N-CSRS 1 dncsrs.txt MASTER INVESTMENT PORTFOLIO SEMI-ANNUAL REPORT ------------------------ UNITED STATES OMB APPROVAL ------------------------ SECURITIES AND EXCHANGE COMMISSION OMB Number: 3235-0570 Washington, D.C. 20549 Expires: Nov. 30, 2005 Estimated average burden hours per response: 5.0 ------------------------ FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-8162 --------------------------------------------- Master Investment Portfolio -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 45 Fremont Street, San Francisco, CA 94105 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) CT Corporation 1209 Orange Street, Wilmington, New Castle County, Delaware 19801 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (415) 597-2000 ---------------------- Date of fiscal year end: 12/31/2003 --------------------------- Date of reporting period: 01/01/2003 - 06/30/2003 --------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. (S) 3507. Item 1. Reports to Stockholders. The annual reports are attached. ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMON STOCKS - 59.25% ADVERTISING - 0.12% ------------------------------------------------------------------------------- Interpublic Group of Companies Inc. 4,553 $ 60,919 Omnicom Group Inc. 2,219 159,102 ------------------------------------------------------------------------------- 220,021 ------------------------------------------------------------------------------- AEROSPACE / DEFENSE - 0.88% ------------------------------------------------------------------------------- Boeing Co. (The) 9,918 340,386 General Dynamics Corp. 2,324 168,490 Goodrich (B.F.) Co. 1,543 32,403 Lockheed Martin Corp. 5,306 252,406 Northrop Grumman Corp. 2,154 185,869 Raytheon Co. 4,832 158,683 Rockwell Collins Inc. 2,077 51,157 United Technologies Corp. 5,521 391,052 ------------------------------------------------------------------------------- 1,580,446 ------------------------------------------------------------------------------- AIRLINES - 0.10% ------------------------------------------------------------------------------- Delta Air Lines Inc. 1,607 23,591 Southwest Airlines Co. 9,168 157,690 ------------------------------------------------------------------------------- 181,281 ------------------------------------------------------------------------------- APPAREL - 0.18% ------------------------------------------------------------------------------- Jones Apparel Group Inc./(1)/ 1,489 43,568 Liz Claiborne Inc. 1,250 44,062 Nike Inc. Class B 3,108 166,247 Reebok International Ltd./(1)/ 772 25,962 VF Corp. 1,257 42,700 ------------------------------------------------------------------------------- 322,539 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.33% ------------------------------------------------------------------------------- Ford Motor Company 21,574 237,098 General Motors Corp. 6,608 237,888 Navistar International Corp./(1)/ 895 29,204 PACCAR Inc. 1,364 92,152 ------------------------------------------------------------------------------- 596,342 ------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT - 0.07% ------------------------------------------------------------------------------- Cooper Tire & Rubber Co. 956 16,816 Dana Corp. 1,954 22,588 Delphi Corp. 6,544 56,475 Goodyear Tire & Rubber Co. (The) 2,277 11,954 Visteon Corp. 1,693 11,631 ------------------------------------------------------------------------------- 119,464 ------------------------------------------------------------------------------- BANKS - 4.43% ------------------------------------------------------------------------------- AmSouth Bancorp 4,119 89,959 Bank of America Corp. 17,699 1,398,752 Bank of New York Co. Inc. (The) 9,090 261,337 Bank One Corp. 13,485 501,372 BB&T Corp. 5,551 190,399 Charter One Financial Inc. 2,638 82,253 Comerica Inc. 2,056 95,604 Fifth Third Bancorp 6,776 388,536 First Tennessee National Corp. 1,478 64,899 FleetBoston Financial Corp. 12,407 368,612 Golden West Financial Corp. 1,796 143,698 Huntington Bancshares Inc. 2,668 52,079 KeyCorp 4,971 125,617 Marshall & Ilsley Corp. 2,657 81,251 Mellon Financial Corp. 5,076 140,859 National City Corp. 7,209 235,806 North Fork Bancorp Inc. 1,832 62,398 Northern Trust Corp. 2,589 108,194 PNC Financial Services Group 3,329 162,488 Regions Financial Corp. 2,606 88,031 SouthTrust Corp. 3,996 108,691 State Street Corp. 3,912 154,133 SunTrust Banks Inc. 3,299 195,763 Synovus Financial Corp. 3,557 76,475 U.S. Bancorp 22,664 555,268 Union Planters Corp. 2,325 72,145 Wachovia Corp. 15,884 634,725 Washington Mutual Inc. 10,982 453,557 Wells Fargo & Company 19,787 997,265 Zions Bancorporation 1,052 53,242 ------------------------------------------------------------------------------- 7,943,408 ------------------------------------------------------------------------------- BEVERAGES - 1.67% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 9,849 502,791 Brown-Forman Corp. Class B 704 55,348 Coca-Cola Co. (The) 29,102 1,350,624 Coca-Cola Enterprises Inc. 5,308 96,340 Coors (Adolf) Company Class B 474 23,217 Pepsi Bottling Group Inc. 3,207 64,204 PepsiCo Inc. 20,293 903,038 ------------------------------------------------------------------------------- 2,995,562 ------------------------------------------------------------------------------- BIOTECHNOLOGY - 0.70% ------------------------------------------------------------------------------- Amgen Inc./(1)/ 14,878 988,494 Biogen Inc./(1)/ 1,738 66,044 Chiron Corp./(1)/ 2,188 95,659 Genzyme Corp. - General Division/(1)/ 2,535 105,963 ------------------------------------------------------------------------------- 1,256,160 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.13% ------------------------------------------------------------------------------- American Standard Companies Inc./(1)/ 840 62,101 Masco Corp. 5,605 133,679 Vulcan Materials Co. 1,182 43,817 ------------------------------------------------------------------------------- 239,597 ------------------------------------------------------------------------------- CHEMICALS - 0.85% ------------------------------------------------------------------------------- Air Products & Chemicals Inc. 2,670 111,072 15 ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- CHEMICALS (Continued) ------------------------------------------------------------------------------- Ashland Inc. 895 $ 27,459 Dow Chemical Co. (The) 10,800 334,368 Du Pont (E.I.) de Nemours and Co. 11,757 489,561 Eastman Chemical Co. 1,016 32,177 Engelhard Corp. 1,648 40,821 Great Lakes Chemical Corp. 652 13,301 Hercules Inc./(1)/ 1,427 14,127 Monsanto Co. 3,059 66,197 PPG Industries Inc. 1,993 101,125 Praxair Inc. 1,909 114,731 Rohm & Haas Co. 2,603 80,771 Sherwin-Williams Co. (The) 1,710 45,965 Sigma-Aldrich Corp. 825 44,698 ------------------------------------------------------------------------------- 1,516,373 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 0.66% ------------------------------------------------------------------------------- Apollo Group Inc. Class A/(1)/ 2,060 127,226 Block (H & R) Inc. 2,101 90,868 Cendant Corp./(1)/ 12,001 219,858 Concord EFS Inc./(1)/ 5,706 83,992 Convergys Corp./(1)/ 1,945 31,120 Deluxe Corp. 725 32,480 Donnelley (R.R.) & Sons Co. 1,486 38,844 Ecolab Inc. 3,080 78,848 Equifax Inc. 1,640 42,640 McKesson Corp. 3,403 121,623 Monster Worldwide Inc./(1)/ 1,468 28,964 Moody's Corp. 1,740 91,715 Paychex Inc. 4,427 129,755 Quintiles Transnational Corp./(1)/ 1,539 21,838 Robert Half International Inc./(1)/ 2,231 42,255 ------------------------------------------------------------------------------- 1,182,026 ------------------------------------------------------------------------------- COMPUTERS - 3.36% ------------------------------------------------------------------------------- Apple Computer Inc./(1)/ 4,286 81,948 Cisco Systems Inc./(1)/ 82,924 1,384,002 Computer Sciences Corp./(1)/ 2,196 83,712 Dell Computer Corp./(1)/ 30,336 969,539 Electronic Data Systems Corp. 5,623 120,613 EMC Corp./(1)/ 25,784 269,958 Gateway Inc./(1)/ 4,270 15,585 Hewlett-Packard Co. 36,049 767,844 International Business Machines Corp. 20,417 1,684,402 Lexmark International Inc./(1)/ 1,498 106,013 NCR Corp./(1)/ 1,252 32,076 Network Appliance Inc./(1)/ 3,970 64,354 Sun Microsystems Inc./(1)/ 38,033 174,952 SunGard Data Systems Inc./(1)/ 3,335 86,410 Unisys Corp./(1)/ 3,816 46,860 Veritas Software Corp./(1)/ 4,879 139,881 ------------------------------------------------------------------------------- 6,028,149 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 1.49% ------------------------------------------------------------------------------- Alberto-Culver Co. Class B 765 39,091 Avon Products Inc. 2,765 171,983 Colgate-Palmolive Co. 6,348 367,867 Gillette Co. (The) 12,049 383,881 International Flavors & Fragrances Inc. 1,224 39,082 Kimberly-Clark Corp. 6,000 312,840 Procter & Gamble Co. 15,296 1,364,097 ------------------------------------------------------------------------------- 2,678,841 ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.17% ------------------------------------------------------------------------------- Costco Wholesale Corp./(1)/ 5,373 196,652 Genuine Parts Co. 2,034 65,108 Grainger (W.W.) Inc. 1,069 49,986 ------------------------------------------------------------------------------- 311,746 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 5.56% ------------------------------------------------------------------------------- American Express Co. 15,314 640,278 American International Group Inc. 30,820 1,700,648 Bear Stearns Companies Inc. (The) 1,162 84,152 Capital One Financial Corp. 2,663 130,966 Citigroup Inc. 60,836 2,603,781 Countrywide Financial Corp. 1,534 106,720 Fannie Mae 11,572 780,416 Federated Investors Inc. Class B 1,423 39,019 Franklin Resources Inc. 2,979 116,390 Freddie Mac 8,111 411,795 Goldman Sachs Group Inc. (The) 5,543 464,226 Janus Capital Group Inc. 2,787 45,707 JP Morgan Chase & Co. 23,990 819,978 Lehman Brothers Holdings Inc. 2,857 189,933 MBNA Corp. 15,070 314,059 Merrill Lynch & Co. Inc. 10,982 512,640 Morgan Stanley 12,836 548,739 Providian Financial Corp./(1)/ 3,803 35,216 Schwab (Charles) Corp. (The) 15,899 160,421 SLM Corp. 5,328 208,698 T. Rowe Price Group Inc. 1,425 53,794 ------------------------------------------------------------------------------- 9,967,576 ------------------------------------------------------------------------------- ELECTRIC - 1.58% ------------------------------------------------------------------------------- AES Corp. (The)/(1)/ 7,138 45,326 Allegheny Energy Inc. 1,632 13,790 Ameren Corp. 1,890 83,349 American Electric Power Co. Inc. 4,646 138,590 Calpine Corp./(1)/ 4,968 32,789 CenterPoint Energy Inc. 4,008 32,665 Cinergy Corp. 2,063 75,898 CMS Energy Corp. 1,871 15,155 Consolidated Edison Inc. 2,624 113,567 Constellation Energy Group Inc. 1,934 66,336 Dominion Resources Inc. 3,663 235,421 DTE Energy Co. 1,968 76,044 16 ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- ELECTRIC (Continued) ------------------------------------------------------------------------------- Duke Energy Corp. 10,618 $ 211,829 Edison International/(1)/ 3,809 62,582 Entergy Corp. 2,656 140,184 Exelon Corp. 3,821 228,534 FirstEnergy Corp. 3,500 134,575 FPL Group Inc. 2,156 144,129 Mirant Corp./(1)/ 5,326 15,445 NiSource Inc. 3,068 58,292 PG&E Corp./(1)/ 4,805 101,626 Pinnacle West Capital Corp. 1,061 39,734 PPL Corp. 1,977 85,011 Progress Energy Inc. 2,831 124,281 Public Service Enterprise Group Inc. 2,654 112,131 Southern Company 8,509 265,140 TECO Energy Inc. 2,317 27,781 TXU Corp. 3,779 84,839 Xcel Energy Inc. 4,668 70,207 ------------------------------------------------------------------------------- 2,835,250 ------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.06% ------------------------------------------------------------------------------- American Power Conversion Corp./(1)/ 2,564 39,973 Molex Inc. 2,234 60,296 Power-One Inc./(1)/ 1,067 7,629 ------------------------------------------------------------------------------- 107,898 ------------------------------------------------------------------------------- ELECTRONICS - 0.36% ------------------------------------------------------------------------------- Agilent Technologies Inc./(1)/ 5,536 108,229 Applera Corp. - Applied Biosystems Group 2,435 46,338 Jabil Circuit Inc./(1)/ 2,318 51,228 Johnson Controls Inc. 1,046 89,538 Millipore Corp./(1)/ 632 28,042 Parker Hannifin Corp. 1,380 57,946 PerkinElmer Inc. 1,641 22,662 Sanmina-SCI Corp./(1)/ 6,689 42,208 Solectron Corp./(1)/ 10,825 40,485 Symbol Technologies Inc. 3,023 39,329 Tektronix Inc./(1)/ 1,105 23,868 Thermo Electron Corp./(1)/ 1,880 39,518 Thomas & Betts Corp./(1)/ 758 10,953 Waters Corp./(1)/ 1,445 42,093 ------------------------------------------------------------------------------- 642,437 ------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION - 0.02% ------------------------------------------------------------------------------- Fluor Corp. 1,063 35,759 ------------------------------------------------------------------------------- 35,759 ------------------------------------------------------------------------------- ENTERTAINMENT - 0.06% ------------------------------------------------------------------------------- International Game Technology Inc./(1)/ 1,003 102,637 ------------------------------------------------------------------------------- 102,637 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.11% ------------------------------------------------------------------------------- Allied Waste Industries Inc./(1)/ 2,745 27,587 Waste Management Inc. 6,962 167,715 ------------------------------------------------------------------------------- 195,302 ------------------------------------------------------------------------------- FOOD - 1.10% ------------------------------------------------------------------------------- Albertson's Inc. 4,301 82,579 Archer-Daniels-Midland Co. 7,564 97,349 Campbell Soup Co. 4,825 118,212 ConAgra Foods Inc. 6,319 149,128 General Mills Inc. 4,354 206,423 Heinz (H.J.) Co. 4,133 136,306 Hershey Foods Corp. 1,541 107,346 Kellogg Co. 4,786 164,495 Kroger Co./(1)/ 8,878 148,085 McCormick & Co. Inc. 1,619 44,037 Safeway Inc.(1) 5,184 106,065 Sara Lee Corp. 9,150 172,111 SUPERVALU Inc. 1,754 37,395 Sysco Corp. 7,656 229,986 Winn-Dixie Stores Inc. 1,833 22,564 Wrigley (William Jr.) Co. 2,648 148,897 ------------------------------------------------------------------------------- 1,970,978 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.32% ------------------------------------------------------------------------------- Boise Cascade Corp. 758 18,116 Georgia-Pacific Corp. 2,924 55,410 International Paper Co. 5,643 201,624 Louisiana-Pacific Corp./(1)/ 1,379 14,948 MeadWestvaco Corp. 2,341 57,823 Plum Creek Timber Co. Inc. 2,137 55,455 Temple-Inland Inc. 709 30,423 Weyerhaeuser Co. 2,576 139,104 ------------------------------------------------------------------------------- 572,903 ------------------------------------------------------------------------------- GAS - 0.10% ------------------------------------------------------------------------------- KeySpan Corp. 1,840 65,228 Nicor Inc. 579 21,487 Peoples Energy Corp. 469 20,115 Sempra Energy 2,429 69,299 ------------------------------------------------------------------------------- 176,129 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.19% ------------------------------------------------------------------------------- Black & Decker Corp. 901 39,148 Emerson Electric Co. 4,963 253,609 Snap-On Inc. 758 22,005 Stanley Works (The) 1,121 30,940 ------------------------------------------------------------------------------- 345,702 ------------------------------------------------------------------------------- HEALTH CARE - 2.78% ------------------------------------------------------------------------------- Aetna Inc. 1,784 107,397 Anthem Inc./(1)/ 1,626 125,446 Bard (C.R.) Inc. 606 43,214 17 ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE (Continued) ------------------------------------------------------------------------------- Bausch & Lomb Inc. 693 $ 25,987 Baxter International Inc. 7,036 182,936 Becton, Dickinson & Co. 2,993 116,278 Biomet Inc. 3,027 86,754 Boston Scientific Corp./(1)/ 4,837 295,541 Guidant Corp. 3,640 161,580 HCA Inc. 6,026 193,073 Health Management Associates Inc. Class A 2,785 51,383 Humana Inc./(1)/ 2,106 31,801 Johnson & Johnson 35,079 1,813,584 Manor Care Inc./(1)/ 1,173 29,337 Medtronic Inc. 14,401 690,816 Quest Diagnostics Inc./(1)/ 1,234 78,729 St. Jude Medical Inc./(1)/ 2,115 121,612 Stryker Corp. 2,337 162,118 Tenet Healthcare Corp./(1)/ 5,457 63,574 UnitedHealth Group Inc. 6,991 351,298 WellPoint Health Networks Inc./(1)/ 1,712 144,322 Zimmer Holdings Inc./(1)/ 2,307 103,930 ------------------------------------------------------------------------------- 4,980,710 ------------------------------------------------------------------------------- HOME BUILDERS - 0.08% ------------------------------------------------------------------------------- Centex Corp. 727 56,553 KB Home 623 38,614 Pulte Homes Inc. 711 43,840 ------------------------------------------------------------------------------- 139,007 ------------------------------------------------------------------------------- HOME FURNISHINGS - 0.07% ------------------------------------------------------------------------------- Leggett & Platt Inc. 2,247 46,064 Maytag Corp. 1,029 25,128 Whirlpool Corp. 800 50,960 ------------------------------------------------------------------------------- 122,152 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.21% ------------------------------------------------------------------------------- American Greetings Corp. Class A/(1)/ 856 16,812 Avery Dennison Corp. 1,291 64,808 Clorox Co. 2,546 108,587 Fortune Brands Inc. 1,705 89,001 Newell Rubbermaid Inc. 3,217 90,076 Tupperware Corp. 756 10,856 ------------------------------------------------------------------------------- 380,140 ------------------------------------------------------------------------------- INSURANCE - 1.88% ------------------------------------------------------------------------------- ACE Ltd. 3,110 106,642 AFLAC Inc. 6,046 185,915 Allstate Corp. (The) 8,302 295,966 Ambac Financial Group Inc. 1,246 82,548 AON Corp. 3,662 88,181 Chubb Corp. 2,177 130,620 CIGNA Corp. 1,643 77,122 Cincinnati Financial Corp. 1,882 69,803 Hancock (John) Financial Services Inc. 3,394 104,298 Hartford Financial Services Group Inc. 3,294 165,886 Jefferson-Pilot Corp. 1,663 68,948 Lincoln National Corp. 2,079 74,075 Loews Corp. 2,178 102,998 Marsh & McLennan Companies Inc. 6,316 322,558 MBIA Inc. 1,687 82,241 MetLife Inc. 8,961 253,776 MGIC Investment Corp. 1,152 53,729 Principal Financial Group Inc. 3,848 124,098 Progressive Corp. (The) 2,564 187,428 Prudential Financial Inc. 6,477 217,951 SAFECO Corp. 1,616 57,012 St. Paul Companies Inc. 2,672 97,555 Torchmark Corp. 1,354 50,437 Travelers Property Casualty Corp. Class B 11,857 186,985 UNUMProvident Corp. 3,350 44,924 XL Capital Ltd. Class A 1,607 133,381 ------------------------------------------------------------------------------- 3,365,077 ------------------------------------------------------------------------------- IRON / STEEL - 0.04% ------------------------------------------------------------------------------- Allegheny Technologies Inc. 1,076 7,102 Nucor Corp. 910 44,454 United States Steel Corp. 1,343 21,985 ------------------------------------------------------------------------------- 73,541 ------------------------------------------------------------------------------- LEISURE TIME - 0.25% ------------------------------------------------------------------------------- Brunswick Corp. 1,177 29,449 Carnival Corp. 7,409 240,867 Harley-Davidson Inc. 3,557 141,782 Sabre Holdings Corp. 1,667 41,092 ------------------------------------------------------------------------------- 453,190 ------------------------------------------------------------------------------- LODGING - 0.16% ------------------------------------------------------------------------------- Harrah's Entertainment Inc./(1)/ 1,280 51,507 Hilton Hotels Corp. 4,400 56,276 Marriott International Inc. Class A 2,723 104,618 Starwood Hotels & Resorts Worldwide Inc. 2,348 67,129 ------------------------------------------------------------------------------- 279,530 ------------------------------------------------------------------------------- MACHINERY - 0.33% ------------------------------------------------------------------------------- Caterpillar Inc. 4,060 225,980 Cummins Inc. 540 19,381 Deere & Co. 2,815 128,646 Dover Corp. 2,372 71,065 Ingersoll-Rand Co. Class A 1,988 94,072 McDermott International Inc./(1)/ 843 5,336 Rockwell Automation Inc. 2,162 51,542 ------------------------------------------------------------------------------- 596,022 ------------------------------------------------------------------------------- 18 ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- MANUFACTURERS - 3.04% ------------------------------------------------------------------------------- Cooper Industries Ltd. 1,086 $ 44,852 Crane Co. 780 17,651 Danaher Corp. 1,797 122,286 Eastman Kodak Co. 3,362 91,951 Eaton Corp. 873 68,627 General Electric Co. 118,113 3,387,481 Honeywell International Inc. 10,116 271,615 Illinois Tool Works Inc. 3,625 238,706 ITT Industries Inc. 1,075 70,370 Pall Corp. 1,605 36,113 Textron Inc. 1,579 61,613 3M Co. 4,615 595,241 Tyco International Ltd. 23,568 447,321 ------------------------------------------------------------------------------- 5,453,827 ------------------------------------------------------------------------------- MEDIA - 2.34% ------------------------------------------------------------------------------- AOL Time Warner Inc./(1)/ 53,114 854,604 Clear Channel Communications Inc./(1)/ 7,243 307,031 Comcast Corp. Class A/(1)/ 26,560 801,581 Dow Jones & Co. Inc. 946 40,706 Gannett Co. Inc. 3,166 243,180 Knight Ridder Inc. 956 65,897 McGraw-Hill Companies Inc. (The) 2,243 139,066 Meredith Corp. 653 28,732 New York Times Co. Class A 1,767 80,399 Tribune Co. 3,638 175,715 Univision Communications Inc. Class A/(1)/ 2,687 81,685 Viacom Inc. Class B/(1)/ 20,740 905,508 Walt Disney Co. (The) 24,116 476,291 ------------------------------------------------------------------------------- 4,200,395 ------------------------------------------------------------------------------- METAL FABRICATE / HARDWARE - 0.01% ------------------------------------------------------------------------------- Worthington Industries Inc. 1,116 14,954 ------------------------------------------------------------------------------- 14,954 ------------------------------------------------------------------------------- MINING - 0.28% ------------------------------------------------------------------------------- Alcoa Inc. 9,964 254,082 Freeport-McMoRan Copper & Gold Inc. 1,691 41,430 Newmont Mining Corp. 4,733 153,633 Phelps Dodge Corp./(1)/ 1,162 44,551 ------------------------------------------------------------------------------- 493,696 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.11% ------------------------------------------------------------------------------- Pitney Bowes Inc. 2,750 105,628 Xerox Corp./(1)/ 9,174 97,153 ------------------------------------------------------------------------------- 202,781 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 3.10% ------------------------------------------------------------------------------- Amerada Hess Corp. 1,049 51,590 Anadarko Petroleum Corp. 2,934 130,475 Apache Corp. 1,900 123,614 Burlington Resources Inc. 2,361 127,659 ChevronTexaco Corp. 12,619 911,092 ConocoPhillips 8,010 438,948 Devon Energy Corp. 2,715 144,981 EOG Resources Inc. 1,338 55,982 Exxon Mobil Corp. 78,934 2,834,520 Kerr-McGee Corp. 1,177 52,730 Kinder Morgan Inc. 1,430 78,150 Marathon Oil Corp. 3,637 95,835 Nabors Industries Ltd./(1)/ 1,705 67,433 Noble Corp./(1)/ 1,559 53,474 Occidental Petroleum Corp. 4,463 149,734 Rowan Companies Inc./(1)/ 1,229 27,530 Sunoco Inc. 1,000 37,740 Transocean Inc./(1)/ 3,749 82,366 Unocal Corp. 3,027 86,845 ------------------------------------------------------------------------------- 5,550,698 ------------------------------------------------------------------------------- OIL & GAS SERVICES - 0.36% ------------------------------------------------------------------------------- Baker Hughes Inc. 3,959 132,904 BJ Services Co./(1)/ 1,850 69,116 Halliburton Co. 5,138 118,174 Schlumberger Ltd. 6,868 326,711 ------------------------------------------------------------------------------- 646,905 ------------------------------------------------------------------------------- PACKAGING & CONTAINERS - 0.09% ------------------------------------------------------------------------------- Ball Corp. 744 33,859 Bemis Co. 696 32,573 Pactiv Corp./(1)/ 2,092 41,233 Sealed Air Corp./(1)/ 983 46,850 ------------------------------------------------------------------------------- 154,515 ------------------------------------------------------------------------------- PHARMACEUTICALS - 5.10% ------------------------------------------------------------------------------- Abbott Laboratories 18,436 806,759 Allergan Inc. 1,531 118,040 AmerisourceBergen Corp. 1,295 89,808 Bristol-Myers Squibb Co. 22,887 621,382 Cardinal Health Inc. 5,267 338,668 Forest Laboratories Inc./(1)/ 4,279 234,275 King Pharmaceuticals Inc./(1)/ 2,800 41,328 Lilly (Eli) & Co. 13,271 915,301 MedImmune Inc./(1)/ 2,961 107,692 Merck & Co. Inc. 26,494 1,604,212 Pfizer Inc. 93,163 3,181,516 Schering-Plough Corp. 17,327 322,282 Watson Pharmaceuticals Inc./(1)/ 1,249 50,422 Wyeth 15,682 714,315 ------------------------------------------------------------------------------- 9,146,000 ------------------------------------------------------------------------------- PIPELINES - 0.07% ------------------------------------------------------------------------------- Dynegy Inc. Class A 4,902 20,588 19 ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PIPELINES (Continued) ------------------------------------------------------------------------------- El Paso Corp. 6,999 $ 56,552 Williams Companies Inc. 6,033 47,661 ------------------------------------------------------------------------------- 124,801 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.19% ------------------------------------------------------------------------------- Apartment Investment & Management Co. Class A 1,224 42,350 Equity Office Properties Trust 4,734 127,865 Equity Residential 3,195 82,910 Simon Property Group Inc. 2,217 86,530 ------------------------------------------------------------------------------- 339,655 ------------------------------------------------------------------------------- RETAIL - 4.41% ------------------------------------------------------------------------------- AutoNation Inc./(1)/ 3,282 51,593 AutoZone Inc./(1)/ 1,049 79,693 Bed Bath & Beyond Inc./(1)/ 3,473 134,787 Best Buy Co. Inc./(1)/ 3,793 166,589 Big Lots Inc./(1)/ 1,535 23,086 Circuit City Stores Inc. 2,695 23,716 CVS Corp. 4,633 129,863 Darden Restaurants Inc. 2,207 41,889 Dillards Inc. Class A 1,100 14,817 Dollar General Corp. 3,906 71,324 eBay Inc./(1)/ 3,746 390,258 Family Dollar Stores Inc. 2,015 76,872 Federated Department Stores Inc. 2,196 80,923 Gap Inc. (The) 10,491 196,811 Home Depot Inc. 27,137 898,777 Kohls Corp./(1)/ 3,992 205,109 Limited Brands Inc. 6,126 94,953 Lowe's Companies Inc. 9,202 395,226 May Department Stores Co. (The) 3,380 75,239 McDonald's Corp. 15,009 331,099 Nordstrom Inc. 1,783 34,804 Office Depot Inc./(1)/ 3,604 52,294 Penney (J.C.) Co. Inc. (Holding Co.) 3,140 52,909 RadioShack Corp. 1,964 51,673 Sears, Roebuck and Co. 3,610 121,440 Staples Inc./(1)/ 5,719 104,944 Starbucks Corp./(1)/ 4,588 112,498 Target Corp. 10,747 406,666 Tiffany & Co. 1,695 55,393 TJX Companies Inc. 5,998 113,002 Toys R Us Inc./(1)/ 2,795 33,875 Walgreen Co. 12,092 363,969 Wal-Mart Stores Inc. 51,748 2,777,315 Wendy's International Inc. 1,488 43,107 Yum! Brands Inc./(1)/ 3,434 101,509 ------------------------------------------------------------------------------- 7,908,022 ------------------------------------------------------------------------------- SEMICONDUCTORS - 1.94% ------------------------------------------------------------------------------- Advanced Micro Devices Inc./(1)/ 4,539 29,095 Altera Corp./(1)/ 4,484 73,538 Analog Devices Inc./(1)/ 4,298 149,656 Applied Materials Inc./(1)/ 19,548 310,031 Applied Micro Circuits Corp./(1)/ 3,996 24,176 Broadcom Corp. Class A/(1)/ 3,284 81,804 Intel Corp. 77,201 1,604,546 KLA-Tencor Corp./(1)/ 2,235 103,905 Linear Technology Corp. 3,679 118,501 LSI Logic Corp./(1)/ 4,923 34,855 Maxim Integrated Products Inc. 3,818 130,537 Micron Technology Inc./(1)/ 7,137 83,003 National Semiconductor Corp./(1)/ 2,123 41,866 Novellus Systems Inc./(1)/ 1,753 64,197 NVIDIA Corp./(1)/ 1,850 42,569 PMC-Sierra Inc./(1)/ 2,202 25,829 QLogic Corp./(1)/ 1,095 52,921 Teradyne Inc./(1)/ 2,423 41,942 Texas Instruments Inc. 20,403 359,093 Xilinx Inc./(1)/ 3,962 100,278 ------------------------------------------------------------------------------- 3,472,342 ------------------------------------------------------------------------------- SOFTWARE - 3.26% ------------------------------------------------------------------------------- Adobe Systems Inc. 2,719 87,198 Autodesk Inc. 1,456 23,529 Automatic Data Processing Inc. 7,049 238,679 BMC Software Inc./(1)/ 2,717 44,369 Citrix Systems Inc./(1)/ 1,920 39,091 Computer Associates International Inc. 6,803 151,571 Compuware Corp./(1)/ 4,963 28,637 Electronic Arts Inc./(1)/ 1,712 126,671 First Data Corp. 8,825 365,708 Fiserv Inc./(1)/ 2,265 80,657 IMS Health Inc. 2,835 51,002 Intuit Inc./(1)/ 2,410 107,317 Mercury Interactive Corp./(1)/ 1,117 43,127 Microsoft Corp. 126,879 3,249,371 Novell Inc./(1)/ 4,785 14,738 Oracle Corp./(1)/ 61,919 744,266 Parametric Technology Corp./(1)/ 3,492 10,651 PeopleSoft Inc./(1)/ 3,704 65,153 Siebel Systems Inc./(1)/ 5,718 54,550 Symantec Corp./(1)/ 1,731 75,922 Yahoo! Inc./(1)/ 7,110 232,924 ------------------------------------------------------------------------------- 5,835,131 ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.54% ------------------------------------------------------------------------------- ADC Telecommunications Inc./(1)/ 10,535 24,525 Andrew Corp./(1)/ 1,298 11,942 Avaya Inc./(1)/ 4,970 32,106 CIENA Corp./(1)/ 6,184 32,095 Comverse Technology Inc./(1)/ 2,469 37,109 JDS Uniphase Corp./(1)/ 16,711 58,656 Lucent Technologies Inc./(1)/ 48,565 98,587 Motorola Inc. 27,301 257,448 20 ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT (Continued) ------------------------------------------------------------------------------- QUALCOMM Inc. 9,312 $ 332,904 Scientific-Atlanta Inc. 1,733 41,315 Tellabs Inc./(1)/ 5,408 35,531 ------------------------------------------------------------------------------- 962,218 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 1.16% ------------------------------------------------------------------------------- AT&T Wireless Services Inc./(1)/ 31,973 262,498 Citizens Communications Co./(1)/ 3,298 42,511 Corning Inc./(1)/ 14,872 109,904 Nextel Communications Inc. Class A/(1)/ 12,115 219,039 Qwest Communications International Inc./(1)/ 19,900 95,122 Sprint Corp. (PCS Group)/(1)/ 11,981 68,891 Verizon Communications Inc. 32,492 1,281,809 ------------------------------------------------------------------------------- 2,079,774 ------------------------------------------------------------------------------- TELEPHONE - 1.20% ------------------------------------------------------------------------------- Alltel Corp. 3,665 176,726 AT&T Corp. 9,259 178,236 BellSouth Corp. 21,805 580,667 CenturyTel Inc. 1,672 58,269 SBC Communications Inc. 39,246 1,002,735 Sprint Corp. (FON Group) 10,582 152,381 ------------------------------------------------------------------------------- 2,149,014 ------------------------------------------------------------------------------- TEXTILES - 0.04% ------------------------------------------------------------------------------- Cintas Corp. 1,996 70,738 ------------------------------------------------------------------------------- 70,738 ------------------------------------------------------------------------------- TOBACCO - 0.67% ------------------------------------------------------------------------------- Altria Group Inc. 23,919 1,086,879 R.J. Reynolds Tobacco Holdings Inc. 1,106 41,154 UST Inc. 1,957 68,554 ------------------------------------------------------------------------------- 1,196,587 ------------------------------------------------------------------------------- TOYS / GAMES / HOBBIES - 0.08% ------------------------------------------------------------------------------- Hasbro Inc. 2,259 39,510 Mattel Inc. 5,162 97,665 ------------------------------------------------------------------------------- 137,175 ------------------------------------------------------------------------------- TRANSPORTATION - 0.85% ------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 4,381 124,596 CSX Corp. 2,503 75,315 FedEx Corp. 3,516 218,097 Norfolk Southern Corp. 4,572 87,782 Union Pacific Corp. 2,992 173,596 United Parcel Service Inc. Class B 13,290 846,573 ------------------------------------------------------------------------------- 1,525,959 ------------------------------------------------------------------------------- SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- TRUCKING & LEASING - 0.01% ------------------------------------------------------------------------------- Ryder System Inc. 817 $ 20,932 ------------------------------------------------------------------------------- 20,932 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $93,745,007) 106,200,014 ------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 37.42% ------------------------------------------------------------------------------- U.S. Treasury Bonds 5.25%, 11/15/28 $ 2,874,000 3,128,507 5.25%, 02/15/29 1,260,000 1,371,972 5.38%, 02/15/31 3,421,000 3,852,234 5.50%, 08/15/28 1,910,000 2,148,526 6.13%, 11/15/27 5,856,000 7,128,310 6.25%, 08/15/23 5,092,000 6,237,303 6.25%, 05/15/30 8,975,000 11,173,175 6.38%, 08/15/27 7,885,000 9,877,500 6.50%, 11/15/26 2,760,000 3,501,427 6.63%, 02/15/27 4,600,000 5,920,163 6.75%, 08/15/26 1,685,000 2,195,700 6.88%, 08/15/25 2,871,000 3,782,766 7.50%, 11/15/24 4,450,000 6,247,382 7.63%, 02/15/25 350,000 497,643 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $63,323,799) 67,062,608 ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 13.22% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(2)/ 14,819,494 14,819,494 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(2)/ 3,202,733 3,202,733 BlackRock Temp Cash Money Market Fund/(2)/ 161,511 161,511 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(2)/ 839,820 839,820 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(2)/ 355,859 355,859 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(2)/ $ 213,516 213,516 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(2)/ 177,903 177,903 1.17%, 08/15/03/(2)/ 266,909 266,909 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(2)/ 142,344 142,344 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(2)/ 156,570 156,570 1.31%, 05/24/04/(2)/ 355,824 355,824 21 ASSET ALLOCATION MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(2)/ $ 355,806 $ 355,806 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(2)/ 177,930 177,930 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(2)/ 355,859 355,859 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(2)/ 71,172 71,172 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(2)/ 177,921 177,921 1.22%, 04/13/04/(2)/ 177,921 177,921 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(2)/ 177,894 177,894 1.08%, 03/29/04/(2)/ 177,930 177,930 1.29%, 05/04/04/(2)/ 177,921 177,921 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(2)/ 355,841 355,841 U.S. Treasury Bill 0.85%/(3)/, 09/25/03/(4)/ 400,000 399,180 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(2)/ 177,930 177,930 1.14%, 05/17/04/(2)/ 213,516 213,516 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $23,689,374) 23,689,304 ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.14% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(2)/ 177,930 177,930 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(2)/ 71,172 71,172 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $249,102) 249,102 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 110.03% (Cost $181,007,282) 197,201,028 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (10.03%) (17,979,816) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 179,221,212 =============================================================================== /(1)/ Non-income earning securities. /(2)/ All or a portion of this security represents investments of securities lending collateral. /(3)/ Yield to Maturity. /(4)/ This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio's holdings of index futures contracts. See Note 1. The accompanying notes are an integral part of these financial statements. 