 57,612 2,858,995
First Union Corporation ...................... 137,034 3,400,156
Firstar Corporation .......................... 135,527 2,854,537
FirstEnergy Corp. ............................ 32,268 754,264
FleetBoston Financial Corporation ............ 125,916 4,281,144
Florida Progress Corporation ................. 13,809 647,297
Fluor Corporation ............................ 10,664 337,249
Ford Motor Company ........................... 168,438 7,242,834
Fort James Corporation ....................... 28,752 664,890
Fortune Brands, Inc. ......................... 22,175 511,411
Franklin Resources, Inc. ..................... 34,032 1,033,722
+ Freeport-McMoRan Copper & Gold, Inc. .........
(Class B) .................................... 22,409 207,283
GPU, Inc. .................................... 16,991 459,819
GTE Corporation .............................. 134,529 8,374,430
Gannett Co., Inc. ............................ 37,241 2,227,477
The Gap, Inc. ................................ 118,906 3,715,813
+ Gateway Inc. ................................. 44,972 2,552,161
General Dynamics Corporation ................. 28,097 1,468,068
General Electric Company ..................... 1,382,539 73,274,567
General Mills, Inc. .......................... 40,731 1,557,961
General Motors Corporation ................... 74,764 4,340,985
Genuine Parts Company ........................ 24,765 495,300
Georgia-Pacific Group ........................ 23,879 626,824
The Gillette Company ......................... 145,872 5,096,403
+ Global Crossing Ltd. ......................... 123,216 3,242,121
Golden West Financial Corporation ............ 22,140 903,589
The Goodyear Tire & Rubber Company ........... 21,901 438,020
The Great Atlantic & Pacific Tea
Company, Inc. ............................. 5,345 88,861
Great Lakes Chemical Corporation ............. 7,606 239,589
+ Guidant Corporation .......................... 42,826 2,119,887
H & R Block, Inc. ............................ 13,713 443,958
H.J. Heinz Company ........................... 49,230 2,153,812
HCA--The Healthcare Corporation .............. 77,924 2,366,941
+ HEALTHSOUTH Corporation ...................... 53,863 387,140
Halliburton Company .......................... 62,040 2,927,512
Harcourt General, Inc. ....................... 10,009 544,239
Harley-Davidson, Inc. ........................ 42,470 1,635,095
+ Harrah's Entertainment, Inc. ................. 17,108 358,199
The Hartford Financial Services
Group, Inc. ............................... 30,025 1,679,523
Hasbro, Inc. ................................. 24,106 363,097
Hercules Incorporated ........................ 15,010 211,078
Hershey Foods Corporation .................... 19,207 931,539
Hewlett-Packard Company ...................... 139,753 17,451,656
Hilton Hotels Corporation .................... 51,467 482,503
The Home Depot, Inc. ......................... 323,251 16,142,347
Homestake Mining Company ..................... 36,398 250,236
Honeywell International Inc. ................. 111,538 3,757,436
Household International, Inc. ................ 66,118 2,748,029
+ Humana Inc. .................................. 23,446 114,299
Huntington Bancshares Incorporated ........... 31,018 490,472
IKON Office Solutions, Inc. .................. 5,684 22,025
IMS Health Incorporated ...................... 41,522 747,396
ITT Industries, Inc. ......................... 12,286 373,187
Illinois Tool Works Inc. ..................... 42,093 2,399,301
+ Inco Limited ................................. 25,446 391,232
Ingersoll-Rand Company ....................... 22,665 912,266
Intel Corporation ............................ 467,961 62,560,536
International Business Machines
Corporation ............................... 247,746 27,143,671
International Flavors & Fragrances Inc. ...... 14,399 434,670
International Paper Company .................. 67,500 2,012,329
The Interpublic Group of
Companies, Inc. ........................... 42,157 1,812,751
J.C. Penney Company, Inc. .................... 36,531 673,540
J.P. Morgan & Co., Incorporated .............. 22,733 2,503,472
Jefferson--Pilot Corporation ................. 14,438 814,845
Johnson & Johnson ............................ 194,370 19,801,444
Johnson Controls, Inc. ....................... 11,959 613,646
+ KLA-Tencor Corporation ....................... 25,990 1,522,039
Kansas City Southern Industries, Inc. ........ 15,605 1,383,968
Kaufman and Broad Home Corporation ........... 6,724 133,219
Kellogg Company .............................. 56,683 1,686,319
Kerr-McGee Corporation ....................... 13,157 775,441
KeyCorp. ..................................... 60,755 1,070,807
Kimberly-Clark Corporation ................... 77,636 4,454,366
+ Kmart Corporation ............................ 67,216 457,909
Knight Ridder, Inc. .......................... 10,878 578,574
+ Kohl's Corporation ........................... 45,585 2,535,666
+ The Kroger Co. ............................... 116,667 2,573,966
+ LSI Logic Corporation ........................ 42,900 2,321,962
Leggett & Platt, Incorporated ................ 27,506 453,849
Lehman Brothers Holdings, Inc. ............... 16,922 1,600,187
+ Lexmark International Group, Inc.
(Class A) .................................... 18,098 1,217,090
The Limited, Inc. ............................ 60,069 1,298,992
Lincoln National Corporation ................. 26,845 969,776
Linear Technology Corporation ................ 43,416 2,775,910
Liz Claiborne, Inc. .......................... 7,622 268,675
Lockheed Martin Corporation .................. 55,933 1,387,838
Loews Corporation ............................ 13,812 828,720
Longs Drug Stores Corporation ................ 5,528 120,234
Louisiana-Pacific Corporation ................ 14,587 158,634
Lowe's Companies, Inc. ....................... 53,418 2,193,477
Lucent Technologies Inc. ..................... 455,063 26,962,483
MBIA, Inc. ................................... 13,779 663,976
MBNA Corporation ............................. 112,030 3,038,814
MGIC Investment Corporation .................. 14,841 675,265
Mallinckrodt Inc. ............................ 9,393 408,008
+ Manor Care, Inc. ............................. 14,324 100,268
Marriott International, Inc. (Class A) ....... 33,478 1,207,300
Marsh & McLennan Companies, Inc. ............. 37,672 3,934,369
Masco Corporation ............................ 62,685 1,132,248
Mattel, Inc. ................................. 59,481 784,406
+ Maxim Integrated Products, Inc. .............. 39,402 2,676,873
The May Department Stores Company ............ 46,462 1,115,088
Maytag Corporation ........................... 10,979 404,851
McDermott International, Inc. ................ 8,332 73,426
McDonald's Corporation ....................... 186,728 6,150,353
The McGraw-Hill Companies, Inc. .............. 27,234 1,470,636
McKesson HBOC, Inc. .......................... 39,375 824,414
The Mead Corporation ......................... 14,394 363,449
+ MedImmune, Inc. .............................. 29,132 2,155,768
Medtronic, Inc. .............................. 167,246 8,330,941
Mellon Financial Corporation ................. 68,637 2,500,961
Merck & Co., Inc. ............................ 321,317 24,620,915
+ Mercury Interactive Corporation .............. 11,106 1,074,506
Meredith Corporation ......................... 7,118 240,233
Merrill Lynch & Co., Inc.++ .................. 54,199 6,232,885
+ Micron Technology, Inc. ...................... 77,567 6,830,744
+ Microsoft Corporation++ ...................... 735,386 58,830,880
Millipore Corporation ........................ 6,407 482,928
Minnesota Mining and Manufacturing
Company (3M) .............................. 55,312 4,563,240
Molex Incorporated ........................... 27,451 1,321,079
Morgan Stanley Dean Witter & Co. ............. 158,115 13,163,074
Motorola, Inc. ............................... 300,791 8,741,738
+ NCR Corporation .............................. 13,295 517,674
NICOR, Inc. .................................. 6,530 213,041
Nabisco Group Holdings Corp. ................. 45,616 1,183,165
National City Corporation .................... 84,709 1,445,347
+ National Semiconductor Corporation ........... 24,718 1,402,747
National Service Industries, Inc. ............ 5,688 110,916
+ Navistar International Corporation ........... 8,647 268,597
+ Network Appliance, Inc. ...................... 42,555 3,425,678
New Century Energies, Inc. ................... 16,277 488,310
The New York Times Company (Class A) ......... 23,799 940,061
Newell Rubbermaid Inc. ....................... 37,243 959,007
Newmont Mining Corporation ................... 23,480 507,755
+ Nextel Communications, Inc. (Class A) ........ 105,881 6,478,594
+ Niagara Mohawk Holdings Inc. ................. 24,138 336,423
Nike, Inc. (Class B) ......................... 38,215 1,521,435
Nordstrom, Inc. .............................. 18,809 453,767
Norfolk Southern Corporation ................. 53,514 796,021
Nortel Networks Corporation .................. 413,928 28,250,586
Northern States Power Company ................ 22,000 444,125
Northern Trust Corporation ................... 31,061 2,020,906
Northrop Grumman Corporation ................. 9,766 646,998
+ Novell, Inc. ................................. 46,038 425,852