22 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES - 29.11% AEROSPACE / DEFENSE - 0.57% ------------------------------------------------------------------------------- Boeing Co. (The) 6.13%, 02/15/33 $ 200,000 $ 208,838 General Dynamics Corp. 2.13%, 05/15/06 200,000 202,690 Goodrich (B.F.) Co. 6.45%, 12/15/07 100,000 108,747 Lockheed Martin Corp. 8.20%, 12/01/09 1,000,000 1,264,616 Northrop Grumman Corp. 7.75%, 02/15/31 250,000 320,690 Raytheon Co. 7.38%, 07/15/25 1,000,000 1,107,964 United Technologies Corp. 6.10%, 05/15/12 150,000 172,933 6.63%, 11/15/04 150,000 160,120 6.70%, 08/01/28 150,000 176,821 ------------------------------------------------------------------------------- 3,723,419 ------------------------------------------------------------------------------- AIRLINES - 0.23% ------------------------------------------------------------------------------- American Airlines Inc. 7.02%, 10/15/09 157,000 149,879 Continental Airlines Inc. 6.65%, 09/15/17 871,481 840,588 Delta Air Lines Inc. 7.57%, 11/18/10 500,000 514,281 ------------------------------------------------------------------------------- 1,504,748 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.36% ------------------------------------------------------------------------------- DaimlerChrysler NA Holding Corp. 7.20%, 09/01/09 500,000 568,342 8.50%, 01/18/31 500,000 597,500 Ford Motor Company 6.63%, 10/01/28 1,125,000 936,115 General Motors Corp. 6.25%, 05/01/05 75,000 78,115 7.20%, 01/15/11 150,000 151,189 ------------------------------------------------------------------------------- 2,331,261 ------------------------------------------------------------------------------- BANKS - 7.14% ------------------------------------------------------------------------------- Abbey National PLC 7.95%, 10/26/29 100,000 133,384 ABN Amro Bank NV 7.13%, 06/18/07 250,000 291,267 Anthem Inc. 6.80%, 08/01/12 250,000 291,864 Banco Santander Central Hispano Issuances 7.63%, 09/14/10 500,000 619,923 Bank of America Corp. 6.25%, 04/01/08 1,000,000 1,141,393 Bank of New York Co. Inc. (The) 5.50%, 12/01/17 250,000 276,936 Bank of Tokyo-Mitsubishi Ltd. 8.40%, 04/15/10 250,000 310,061 Bank One Corp. 3.70%, 01/15/08 500,000 519,899 5.90%, 11/15/11 1,000,000 1,130,108 BankBoston Corp. 6.50%, 12/19/07 500,000 572,026 Bankers Trust Corp. 7.25%, 10/15/11 250,000 295,674 Corp. Andina de Fomento 6.88%, 03/15/12 150,000 170,766 Credit Suisse First Boston 5.75%, 04/15/07 500,000 555,487 6.38%, 12/16/35 1,000,000 1,155,235 6.50%, 01/15/12 500,000 573,778 European Investment Bank 4.00%, 03/15/05 500,000 522,307 4.00%, 08/30/05 500,000 526,194 4.63%, 03/01/07 1,000,000 1,085,777 First Union Capital Corp. 8.04%, 12/01/26 1,000,000 1,161,489 First Union Corp. 6.63%, 07/15/05 500,000 547,736 First Union National Bank 7.74%, 05/17/32 1,493,196 1,703,006 Fleet Credit Card Master Trust II 3.86%, 03/15/07 6,870,000 7,078,989 GE Global Insurance Holdings 7.50%, 06/15/10 150,000 178,173 HSBC Holdings PLC 5.25%, 12/12/12 250,000 266,629 HSBC USA Inc. 7.00%, 11/01/06 250,000 284,839 International Bank for Reconstruction & Development 3.63%, 05/21/13 150,000 151,133 4.13%, 08/12/09 500,000 539,791 6.38%, 07/21/05 1,000,000 1,099,048 7.00%, 01/27/05 1,500,000 1,632,438 John Deere Capital Corp. 7.00%, 03/15/12 500,000 593,599 KeyCorp 6.75%, 03/15/06 1,500,000 1,675,560 KFW International Finance Inc. 2.50%, 10/17/05 500,000 509,773 4.25%, 04/18/05 500,000 524,172 4.75%, 01/24/07 500,000 542,694 8.00%, 02/15/10 250,000 304,690 Korea Development Bank 5.25%, 11/16/06 500,000 535,282 Landwirtschaftliche Rentenbank 3.25%, 06/19/08 400,000 408,732 23 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- BANKS (Continued) ------------------------------------------------------------------------------- LB Commercial Conduit Mortgage Trust 6.78%, 06/15/31 $ 6,000,000 $ 7,023,043 Mellon Funding Corp. 6.38%, 02/15/10 500,000 584,673 National City Bank of Ohio 3.30%, 05/15/08 500,000 508,561 NationsBank Corp. 7.75%, 08/15/15 1,000,000 1,277,764 NiSource Finance Corp. 7.88%, 11/15/10 150,000 177,105 Oesterreichische Kontrollbank AG 5.50%, 01/20/06 500,000 546,901 PNC Funding Corp. 5.75%, 08/01/06 250,000 275,836 Popular North America Inc. 4.25%, 04/01/08 100,000 104,067 Royal Bank of Scotland Group PLC 5.00%, 10/01/14 250,000 262,323 Sanwa Bank Ltd. 7.40%, 06/15/11 250,000 280,317 SLM Corp. 5.13%, 08/27/12 250,000 265,647 Sprint Capital Corp. 8.38%, 03/15/12 500,000 598,658 SunTrust Banks Inc. 5.05%, 07/01/07 500,000 545,987 Swiss Bank Corp. 7.38%, 06/15/17 100,000 127,402 Tyco Capital Corp. 7.63%, 08/16/05 1,045,000 1,150,748 Union Bank of Switzerland 7.25%, 07/15/06 250,000 287,402 US Bank NA Minnesota 6.38%, 08/01/11 1,000,000 1,167,362 Wells Fargo & Company 6.63%, 07/15/04 500,000 526,805 Wells Fargo Bank NA 7.55%, 06/21/10 1,000,000 1,232,726 ------------------------------------------------------------------------------- 46,853,179 ------------------------------------------------------------------------------- BEVERAGES - 0.51% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 6.80%, 01/15/31 500,000 606,312 Bottling Group LLC 4.63%, 11/15/12/(1)/ 100,000 104,520 Brown-Forman Corp. 2.13%, 03/15/06 250,000 250,930 Coca-Cola Enterprises Inc. 5.25%, 05/15/07 500,000 545,553 6.13%, 08/15/11 250,000 286,871 8.50%, 02/01/22 250,000 339,444 Diageo Capital PLC 6.13%, 08/15/05 1,000,000 1,092,776 PepsiAmericas Inc. 3.88%, 09/12/07 100,000 103,435 ------------------------------------------------------------------------------- 3,329,841 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.06% ------------------------------------------------------------------------------- Hanson Australia Funding Ltd. 5.25%, 03/15/13 100,000 102,436 Masco Corp. 5.88%, 07/15/12 250,000 277,632 ------------------------------------------------------------------------------- 380,068 ------------------------------------------------------------------------------- CHEMICALS - 0.27% ------------------------------------------------------------------------------- Chevron Phillips Chemical Co. 5.38%, 06/15/07 500,000 539,327 Dow Chemical Co. (The) 6.00%, 10/01/12 250,000 271,970 8.63%, 04/01/06 500,000 573,865 Du Pont (E.I.) de Nemours 6.75%, 10/15/04 250,000 266,675 Praxair Inc. 3.95%, 06/01/13 150,000 148,058 ------------------------------------------------------------------------------- 1,799,895 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 0.10% ------------------------------------------------------------------------------- Cendant Corp. 6.25%, 03/15/10 250,000 278,022 Hertz Corp. 8.25%, 06/01/05 250,000 263,913 PHH Corp. 7.13%, 03/01/13 100,000 113,488 ------------------------------------------------------------------------------- 655,423 ------------------------------------------------------------------------------- COMPUTER SYSTEMS - 0.02% ------------------------------------------------------------------------------- Computer Sciences Corp. 7.38%, 06/15/11 100,000 121,602 ------------------------------------------------------------------------------- 121,602 ------------------------------------------------------------------------------- COMPUTERS - 0.33% ------------------------------------------------------------------------------- Hewlett-Packard Co. 5.50%, 07/01/07 500,000 552,675 International Business Machines Corp. 4.75%, 11/29/12 500,000 525,533 4.88%, 10/01/06 1,000,000 1,086,753 ------------------------------------------------------------------------------- 2,164,961 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 0.19% ------------------------------------------------------------------------------- Procter & Gamble Co. 6.88%, 09/15/09 1,000,000 1,212,699 ------------------------------------------------------------------------------- 1,212,699 ------------------------------------------------------------------------------- 24 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.04% ------------------------------------------------------------------------------- Costco Wholesale Corp. 5.50%, 03/15/07 $ 250,000 $ 276,006 ------------------------------------------------------------------------------- 276,006 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 7.52% ------------------------------------------------------------------------------- American Express Co. 3.75%, 11/20/07 250,000 260,514 American Express Credit Corp. 3.00%, 05/16/08 250,000 251,723 American General Finance Corp. 5.38%, 10/01/12 250,000 269,752 5.88%, 07/14/06 1,000,000 1,103,423 American International Group Inc. 4.25%, 05/15/13/(1)/ 250,000 249,490 Ameriquest Mortgage Securities Inc. 4.84%, 09/25/25 200,000 207,412 AMVESCAP PLC 5.38%, 02/27/13 100,000 101,637 Associates Corp. NA 6.88%, 11/15/08 410,000 481,861 6.95%, 11/01/18 250,000 306,759 AXA Financial Inc. 7.75%, 08/01/10 250,000 304,540 Bear Stearns Companies Inc. 5.70%, 11/15/14 250,000 277,092 6.63%, 10/01/04 1,000,000 1,065,454 Boeing Capital Corp. 5.65%, 05/15/06 1,500,000 1,621,011 Burlington Resources Finance 7.20%, 08/15/31 250,000 305,469 Capital One Bank 6.88%, 02/01/06 1,000,000 1,073,037 Citigroup Inc. 5.63%, 08/27/12 250,000 275,435 6.00%, 02/21/12 500,000 568,783 6.63%, 06/15/32 250,000 288,887 6.75%, 12/01/05 1,000,000 1,114,949 7.25%, 10/01/10 500,000 605,808 Countrywide Home Loans Inc. 3.50%, 12/19/05 250,000 258,033 5.63%, 05/15/07 500,000 550,688 Ford Credit Auto Owner Trust 3.62%, 01/15/06 967,655 980,862 4.36%, 09/15/36 2,000,000 2,094,542 Ford Motor Credit Co. 6.88%, 02/01/06 850,000 901,510 7.25%, 10/25/11 500,000 514,036 7.50%, 03/15/05 850,000 903,268 7.60%, 08/01/05 300,000 322,106 7.88%, 06/15/10 1,000,000 1,071,608 FPL Group Capital Inc. 7.38%, 06/01/09 100,000 120,301 General Electric Capital Corp. 3.50%, 05/01/08 250,000 255,991 5.38%, 03/15/07 1,100,000 1,210,562 6.50%, 12/10/07 1,000,000 1,151,094 6.75%, 03/15/32 1,000,000 1,169,565 General Motors Acceptance Corp. 5.71%, 10/15/38 1,000,000 1,117,702 6.13%, 09/15/06 500,000 526,401 6.75%, 01/15/06 1,000,000 1,061,642 6.88%, 09/15/11 850,000 852,836 7.25%, 03/02/11 500,000 513,051 7.72%, 12/15/09 1,707,000 2,092,371 8.00%, 11/01/31 250,000 245,291 Goldman Sachs Group Inc. 5.70%, 09/01/12 250,000 274,657 6.13%, 02/15/33 250,000 268,094 6.60%, 01/15/12 250,000 290,495 6.88%, 01/15/11 250,000 294,987 7.63%, 08/17/05 500,000 563,447 Household Finance Corp. 5.75%, 01/30/07 250,000 275,910 6.40%, 06/17/08 250,000 285,379 6.50%, 01/24/06 250,000 277,286 6.50%, 11/15/08 500,000 574,914 8.00%, 07/15/10 1,000,000 1,240,530 JP Morgan Chase & Co. 5.25%, 05/30/07 500,000 548,459 6.75%, 02/01/11 1,000,000 1,173,697 LB-UBS Commercial Mortgage Trust 4.85%, 09/15/31 1,500,000 1,584,332 Lehman Brothers Holdings Inc. 6.63%, 01/18/12 250,000 293,094 Lehman Brothers Inc. 7.63%, 06/01/06 1,000,000 1,151,877 MBNA America Bank NA 5.38%, 01/15/08 500,000 540,579 Merrill Lynch & Co. Inc. 3.70%, 04/21/08 100,000 103,263 6.00%, 02/17/09 1,000,000 1,124,159 Morgan Stanley 6.02%, 02/15/33 518,167 553,505 7.25%, 04/01/32 100,000 122,597 7.69%, 02/15/20 1,000,000 1,152,691 7.75%, 06/15/05 1,000,000 1,114,214 8.00%, 06/15/10 1,000,000 1,246,485 National Rural Utilities 3.88%, 02/15/08 400,000 416,675 7.25%, 03/01/12 350,000 419,081 Pemex Project Funding Master Trust 7.38%, 12/15/14 500,000 547,500 8.63%, 02/01/22 250,000 285,625 Rio Tinto Finance USA Ltd. 2.63%, 09/30/08 100,000 98,167 Saxon Asset Securities Trust 5.53%, 07/25/31 400,000 412,800 Sears Roebuck Acceptance Corp. 7.00%, 06/01/32 500,000 559,273 25 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES (Continued) ------------------------------------------------------------------------------- Textron Finance Corp. 6.00%, 11/20/09 $ 200,000 $ 219,082 Toyota Motor Credit Corp. 2.80%, 01/18/06 100,000 102,543 Unilever Capital Corp. 6.88%, 11/01/05 1,000,000 1,116,223 Verizon Global Funding Corp. 7.75%, 12/01/30 250,000 316,619 Washington Mutual Inc. 7.50%, 08/15/06 1,000,000 1,157,219 ------------------------------------------------------------------------------- 49,351,954 ------------------------------------------------------------------------------- ELECTRIC - 1.72% ------------------------------------------------------------------------------- AEP Texas Central Co. 6.65%, 02/15/33/(1)/ 250,000 273,604 Alabama Power Co. Series Q 5.50%, 10/15/17 250,000 273,623 Alabama Power Co. Series X 3.13%, 05/01/08 250,000 252,847 American Electric Power Inc. 6.13%, 05/15/06 100,000 109,615 Arizona Public Service Co. 6.50%, 03/01/12 250,000 285,838 Cincinnati Gas & Electric Co. 5.70%, 09/15/12 250,000 274,666 Columbus Southern Power Co. 5.50%, 03/01/13/(1)/ 150,000 161,270 Commonwealth Edison 7.00%, 07/01/05 500,000 548,937 Consolidated Edison Inc. 4.88%, 02/01/13 200,000 210,872 Constellation Energy Group 7.60%, 04/01/32 250,000 300,510 Consumers Energy Co. 6.00%, 03/15/05 500,000 530,988 Dominion Resources Inc. 7.63%, 07/15/05 500,000 556,123 8.13%, 06/15/10 500,000 619,598 DTE Energy Co. 7.05%, 06/01/11 500,000 584,779 Entergy Gulf States Inc. 3.60%, 06/01/08/(1)/ 100,000 99,398 FirstEnergy Corp. 5.50%, 11/15/06 500,000 535,995 7.38%, 11/15/31 250,000 280,009 Florida Power & Light Co. 4.85%, 02/01/13 150,000 158,543 5.63%, 04/01/34 150,000 155,770 KN Energy Inc. 7.25%, 03/01/28 250,000 289,454 MidAmerican Energy Co. 6.75%, 12/30/31 250,000 295,927 Niagara Mohawk Power Corp. 7.63%, 10/01/05 529,268 591,487 Northern States Power Co. 8.00%, 08/28/12 250,000 316,529 Oncor Electric Delivery Co. 6.38%, 05/01/12 500,000 570,772 Ontario Hydro Canada 7.45%, 03/31/13 500,000 645,500 PECO Energy Co. 3.50%, 05/01/08 250,000 257,083 Pepco Holdings Inc. 6.45%, 08/15/12 250,000 282,890 Progress Energy Inc. 7.10%, 03/01/11 400,000 465,323 7.75%, 03/01/31 100,000 120,111 PSEG Energy Holdings Inc. 8.50%, 06/15/11 250,000 268,750 Public Service Company of Colorado 4.88%, 03/01/13/(1)/ 200,000 207,888 Public Service Electric & Gas Co. 5.13%, 09/01/12 250,000 266,927 South Carolina Electric & Gas Co. 5.30%, 05/15/33 150,000 148,715 Union Electric Co. 5.25%, 09/01/12 100,000 108,624 Wisconsin Energy Corp. 5.88%, 04/01/06 100,000 109,956 6.50%, 04/01/11 100,000 114,495 ------------------------------------------------------------------------------- 11,273,416 ------------------------------------------------------------------------------- ELECTRONICS - 0.02% ------------------------------------------------------------------------------- Avnet Inc. 9.75%, 02/15/08 100,000 113,000 ------------------------------------------------------------------------------- 113,000 ------------------------------------------------------------------------------- ENERGY & RELATED - 0.02% ------------------------------------------------------------------------------- MidAmerican Energy Holdings Co. 3.50%, 05/15/08/(1)/ 150,000 150,807 ------------------------------------------------------------------------------- 150,807 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.05% ------------------------------------------------------------------------------- USA Waste Services Inc. 7.00%, 07/15/28 150,000 171,008 Waste Management Inc. 6.50%, 11/15/08 150,000 171,500 ------------------------------------------------------------------------------- 342,508 ------------------------------------------------------------------------------- FOOD - 1.18% ------------------------------------------------------------------------------- Albertson's Inc. 7.45%, 08/01/29 100,000 112,948 7.50%, 02/15/11 250,000 292,065 Archer-Daniels-Midland Co. 8.38%, 04/15/17 500,000 679,887 26 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- FOOD (Continued) ------------------------------------------------------------------------------- ConAgra Foods Inc. 6.00%, 09/15/06 $ 500,000 $ 553,977 7.40%, 09/15/04 500,000 532,517 General Mills Inc. 5.13%, 02/15/07 1,000,000 1,089,326 Heinz (H.J.) Co. 6.63%, 07/15/11 250,000 294,705 Kellogg Co. 6.60%, 04/01/11 1,000,000 1,172,729 Kraft Foods Inc. 5.63%, 11/01/11 500,000 544,835 6.50%, 11/01/31 500,000 552,076 McDonald's Corp. 3.88%, 08/15/07 250,000 259,020 Safeway Inc. 6.50%, 11/15/08 1,000,000 1,134,001 Sara Lee Corp. 2.75%, 06/15/08 250,000 247,735 Tyson Foods Inc. 8.25%, 10/01/11 250,000 296,005 ------------------------------------------------------------------------------- 7,761,826 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.26% ------------------------------------------------------------------------------- International Paper Co. 6.75%, 09/01/11 500,000 578,312 MeadWestvaco Corp. 6.85%, 04/01/12 250,000 288,590 Weyerhaeuser Co. 6.00%, 08/01/06 250,000 274,238 6.75%, 03/15/12 250,000 283,800 7.38%, 03/15/32 250,000 287,380 ------------------------------------------------------------------------------- 1,712,320 ------------------------------------------------------------------------------- GAS - 0.11% ------------------------------------------------------------------------------- KeySpan Corp. 7.63%, 11/15/10 500,000 613,553 Southern California Gas Co. 4.80%, 10/01/12 100,000 105,099 ------------------------------------------------------------------------------- 718,652 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.02% ------------------------------------------------------------------------------- Emerson Electric Co. 5.00%, 12/15/14 150,000 160,675 ------------------------------------------------------------------------------- 160,675 ------------------------------------------------------------------------------- HEALTH CARE - 0.07% ------------------------------------------------------------------------------- Johnson & Johnson 4.95%, 05/15/33 200,000 195,416 Tenet Healthcare Corp. 5.00%, 07/01/07 250,000 233,750 ------------------------------------------------------------------------------- 429,166 ------------------------------------------------------------------------------- HOME BUILDERS - 0.03% ------------------------------------------------------------------------------- Centex Corp. 4.75%, 01/15/08 100,000 105,584 Pulte Homes Inc. 7.88%, 08/01/11 100,000 121,424 ------------------------------------------------------------------------------- 227,008 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.02% ------------------------------------------------------------------------------- Newell Rubbermaid Inc. 4.63%, 12/15/09 100,000 105,961 ------------------------------------------------------------------------------- 105,961 ------------------------------------------------------------------------------- INSURANCE - 0.37% ------------------------------------------------------------------------------- Allstate Corp. 7.20%, 12/01/09 1,000,000 1,211,632 Chubb Corp. 3.95%, 04/01/08/(1)/ 100,000 103,570 CNA Financial Corp. 6.75%, 11/15/06 100,000 104,506 Hartford Life Inc. 7.38%, 03/01/31 250,000 296,096 Lion Connecticut Holdings Inc. 7.63%, 08/15/26 100,000 121,296 MetLife Inc. 6.50%, 12/15/32 100,000 114,116 Prudential Financial Inc. 3.75%, 05/01/08 100,000 102,980 Radian Group Inc. 5.63%, 02/15/13/(1)/ 100,000 104,982 SAFECO Corp. 4.88%, 02/01/10 150,000 158,583 Travelers Property Casualty Corp. 6.38%, 03/15/33 100,000 109,295 ------------------------------------------------------------------------------- 2,427,056 ------------------------------------------------------------------------------- MACHINERY - CONSTRUCTION & MINING - 0.19% ------------------------------------------------------------------------------- Caterpillar Inc. 7.25%, 09/15/09 1,000,000 1,218,326 ------------------------------------------------------------------------------- 1,218,326 ------------------------------------------------------------------------------- MANUFACTURING - 0.19% ------------------------------------------------------------------------------- Cooper Industries Inc. 5.50%, 11/01/09 100,000 111,108 General Electric Co. 5.00%, 02/01/13 400,000 422,503 Norsk Hydro ASA 6.36%, 01/15/09 590,000 679,396 ------------------------------------------------------------------------------- 1,213,007 ------------------------------------------------------------------------------- MEDIA - 0.98% ------------------------------------------------------------------------------- AOL Time Warner Inc. 6.88%, 05/01/12 500,000 570,808 27 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- MEDIA (Continued) ------------------------------------------------------------------------------- Clear Channel Communications Inc. 4.25%, 05/15/09 $ 400,000 $ 405,000 Comcast Cable Communications 8.38%, 05/01/07 500,000 590,015 Liberty Media Corp. 7.88%, 07/15/09 500,000 585,724 TCI Communications Inc. 8.75%, 08/01/15 1,000,000 1,296,420 Time Warner Entertainment Co. 8.38%, 03/15/23 1,000,000 1,260,376 Viacom Inc. 5.63%, 08/15/12 250,000 277,741 7.75%, 06/01/05 250,000 278,436 7.88%, 07/30/30 250,000 326,653 Walt Disney Co. (The) 6.38%, 03/01/12 250,000 284,966 6.75%, 03/30/06 500,000 556,796 ------------------------------------------------------------------------------- 6,432,935 ------------------------------------------------------------------------------- MINING - 0.22% ------------------------------------------------------------------------------- Alcoa Inc. 7.38%, 08/01/10 1,000,000 1,211,559 BHP Finance (USA) Ltd. 4.80%, 04/15/13 250,000 260,659 ------------------------------------------------------------------------------- 1,472,218 ------------------------------------------------------------------------------- MULTI-NATIONAL - 0.46% ------------------------------------------------------------------------------- Asian Development Bank 6.75%, 06/11/07 1,000,000 1,167,668 Inter-American Development Bank 7.38%, 01/15/10 1,000,000 1,263,031 8.50%, 03/15/11 450,000 604,445 ------------------------------------------------------------------------------- 3,035,144 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.02% ------------------------------------------------------------------------------- Pitney Bowes Inc. 5.95%, 02/01/05 150,000 159,345 ------------------------------------------------------------------------------- 159,345 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 1.19% ------------------------------------------------------------------------------- Alberta Energy Co. Ltd. 7.38%, 11/01/31 250,000 316,147 Amerada Hess Corp. 7.30%, 08/15/31 500,000 577,908 Anadarko Petroleum Corp. 7.15%, 05/15/28 500,000 594,201 Apache Finance Canada 7.75%, 12/15/29 250,000 331,340 BP Capital Markets PLC 2.35%, 06/15/06 500,000 505,505 4.00%, 04/29/05 250,000 261,269 Conoco Funding Co. 6.35%, 10/15/11 500,000 584,038 Devon Financing Corp. ULC 6.88%, 09/30/11 1,000,000 1,173,034 Enterprise Products 6.88%, 03/01/33/(1)/ 100,000 113,259 Lasmo (USA) Inc. 6.75%, 12/15/07 100,000 116,759 Marathon Oil Corp. 6.13%, 03/15/12 500,000 560,611 Occidental Petroleum Corp. 7.20%, 04/01/28 250,000 305,114 Petroleos Mexicanos 9.38%, 12/02/08 500,000 611,250 Phillips 66 Capital Trust II 8.00%, 01/15/37 1,000,000 1,177,728 Transocean Inc. 6.75%, 04/15/05 250,000 270,002 Union Oil Co. of California 5.05%, 10/01/12 100,000 104,558 Valero Energy Corp. 4.75%, 06/15/13 200,000 195,530 ------------------------------------------------------------------------------- 7,798,253 ------------------------------------------------------------------------------- PHARMACEUTICALS - 0.40% ------------------------------------------------------------------------------- Abbott Laboratories 5.13%, 07/01/04 250,000 259,568 American Home Products Corp. 6.25%, 03/15/06 500,000 554,417 Bristol-Myers Squibb Co. 5.75%, 10/01/11 500,000 556,447 Lilly (Eli) & Co. 2.90%, 03/15/08 150,000 151,067 Merck & Co. Inc. 4.38%, 02/15/13 200,000 207,037 Pharmacia Corp. 6.50%, 12/01/18 500,000 622,402 Wyeth 5.25%, 03/15/13 250,000 264,177 ------------------------------------------------------------------------------- 2,615,115 ------------------------------------------------------------------------------- PIPELINES - 0.30% ------------------------------------------------------------------------------- Duke Energy Field Services Corp. 7.50%, 08/16/05 500,000 546,753 7.88%, 08/16/10 500,000 601,788 Kinder Morgan Energy Partners LP 5.35%, 08/15/07 500,000 544,965 TransCanada PipeLines Ltd. 4.00%, 06/15/13 250,000 243,778 ------------------------------------------------------------------------------- 1,937,284 ------------------------------------------------------------------------------- PUBLISHING - 0.18% ------------------------------------------------------------------------------- News America Holdings Inc. 7.60%, 10/11/15 1,000,000 1,210,104 ------------------------------------------------------------------------------- 1,210,104 ------------------------------------------------------------------------------- 28 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- REAL ESTATE - 0.13% ------------------------------------------------------------------------------- EOP Operating LP 7.00%, 07/15/11 $ 500,000 $ 580,285 ERP Operating LP 5.20%, 04/01/13 250,000 261,431 ------------------------------------------------------------------------------- 841,716 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.10% ------------------------------------------------------------------------------- Archstone-Smith Trust 5.00%, 08/15/07 100,000 106,326 Boston Properties Inc. 6.25%, 01/15/13 250,000 273,765 Simon Property Group Inc. 6.35%, 08/28/12 250,000 277,006 ------------------------------------------------------------------------------- 657,097 ------------------------------------------------------------------------------- RETAIL - 0.52% ------------------------------------------------------------------------------- Fred Meyer Inc. 7.45%, 03/01/08 1,000,000 1,165,182 May Department Stores Co. 7.90%, 10/15/07 250,000 297,562 Target Corp. 7.00%, 07/15/31 500,000 598,409 Wal-Mart Stores Inc. 7.55%, 02/15/30 1,000,000 1,320,692 ------------------------------------------------------------------------------- 3,381,845 ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.08% ------------------------------------------------------------------------------- Motorola Inc. 6.75%, 02/01/06 500,000 545,000 ------------------------------------------------------------------------------- 545,000 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 0.71% ------------------------------------------------------------------------------- Alltel Corp. 7.00%, 07/01/12 250,000 303,450 AT&T Wireless Services Inc. 7.88%, 03/01/11 750,000 885,767 British Telecom PLC 7.88%, 12/15/05 500,000 569,420 8.38%, 12/15/10 500,000 632,340 Citizens Communications 8.50%, 05/15/06 500,000 579,906 Cox Communications Inc. 4.63%, 06/01/13 250,000 250,481 7.50%, 08/15/04 250,000 265,337 Verizon Wireless Inc. 5.38%, 12/15/06 500,000 549,172 Vodafone Group PLC 7.75%, 02/15/10 500,000 615,216 ------------------------------------------------------------------------------- 4,651,089 ------------------------------------------------------------------------------- TELEPHONE - 1.39% ------------------------------------------------------------------------------- AT&T Corp. 7.00%, 11/15/06 250,000 278,052 8.50%, 11/15/31 500,000 566,945 BellSouth Corp. 6.00%, 10/15/11 250,000 285,700 6.88%, 10/15/31 500,000 588,551 Deutsche Telekom International Finance AG 8.50%, 06/15/10 1,000,000 1,228,379 France Telecom SA 8.70%, 03/01/06 200,000 228,134 9.25%, 03/01/11 250,000 314,641 10.00%, 03/01/31 250,000 345,934 GTE Corp. 7.51%, 04/01/09 500,000 599,507 Koninklijke KPN NV 8.00%, 10/01/10 500,000 618,982 Pacific Bell 7.13%, 03/15/26 250,000 299,682 SBC Communications Inc. 5.75%, 05/02/06 250,000 276,104 6.25%, 03/15/11 250,000 286,766 Sprint Capital Corp. 6.13%, 11/15/08 1,000,000 1,085,327 Telefonica Europe BV 8.25%, 09/15/30 500,000 654,227 Verizon New York Inc. 7.38%, 04/01/32 500,000 620,399 Verizon Pennsylvania Inc. 5.65%, 11/15/11 500,000 551,788 Verizon Virginia Inc. 4.63%, 03/15/13 250,000 256,774 ------------------------------------------------------------------------------- 9,085,892 ------------------------------------------------------------------------------- TOBACCO - 0.04% ------------------------------------------------------------------------------- Philip Morris 7.00%, 07/15/05 250,000 265,158 ------------------------------------------------------------------------------- 265,158 ------------------------------------------------------------------------------- TRANSPORTATION - 0.80% ------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 7.13%, 12/15/10 1,000,000 1,207,335 Canadian National Railway Co. 6.45%, 07/15/06 800,000 894,982 CSX Corp. 7.95%, 05/01/27 580,000 742,557 Norfolk Southern Corp. 7.70%, 05/15/17 1,000,000 1,278,134 Union Pacific Corp. 6.79%, 11/09/07 1,000,000 1,144,693 ------------------------------------------------------------------------------- 5,267,701 ------------------------------------------------------------------------------- TOTAL CORPORATE BONDS & NOTES (Cost: $174,105,095) 190,914,680 ------------------------------------------------------------------------------- 29 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS & NOTES/(4)/ - 2.11% ------------------------------------------------------------------------------- British Columbia (Province of) 6.50%, 01/15/26 $ 250,000 $ 299,698 Canada (Government of) 5.25%, 11/05/08 250,000 282,219 Chile (Republic of) 5.50%, 01/15/13 150,000 158,700 Finland (Republic Of) 6.95%, 02/15/26 250,000 318,489 Hydro-Quebec 6.30%, 05/11/11 500,000 588,265 Israel (State of) 4.63%, 06/15/13 100,000 97,391 Italy (Republic of) 4.38%, 10/25/06 1,000,000 1,071,712 6.00%, 02/22/11 1,000,000 1,166,933 6.88%, 09/27/23 250,000 315,636 Korea (Republic of) 8.88%, 04/15/08 250,000 311,775 Lombardy (Region of) 5.80%, 10/25/32 100,000 110,853 Malaysia (Government of) 7.50%, 07/15/11 250,000 304,200 Manitoba (Province of) 4.25%, 11/20/06 1,000,000 1,068,775 Mexico Government International Bond 9.88%, 01/15/07 250,000 307,875 New Brunswick (Province of) 3.50%, 10/23/07 150,000 156,457 Nova Scotia (Province of) 5.75%, 02/27/12 500,000 570,488 Ontario (Province of) 3.28%, 03/28/08 250,000 256,141 7.63%, 06/22/04 1,000,000 1,062,884 Quebec (Province of) 5.75%, 02/15/09 1,000,000 1,135,329 6.13%, 01/22/11 1,000,000 1,163,505 Saskatchewan (Province of) 7.38%, 07/15/13 230,000 296,278 South Africa (Republic of) 7.38%, 04/25/12 250,000 286,875 United Mexican States 6.38%, 01/16/13 500,000 530,000 8.13%, 12/30/19 1,000,000 1,140,000 8.30%, 08/15/31 250,000 287,875 8.50%, 02/01/06 500,000 579,750 ------------------------------------------------------------------------------- TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $12,756,242) 13,868,103 ------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 66.26% U.S. GOVERNMENT SECURITIES - 22.10% ------------------------------------------------------------------------------- U.S. Treasury Bonds 5.25%, 02/15/29 $ 1,700,000 $ 1,851,074 5.38%, 02/15/31 1,500,000 1,689,082 6.00%, 02/15/26 1,800,000 2,151,634 6.13%, 11/15/27 2,600,000 3,164,892 6.25%, 05/15/30 700,000 871,445 6.50%, 11/15/26 1,950,000 2,473,834 7.13%, 02/15/23 2,700,000 3,618,105 7.25%, 05/15/16 1,800,000 2,393,860 7.63%, 02/15/25 3,200,000 4,549,875 8.00%, 11/15/21 4,250,000 6,157,022 8.13%, 08/15/19 1,850,000 2,675,635 8.75%, 11/15/08 500,000 514,160 8.75%, 05/15/17 1,600,000 2,394,938 8.75%, 05/15/20 1,800,000 2,753,789 9.13%, 05/15/18 1,500,000 2,326,230 9.25%, 02/15/16 600,000 918,680 9.38%, 02/15/06 800,000 961,531 9.88%, 11/15/15 400,000 635,656 10.38%, 11/15/09 3,100,000 3,482,779 10.38%, 11/15/12 1,300,000 1,731,691 11.25%, 02/15/15 650,000 1,107,640 11.75%, 11/15/14 500,000 755,820 12.50%, 08/15/14 400,000 617,016 12.75%, 11/15/10 200,000 251,984 13.25%, 05/15/14 850,000 1,330,515 13.88%, 05/15/11 600,000 803,602 U.S. Treasury Notes 1.50%, 02/28/05 6,700,000 6,732,193 1.75%, 12/31/04 750,000 756,504 1.88%, 09/30/04 3,000,000 3,029,532 2.13%, 08/31/04 4,750,000 4,808,078 2.88%, 06/30/04 2,000,000 2,036,406 3.00%, 11/15/07 10,270,000 10,593,341 3.50%, 11/15/06 2,300,000 2,424,435 3.88%, 02/15/13 5,860,000 6,030,075 4.00%, 11/15/12 4,250,000 4,422,490 4.38%, 05/15/07 2,000,000 2,172,812 4.38%, 08/15/12 550,000 589,725 4.63%, 05/15/06 5,550,000 6,016,328 4.75%, 11/15/08 900,000 997,699 4.88%, 02/15/12 2,500,000 2,778,905 5.50%, 05/15/09 800,000 921,438 5.63%, 02/15/06 1,000,000 1,105,664 5.63%, 05/15/08 2,500,000 2,866,015 5.75%, 11/15/05 4,200,000 4,622,461 5.75%, 08/15/10 1,600,000 1,872,813 5.88%, 11/15/04 1,800,000 1,915,664 6.00%, 08/15/04 4,200,000 4,431,328 6.00%, 08/15/09 2,000,000 2,359,140 6.13%, 08/15/07 3,100,000 3,585,950 6.25%, 02/15/07 1,200,000 1,380,000 6.50%, 05/15/05 1,000,000 1,096,719 6.50%, 08/15/05 2,400,000 2,659,313 30 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- U.S. GOVERNMENT SECURITIES (Continued) ------------------------------------------------------------------------------- 6.50%, 02/15/10 $ 1,800,000 $ 2,183,695 6.75%, 05/15/05 4,000,000 4,405,156 6.88%, 05/15/06 1,100,000 1,260,575 7.00%, 07/15/06 1,400,000 1,618,093 7.88%, 11/15/04 1,000,000 1,091,367 ------------------------------------------------------------------------------- 144,946,403 ------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES - 32.06% ------------------------------------------------------------------------------- Federal Home Loan Mortgage Corporation 5.00%, 05/01/18 5,977,600 6,179,282 5.50%, 01/01/17 1,340,986 1,391,048 5.50%, 03/01/17 6,184,905 6,414,895 5.50%, 04/01/17 1,443,028 1,496,688 5.50%, 04/01/33 2,996,841 3,095,936 5.50%, 07/01/33/(2)/ 10,000,000 10,315,620 6.00%, 11/01/16 508,807 529,168 6.00%, 02/01/17 569,113 591,887 6.00%, 04/01/17 640,179 665,741 6.00%, 05/01/17 514,774 535,328 6.00%, 06/01/17 705,965 734,154 6.00%, 09/01/32 11,097,801 11,506,645 6.00%, 11/01/32 1,801,820 1,868,199 6.50%, 01/01/17 2,532,194 2,659,670 6.50%, 06/01/31 1,248,145 1,298,839 6.50%, 09/01/31 413,473 430,267 6.50%, 11/01/31 625,800 651,217 7.00%, 02/01/16 1,521,924 1,616,709 7.00%, 12/01/31 2,248,550 2,357,349 7.00%, 01/01/32 2,934,354 3,076,338 7.00%, 04/01/32 1,229,091 1,288,841 7.50%, 06/01/27 848,718 904,183 7.50%, 01/01/28 1,462,105 1,557,656 7.50%, 10/01/29 1,299,246 1,387,264 8.00%, 12/01/24 3,547,962 3,850,787 Federal National Mortgage Association 4.50%, 07/01/18/(2)/ 4,000,000 4,080,000 5.00%, 05/01/18 11,951,165 12,360,244 5.00%, 07/01/18/(2)/ 3,000,000 3,098,436 5.00%, 07/01/33/(2)/ 2,000,000 2,031,876 5.50%, 06/01/33 9,990,424 10,343,601 5.50%, 07/01/33/(2)/ 11,000,000 11,367,818 6.00%, 06/01/16 431,570 450,444 6.00%, 07/01/16 604,212 630,637 6.00%, 01/01/17 629,514 657,045 6.00%, 07/01/17 6,015,725 6,278,927 6.00%, 12/01/32 9,752,684 10,138,914 6.00%, 01/01/33 10,285,897 10,693,243 6.50%, 02/01/17 1,781,635 1,879,516 6.50%, 01/01/29 12,891,892 13,462,218 6.50%, 08/01/32 13,570,629 14,151,890 6.50%, 09/01/32 2,137,853 2,229,422 7.00%, 03/01/30 2,724,907 2,870,985 7.00%, 08/01/31 1,887,341 1,987,555 7.00%, 02/01/32 2,465,682 2,596,603 7.50%, 06/01/30 265,922 282,534 7.50%, 07/01/31 306,665 325,966 Government National Mortgage Association 5.50%, 06/15/33 4,000,000 4,173,750 6.00%, 02/15/33 6,664,830 6,989,741 6.50%, 09/15/31 362,375 380,527 6.50%, 03/15/32 628,231 659,661 6.50%, 04/15/32 504,262 529,490 6.50%, 05/15/32 7,126,009 7,482,521 6.50%, 10/15/32 810,839 851,405 7.00%, 09/15/31 5,212,654 5,507,998 7.50%, 12/15/23 5,065,709 5,424,670 ------------------------------------------------------------------------------- 210,321,348 ------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS - 12.10% ------------------------------------------------------------------------------- Federal Home Loan Bank 5.38%, 05/15/06 3,000,000 3,297,963 5.95%, 07/28/08 3,500,000 4,046,556 6.09%, 06/02/06 1,500,000 1,682,664 6.75%, 08/15/07 700,000 819,964 Federal Home Loan Mortgage Corporation 2.88%, 09/15/05 6,460,000 6,650,828 3.50%, 09/15/07 6,400,000 6,690,694 4.75%, 10/11/12 2,000,000 2,065,050 5.50%, 07/15/06 1,600,000 1,770,619 5.75%, 03/15/09 500,000 574,306 5.75%, 01/15/12 2,200,000 2,531,245 6.25%, 07/15/32 1,720,000 2,023,795 6.75%, 09/15/29 70,000 86,731 6.88%, 01/15/05 3,500,000 3,797,206 6.88%, 09/15/10 200,000 244,626 7.00%, 07/15/05 1,000,000 1,111,321 Federal National Mortgage Association 0.00%, 06/01/17 1,000,000 508,545 3.00%, 06/15/04 3,000,000 3,051,852 3.50%, 09/15/04 3,800,000 3,907,312 3.88%, 03/15/05 6,000,000 6,263,748 5.25%, 03/22/07 2,000,000 2,053,490 5.25%, 01/15/09 1,000,000 1,122,821 5.50%, 03/15/11 3,300,000 3,743,965 5.88%, 02/02/06 1,700,000 1,876,151 6.00%, 05/15/11 1,500,000 1,753,650 6.25%, 02/01/11 1,000,000 1,153,224 6.38%, 06/15/09 394,000 466,615 6.50%, 08/15/04 1,500,000 1,589,228 6.63%, 10/15/07 1,000,000 1,172,241 6.63%, 11/15/10 2,000,000 2,417,804 7.00%, 07/15/05 3,500,000 3,889,130 7.25%, 01/15/10 800,000 992,245 31 BOND INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (Continued) ------------------------------------------------------------------------------- Financing Corp. 8.60%, 09/26/19 $ 1,150,000 $ 1,673,726 9.65%, 11/02/18 500,000 781,896 Tennessee Valley Authority 6.25%, 12/15/17 1,600,000 1,912,094 6.88%, 12/15/43 1,000,000 1,056,431 7.13%, 05/01/30 450,000 586,583 ------------------------------------------------------------------------------- 79,366,319 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $417,266,677) 434,634,070 ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 24.08% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(3)/ 114,368,860 114,368,860 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(3)/ 16,478,851 16,478,851 BlackRock Temp Cash Money Market Fund/(3)/ 831,016 831,016 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(3)/ 4,321,079 4,321,079 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(3)/ 1,830,983 1,830,983 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(3)/ $ 1,098,590 1,098,590 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(3)/ 915,354 915,354 1.17%, 08/15/03/(3)/ 1,373,314 1,373,314 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(3)/ 732,393 732,393 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(3)/ 805,592 805,592 1.31%, 05/24/04/(3)/ 1,830,800 1,830,800 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(3)/ 1,830,709 1,830,709 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(3)/ 915,492 915,492 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(3)/ 1,830,983 1,830,983 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(3)/ 366,197 366,197 SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(3)/ 915,446 915,446 1.22%, 04/13/04/(3)/ 915,446 915,446 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(3)/ 915,309 915,309 1.08%, 03/29/04/(3)/ 915,492 915,492 1.29%, 05/04/04/(3)/ 915,446 915,446 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(3)/ 1,830,892 1,830,892 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(3)/ 915,492 915,492 1.14%, 05/17/04/(3)/ 1,098,590 1,098,590 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $157,952,326) 157,952,326 ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.20% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(3)/ 915,492 915,492 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(3)/ 366,197 366,197 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $1,281,689) 1,281,689 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 121.76% (Cost $763,362,029) 798,650,868 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (21.76%) (142,712,380) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 655,938,488 =============================================================================== /(1)/ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. /(2)/ TBA. /(3)/ All or a portion of this security represents investments of securities lending collateral. /(4)/ Investments are denominated in U.S. Dollars. The accompanying notes are an integral part of these financial statements. 32 MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE ------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT - 13.18% ------------------------------------------------------------------------------- Canadian Imperial Bank of Commerce 1.05%, 07/28/03 $ 50,000,000 $ 50,000,000 1.24%, 05/17/04 20,000,000 19,997,981 1.25%, 07/15/03 50,000,000 50,000,000 Chase Manhattan Bank USA 1.27%, 07/23/03 25,000,000 25,000,000 Citibank NA 1.03%, 09/29/03 25,000,000 25,000,000 1.22%, 09/04/03 25,000,000 25,000,000 1.26%, 07/23/03 75,000,000 75,000,000 Deutsche Bank AG 1.30%, 07/08/03 25,000,000 25,000,000 Societe Generale NA Inc. 1.25%, 07/15/03 25,000,000 25,000,000 Svenska Handelsbanken Inc. 1.26%, 04/07/04 50,000,000 49,996,146 1.27%, 03/19/04 25,000,000 24,997,306 1.29%, 07/17/03 50,000,000 50,000,000 Toronto-Dominion Bank 1.25%, 03/17/04 25,000,000 24,997,326 1.51%, 11/12/03 30,000,000 30,001,651 UBS AG 1.24%, 03/17/04 50,000,000 49,994,651 US Bank NA 1.30%, 07/09/03 25,000,000 25,000,000 ------------------------------------------------------------------------------- TOTAL CERTIFICATES OF DEPOSIT (Cost: $574,985,061) 574,985,061 ------------------------------------------------------------------------------- COMMERCIAL PAPER - 38.61% ------------------------------------------------------------------------------- Amstel Funding Corp. 1.04%, 09/23/03 50,000,000 49,878,667 1.25%, 08/12/03 15,000,000 14,978,125 1.32%, 07/21/03 20,000,000 19,985,333 1.34%, 07/08/03 15,000,000 14,996,091 Bank of America Corp. 1.23%, 07/10/03 25,000,000 24,992,313 Banque Generale du Luxembourg 1.27%, 07/09/03 9,067,000 9,064,441 1.30%, 07/14/03 23,000,000 22,989,203 1.32%, 07/09/03 10,000,000 9,997,078 Beta Finance Inc. 1.30%, 07/15/03 14,000,000 13,992,923 Dorada Finance Inc. 1.30%, 07/17/03 15,000,000 14,991,334 Edison Asset Securitization Corp. 1.24%, 08/07/03 25,000,000 24,968,139 Eureka Securitization Inc. 1.23%, 08/05/03 40,000,000 39,952,167 Falcon Asset Securitization Corp. 1.05%, 07/23/03 25,000,000 24,983,958 1.25%, 08/08/03 19,508,000 19,482,260 Florens Container Inc. 1.27%, 07/22/03 35,000,000 34,974,071 GE Financial Assurance Holdings 1.00%, 08/01/03 25,000,000 24,978,472 Greenwich Funding Corp. 1.25%, 07/10/03 15,000,000 14,995,312 Intrepid Funding Corp. 1.24%, 07/15/03 20,029,000 20,019,342 Jupiter Securities Corp. 1.26%, 07/14/03 25,000,000 24,988,625 K2 USA LLC 1.00%, 08/08/03 10,000,000 9,989,444 1.25%, 07/09/03 15,000,000 14,995,833 1.33%, 07/03/03 15,000,000 14,998,892 Kitty Hawk Funding Corp. 1.00%, 07/21/03 65,397,000 65,360,668 1.04%, 09/12/03 37,113,000 37,034,733 1.06%, 08/15/03 25,000,000 24,966,875 Liberty Street Funding Corp. 1.07%, 07/17/03 24,000,000 23,988,587 Loch Ness LLC 1.19%, 07/10/03 16,331,000 16,326,141 1.20%, 07/10/03 41,823,000 41,810,453 1.27%, 07/15/03 34,669,000 34,651,878 Moat Funding LLC 1.04%, 09/26/03 22,995,000 22,937,206 1.15%, 07/02/03 50,000,000 49,998,403 1.24%, 07/16/03 25,000,000 24,987,083 1.24%, 08/19/03 25,000,000 24,957,805 1.26%, 07/18/03 50,000,000 49,970,250 Park Avenue Receivables Corp. 1.20%, 07/09/03 15,058,000 15,053,984 1.25%, 07/08/03 51,063,000 51,050,589 Quincy Capital Corp. 1.01%, 07/24/03 25,000,000 24,983,868 1.02%, 07/21/03 61,201,000 61,166,319 Scaldis Capital LLC 1.26%, 07/15/03 20,000,000 19,990,200 1.26%, 10/17/03 17,762,000 17,694,860 1.28%, 07/29/03/(1)/ 30,190,000 30,160,062 Sigma Finance Inc. 1.05%, 09/03/03 25,000,000 24,953,333 1.23%, 09/05/03 25,000,000 24,943,625 1.27%, 08/26/03 50,000,000 49,901,222 Societe Generale NA Inc. 1.25%, 07/17/03 25,000,000 24,986,056 Special Purpose Accounts Receivable Corp. 1.02%, 09/12/03 29,550,000 29,488,881 1.18%, 07/08/03 50,000,000 49,988,576 1.20%, 07/08/03 19,500,000 19,495,450 Svenska Handelsbanken Inc. 1.00%, 07/07/03 34,900,000 34,894,183 Thames Asset Global Securitization Inc. 1.00%, 07/15/03 12,293,000 12,288,219 1.02%, 08/14/03 22,278,000 22,250,227 1.05%, 09/12/03 17,646,000 17,608,429 1.18%, 07/10/03 16,777,000 16,772,051 1.19%, 07/10/03 16,777,000 16,772,009 1.20%, 07/10/03 17,285,000 17,279,815 33 MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE ------------------------------------------------------------------------------- 1.23%, 09/02/03 15,577,000 15,543,470 Toronto-Dominion Holding (USA) Inc. 0.93%, 09/11/03 $ 50,000,000 $ 49,907,000 UBS Finance (Delaware) Inc. 0.99%, 07/21/03 50,000,000 49,972,500 1.03%, 07/11/03 30,000,000 29,991,417 1.05%, 07/07/03 50,000,000 49,991,250 Windmill Funding Corp. 1.05%, 08/21/03 25,000,000 24,962,813 ------------------------------------------------------------------------------- TOTAL COMMERCIAL PAPER (Cost: $1,684,272,513) 1,684,272,513 ------------------------------------------------------------------------------- MEDIUM TERM NOTES - 6.03% ------------------------------------------------------------------------------- Associates Corp. NA 6.20%, 01/26/04 7,000,000 7,193,012 Beta Finance Inc. 1.50%, 11/12/03/(1)/ 20,000,000 20,000,000 Citigroup Inc. 5.70%, 02/06/04 30,000,000 30,774,537 Dorada Finance Inc. 1.64%, 11/26/03/(1)/ 20,000,000 20,000,000 General Electric Capital Corp. 5.38%, 04/23/04 19,250,000 19,926,049 6.27%, 07/23/03 25,000,000 25,074,659 6.75%, 09/11/03 5,026,000 5,079,337 Goldman Sachs Group Inc. 1.25%, 08/28/03 25,000,000 25,000,000 6.65%, 08/01/03/(1)/ 9,690,000 9,733,393 K2 USA LLC 1.63%, 12/08/03/(1)/ 15,000,000 15,000,000 1.64%, 11/26/03/(1)/ 15,000,000 15,000,000 Links Finance LLC 1.47%, 11/18/03/(1)/ 10,000,000 10,000,000 1.65%, 12/03/03/(1)/ 10,000,000 10,000,000 Merrill Lynch & Co. Inc. 5.35%, 06/15/04 17,914,000 18,641,690 Morgan Stanley 5.63%, 01/20/04 9,900,000 10,128,673 6.13%, 10/01/03 7,000,000 7,081,719 Regions Auto Receivables Trust 1.19%, 03/15/04 14,592,731 14,592,731 ------------------------------------------------------------------------------- TOTAL MEDIUM TERM NOTES (Cost: $263,225,800) 263,225,800 ------------------------------------------------------------------------------- TIME DEPOSITS - 4.58% ------------------------------------------------------------------------------- American Express Centurion Bank 0.98%, 07/24/03 75,000,000 75,000,000 DEPFA BANK PLC 1.24%, 08/11/03 20,000,000 20,000,000 ING Bank NV 1.25%, 07/14/03 30,000,000 30,000,000 Societe Generale NA Inc. 1.41%, 07/01/03 75,000,000 75,000,000 ------------------------------------------------------------------------------- TOTAL TIME DEPOSITS (Cost: $200,000,000) 200,000,000 ------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS - 0.78% ------------------------------------------------------------------------------- Federal National Mortgage Association 4.00%, 08/15/03 33,876,000 33,984,767 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost: $33,984,767) 33,984,767 ------------------------------------------------------------------------------- VARIABLE & FLOATING RATE NOTES - 34.35% ------------------------------------------------------------------------------- American Express Centurion Bank 1.23%, 03/12/04 50,000,000 50,000,000 Associates Corp. NA 1.22%, 06/15/04 15,000,000 14,996,791 Bank of America Corp. 1.35%, 07/07/03 15,000,000 15,000,204 Beta Finance Inc. 1.01%, 09/25/03/(1)/ 50,000,000 49,999,411 1.09%, 01/23/04/(1)/ 20,000,000 20,000,000 1.23%, 09/15/03/(1)/ 25,000,000 25,003,104 Chase Manhattan Bank USA 1.07%, 06/30/04 20,000,000 20,000,000 Citigroup Global Markets Holdings Inc. 1.21%, 06/17/04 8,000,000 8,013,624 Credit Suisse First Boston 1.26%, 09/04/03 50,000,000 50,000,000 Deutsche Bank AG London 1.34%, 09/02/03 10,000,000 10,001,635 Dorada Finance Inc. 1.06%, 05/14/04/(1)/ 30,000,000 29,998,697 1.06%, 06/30/04/(1)/ 25,000,000 24,992,500 1.08%, 09/15/03/(1)/ 25,000,000 25,000,000 1.09%, 01/27/04/(1)/ 25,000,000 25,000,000 1.14%, 03/15/04/(1)/ 20,000,000 19,998,582 First USA Bank 1.50%, 07/21/04 25,000,000 25,059,527 Fleet National Bank 1.50%, 07/31/03 10,000,000 10,001,267 General Electric Capital Corp. 1.09%, 03/25/04/(1)/ 43,500,000 43,536,294 1.11%, 01/28/04 25,000,000 25,006,732 1.43%, 04/22/04 38,000,000 38,041,434 Goldman Sachs Group Inc. 1.23%, 01/22/04 45,000,000 45,048,005 1.30%, 12/05/03 25,000,000 25,000,000 1.34%, 10/02/03/(1)/ 25,000,000 25,000,000 1.54%, 08/18/03 26,000,000 26,010,052 1.94%, 02/11/04 20,000,000 20,079,712 34 MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE ------------------------------------------------------------------------------- Granite Mortgages PLC 1.09%, 01/20/04 $ 65,625,000 $ 65,624,826 HBOS Treasury Services PLC 1.27%, 06/24/04/(1)/ 50,000,000 50,000,000 Holmes Financing PLC 1.14%, 04/15/04 50,000,000 50,000,000 K2 USA LLC 1.01%, 11/26/03/(1)/ 25,000,000 25,000,000 1.07%, 08/15/03/(1)/ 20,000,000 20,000,000 1.08%, 03/15/04/(1)/ 15,000,000 15,000,000 1.10%, 02/06/04/(1)/ 20,000,000 20,000,000 Links Finance LLC 1.06%, 05/24/04/(1)/ 20,000,000 19,998,000 1.06%, 06/21/04/(1)/ 25,000,000 24,997,575 1.07%, 03/18/04/(1)/ 40,000,000 40,000,000 1.09%, 09/30/03/(1)/ 25,000,000 25,000,000 1.26%, 03/08/04/(1)/ 25,000,000 25,000,000 Merrill Lynch & Co. Inc. 1.37%, 08/13/03 13,525,000 13,527,054 1.46%, 01/14/04 17,000,000 17,019,714 Metropolitan Life Insurance Co. Funding Agreement 1.41%, 07/18/03/(1)/ 25,000,000 25,000,000 Morgan Stanley 1.16%, 09/19/03 75,000,000 75,017,923 1.54%, 08/07/03 33,650,000 33,659,516 National City Bank 1.31%, 11/14/03 25,000,000 25,005,747 1.41%, 07/22/03 10,000,000 10,000,649 Nationwide Building Society 1.36%, 07/23/03 25,000,000 25,000,942 Permanent Financing PLC 1.29%, 03/10/04 78,000,000 78,000,000 Sigma Finance Inc. 0.97%, 06/28/04/(1)/ 25,000,000 24,992,500 1.23%, 06/15/04/(1)/ 25,000,000 24,996,250 Travelers Insurance Co. 1.38%, 02/05/04/(1)/ 50,000,000 50,000,000 Winston Funding Ltd. 1.32%, 04/23/04/(1)/ 45,000,000 45,000,000 ------------------------------------------------------------------------------- TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $1,498,628,267) 1,498,628,267 ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 2.31% ------------------------------------------------------------------------------- Goldman Sachs Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $25,978,873 and an effective yield of 1.21%. 