+ Novellus Systems, Inc. ....................... 18,248 1,032,153
Nucor Corporation ............................ 11,886 394,467
ONEOK, Inc. .................................. 4,081 105,851
Occidental Petroleum Corporation ............. 51,493 1,084,571
+ Office Depot, Inc. ........................... 44,187 276,169
Old Kent Financial Corporation ............... 19,189 513,307
Omnicom Group Inc. ........................... 24,824 2,210,888
+ Oracle Corporation ........................... 396,668 33,344,904
Owens Corning ................................ 7,774 71,910
+ Owens-Illinois, Inc. ......................... 20,523 239,863
PACCAR Inc. .................................. 10,706 424,894
PE Corp-PE Biosystems Group .................. 29,113 1,917,819
PECO Energy Company .......................... 23,752 957,503
PG&E Corporation ............................. 53,854 1,326,155
PNC Bank Corp. ............................... 40,577 1,902,047
PPG Industries, Inc. ......................... 24,396 1,081,048
PPL Corporation .............................. 20,170 442,479
+ Pactiv Corporation ........................... 23,659 186,315
PaineWebber Group Inc. ....................... 20,389 927,700
Pall Corporation ............................. 17,281 319,699
+ Parametric Technology Corporation ............ 38,518 423,698
Parker-Hannifin Corporation .................. 15,659 536,321
Paychex, Inc. ................................ 51,907 2,180,094
Peoples Energy Corporation ................... 4,932 159,674
+ PeopleSoft, Inc. ............................. 38,568 646,014
PepsiCo, Inc. ................................ 201,391 8,949,313
PerkinElmer, Inc. ............................ 6,866 454,014
Pfizer Inc. .................................. 879,654 42,223,380
Pharmacia Corporation ........................ 177,386 9,168,639
Phelps Dodge Corporation ..................... 11,025 409,992
Philip Morris Companies Inc. ................. 319,580 8,488,844
Phillips Petroleum Company ................... 35,481 1,798,443
12 & 13
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
SCHEDULE OF INVESTMENTS (concluded)
Master S&P 500 Index Series (concluded)
------------------------------------------------------------------------------
Shares
Issue Held Value
==============================================================================
Common Stocks (concluded)
Pinnacle West Capital Corporation ............ 11,840 $ 401,080
Pitney Bowes Inc. ............................ 36,028 1,441,120
Placer Dome Inc. ............................. 45,772 437,695
Polaroid Corporation ......................... 6,204 112,060
Potlatch Corporation ......................... 3,985 132,003
Praxair, Inc. ................................ 22,080 826,620
The Procter & Gamble Company ................. 182,794 10,464,956
The Progressive Corporation .................. 10,230 757,020
Providian Financial Corporation .............. 19,942 1,794,780
Public Service Enterprise Group
Incorporated .............................. 30,234 1,046,852
Pulte Corporation ............................ 5,750 124,344
+ QUALCOMM Incorporated ........................ 103,550 6,213,000
The Quaker Oats Company ...................... 18,295 1,374,412
+ Quintiles Transnational Corp. ................ 16,138 227,949
R.R. Donnelley & Sons Company ................ 17,072 385,187
RadioShack Corporation ....................... 26,079 1,235,493
Ralston-Ralston Purina Group ................. 42,868 854,681
Raytheon Company (Class B) ................... 47,491 914,202
+ Reebok International Ltd. .................... 7,929 126,368
Regions Financial Corporation ................ 30,829 612,726
Reliant Energy, Inc. ......................... 41,318 1,221,463
+ Rite Aid Corporation ......................... 36,181 237,438
Rockwell International Corporation ........... 26,277 827,726
Rohm and Haas Company ........................ 30,401 1,048,835
+ Rowan Companies, Inc. ........................ 13,115 398,368
Royal Dutch Petroleum Company
(NY Registered Shares) .................... 299,679 18,448,988
Russell Corporation .......................... 4,582 91,640