25,978,000 25,978,000 Lehman Brothers Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $50,001,875 and an effective yield of 1.35%. 50,000,000 50,000,000 Merrill Lynch Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $25,000,833 and an effective yield of 1.20%. 25,000,000 25,000,000 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $100,978,000) 100,978,000 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 99.84% (Cost $4,356,074,408) 4,356,074,408 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - 0.16% 6,710,214 ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 4,362,784,622 =============================================================================== /(1)/ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The accompanying notes are an integral part of these financial statements. 35 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMON STOCKS - 96.41% ADVERTISING - 0.20% ------------------------------------------------------------------------------- Interpublic Group of Companies Inc. 119,121 $ 1,593,839 Omnicom Group Inc. 57,658 4,134,079 ------------------------------------------------------------------------------- 5,727,918 ------------------------------------------------------------------------------- AEROSPACE / DEFENSE - 1.44% ------------------------------------------------------------------------------- Boeing Co. (The) 257,180 8,826,418 General Dynamics Corp. 60,415 4,380,087 Goodrich (B.F.) Co. 35,903 753,963 Lockheed Martin Corp. 137,751 6,552,815 Northrop Grumman Corp. 55,943 4,827,321 Raytheon Co. 125,564 4,123,522 Rockwell Collins Inc. 54,585 1,344,429 United Technologies Corp. 143,177 10,141,227 ------------------------------------------------------------------------------- 40,949,782 ------------------------------------------------------------------------------- AIRLINES - 0.16% ------------------------------------------------------------------------------- Delta Air Lines Inc. 37,668 552,966 Southwest Airlines Co. 238,215 4,097,298 ------------------------------------------------------------------------------- 4,650,264 ------------------------------------------------------------------------------- APPAREL - 0.29% ------------------------------------------------------------------------------- Jones Apparel Group Inc./(1)/ 39,228 1,147,811 Liz Claiborne Inc. 32,812 1,156,623 Nike Inc. Class B 80,805 4,322,259 Reebok International Ltd./(1)/ 18,116 609,241 VF Corp. 33,123 1,125,188 ------------------------------------------------------------------------------- 8,361,122 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.54% ------------------------------------------------------------------------------- Ford Motor Company 560,186 6,156,444 General Motors Corp. 171,480 6,173,280 Navistar International Corp./(1)/ 20,842 680,074 PACCAR Inc. 35,546 2,401,488 ------------------------------------------------------------------------------- 15,411,286 ------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT - 0.10% ------------------------------------------------------------------------------- Cooper Tire & Rubber Co. 22,440 394,720 Dana Corp. 45,369 524,466 Delphi Corp. 171,277 1,478,121 Goodyear Tire & Rubber Co. (The) 53,469 280,712 Visteon Corp. 39,824 273,591 ------------------------------------------------------------------------------- 2,951,610 ------------------------------------------------------------------------------- BANKS - 7.23% ------------------------------------------------------------------------------- AmSouth Bancorp 107,533 2,348,521 Bank of America Corp. 458,317 36,220,793 Bank of New York Co. Inc. (The) 235,841 6,780,429 Bank One Corp. 349,545 12,996,083 BB&T Corp. 144,145 4,944,173 Charter One Financial Inc. 68,798 2,145,122 Comerica Inc. 53,563 2,490,679 Fifth Third Bancorp 175,722 10,075,899 First Tennessee National Corp. 38,613 1,695,497 FleetBoston Financial Corp. 321,648 9,556,162 Golden West Financial Corp. 46,728 3,738,707 Huntington Bancshares Inc. 70,082 1,368,001 KeyCorp 129,451 3,271,227 Marshall & Ilsley Corp. 69,309 2,119,469 Mellon Financial Corp. 131,958 3,661,834 National City Corp. 187,092 6,119,779 North Fork Bancorp Inc. 48,011 1,635,255 Northern Trust Corp. 67,500 2,820,825 PNC Financial Services Group 86,580 4,225,970 Regions Financial Corp. 67,915 2,294,169 SouthTrust Corp. 104,179 2,833,669 State Street Corp. 101,659 4,005,365 SunTrust Banks Inc. 85,733 5,087,396 Synovus Financial Corp. 92,832 1,995,888 U.S. Bancorp 587,241 14,387,404 Union Planters Corp. 60,698 1,883,459 Wachovia Corp. 411,585 16,446,937 Washington Mutual Inc. 284,721 11,758,977 Wells Fargo & Company 512,506 25,830,302 Zions Bancorporation 27,629 1,398,304 ------------------------------------------------------------------------------- 206,136,295 ------------------------------------------------------------------------------- BEVERAGES - 2.72% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 255,299 13,033,014 Brown-Forman Corp. Class B 18,421 1,448,259 Coca-Cola Co. (The) 753,625 34,975,736 Coca-Cola Enterprises Inc. 138,255 2,509,328 Coors (Adolf) Company Class B 11,097 543,531 Pepsi Bottling Group Inc. 84,011 1,681,900 PepsiCo Inc. 525,669 23,392,270 ------------------------------------------------------------------------------- 77,584,038 ------------------------------------------------------------------------------- BIOTECHNOLOGY - 1.14% ------------------------------------------------------------------------------- Amgen Inc./(1)/ 385,356 25,603,053 Biogen Inc./(1)/ 45,379 1,724,402 Chiron Corp./(1)/ 57,091 2,496,019 Genzyme Corp. - General Division/(1)/ 65,990 2,758,382 ------------------------------------------------------------------------------- 32,581,856 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.22% ------------------------------------------------------------------------------- American Standard Companies Inc./(1)/ 22,008 1,627,051 Masco Corp. 145,917 3,480,120 Vulcan Materials Co. 31,075 1,151,950 ------------------------------------------------------------------------------- 6,259,121 ------------------------------------------------------------------------------- 36 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- CHEMICALS - 1.37% ------------------------------------------------------------------------------- Air Products & Chemicals Inc. 69,498 $ 2,891,117 Ashland Inc. 20,843 639,463 Dow Chemical Co. (The) 280,049 8,670,317 Du Pont (E.I.) de Nemours and Co. 304,667 12,686,334 Eastman Chemical Co. 23,638 748,615 Engelhard Corp. 38,636 957,014 Great Lakes Chemical Corp. 15,312 312,365 Hercules Inc./(1)/ 33,515 331,798 Monsanto Co. 79,924 1,729,555 PPG Industries Inc. 51,899 2,633,355 Praxair Inc. 49,683 2,985,948 Rohm & Haas Co. 67,889 2,106,596 Sherwin-Williams Co. (The) 45,019 1,210,111 Sigma-Aldrich Corp. 21,732 1,177,440 ------------------------------------------------------------------------------- 39,080,028 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 1.06% ------------------------------------------------------------------------------- Apollo Group Inc. Class A/(1)/ 53,585 3,309,410 Block (H & R) Inc. 54,768 2,368,716 Cendant Corp./(1)/ 311,741 5,711,095 Concord EFS Inc./(1)/ 149,041 2,193,884 Convergys Corp./(1)/ 45,418 726,688 Deluxe Corp. 16,972 760,346 Donnelley (R.R.) & Sons Co. 34,616 904,862 Ecolab Inc. 80,351 2,056,986 Equifax Inc. 43,238 1,124,188 McKesson Corp. 88,651 3,168,387 Monster Worldwide Inc./(1)/ 34,149 673,760 Moody's Corp. 45,420 2,394,088 Paychex Inc. 115,121 3,374,197 Quintiles Transnational Corp./(1)/ 36,106 512,344 Robert Half International Inc./(1)/ 52,196 988,592 ------------------------------------------------------------------------------- 30,267,543 ------------------------------------------------------------------------------- COMPUTERS - 5.48% ------------------------------------------------------------------------------- Apple Computer Inc./(1)/ 111,789 2,137,406 Cisco Systems Inc./(1)/ 2,147,336 35,839,038 Computer Sciences Corp./(1)/ 57,249 2,182,332 Dell Computer Corp./(1)/ 785,781 25,113,561 Electronic Data Systems Corp. 146,300 3,138,135 EMC Corp./(1)/ 669,325 7,007,833 Gateway Inc./(1)/ 98,834 360,744 Hewlett-Packard Co. 933,764 19,889,173 International Business Machines Corp. 528,619 43,611,067 Lexmark International Inc./(1)/ 38,989 2,759,252 NCR Corp./(1)/ 29,289 750,384 Network Appliance Inc./(1)/ 103,803 1,682,647 Sun Microsystems Inc./(1)/ 987,804 4,543,898 SunGard Data Systems Inc./(1)/ 86,960 2,253,134 Unisys Corp./(1)/ 100,177 1,230,174 Veritas Software Corp./(1)/ 126,855 3,636,933 ------------------------------------------------------------------------------- 156,135,711 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 2.43% ------------------------------------------------------------------------------- Alberto-Culver Co. Class B 17,924 915,916 Avon Products Inc. 71,882 4,471,060 Colgate-Palmolive Co. 164,578 9,537,295 Gillette Co. (The) 312,483 9,955,708 International Flavors & Fragrances Inc. 28,796 919,456 Kimberly-Clark Corp. 155,683 8,117,312 Procter & Gamble Co. 396,066 35,321,166 ------------------------------------------------------------------------------- 69,237,913 ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.28% ------------------------------------------------------------------------------- Costco Wholesale Corp./(1)/ 139,512 5,106,139 Genuine Parts Co. 53,156 1,701,524 Grainger (W.W.) Inc. 28,008 1,309,654 ------------------------------------------------------------------------------- 8,117,317 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 9.05% ------------------------------------------------------------------------------- American Express Co. 396,832 16,591,546 American International Group Inc. 797,946 44,030,660 Bear Stearns Companies Inc. (The) 30,292 2,193,747 Capital One Financial Corp. 69,252 3,405,813 Citigroup Inc. 1,574,871 67,404,479 Countrywide Financial Corp. 39,943 2,778,835 Fannie Mae 299,788 20,217,703 Federated Investors Inc. Class B 33,460 917,473 Franklin Resources Inc. 77,612 3,032,301 Freddie Mac 210,337 10,678,809 Goldman Sachs Group Inc. (The) 143,688 12,033,870 Janus Capital Group Inc. 73,136 1,199,430 JP Morgan Chase & Co. 621,367 21,238,324 Lehman Brothers Holdings Inc. 74,189 4,932,085 MBNA Corp. 390,814 8,144,564 Merrill Lynch & Co. Inc. 284,582 13,284,288 Morgan Stanley 332,601 14,218,693 Providian Financial Corp./(1)/ 88,549 819,964 Schwab (Charles) Corp. (The) 413,017 4,167,342 SLM Corp. 138,411 5,421,559 T. Rowe Price Group Inc. 37,403 1,411,963 ------------------------------------------------------------------------------- 258,123,448 ------------------------------------------------------------------------------- ELECTRIC - 2.58% ------------------------------------------------------------------------------- AES Corp. (The)/(1)/ 187,264 1,189,126 Allegheny Energy Inc. 38,333 323,914 Ameren Corp. 49,296 2,173,954 American Electric Power Co. Inc. 120,800 3,603,464 Calpine Corp./(1)/ 116,439 768,497 CenterPoint Energy Inc. 93,327 760,615 Cinergy Corp. 53,840 1,980,774 CMS Energy Corp. 43,904 355,622 Consolidated Edison Inc. 68,279 2,955,115 Constellation Energy Group Inc. 50,546 1,733,728 Dominion Resources Inc. 95,064 6,109,763 DTE Energy Co. 51,359 1,984,512 37 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- ELECTRIC (Continued) ------------------------------------------------------------------------------- Duke Energy Corp. 275,625 $ 5,498,719 Edison International/(1)/ 99,603 1,636,477 Entergy Corp. 69,052 3,644,565 Exelon Corp. 99,172 5,931,477 FirstEnergy Corp. 91,023 3,499,834 FPL Group Inc. 56,055 3,747,277 Mirant Corp./(1)/ 123,218 357,332 NiSource Inc. 80,268 1,525,092 PG&E Corp./(1)/ 125,120 2,646,288 Pinnacle West Capital Corp. 27,887 1,044,368 PPL Corp. 51,541 2,216,263 Progress Energy Inc. 73,642 3,232,884 Public Service Enterprise Group Inc. 69,077 2,918,503 Southern Company 220,759 6,878,850 TECO Energy Inc. 53,912 646,405 TXU Corp. 98,535 2,212,111 Xcel Energy Inc. 121,901 1,833,391 ------------------------------------------------------------------------------- 73,408,920 ------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.09% ------------------------------------------------------------------------------- American Power Conversion Corp./(1)/ 60,049 936,164 Molex Inc. 58,568 1,580,750 Power-One Inc./(1)/ 25,176 180,008 ------------------------------------------------------------------------------- 2,696,922 ------------------------------------------------------------------------------- ELECTRONICS - 0.57% ------------------------------------------------------------------------------- Agilent Technologies Inc./(1)/ 144,124 2,817,624 Applera Corp. - Applied Biosystems Group 64,061 1,219,081 Jabil Circuit Inc./(1)/ 60,719 1,341,890 Johnson Controls Inc. 27,264 2,333,798 Millipore Corp./(1)/ 14,806 656,942 Parker Hannifin Corp. 36,113 1,516,385 PerkinElmer Inc. 38,499 531,671 Sanmina-SCI Corp./(1)/ 155,853 983,432 Solectron Corp./(1)/ 253,584 948,404 Symbol Technologies Inc. 70,457 916,646 Tektronix Inc./(1)/ 26,077 563,263 Thermo Electron Corp./(1)/ 49,610 1,042,802 Thomas & Betts Corp./(1)/ 17,814 257,412 Waters Corp./(1)/ 38,107 1,110,057 ------------------------------------------------------------------------------- 16,239,407 ------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION - 0.03% ------------------------------------------------------------------------------- Fluor Corp. 24,906 837,838 ------------------------------------------------------------------------------- 837,838 ------------------------------------------------------------------------------- ENTERTAINMENT - 0.09% ------------------------------------------------------------------------------- International Game Technology Inc./(1)/ 26,117 2,672,553 ------------------------------------------------------------------------------- 2,672,553 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.18% ------------------------------------------------------------------------------- Allied Waste Industries Inc./(1)/ 64,160 644,808 Waste Management Inc. 181,029 4,360,989 ------------------------------------------------------------------------------- 5,005,797 ------------------------------------------------------------------------------- FOOD - 1.79% ------------------------------------------------------------------------------- Albertson's Inc. 112,357 2,157,254 Archer-Daniels-Midland Co. 197,291 2,539,135 Campbell Soup Co. 125,543 3,075,803 ConAgra Foods Inc. 164,242 3,876,111 General Mills Inc. 113,034 5,358,942 Heinz (H.J.) Co. 107,469 3,544,328 Hershey Foods Corp. 40,168 2,798,103 Kellogg Co. 124,449 4,277,312 Kroger Co./(1)/ 230,989 3,852,897 McCormick & Co. Inc. 42,682 1,160,950 Safeway Inc./(1)/ 134,977 2,761,629 Sara Lee Corp. 237,891 4,474,730 SUPERVALU Inc. 40,877 871,498 Sysco Corp. 198,828 5,972,793 Winn-Dixie Stores Inc. 42,992 529,232 Wrigley (William Jr.) Co. 68,831 3,870,367 ------------------------------------------------------------------------------- 51,121,084 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.52% ------------------------------------------------------------------------------- Boise Cascade Corp. 17,787 425,109 Georgia-Pacific Corp. 76,521 1,450,073 International Paper Co. 146,487 5,233,980 Louisiana-Pacific Corp./(1)/ 31,891 345,698 MeadWestvaco Corp. 61,258 1,513,073 Plum Creek Timber Co. Inc. 56,078 1,455,224 Temple-Inland Inc. 16,508 708,358 Weyerhaeuser Co. 66,984 3,617,136 ------------------------------------------------------------------------------- 14,748,651 ------------------------------------------------------------------------------- GAS - 0.16% ------------------------------------------------------------------------------- KeySpan Corp. 48,096 1,705,003 Nicor Inc. 13,438 498,684 Peoples Energy Corp. 11,003 471,919 Sempra Energy 63,423 1,809,458 ------------------------------------------------------------------------------- 4,485,064 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.31% ------------------------------------------------------------------------------- Black & Decker Corp. 23,805 1,034,327 Emerson Electric Co. 128,757 6,579,483 Snap-On Inc. 17,766 515,747 38 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- HAND / MACHINE TOOLS (Continued) ------------------------------------------------------------------------------- Stanley Works (The) 26,225 $ 723,810 ------------------------------------------------------------------------------- 8,853,367 ------------------------------------------------------------------------------- HEALTH CARE - 4.53% ------------------------------------------------------------------------------- Aetna Inc. 46,440 2,795,688 Anthem Inc./(1)/ 42,332 3,265,914 Bard (C.R.) Inc. 15,906 1,134,257 Bausch & Lomb Inc. 16,251 609,412 Baxter International Inc. 182,747 4,751,422 Becton, Dickinson & Co. 77,894 3,026,182 Biomet Inc. 79,022 2,264,771 Boston Scientific Corp./(1)/ 125,461 7,665,667 Guidant Corp. 94,594 4,199,028 HCA Inc. 156,593 5,017,240 Health Management Associates Inc. Class A 72,958 1,346,075 Humana Inc./(1)/ 49,345 745,109 Johnson & Johnson 908,205 46,954,199 Manor Care Inc./(1)/ 27,645 691,401 Medtronic Inc. 373,056 17,895,496 Quest Diagnostics Inc./(1)/ 32,206 2,054,743 St. Jude Medical Inc./(1)/ 55,027 3,164,053 Stryker Corp. 60,719 4,212,077 Tenet Healthcare Corp./(1)/ 142,922 1,665,041 UnitedHealth Group Inc. 181,342 9,112,436 WellPoint Health Networks Inc./(1)/ 44,539 3,754,638 Zimmer Holdings Inc./(1)/ 60,076 2,706,424 ------------------------------------------------------------------------------- 129,031,273 ------------------------------------------------------------------------------- HOME BUILDERS - 0.12% ------------------------------------------------------------------------------- Centex Corp. 19,030 1,480,344 KB Home 14,533 900,755 Pulte Homes Inc. 18,720 1,154,275 ------------------------------------------------------------------------------- 3,535,374 ------------------------------------------------------------------------------- HOME FURNISHINGS - 0.11% ------------------------------------------------------------------------------- Leggett & Platt Inc. 59,145 1,212,473 Maytag Corp. 23,920 584,126 Whirlpool Corp. 20,968 1,335,662 ------------------------------------------------------------------------------- 3,132,261 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.35% ------------------------------------------------------------------------------- American Greetings Corp. Class A/(1)/ 20,099 394,744 Avery Dennison Corp. 33,775 1,695,505 Clorox Co. 66,370 2,830,681 Fortune Brands Inc. 44,509 2,323,370 Newell Rubbermaid Inc. 83,845 2,347,660 Tupperware Corp. 17,778 255,292 ------------------------------------------------------------------------------- 9,847,252 ------------------------------------------------------------------------------- INSURANCE - 3.07% ------------------------------------------------------------------------------- ACE Ltd. 80,946 2,775,638 AFLAC Inc. 157,141 4,832,086 Allstate Corp. (The) 215,318 7,676,087 Ambac Financial Group Inc. 32,492 2,152,595 AON Corp. 95,459 2,298,653 Chubb Corp. 56,611 3,396,660 CIGNA Corp. 42,866 2,012,130 Cincinnati Financial Corp. 49,146 1,822,825 Hancock (John) Financial Services Inc. 88,371 2,715,641 Hartford Financial Services Group Inc. 85,583 4,309,960 Jefferson-Pilot Corp. 43,539 1,805,127 Lincoln National Corp. 54,268 1,933,569 Loews Corp. 56,690 2,680,870 Marsh & McLennan Companies Inc. 163,846 8,367,615 MBIA Inc. 44,067 2,148,266 MetLife Inc. 232,514 6,584,796 MGIC Investment Corp. 30,249 1,410,813 Principal Financial Group Inc. 100,096 3,228,096 Progressive Corp. (The) 66,572 4,866,413 Prudential Financial Inc. 168,246 5,661,478 SAFECO Corp. 42,303 1,492,450 St. Paul Companies Inc. 69,592 2,540,804 Torchmark Corp. 35,586 1,325,579 Travelers Property Casualty Corp. Class B 307,822 4,854,353 UNUMProvident Corp. 87,937 1,179,235 XL Capital Ltd. Class A 41,775 3,467,325 ------------------------------------------------------------------------------- 87,539,064 ------------------------------------------------------------------------------- IRON / STEEL - 0.06% ------------------------------------------------------------------------------- Allegheny Technologies Inc. 24,504 161,726 Nucor Corp. 23,929 1,168,932 United States Steel Corp. 31,489 515,475 ------------------------------------------------------------------------------- 1,846,133 ------------------------------------------------------------------------------- LEISURE TIME - 0.41% ------------------------------------------------------------------------------- Brunswick Corp. 27,575 689,927 Carnival Corp. 192,264 6,250,503 Harley-Davidson Inc. 92,485 3,686,452 Sabre Holdings Corp. 43,788 1,079,374 ------------------------------------------------------------------------------- 11,706,256 ------------------------------------------------------------------------------- LODGING - 0.26% ------------------------------------------------------------------------------- Harrah's Entertainment Inc./(1)/ 33,620 1,352,869 Hilton Hotels Corp. 115,183 1,473,191 Marriott International Inc. Class A 71,007 2,728,089 Starwood Hotels & Resorts Worldwide Inc. 61,339 1,753,682 ------------------------------------------------------------------------------- 7,307,831 ------------------------------------------------------------------------------- 39 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- MACHINERY - 0.54% ------------------------------------------------------------------------------- Caterpillar Inc. 105,356 $ 5,864,115 Cummins Inc. 12,668 454,655 Deere & Co. 73,208 3,345,606 Dover Corp. 61,922 1,855,183 Ingersoll-Rand Co. Class A 51,795 2,450,939 McDermott International Inc./(1)/ 19,820 125,461 Rockwell Automation Inc. 56,807 1,354,279 ------------------------------------------------------------------------------- 15,450,238 ------------------------------------------------------------------------------- MANUFACTURERS - 4.95% ------------------------------------------------------------------------------- Cooper Industries Ltd. 28,539 1,178,661 Crane Co. 18,084 409,241 Danaher Corp. 46,736 3,180,385 Eastman Kodak Co. 87,741 2,399,716 Eaton Corp. 22,808 1,792,937 General Electric Co. 3,057,452 87,687,723 Honeywell International Inc. 262,411 7,045,735 Illinois Tool Works Inc. 94,073 6,194,707 ITT Industries Inc. 28,090 1,838,771 Pall Corp. 37,664 847,440 Textron Inc. 41,402 1,615,506 3M Co. 119,556 15,420,334 Tyco International Ltd. 610,833 11,593,610 ------------------------------------------------------------------------------- 141,204,766 ------------------------------------------------------------------------------- MEDIA - 3.82% ------------------------------------------------------------------------------- AOL Time Warner Inc./(1)/ 1,375,695 22,134,933 Clear Channel Communications Inc./(1)/ 187,851 7,963,004 Comcast Corp. Class A/(1)/ 688,068 20,765,892 Dow Jones & Co. Inc. 24,955 1,073,814 Gannett Co. Inc. 82,157 6,310,479 Knight Ridder Inc. 24,978 1,721,734 McGraw-Hill Companies Inc. (The) 58,383 3,619,746 Meredith Corp. 15,189 668,316 New York Times Co. Class A 46,187 2,101,509 Tribune Co. 94,503 4,564,495 Univision Communications Inc. Class A/(1)/ 70,087 2,130,645 Viacom Inc. Class B/(1)/ 537,241 23,455,942 Walt Disney Co. (The) 625,007 12,343,888 ------------------------------------------------------------------------------- 108,854,397 ------------------------------------------------------------------------------- METAL FABRICATE / HARDWARE - 0.01% ------------------------------------------------------------------------------- Worthington Industries Inc. 26,211 351,227 ------------------------------------------------------------------------------- 351,227 ------------------------------------------------------------------------------- MINING - 0.45% ------------------------------------------------------------------------------- Alcoa Inc. 258,536 6,592,668 Freeport-McMoRan Copper & Gold Inc. 44,434 1,088,633 Newmont Mining Corp. 123,008 3,992,840 Phelps Dodge Corp./(1)/ 27,218 1,043,538 ------------------------------------------------------------------------------- 12,717,679 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.19% ------------------------------------------------------------------------------- Pitney Bowes Inc. 71,726 2,754,996 Xerox Corp./(1)/ 239,090 2,531,963 ------------------------------------------------------------------------------- 5,286,959 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 5.04% ------------------------------------------------------------------------------- Amerada Hess Corp. 27,488 1,351,860 Anadarko Petroleum Corp. 76,292 3,392,705 Apache Corp. 49,420 3,215,265 Burlington Resources Inc. 61,478 3,324,115 ChevronTexaco Corp. 326,811 23,595,754 ConocoPhillips 207,620 11,377,576 Devon Energy Corp. 70,581 3,769,025 EOG Resources Inc. 35,121 1,469,463 Exxon Mobil Corp. 2,043,444 73,380,074 Kerr-McGee Corp. 30,828 1,381,094 Kinder Morgan Inc. 37,325 2,039,811 Marathon Oil Corp. 94,903 2,500,694 Nabors Industries Ltd./(1)/ 44,528 1,761,082 Noble Corp./(1)/ 40,946 1,404,448 Occidental Petroleum Corp. 115,990 3,891,465 Rowan Companies Inc./(1)/ 28,598 640,595 Sunoco Inc. 23,419 883,833 Transocean Inc./(1)/ 97,775 2,148,117 Unocal Corp. 78,897 2,263,555 ------------------------------------------------------------------------------- 143,790,531 ------------------------------------------------------------------------------- OIL & GAS SERVICES - 0.59% ------------------------------------------------------------------------------- Baker Hughes Inc. 102,960 3,456,367 BJ Services Co./(1)/ 48,324 1,805,385 Halliburton Co. 133,688 3,074,824 Schlumberger Ltd. 178,107 8,472,550 ------------------------------------------------------------------------------- 16,809,126 ------------------------------------------------------------------------------- PACKAGING & CONTAINERS - 0.13% ------------------------------------------------------------------------------- Ball Corp. 17,419 792,739 Bemis Co. 16,219 759,049 Pactiv Corp./(1)/ 48,725 960,370 Sealed Air Corp./(1)/ 25,795 1,229,390 ------------------------------------------------------------------------------- 3,741,548 ------------------------------------------------------------------------------- PHARMACEUTICALS - 8.32% ------------------------------------------------------------------------------- Abbott Laboratories 477,500 20,895,400 Allergan Inc. 39,827 3,070,662 AmerisourceBergen Corp. 33,753 2,340,771 Bristol-Myers Squibb Co. 592,937 16,098,240 Cardinal Health Inc. 136,621 8,784,730 Forest Laboratories Inc./(1)/ 111,032 6,079,002 King Pharmaceuticals Inc./(1)/ 73,725 1,088,181 40 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PHARMACEUTICALS (Continued) ------------------------------------------------------------------------------- Lilly (Eli) & Co. 343,692 $ 23,704,437 MedImmune Inc./(1)/ 77,084 2,803,545 Merck & Co. Inc. 685,958 41,534,757 Pfizer Inc. 2,415,319 82,483,144 Schering-Plough Corp. 449,311 8,357,185 Watson Pharmaceuticals Inc./(1)/ 32,737 1,321,593 Wyeth 406,230 18,503,777 ------------------------------------------------------------------------------- 237,065,424 ------------------------------------------------------------------------------- PIPELINES - 0.11% ------------------------------------------------------------------------------- Dynegy Inc. Class A 113,732 477,674 El Paso Corp. 183,276 1,480,870 Williams Companies Inc. 158,234 1,250,049 ------------------------------------------------------------------------------- 3,208,593 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.31% ------------------------------------------------------------------------------- Apartment Investment & Management Co. Class A 28,708 993,297 Equity Office Properties Trust 123,302 3,330,387 Equity Residential 83,332 2,162,465 Simon Property Group Inc. 57,790 2,255,544 ------------------------------------------------------------------------------- 8,741,693 ------------------------------------------------------------------------------- RETAIL - 7.18% ------------------------------------------------------------------------------- AutoNation Inc./(1)/ 86,248 1,355,819 AutoZone Inc./(1)/ 27,412 2,082,490 Bed Bath & Beyond Inc./(1)/ 90,305 3,504,737 Best Buy Co. Inc./(1)/ 98,555 4,328,536 Big Lots Inc./(1)/ 35,635 535,950 Circuit City Stores Inc. 63,614 559,803 CVS Corp. 120,494 3,377,447 Darden Restaurants Inc. 51,640 980,127 Dillards Inc. Class A 25,845 348,132 Dollar General Corp. 101,955 1,861,698 eBay Inc./(1)/ 97,118 10,117,753 Family Dollar Stores Inc. 52,597 2,006,576 Federated Department Stores Inc. 57,385 2,114,637 Gap Inc. (The) 272,389 5,110,018 Home Depot Inc. 702,973 23,282,466 Kohls Corp./(1)/ 103,632 5,324,612 Limited Brands Inc. 159,860 2,477,830 Lowe's Companies Inc. 238,541 10,245,336 May Department Stores Co. (The) 88,197 1,963,265 McDonald's Corp. 389,177 8,585,245 Nordstrom Inc. 41,495 809,982 Office Depot Inc./(1)/ 94,427 1,370,136 Penney (J.C.) Co. Inc. (Holding Co.) 82,228 1,385,542 RadioShack Corp. 51,537 1,355,938 Sears, Roebuck and Co. 94,046 3,163,707 Staples Inc./(1)/ 148,902 2,732,352 Starbucks Corp./(1)/ 119,425 2,928,301 Target Corp. 278,589 10,541,808 Tiffany & Co. 44,412 1,451,384 TJX Companies Inc. 156,322 2,945,106 Toys R Us Inc./(1)/ 65,090 788,891 Walgreen Co. 313,507 9,436,561 Wal-Mart Stores Inc. 1,339,656 71,899,338 Wendy's International Inc. 34,804 1,008,272 Yum! Brands Inc./(1)/ 89,575 2,647,837 ------------------------------------------------------------------------------- 204,627,632 ------------------------------------------------------------------------------- SEMICONDUCTORS - 3.15% ------------------------------------------------------------------------------- Advanced Micro Devices Inc./(1)/ 105,623 677,043 Altera Corp./(1)/ 117,071 1,919,964 Analog Devices Inc./(1)/ 111,726 3,890,299 Applied Materials Inc./(1)/ 506,961 8,040,401 Applied Micro Circuits Corp./(1)/ 92,844 561,706 Broadcom Corp. Class A/(1)/ 85,644 2,133,392 Intel Corp. 1,999,021 41,547,652 KLA-Tencor Corp./(1)/ 58,197 2,705,579 Linear Technology Corp. 95,716 3,083,012 LSI Logic Corp./(1)/ 114,644 811,680 Maxim Integrated Products Inc. 99,292 3,394,793 Micron Technology Inc./(1)/ 186,110 2,164,459 National Semiconductor Corp./(1)/ 55,765 1,099,686 Novellus Systems Inc./(1)/ 45,831 1,678,377 NVIDIA Corp./(1)/ 48,617 1,118,677 PMC-Sierra Inc./(1)/ 51,603 605,303 QLogic Corp./(1)/ 28,713 1,387,699 Teradyne Inc./(1)/ 56,517 978,309 Texas Instruments Inc. 528,964 9,309,766 Xilinx Inc./(1)/ 103,178 2,611,435 ------------------------------------------------------------------------------- 89,719,232 ------------------------------------------------------------------------------- SOFTWARE - 5.30% ------------------------------------------------------------------------------- Adobe Systems Inc. 70,893 2,273,539 Autodesk Inc. 34,262 553,674 Automatic Data Processing Inc. 183,030 6,197,396 BMC Software Inc./(1)/ 71,398 1,165,929 Citrix Systems Inc./(1)/ 50,701 1,032,272 Computer Associates International Inc. 176,798 3,939,059 Compuware Corp./(1)/ 115,478 666,308 Electronic Arts Inc./(1)/ 44,530 3,294,775 First Data Corp. 228,881 9,484,829 Fiserv Inc./(1)/ 59,072 2,103,554 IMS Health Inc. 74,512 1,340,471 Intuit Inc./(1)/ 62,843 2,798,399 Mercury Interactive Corp./(1)/ 26,090 1,007,335 Microsoft Corp. 3,284,408 84,113,689 Novell Inc./(1)/ 112,371 346,103 Oracle Corp./(1)/ 1,604,156 19,281,955 Parametric Technology Corp./(1)/ 80,582 245,775 PeopleSoft Inc./(1)/ 96,786 1,702,466 Siebel Systems Inc./(1)/ 149,663 1,427,785 Symantec Corp./(1)/ 45,164 1,980,893 41 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- SOFTWARE (Continued) ------------------------------------------------------------------------------- Yahoo! Inc./(1)/ 184,503 $ 6,044,318 ------------------------------------------------------------------------------- 151,000,524 ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.86% ------------------------------------------------------------------------------- ADC Telecommunications Inc./(1)/ 244,884 570,090 Andrew Corp./(1)/ 29,996 275,963 Avaya Inc./(1)/ 116,495 752,558 CIENA Corp./(1)/ 143,902 746,851 Comverse Technology Inc./(1)/ 57,503 864,270 JDS Uniphase Corp./(1)/ 437,232 1,534,684 Lucent Technologies Inc./(1)/ 1,265,077 2,568,106 Motorola Inc. 708,304 6,679,307 QUALCOMM Inc. 241,465 8,632,374 Scientific-Atlanta Inc. 45,695 1,089,369 Tellabs Inc./(1)/ 126,198 829,121 ------------------------------------------------------------------------------- 24,542,693 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 1.89% ------------------------------------------------------------------------------- AT&T Wireless Services Inc./(1)/ 829,479 6,810,023 Citizens Communications Co./(1)/ 86,627 1,116,622 Corning Inc./(1)/ 387,106 2,860,713 Nextel Communications Inc. Class A/(1)/ 314,443 5,685,129 Qwest Communications International Inc./(1)/ 518,419 2,478,043 Sprint Corp. (PCS Group)/(1)/ 312,903 1,799,192 Verizon Communications Inc. 841,332 33,190,547 ------------------------------------------------------------------------------- 53,940,269 ------------------------------------------------------------------------------- TELEPHONE - 1.95% ------------------------------------------------------------------------------- Alltel Corp. 95,202 4,590,640 AT&T Corp. 240,476 4,629,163 BellSouth Corp. 565,095 15,048,480 CenturyTel Inc. 43,751 1,524,722 SBC Communications Inc. 1,016,351 25,967,768 Sprint Corp. (FON Group) 274,967 3,959,525 ------------------------------------------------------------------------------- 55,720,298 ------------------------------------------------------------------------------- TEXTILES - 0.07% ------------------------------------------------------------------------------- Cintas Corp. 52,119 1,847,097 ------------------------------------------------------------------------------- 1,847,097 ------------------------------------------------------------------------------- TOBACCO - 1.08% ------------------------------------------------------------------------------- Altria Group Inc. 619,507 28,150,398 R.J. Reynolds Tobacco Holdings Inc. 25,871 962,660 UST Inc. 51,124 1,790,874 ------------------------------------------------------------------------------- 30,903,932 ------------------------------------------------------------------------------- TOYS/GAMES/HOBBIES - 0.12% ------------------------------------------------------------------------------- Hasbro Inc. 53,038 927,635 SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- TOYS/GAMES/HOBBIES (Continued) ------------------------------------------------------------------------------- Mattel Inc. 134,459 $ 2,543,964 ------------------------------------------------------------------------------- 3,471,599 ------------------------------------------------------------------------------- TRANSPORTATION - 1.39% ------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 114,098 3,244,947 CSX Corp. 65,329 1,965,750 FedEx Corp. 91,251 5,660,300 Norfolk Southern Corp. 119,193 2,288,506 Union Pacific Corp. 77,708 4,508,618 United Parcel Service Inc. Class B 344,231 21,927,515 ------------------------------------------------------------------------------- 39,595,636 ------------------------------------------------------------------------------- TRUCKING & LEASING - 0.02% ------------------------------------------------------------------------------- Ryder System Inc. 19,154 490,725 ------------------------------------------------------------------------------- 490,725 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $2,840,355,304) 2,748,672,117 ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 8.41% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(2)/ 166,375,722 166,375,722 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(2)/ 24,246,059 24,246,059 BlackRock Temp Cash Money Market Fund/(2)/ 1,222,710 1,222,710 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(2)/ 6,357,794 6,357,794 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(2)/ 2,694,007 2,694,007 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(2)/ $ 1,616,404 1,616,404 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(2)/ 1,346,801 1,346,801 1.17%, 08/15/03/(2)/ 2,020,618 2,020,618 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(2)/ 1,077,602 1,077,602 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(2)/ 1,185,304 1,185,304 1.31%, 05/24/04/(2)/ 2,693,737 2,693,737 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(2)/ 2,693,602 2,693,602 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(2)/ 1,347,003 1,347,003 42 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(2)/ $ 2,694,007 $ 2,694,007 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(2)/ 538,801 538,801 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(2)/ 1,346,936 1,346,936 1.22%, 04/13/04/(2)/ 1,346,936 1,346,936 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(2)/ 1,346,734 1,346,734 1.08%, 03/29/04/(2)/ 1,347,003 1,347,003 1.29%, 05/04/04/(2)/ 1,346,936 1,346,936 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(2)/ 2,693,872 2,693,872 U.S. Treasury Bill 0.85%/(3)/, 09/25/03/(4)/ 9,450,000 9,430,627 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(2)/ 1,347,003 1,347,003 1.14%, 05/17/04/(2)/ 1,616,404 1,616,404 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $239,934,156) 239,932,622 ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.07% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(2)/ 1,347,003 1,347,003 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(2)/ 538,801 538,801 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $1,885,804) 1,885,804 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 104.89% (Cost $3,082,175,264) 2,990,490,543 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (4.89%) (139,522,597) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 2,850,967,946 =============================================================================== /(1)/ Non-income earning securities. /(2)/ All or a portion of this security represents investments of securities lending collateral. /(3)/ Yield to Maturity. /(4)/ This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio's holdings of index futures contracts. See Note 1. The accompanying notes are an integral part of these financial statements. 43 MASTER INVESTMENT PORTFOLIO STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2003 (Unaudited)

ASSET ALLOCATION BOND INDEX MONEY MARKET S&P 500 INDEX MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO --------------------------------------------------------------------------------------------------------------- ASSETS Investments at cost $ 181,007,282 $ 763,362,029 $ 4,356,074,408 $ 3,082,175,264 ---------------- ---------------- ---------------- ---------------- Investments in securities, at value (including securities on loan /(1)/) (Note 1) $ 197,201,028 $ 798,650,868 $ 4,356,074,408 $ 2,990,490,543 Cash -- -- 284 -- Receivables: Investment securities sold 11,404,156 16,629,500 -- -- Dividends and interest 1,050,925 6,552,628 7,372,993 3,505,157 ---------------- ---------------- ---------------- ---------------- Total Assets 209,656,109 821,832,996 4,363,447,685 2,993,995,700 ---------------- ---------------- ---------------- ---------------- LIABILITIES Payables: Investment securities purchased 11,431,479 68,779,662 -- -- Due to broker -- variation margin -- -- -- 22,260 Collateral for securities loaned (Note 4) 18,856,211 97,019,853 -- 142,749,585 Due to bank 43,500 -- -- -- Advisory fees (Note 2) 103,707 94,993 663,063 255,909 ---------------- ---------------- ---------------- ---------------- Total Liabilities 30,434,897 165,894,508 663,063 143,027,754 ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 179,221,212 $ 655,938,488 $ 4,362,784,622 $ 2,850,967,946 ================ ================ ================ ================