Ryder System, Inc. ........................... 8,354 158,204
SAFECO Corporation ........................... 17,869 355,146
SBC Communications Inc. ...................... 475,332 20,558,109
SLM Holding Corporation ...................... 21,928 820,930
SUPERVALU INC. ............................... 18,410 350,941
SYSCO Corporation ............................ 46,556 1,961,172
Sabre Holdings Corporation ................... 18,063 514,796
+ Safeway Inc. ................................. 69,371 3,130,366
+ Sanmina Corporation .......................... 20,678 1,767,969
+ Sapient Corporation .......................... 8,188 875,604
Sara Lee Corporation ......................... 121,489 2,346,256
Schering-Plough Corporation .................. 204,622 10,333,411
Schlumberger Limited ......................... 79,527 5,934,702
Scientific-Atlanta, Inc. ..................... 22,161 1,650,995
+ Seagate Technology, Inc. ..................... 31,749 1,746,195
The Seagram Company Ltd. ..................... 60,999 3,537,942
+ Sealed Air Corporation ....................... 11,723 613,992
Sears, Roebuck & Co. ......................... 49,263 1,607,205
Sempra Energy ................................ 28,580 485,860
The Sherwin-Williams Company ................. 22,932 485,872
+ Siebel Systems, Inc. ......................... 27,904 4,564,048
Sigma-Aldrich Corporation .................... 11,922 348,719
Snap-On Incorporated ......................... 8,180 217,793
+ Solectron Corporation ........................ 83,316 3,488,858
The Southern Company ......................... 90,646 2,113,185
SouthTrust Corporation ....................... 23,563 533,113
Southwest Airlines Co. ....................... 69,353 1,313,372
Springs Industries, Inc. (Class A) ........... 2,521 81,145
Sprint Corp. (FON Group) ..................... 122,503 6,247,653
+ Sprint Corp. (PCS Group) ..................... 127,908 7,610,526
+ St. Jude Medical, Inc. ....................... 11,738 538,481
The St. Paul Companies, Inc. ................. 29,663 1,012,250
The Stanley Works ............................ 12,250 290,938
+ Staples, Inc. ................................ 67,675 1,040,503
+ Starbucks Corporation ........................ 25,608 977,906
State Street Corporation ..................... 22,523 2,388,846
Summit Bancorp. .............................. 24,635 606,637
+ Sun Microsystems, Inc. ....................... 221,672 20,158,298
SunTrust Banks, Inc. ......................... 42,260 1,930,754
Sunoco, Inc. ................................. 12,372 364,201
Synovus Financial Corp. ...................... 39,457 695,430
T. Rowe Price Associates, Inc. ............... 16,910 718,675
The TJX Companies, Inc. ...................... 41,912 785,850
TRW Inc. ..................................... 17,251 748,262
TXU Corp. .................................... 36,850 1,087,075
Target Corporation ........................... 63,716 3,695,528
Tektronix, Inc. .............................. 6,704 496,096
+ Tellabs, Inc. ................................ 57,220 3,915,994
Temple-Inland, Inc. .......................... 7,310 307,020
+ Tenet Healthcare Corporation ................. 43,698 1,179,846
+ Teradyne, Inc. ............................... 24,248 1,782,228
Texaco Inc. .................................. 77,144 4,107,918
Texas Instruments Incorporated ............... 228,630 15,704,023
Textron, Inc. ................................ 20,191 1,096,624
+ Thermo Electron Corporation .................. 21,785 458,847
Thomas & Betts Corporation ................... 8,117 155,238
Tiffany & Co. ................................ 10,182 687,285
Time Warner Inc. ............................. 183,858 13,973,208
The Timken Company ........................... 8,518 158,648
Torchmark Corporation ........................ 17,943 442,968
Tosco Corporation ............................ 20,205 572,054
+ Toys `R' Us, Inc. ............................ 30,212 439,962
Transocean Sedco Forex Inc. .................. 29,411 1,571,650
Tribune Company .............................. 43,150 1,510,250
+ Tricon Global Restaurants, Inc. .............. 20,602 582,007