/(1)/ Securities on loan with market values of $18,255,622, $95,171,354, $ -- and $137,590,771, respectively. See Note 4. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2003 (Unaudited)

ASSET ALLOCATION BOND INDEX MONEY MARKET S&P 500 INDEX MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO --------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME Dividends/(2)/ $ 1,083,673 $ -- $ -- $ 21,247,302 Interest 1,253,754 13,798,912 27,317,199 748,126 Securities lending income 5,805 30,922 -- 44,064 ---------------- ---------------- ---------------- ---------------- Total investment income 2,343,232 13,829,834 27,317,199 22,039,492 ---------------- ---------------- ---------------- ---------------- EXPENSES (Note 2) Advisory fees 310,897 250,757 1,992,129 620,619 ---------------- ---------------- ---------------- ---------------- Total expenses 310,897 250,757 1,992,129 620,619 ---------------- ---------------- ---------------- ---------------- Net investment income 2,032,335 13,579,077 25,325,070 21,418,873 ---------------- ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on sale of investments (8,024,770) 4,970,859 17,236 (51,725,104) Net realized gain on futures contracts 505,775 -- -- 7,697,446 Net change in unrealized appreciation (depreciation) of investments 21,038,940 6,057,227 -- 310,520,446 Net change in unrealized appreciation (depreciation) of futures contracts 12,684 -- -- 1,004,340 ---------------- ---------------- ---------------- ---------------- Net gain on investments 13,532,629 11,028,086 17,236 267,497,128 ---------------- ---------------- ---------------- ---------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 15,564,964 $ 24,607,163 $ 25,342,306 $ 288,916,001 ================ ================ ================ ================

/(2)/ Net of foreign withholding tax of $156, $ --, $ -- and $6,109, respectively. The accompanying notes are an integral part of these financial statements. 44 MASTER INVESTMENT PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS

ASSET ALLOCATION MASTER PORTFOLIO BOND INDEX MASTER PORTFOLIO ------------------------------------- ------------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE MONTHS ENDED FOR THE JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 YEAR ENDED (Unaudited) DECEMBER 31, 2002 (Unaudited) DECEMBER 31, 2002 ------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 2,032,335 $ 6,445,663 $ 13,579,077 $ 30,232,332 Net realized gain (loss) (7,518,995) (45,576,526) 4,970,859 9,762,741 Net change in unrealized appreciation (depreciation) 21,051,624 (464,135) 6,057,227 16,148,940 ----------------- ----------------- ---------------- ----------------- Net increase (decrease) in net assets resulting from operations 15,564,964 (39,594,998) 24,607,163 56,144,013 ----------------- ----------------- ---------------- ----------------- INTERESTHOLDER TRANSACTIONS: Contributions 11,525,563 34,189,822 94,255,831 235,474,677 Withdrawals (67,487,191) (119,988,263) (93,409,081) (204,797,701) ----------------- ----------------- ---------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions (55,961,628) (85,798,441) 846,750 30,676,976 ----------------- ----------------- ---------------- ----------------- Increase (decrease) in net assets (40,396,664) (125,393,439) 25,453,913 86,820,989 NET ASSETS: Beginning of period 219,617,876 345,011,315 630,484,575 543,663,586 ----------------- ----------------- ---------------- ----------------- End of period $ 179,221,212 $ 219,617,876 $ 655,938,488 $ 630,484,575 ================= ================= ================ =================