Tupperware Corporation ....................... 8,096 178,112
Tyco International Ltd. ...................... 235,893 11,175,431
U S WEST, Inc. ............................... 70,948 6,083,791
+ US Airways Group, Inc. ....................... 9,342 364,338
U.S. Bancorp ................................. 105,059 2,022,386
UST Inc. ..................................... 22,717 333,656
USX-Marathon Group ........................... 43,527 1,090,895
USX-U.S. Steel Group ......................... 12,379 229,785
Unicom Corporation ........................... 24,845 961,191
Unilever NV (NY Registered Shares) ........... 79,869 3,434,367
Union Carbide Corporation .................... 18,862 933,669
Union Pacific Corporation .................... 34,633 1,287,915
Union Pacific Resources Group Inc. ........... 35,220 774,840
Union Planters Corporation ................... 18,949 529,388
+ Unisys Corporation ........................... 43,565 634,415
United Technologies Corporation .............. 65,755 3,871,326
UnitedHealth Group Incorporated .............. 22,746 1,950,470
Unocal Corporation ........................... 33,938 1,124,196
UnumProvident Corporation .................... 33,624 674,582
+ VERITAS Software Corporation ................. 54,640 6,175,174
V. F. Corporation ............................ 15,991 380,786
+ Viacom, Inc. (Class B) ....................... 213,130 14,532,802
+ Visteon Corporation .......................... 20,217 245,127
Vulcan Materials Company ..................... 14,130 603,174
+ W.R. Grace & Co. ............................. 9,434 114,387
W. W. Grainger, Inc. ......................... 13,138 404,815
Wachovia Corporation ......................... 28,328 1,536,794
Wal-Mart Stores, Inc. ........................ 622,780 35,887,698
Walgreen Co. ................................. 140,831 4,532,998
The Walt Disney Company ...................... 290,353 11,269,326
Washington Mutual, Inc. ...................... 76,547 2,210,295
Waste Management, Inc. ....................... 86,801 1,649,219
+ Watson Pharmaceuticals, Inc. ................. 13,468 723,905
+ Wellpoint Health Networks Inc. ............... 8,694 629,772
Wells Fargo Company .......................... 225,140 8,724,175
Wendy's International, Inc. .................. 15,930 283,753
Westvaco Corporation ......................... 14,081 349,385
Weyerhaeuser Company ......................... 32,555 1,399,865
Whirlpool Corporation ........................ 10,215 476,274
Willamette Industries, Inc. .................. 15,504 422,484
The Williams Companies, Inc. ................. 61,739 2,573,745
Winn-Dixie Stores, Inc. ...................... 20,189 288,955
Wm. Wrigley Jr. Company ...................... 15,979 1,281,316
+ WorldCom, Inc. ............................... 400,124 18,355,689
Worthington Industries, Inc. ................. 12,051 126,536
Xerox Corporation ............................ 93,111 1,932,053
+ Xilinx, Inc. ................................. 44,893 3,706,478
+ Yahoo! Inc. .................................. 75,911 9,403,475
Young & Rubicam Inc. ......................... 10,115 578,452
------------------------------------------------------------------------------
Total Common Stocks (Cost--$1,279,639,528)--99.6% 1,752,109,971
==============================================================================
Face
Amount Short-Term Obligations
==============================================================================
Commercial Paper*
$9,193,000 General Motors Acceptance Corp.,
7.13% due 7/03/2000 9,189,359
==============================================================================
Total Short-Term Obligations (Cost--$9,189,359)--0.5% 9,189,359
==============================================================================
Total Investments (Cost--$1,288,828,887)--100.1% 1,761,299,330
Variation Margin on Financial Futures Contracts**--0.0% 105,979
Liabilities in Excess of Other Assets--(0.1%) (1,500,896)
--------------
Net Assets--100.0% $1,759,904,413
==============
==============================================================================
+ Non-income producing security.
++ Portion of securities held as collateral for open financial futures
contracts.
+++ An affiliate of the Series.
* Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the Series.
** Financial futures contracts purchased as of June 30, 2000 were as follows:
--------------------------------------------------------------------------
Number of Expiration
Contracts Issue Date Value
--------------------------------------------------------------------------
23 S&P 500 Stock Index September 2000 $8,441,575
--------------------------------------------------------------------------
Total Financial Futures Contracts
Purchased (Total Contract Price--$8,523,225) $8,441,575
==========
--------------------------------------------------------------------------
See Notes to Financial Statements.
14 $ 15
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
MASTER
S&P 500
INDEX SERIES As of June 30, 2000
==================================================================================================================================
<S> <C> <C> <C>
Assets: Investments, at value (identified cost--$1,288,828,887) ....... $ 1,761,299,330
Cash .......................................................... 1,522,156
Receivables:
Securities sold ............................................ $ 15,798,550
Contributions .............................................. 2,540,627
Dividends .................................................. 1,425,291
Variation margin ........................................... 105,979 19,870,447
---------------
Deferred organization expenses ................................ 2,704
Prepaid expenses .............................................. 41,757
---------------
Total assets .................................................. 1,782,736,394
---------------
==================================================================================================================================
Liabilities: Payables:
Withdrawals ................................................ 12,673,743
Securities purchased ....................................... 9,959,521
Investment adviser ......................................... 6,782 22,640,046
---------------
Accrued expenses and other liabilities ........................ 191,935
---------------
Total liabilities ............................................. 22,831,981
---------------
==================================================================================================================================
Net Assets: Net assets .................................................... $ 1,759,904,413
===============
==================================================================================================================================
Net Assets Partners' capital ............................................. $ 1,287,515,620
Consist of: Unrealized appreciation on investments--net ................... 472,388,793
---------------
Net assets .................................................... $ 1,759,904,413
===============
==================================================================================================================================
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
MASTER
S&P 500
INDEX SERIES For the Six Months Ended June 30, 2000
==================================================================================================================================
<S> <C> <C> <C>
Investment Income: Dividends (net of $53,563 foreign withholding tax) ............ $ 9,631,310
Interest and discount earned .................................. 890,182
Other ......................................................... 37,044
---------------
Total income .................................................. 10,558,536
---------------
==================================================================================================================================
Expenses: Accounting services ........................................... $ 224,701
Custodian fees ................................................ 50,174
Investment advisory fees ...................................... 42,504
Professional fees ............................................. 21,597
Trustees' fees and expenses ................................... 5,069
Pricing fees .................................................. 951
Other ......................................................... 8,663
---------------
Total expenses ................................................ 353,659
---------------
Investment income--net ........................................ 10,204,877
---------------
==================================================================================================================================
Realized & Realized loss from investments--net ........................... (14,313,621)
Unrealized Loss on Change in unrealized appreciation on investments--net ......... (1,141,629)
Investments--Net: ---------------
Net Decrease in Net Assets Resulting from Operations .......... $ (5,250,373)
===============
==================================================================================================================================
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MASTER For the Six For the
S&P 500 Months Ended Year Ended