MONEY MARKET MASTER PORTFOLIO S&P 500 INDEX MASTER PORTFOLIO ------------------------------------- ------------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE MONTHS ENDED FOR THE JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 YEAR ENDED (Unaudited) DECEMBER 31, 2002 (Unaudited) DECEMBER 31, 2002 ------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 25,325,070 $ 45,475,626 $ 21,418,873 $ 40,577,166 Net realized gain (loss) 17,236 8,083 (44,027,658) (255,819,289) Net change in unrealized appreciation (depreciation) -- -- 311,524,786 (457,092,164) ----------------- ----------------- ---------------- ----------------- Net increase (decrease) in net assets resulting from operations 25,342,306 45,483,709 288,916,001 (672,334,287) ----------------- ----------------- ---------------- ----------------- INTERESTHOLDER TRANSACTIONS: Contributions 10,721,799,532 11,212,874,658 680,765,775 1,124,925,648 Withdrawals (10,273,118,999) (9,134,078,695) (458,632,915) (904,586,226) ----------------- ----------------- ---------------- ----------------- Net increase in net assets resulting from interestholder transactions 448,680,533 2,078,795,963 222,132,860 220,339,422 ----------------- ----------------- ---------------- ----------------- Increase (decrease) in net assets 474,022,839 2,124,279,672 511,048,861 (451,994,865) NET ASSETS: Beginning of period 3,888,761,783 1,764,482,111 2,339,919,085 2,791,913,950 ----------------- ----------------- ---------------- ----------------- End of period $ 4,362,784,622 $ 3,888,761,783 $ 2,850,967,946 $ 2,339,919,085 ================= ================= ================ =================

The accompanying notes are an integral part of these financial statements. 45 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) 1. SIGNIFICANT ACCOUNTING POLICIES Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Delaware business trust. MIP currently consists of the following separate portfolios: Asset Allocation, Bond Index, Extended Index, International Index, LifePath Retirement (formerly LifePath Income), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, Russell 2000 Index, S&P 500 Index and U.S. Equity Index Master Portfolios. These financial statements relate only to the Asset Allocation, Bond Index, Money Market and S&P 500 Index Master Portfolios (each, a "Master Portfolio", collectively the "Master Portfolios"). The following is a summary of significant accounting policies which are consistently followed by MIP in the preparation of its financial statements. Such policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION The equity securities of each Master Portfolio are valued at the last reported sales price on the primary securities exchange or national securities market on which such securities are traded. Beginning April 14, 2003, securities for which the primary market is the National Association of Securities Dealers Automated Quotations National Market System ("NASDAQ") are valued at the NASDAQ Official Closing Price. Securities not listed on an exchange or national securities market, or securities for which there was no last reported sales price, are valued at the most recent bid prices. Debt securities are generally traded in the over-the-counter market and are valued at a price deemed best to reflect fair value as quoted by dealers who make markets in those securities or by an independent pricing source. U.S. Government obligations are valued at the last reported bid price. Debt securities maturing in 60 days or less are valued at amortized cost, which approximates market value. Mutual fund shares are valued at net asset value. Any securities, restricted securities or other assets for which market quotations are not readily available, or for which a significant event has occurred since the time of the most recent market quotation, are valued in accordance with fair value pricing policies approved by MIP's Board of Trustees. The Money Market Master Portfolio uses the amortized cost method of valuation to determine the value of its portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value. SECURITY TRANSACTIONS AND INCOME RECOGNITION Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method. FEDERAL INCOME TAXES MIP believes that each Master Portfolio has and will continue to be operated in a manner so as to qualify it as a partnership for federal income tax purposes. Provided that each Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gain (if any). However, each investor in a Master Portfolio will be taxed on its distributive share of the Master Portfolio's taxable income in determining its federal income tax liability. As a partnership for federal income tax purposes, each Master Portfolio will be deemed to have "passed through" to interestholders any interest, dividends, gains or losses for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the "Code"), and regulations promulgated thereunder. It is intended that each Master Portfolio's assets, income and distributions will be managed in such a way that an entity electing and qualifying as a "regulated investment company" under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company 46 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) meets other requirements for such qualification not within the control of the Master Portfolio (e.g. distributing at least 90% of the regulated investment company's "investment company taxable income" annually). FUTURES CONTRACTS The Master Portfolios may purchase futures contracts to gain exposure to market changes as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange traded. Upon entering into a futures contract, the Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt securities equal to the minimum "initial margin" requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Master Portfolio as unrealized gains or losses. When the contract is closed, the Master Portfolio records a 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. Pursuant to regulations and/or published positions of the Securities and Exchange Commission, the Master Portfolio is required to segregate cash, U.S. Government securities or high quality, liquid debt instruments in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. As of June 30, 2003, the open futures contracts outstanding were as follows:

NUMBER OF EXPIRATION NOTIONAL NET UNREALIZED MASTER PORTFOLIO CONTRACTS FUTURES INDEX DATE CONTRACT VALUE DEPRECIATION ------------------------------------------------------------------------------------------------------- Asset Allocation Master Portfolio 15 S&P 500 09/19/03 $ 3,789,450 $ (139,566) S&P 500 Index Master Portfolio 421 S&P 500 09/19/03 103,833,680 (1,393,955)

The Asset Allocation and the S&P 500 Index Master Portfolios have pledged to brokers U.S. Treasury Bills for initial margin requirements with face amounts of $400,000 and $9,450,000, respectively. REPURCHASE AGREEMENTS Each Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as a loan by the Master Portfolio to the seller, collateralized by securities, which are delivered to the Master Portfolio's custodian, or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest. The repurchase agreements held by the Money Market Master Portfolio at June 30, 2003 were fully collateralized by U.S. Government and Agency obligations as follows:

AGGREGATE REPURCHASE AGREEMENT INTEREST RATE(S) MATURITY DATE(S) MARKET VALUE ---------------------------------------------------------------------------------------- Goldman Sachs Tri-Party 5.50% 06/01/33 $ 26,497,561 Lehman Brothers Tri-Party 5.50 - 6.625 09/15/09 - 09/15/11 50,987,383 Merrill Lynch Tri-Party 3.51 - 6.33 09/01/27 - 04/01/33 25,500,927

The repurchase agreements held by the Asset Allocation, Bond Index and S&P 500 Index Master Portfolios at June 30, 2003 represent collateral from securities on loan. 2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy direction in connection with the management of each Master Portfolio's assets. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive 0.35%, 0.08%, 0.10% and 0.05% of the average daily net assets of the Asset Allocation, Bond Index, Money Market and S&P 500 Index Master Portfolios, respectively, as compensation for advisory services. 47 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) Investors Bank & Trust Company ("IBT") serves as the custodian to each Master Portfolio. IBT will not be entitled to receive fees for its custodial services so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. ("BGI") for its services as sub-administrator of each Master Portfolio. Prior to February 24, 2003, IBT served as securities lending agent for MIP. Effective February 24, 2003, BGI began serving as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios' investment advisor. The Board of Trustees has approved the selection of BGI as securities lending agent subject to the conditions of the exemptive order that was issued by the Securities and Exchange Commission ("SEC"). As securities lending agent, BGI receives a fee based on a share of the income earned on investment of the cash collateral received for the loan of securities. For the period from February 24, 2003 through June 30, 2003, BGI earned securities lending agent fees as follows: SECURITIES LENDING MASTER PORTFOLIO AGENT FEES -------------------------------------------------------- Asset Allocation Master Portfolio $ 1,407 Bond Index Master Portfolio 11,717 S&P 500 Index Master Portfolio 20,982 SEI Investment Distribution Company is the sponsor and placement agent for the Master Portfolios. Prior to April 1, 2003, Stephens Inc. served as sponsor and placement agent for the Master Portfolios. MIP has entered into administration services arrangements with BGI who has agreed to provide general administration services to the Master Portfolios, such as managing and coordinating third-party service relationships. BGI is not entitled to compensation for providing administration services to the Master Portfolios for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BGI (or an affiliate) receives advisory from the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators. Prior to April 1, 2003, BGI and Stephens Inc. jointly served as co-administrators for the Master Portfolios. Barclays Global Investors Services ("BGIS"), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the six months ended June 30, 2003, BGIS did not receive any brokerage commissions from the Master Portfolios. Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Institutional Money Market Fund ("IMMF") and Prime Money Market Fund ("PMMF") of Barclays Global Investors Funds. The IMMF and PMMF are feeder funds in a master/feeder fund structure that invests substantially all of its assets in the Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios' investment advisor. The IMMF and PMMF are open-end money market funds available only to institutional investors, including other investment companies managed by BGFA. The IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the IMMF and PMMF do not directly charge an advisory fee, the master portfolios in which they invest do charge an advisory fee. Income distributions from the IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest income or securities lending income, respectively, in the accompanying Statements of Operations. Pursuant to Rule 17a-7 of the 1940 Act, certain Master Portfolios executed cross trades for the six months ended June 30, 2003. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment advisor. The Board has concluded that all transactions executed during the first quarter of 2003 were in compliance with the requirements and restrictions set forth by Rule 17a-7, and has not yet reviewed those transactions executed during the second quarter of 2003. Certain officers and trustees of MIP are also officers or employees of BGI. As of June 30, 2003, these officers or employees of BGI collectively owned less than 1% of MIP's outstanding beneficial interests. 48 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) 3. INVESTMENT PORTFOLIO TRANSACTIONS Investment transactions (exclusive of short-term investments) for the six months ended June 30, 2003 were as follows:

U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES ------------------------------- ---------------------------- MASTER PORTFOLIO PURCHASES SALES PURCHASES SALES -------------------------------------------------------------------------------------------------- Asset Allocation Master Portfolio $ 70,103,744 $ 32,116,315 $ 19,932,477 $ 110,624,024 Bond Index Master Portfolio 214,374,697 211,907,747 34,138,702 18,894,459 S&P 500 Index Master Portfolio -- -- 330,630,186 85,664,742

At June 30, 2003, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

NET UNREALIZED TAX UNREALIZED UNREALIZED APPRECIATION MASTER PORTFOLIO COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------------------------------------------------------------------------------------------------- Asset Allocation Master Portfolio $ 213,546,947 $ -- $ (16,345,919) $ (16,345,919) Bond Index Master Portfolio 766,545,318 32,611,534 (505,984) 32,105,550 S&P 500 Index Master Portfolio 3,225,296,197 189,022,448 (423,828,102) (234,805,654)

At June 30, 2003, the Money Market Master Portfolio's cost for federal income tax purposes was the same as for financial statement purposes. The Asset Allocation, Bond Index and S&P 500 Index Master Portfolios' "tax cost" does not reflect any book/tax adjustments for the period ended June 30, 2003. 4. PORTFOLIO SECURITIES LOANED Each Master Portfolio may lend its investment securities to approved borrowers such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received is required to have a value of at least 102% of the market value of the loaned securities for securities denominated in U.S. dollars and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required, or return the securities when due. As of June 30, 2003, certain of the Master Portfolios had loaned securities which were collateralized by cash. The cash collateral received was invested in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds. The market value of the securities on loan at June 30, 2003 and the value of the related collateral are disclosed in the Statements of Assets and Liabilities. 49 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) 5. FINANCIAL HIGHLIGHTS Financial highlights for each of the Master Portfolios were as follows:

------------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED JUNE 30, 2003 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, (Unaudited) 2002 2001 2000 1999/(1)/ ------------------------------------------------------------------------------------------------------------------------ ASSET ALLOCATION MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.35% 0.35% 0.35% 0.35% 0.35% Ratio of net investment income to average net assets/(3)/ 2.29% 2.28% 2.31%/(5)/ 2.82% 2.75% Portfolio turnover rate 51% 92% 35% 53% 39% Total return 10.09%/(2)/ (11.83)% (6.52)% 1.51% 10.35%/(2)/ BOND INDEX MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.08% 0.08% 0.08% 0.08% 0.08% Ratio of net investment income to average net assets/(3)/ 4.33% 5.27% 5.98%/(5)/ 6.73% 6.44% Portfolio turnover rate 37% 118% 53% 52% 25% Total return 4.00%/(2)/ 10.05% 8.94% 11.91% (0.67)%/(2)/ MONEY MARKET MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.10% 0.10% 0.10% 0.10% 0.10% Ratio of net investment income to average net assets/(3)/ 1.27% 1.80% 3.66% 6.43% 5.23% Total return 0.64%/(2)/ 1.84% 4.23% 6.52% 4.44%/(2)/ S&P 500 INDEX MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.05% 0.05% 0.05% 0.05% 0.05% Ratio of net investment income to average net assets/(3)/ 1.73% 1.57% 1.31% 1.22% 1.44% Portfolio turnover rate 4% 12% 9% 10% 7% Total return 11.68%/(2)/ (22.05)% (11.96)% (9.19)% 19.82%/(2)/