INDEX SERIES Increase (Decrease) in Net Assets: June 30, 2000 Dec. 31, 1999
==================================================================================================================================
<S> <C> <C> <C>
Operations: Investment income--net ........................................ $ 10,204,877 $ 19,516,040
Realized loss on investments--net ............................. (14,313,621) (12,925,031)
Change in unrealized appreciation on investments--net ......... (1,141,629) 282,264,818
--------------- ---------------
Net increase (decrease) in net assets resulting from operations (5,250,373) 288,855,827
--------------- ---------------
==================================================================================================================================
Net Capital Increase in net assets derived from net capital contributions . 74,819,048 283,259,445
Contributions: --------------- ---------------
==================================================================================================================================
Net Assets: Total increase in net assets .................................. 69,568,675 572,115,272
Beginning of period ........................................... 1,690,335,738 1,118,220,466
--------------- ---------------
End of period ................................................. $ 1,759,904,413 $ 1,690,335,738
=============== ===============
==================================================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
For the Year For the Period
MASTER For the Six Ended Dec. 31, April 3, 1997+
S&P 500 The following ratios have been derived from Months Ended ------------------------- to
INDEX SERIES information provided in the financial statements. June 30, 2000 1999 1998 Dec. 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C>
Ratios to Average Expenses, net of reimbursement ......... .04%* .07% .10% .12%*
Net Assets: =========== =========== =========== =========
Expenses ............................... .04%* .07% .10% .17%*
=========== =========== =========== =========
Investment income--net ................. 1.20%* 1.33% 1.56% 1.99%*
=========== =========== =========== =========
====================================================================================================================================
Supplemental Net assets, end of period (in thousands) $ 1,759,904 $ 1,690,336 $ 1,118,220 $ 602,801
Data: =========== =========== =========== =========
Portfolio turnover ..................... 5.15% 29.91% 25.97% 24.31%
=========== =========== =========== =========
====================================================================================================================================
</TABLE>
* Annualized.
+ Commencement of operations.
See Notes to Financial Statements.
16 & 17
<PAGE>
Merrill Lynch S&P 500 Index Fund, June 30, 2000
NOTES TO FINANCIAL STATEMENTS
MASTER
S&P 500
INDEX SERIES
1. Significant Accounting Policies:
Master S&P 500 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). Other investments,
including futures contracts and related options, are stated at market value.
Short-term securities are valued at amortized cost, which approximates market
value. Securities and assets for which market quotations are not readily
available are valued at fair market value, as determined in good faith by or
under the direction of the Trust's Board of Trustees.
(b) Derivative financial instruments--The Series may engage in various portfolio
investment strategies to increase or decrease the level of risk to which the
Series is exposed more quickly and efficiently than transactions in other types
of instruments. 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 .005% of the average daily value of the Series' net
assets.
Merrill Lynch Trust Company (MLTC), 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, MLTC, and/ or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 2000 were $196,146,609 and $86,938,032, respectively.
Net realized losses for the six months ended June 30, 2000 and net unrealized
gains (losses) as of June 30, 2000 were as follows:
--------------------------------------------------------------------------------
Realized Unrealized
Losses Gains (Losses)
--------------------------------------------------------------------------------
Long-term investments ................ $ (11,058,406) $ 472,470,443
Financial futures contracts .......... (3,255,215) (81,650)
------------- -------------
Total ................................ $ (14,313,621) $ 472,388,793
============= =============
--------------------------------------------------------------------------------
As of June 30, 2000, net unrealized appreciation for Federal income tax purposes
aggregated $472,470,443, of which $592,021,815 related to appreciated securities
and $119,551,372 related to depreciated securities. At June 30, 2000, the
aggregate cost of investments for Federal income tax purposes was
$1,288,828,887.
4. Loaned Securities:
At June 30, 2000, the Series held US Treasury notes having an aggregate value of
approximately $251,000 as collateral for portfolio securities loaned having a
market value of approximately $230,000.
18 & 19
<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 4--6/00
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