YEAR ENDED YEAR ENDED FEBRUARY 28, FEBRUARY 28, 1999 1998 --------------------------------------------------------------------- ASSET ALLOCATION MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.35% 0.35% Ratio of net investment income to average net assets/(3)/ 2.24% 3.76% Portfolio turnover rate 33% 57% Total return 18.23% 27.50% BOND INDEX MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.08% 0.08% Ratio of net investment income to average net assets/(3)/ 6.31% 6.73% Portfolio turnover rate 28% 59% Total return 6.39% 10.51% MONEY MARKET MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.10%/(4)/ N/A Ratio of net investment income to average net assets/(3)/ 5.17%/(4)/ N/A Total return 2.61%/(2)//(4)/ N/A S&P 500 INDEX MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.05% 0.05% Ratio of net investment income to average net assets/(3)/ 1.61% 1.89% Portfolio turnover rate 11% 6% Total return 19.65% 34.77%

/(1)/ For the ten months ended December 31, 1999. The Master Portfolios changed their fiscal year-end from February 28 to December 31. /(2)/ Not annualized. /(3)/ Annualized for periods of less than one year. /(4)/ For the period from September 1, 1998 (commencement of operations) to February 28, 1999. /(5)/ Effective January 1, 2001, the Asset Allocation and Bond Index Master Portfolios adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums on debt securities. The effect of this change for the year ended December 31, 2001 for the Asset Allocation and Bond Index Master Portfolios was to decrease the ratio of net investment income to average net assets from 2.34% to 2.31% and 6.37% To 5.98%, respectively. Ratios and supplemental data for the periods prior to January 1, 2001 have not been restated to reflect this change in policy. 50 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMON STOCKS - 34.78% U.S. COMMON STOCKS - 26.28% ADVERTISING - 0.07% ------------------------------------------------------------------------------- Interpublic Group of Companies Inc. 834 $ 11,159 Omnicom Group Inc. 322 23,087 ------------------------------------------------------------------------------- 34,246 ------------------------------------------------------------------------------- AEROSPACE / DEFENSE - 0.36% ------------------------------------------------------------------------------- Boeing Co. (The) 1,239 42,522 General Dynamics Corp. 231 16,747 Goodrich (B.F.) Co. 601 12,621 Lockheed Martin Corp. 625 29,731 Northrop Grumman Corp. 196 16,913 Raytheon Co. 700 22,988 Sequa Corp. Class A/(1)/ 216 7,409 United Technologies Corp. 542 38,390 ------------------------------------------------------------------------------- 187,321 ------------------------------------------------------------------------------- AIRLINES - 0.05% ------------------------------------------------------------------------------- Southwest Airlines Co. 1,477 25,404 ------------------------------------------------------------------------------- 25,404 ------------------------------------------------------------------------------- APPAREL - 0.11% ------------------------------------------------------------------------------- Liz Claiborne Inc. 443 15,616 Nike Inc. Class B 376 20,112 Oxford Industries Inc. 317 13,162 Unifi Inc./(1)/ 1,276 7,911 ------------------------------------------------------------------------------- 56,801 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.15% ------------------------------------------------------------------------------- Ford Motor Company 2,600 28,574 General Motors Corp. 754 27,144 PACCAR Inc. 366 24,727 ------------------------------------------------------------------------------- 80,445 ------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT - 0.04% ------------------------------------------------------------------------------- Cooper Tire & Rubber Co. 1,052 18,505 ------------------------------------------------------------------------------- 18,505 ------------------------------------------------------------------------------- BANKS - 2.24% ------------------------------------------------------------------------------- AmSouth Bancorp 1,084 23,675 Bank of America Corp. 1,784 140,990 Bank of New York Co. Inc. (The) 1,229 35,334 Bank One Corp. 1,366 50,788 BankUnited Financial Corp. Class A/(1)/ 831 16,745 BB&T Corp. 753 25,828 Central Coast Bancorp/(1)/ 953 15,982 Comerica Inc. 312 14,508 Fifth Third Bancorp 748 42,890 FIRSTFED AMERICA BANCORP INC 651 22,459 FleetBoston Financial Corp. 1,703 50,596 Golden West Financial Corp. 350 28,003 Huntington Bancshares Inc. 1,417 27,660 ITLA Capital Corp./(1)/ 322 13,018 Mellon Financial Corp. 516 14,319 National City Corp. 631 20,640 Northern Trust Corp. 606 25,325 PNC Financial Services Group 286 13,960 Regions Financial Corp. 500 16,890 SoundView Technology Group Inc./(1)/ 1,322 13,381 SouthTrust Corp. 1,012 27,526 State Street Corp. 615 24,231 Sun Bancorp Inc. (New Jersey)/(1)/ 1,202 23,920 SunTrust Banks Inc. 284 16,853 Synovus Financial Corp. 1,250 26,875 Troy Financial Corp. 770 20,905 U.S. Bancorp 2,985 73,132 Union Planters Corp. 693 21,504 USB Holding Co. Inc. 1,089 19,330 Wachovia Corp. 1,700 67,932 Washington Mutual Inc. 1,301 53,731 Wells Fargo & Company 1,986 100,094 Wintrust Financial Corp. 758 22,437 WSFS Financial Corp. 713 27,379 Yardville National Bancorp 1,102 21,489 ------------------------------------------------------------------------------- 1,160,329 ------------------------------------------------------------------------------- BEVERAGES - 0.48% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 490 25,014 Brown-Forman Corp. Class B 63 4,953 Coca-Cola Co. (The) 2,618 121,501 Coca-Cola Enterprises Inc. 956 17,351 Coors (Adolf) Company Class B 49 2,400 PepsiCo Inc. 1,797 79,966 ------------------------------------------------------------------------------- 251,185 ------------------------------------------------------------------------------- BIOTECHNOLOGY - 0.34% ------------------------------------------------------------------------------- Amgen Inc./(1)/ 1,559 103,580 Biogen Inc./(1)/ 419 15,922 Chiron Corp./(1)/ 240 10,493 Genentech Inc./(1)/ 273 19,689 Genzyme Corp. - General Division/(1)/ 295 12,331 Integra LifeSciences Holdings Corp./(1)/ 515 13,586 ------------------------------------------------------------------------------- 175,601 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.04% ------------------------------------------------------------------------------- Masco Corp. 468 11,162 Vulcan Materials Co. 322 11,937 ------------------------------------------------------------------------------- 23,099 ------------------------------------------------------------------------------- CHEMICALS - 0.32% ------------------------------------------------------------------------------- Dow Chemical Co. (The) 991 30,681 Du Pont (E.I.) de Nemours and Co. 826 34,395 Engelhard Corp. 547 13,549 18 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- CHEMICALS (Continued) ------------------------------------------------------------------------------- Georgia Gulf Corp. 587 $ 11,623 Grace (W.R.) & Co./(1)/ 1,337 5,896 Great Lakes Chemical Corp. 524 10,690 Hercules Inc./(1)/ 1,537 15,216 Monsanto Co. 301 6,514 PPG Industries Inc. 197 9,996 Schulman (A.) Inc. 676 10,857 Sherwin-Williams Co. (The) 166 4,462 Sigma-Aldrich Corp. 232 12,570 ------------------------------------------------------------------------------- 166,449 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 0.49% ------------------------------------------------------------------------------- Apollo Group Inc. Class A/(1)/ 471 29,089 Atrix Laboratories Inc./(1)/ 407 8,950 Block (H & R) Inc. 334 14,445 Bowne & Co. Inc. 429 5,590 Cendant Corp./(1)/ 1,858 34,039 Charles River Associates Inc./(1)/ 550 15,548 Consolidated Graphics Inc./(1)/ 322 7,367 Deluxe Corp. 191 8,557 Donnelley (R.R.) & Sons Co. 385 10,064 Ecolab Inc. 503 12,877 Electro Rent Corp./(1)/ 286 3,083 Equifax Inc. 475 12,350 First Consulting Group Inc./(1)/ 993 4,637 GSI Commerce Inc./(1)/ 1,222 8,163 McKesson Corp. 563 20,122 Moody's Corp. 370 19,503 Paychex Inc. 633 18,553 Quintiles Transnational Corp./(1)/ 818 11,607 Stewart Enterprises Inc. Class A/(1)/ 2,536 10,905 ------------------------------------------------------------------------------- 255,449 ------------------------------------------------------------------------------- COMPUTERS - 1.48% ------------------------------------------------------------------------------- Apple Computer Inc./(1)/ 916 17,514 Brocade Communications Systems Inc./(1)/ 1,000 5,890 Cisco Systems Inc./(1)/ 8,130 135,690 Cognizant Technology Solutions Corp./(1)/ 497 12,107 Computer Network Technology Corp./(1)/ 942 7,630 Computer Sciences Corp./(1)/ 460 17,535 Datastream Systems Inc./(1)/ 393 4,162 Dell Computer Corp./(1)/ 3,000 95,880 Digimarc Corp./(1)/ 507 7,960 Electronic Data Systems Corp. 847 18,168 EMC Corp./(1)/ 3,014 31,557 Enterasys Networks Inc./(1)/ 701 2,124 FalconStor Software Inc./(1)/ 358 2,395 Gateway Inc./(1)/ 290 1,058 Hewlett-Packard Co. 4,275 91,058 International Business Machines Corp. 1,926 158,895 Juniper Networks Inc./(1)/ 875 10,824 Lexmark International Inc./(1)/ 224 15,852 NCR Corp./(1)/ 284 7,276 Network Appliance Inc./(1)/ 961 15,578 Palm Inc./(1)/ 321 5,223 RadiSys Corp./(1)/ 543 7,168 Seagate Technology Inc./(2)/ 317 -- Secure Computing Corp./(1)/ 500 4,365 Sun Microsystems Inc./(1)/ 4,522 20,801 SunGard Data Systems Inc./(1)/ 636 16,479 Synopsys Inc./(1)/ 192 11,875 Unisys Corp./(1)/ 1,697 20,839 Veritas Software Corp./(1)/ 818 23,452 ------------------------------------------------------------------------------- 769,355 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 0.43% ------------------------------------------------------------------------------- Avon Products Inc. 353 21,957 Colgate-Palmolive Co. 582 33,727 Gillette Co. (The) 869 27,686 International Flavors & Fragrances Inc. 460 14,688 Kimberly-Clark Corp. 356 18,562 Procter & Gamble Co. 1,200 107,016 ------------------------------------------------------------------------------- 223,636 ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.11% ------------------------------------------------------------------------------- Advanced Marketing Services Inc. 479 6,227 Costco Wholesale Corp./(1)/ 799 29,243 Grainger (W.W.) Inc. 226 10,568 Watsco Inc. 622 10,300 ------------------------------------------------------------------------------- 56,338 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 2.22% ------------------------------------------------------------------------------- American Express Co. 1,501 62,757 American International Group Inc. 3,454 190,592 Capital One Financial Corp. 443 21,787 Citigroup Inc. 6,692 286,418 Citigroup Inc. Warrants (Expires 12/31/50)/(1)/ 200 204 Countrywide Financial Corp. 205 14,262 DVI Inc./(1)/ 515 2,405 Fannie Mae 994 67,035 Franklin Resources Inc. 507 19,808 Freddie Mac 858 43,561 Goldman Sachs Group Inc. (The) 632 52,930 Janus Capital Group Inc. 802 13,153 JP Morgan Chase & Co. 2,844 97,208 Lehman Brothers Holdings Inc. 365 24,265 MBNA Corp. 1,712 35,678 Merrill Lynch & Co. Inc. 1,261 58,863 Morgan Stanley 1,468 62,757 Providian Financial Corp./(1)/ 1,663 15,399 Schwab (Charles) Corp. (The) 2,151 21,704 SLM Corp. 576 22,562 T. Rowe Price Group Inc. 481 18,158 WFS Financial Inc./(1)/ 307 10,288 World Acceptance Corp./(1)/ 501 8,156 ------------------------------------------------------------------------------- 1,149,950 ------------------------------------------------------------------------------- 19 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- ELECTRIC - 0.70% ------------------------------------------------------------------------------- AES Corp. (The)/(1)/ 822 $ 5,220 Ameren Corp. 347 15,303 CenterPoint Energy Inc. 819 6,675 Cinergy Corp. 488 17,954 CMS Energy Corp. 536 4,342 Consolidated Edison Inc. 229 9,911 Constellation Energy Group Inc. 569 19,517 Dominion Resources Inc. 382 24,551 DTE Energy Co. 255 9,853 Duke Energy Corp. 1,228 24,499 Edison International/(1)/ 885 14,541 Entergy Corp. 361 19,054 Exelon Corp. 465 27,812 FirstEnergy Corp. 562 21,609 FPL Group Inc. 175 11,699 NiSource Inc. 760 14,440 PG&E Corp./(1)/ 824 17,428 Pinnacle West Capital Corp. 418 15,654 Progress Energy Inc. 555 24,364 Public Service Enterprise Group Inc. 398 16,815 Southern Company 880 27,421 Texas Genco Holdings Inc. 40 930 Xcel Energy Inc. 950 14,288 ------------------------------------------------------------------------------- 363,880 ------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.00% ------------------------------------------------------------------------------- Medis Technologies Ltd./(1)/ 215 1,533 ------------------------------------------------------------------------------- 1,533 ------------------------------------------------------------------------------- ELECTRONICS - 0.29% ------------------------------------------------------------------------------- Agilent Technologies Inc./(1)/ 917 17,927 Analogic Corp. 270 13,165 Applera Corp. - Applied Biosystems Group 956 18,193 Cubic Corp. 621 13,799 Johnson Controls Inc. 217 18,575 Millipore Corp./(1)/ 318 14,110 REMEC Inc./(1)/ 1,465 10,196 Solectron Corp./(1)/ 1,561 5,838 Thermo Electron Corp./(1)/ 638 13,411 Thomas & Betts Corp./(1)/ 645 9,320 Watts Industries Inc. Class A 622 11,103 X-Rite Inc. 465 4,608 ------------------------------------------------------------------------------- 150,245 ------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION - 0.02% ------------------------------------------------------------------------------- Fluor Corp. 276 9,285 ------------------------------------------------------------------------------- 9,285 ------------------------------------------------------------------------------- ENTERTAINMENT - 0.03% ------------------------------------------------------------------------------- Penn National Gaming Inc./(1)/ 730 15,001 ------------------------------------------------------------------------------- 15,001 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.05% ------------------------------------------------------------------------------- Allied Waste Industries Inc./(1)/ 644 6,472 Waste Management Inc. 736 17,730 ------------------------------------------------------------------------------- 24,202 ------------------------------------------------------------------------------- FOOD - 0.41% ------------------------------------------------------------------------------- Albertson's Inc. 602 11,558 Archer-Daniels-Midland Co. 723 9,305 Campbell Soup Co. 469 11,490 ConAgra Foods Inc. 777 18,337 Del Monte Foods Co./(1)/ 106 937 General Mills Inc. 411 19,486 Great Atlantic & Pacific Tea Co./(1)/ 673 5,922 Heinz (H.J.) Co. 571 18,832 Kellogg Co. 638 21,928 Kroger Co./(1)/ 1,033 17,230 Safeway Inc./(1)/ 639 13,074 Sara Lee Corp. 523 9,838 SUPERVALU Inc. 531 11,321 Sysco Corp. 865 25,985 Winn-Dixie Stores Inc. 603 7,423 Wrigley (William Jr.) Co. 197 11,077 ------------------------------------------------------------------------------- 213,743 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.19% ------------------------------------------------------------------------------- Boise Cascade Corp. 644 15,392 Chesapeake Corp. 571 12,476 Glatfelter Co. 1,429 21,078 International Paper Co. 553 19,759 MeadWestvaco Corp. 717 17,710 Temple-Inland Inc. 255 10,942 ------------------------------------------------------------------------------- 97,357 ------------------------------------------------------------------------------- GAS - 0.13% ------------------------------------------------------------------------------- Nicor Inc. 420 15,586 Peoples Energy Corp. 538 23,075 Sempra Energy 453 12,924 Southwestern Energy Co./(1)/ 1,049 15,745 ------------------------------------------------------------------------------- 67,330 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.12% ------------------------------------------------------------------------------- Black & Decker Corp. 249 10,819 Emerson Electric Co. 429 21,922 Snap-On Inc. 556 16,141 Stanley Works (The) 406 11,206 ------------------------------------------------------------------------------- 60,088 ------------------------------------------------------------------------------- HEALTH CARE - 1.30% ------------------------------------------------------------------------------- Aetna Inc. 152 9,150 Aksys Ltd./(1)/ 358 4,636 Anthem Inc./(1)/ 170 13,115 Apria Healthcare Group Inc./(1)/ 686 17,068 Bard (C.R.) Inc. 178 12,693 Bausch & Lomb Inc. 249 9,337 20 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE (Continued) ------------------------------------------------------------------------------- Baxter International Inc. 717 $ 18,642 Becton, Dickinson & Co. 253 9,829 Biomet Inc. 522 14,961 Boston Scientific Corp./(1)/ 588 35,927 Cobalt Corp./(1)/ 632 12,988 CONMED Corp./(1)/ 819 14,955 Cyberonics Inc./(1)/ 460 9,895 Flir Systems Inc./(1)/ 300 9,045 Guidant Corp. 464 20,597 HCA Inc. 741 23,742 Humana Inc./(1)/ 1,148 17,335 Johnson & Johnson 3,176 164,199 Manor Care Inc./(1)/ 647 16,181 Matria Healthcare Inc./(1)/ 814 14,367 Medtronic Inc. 1,336 64,088 Ocular Sciences Inc./(1)/ 415 8,238 OraSure Technologies Inc./(1)/ 1,193 8,900 PolyMedica Corp. 207 9,479 Sierra Health Services Inc./(1)/ 558 11,160 St. Jude Medical Inc./(1)/ 298 17,135 Stryker Corp. 182 12,625 Tenet Healthcare Corp./(1)/ 837 9,751 UnitedHealth Group Inc. 800 40,200 Viasys Healthcare Inc./(1)/ 478 9,895 WellPoint Health Networks Inc./(1)/ 151 12,729 West Pharmaceutical Services Inc. 343 8,403 Zimmer Holdings Inc./(1)/ 252 11,353 ------------------------------------------------------------------------------- 672,618 ------------------------------------------------------------------------------- HOME BUILDERS - 0.09% ------------------------------------------------------------------------------- Centex Corp. 209 16,258 Champion Enterprises Inc./(1)/ 465 2,409 KB Home 229 14,193 Pulte Homes Inc. 231 14,243 ------------------------------------------------------------------------------- 47,103 ------------------------------------------------------------------------------- HOME FURNISHINGS - 0.09% ------------------------------------------------------------------------------- Leggett & Platt Inc. 864 17,712 Maytag Corp. 527 12,869 Whirlpool Corp. 273 17,390 ------------------------------------------------------------------------------- 47,971 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.17% ------------------------------------------------------------------------------- American Greetings Corp. Class A/(1)/ 730 14,337 Avery Dennison Corp. 204 10,241 Central Garden & Pet Co./(1)/ 596 14,215 Clorox Co. 335 14,288 Fortune Brands Inc. 308 16,078 Newell Rubbermaid Inc. 444 12,432 Tupperware Corp. 452 6,491 ------------------------------------------------------------------------------- 88,082 ------------------------------------------------------------------------------- INSURANCE - 0.83% ------------------------------------------------------------------------------- ACE Ltd. 604 20,711 AFLAC Inc. 953 29,305 Allstate Corp. (The) 851 30,338 AON Corp. 523 12,594 Chubb Corp. 270 16,200 CIGNA Corp. 167 7,839 Cincinnati Financial Corp. 416 15,429 Hancock (John) Financial Services Inc. 391 12,015 Hartford Financial Services Group Inc. 432 21,756 LandAmerica Financial Group Inc. 382 18,145 Lincoln National Corp. 410 14,608 Marsh & McLennan Companies Inc. 628 32,072 MBIA Inc. 322 15,697 MetLife Inc. 1,201 34,012 MGIC Investment Corp. 263 12,266 Principal Financial Group Inc. 538 17,350 ProAssurance Corp./(1)/ 460 12,415 Progressive Corp. (The) 313 22,880 Prudential Financial Inc. 436 14,671 SAFECO Corp. 186 6,562 St. Paul Companies Inc. 366 13,363 Torchmark Corp. 391 14,565 Travelers Property Casualty Corp. Class B 1,107 17,457 XL Capital Ltd. Class A 206 17,098 ------------------------------------------------------------------------------- 429,348 ------------------------------------------------------------------------------- IRON / STEEL - 0.02% ------------------------------------------------------------------------------- United States Steel Corp. 545 8,922 ------------------------------------------------------------------------------- 8,922 ------------------------------------------------------------------------------- LEISURE TIME - 0.11% ------------------------------------------------------------------------------- Brunswick Corp. 660 16,513 Harley-Davidson Inc. 536 21,365 K2 Inc./(1)/ 393 4,814 Sabre Holdings Corp. 637 15,702 ------------------------------------------------------------------------------- 58,394 ------------------------------------------------------------------------------- LODGING - 0.09% ------------------------------------------------------------------------------- Harrah's Entertainment Inc./(1)/ 352 14,164 Hilton Hotels Corp. 915 11,703 Marriott International Inc. Class A 486 18,672 ------------------------------------------------------------------------------- 44,539 ------------------------------------------------------------------------------- MACHINERY - 0.16% ------------------------------------------------------------------------------- Briggs & Stratton Corp. 335 16,917 Caterpillar Inc. 460 25,604 Deere & Co. 336 15,355 Dover Corp. 469 14,051 Gardner Denver Inc./(1)/ 215 4,399 Kadant Inc./(1)/ 311 5,831 ------------------------------------------------------------------------------- 82,157 ------------------------------------------------------------------------------- 21 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- MANUFACTURERS - 1.07% ------------------------------------------------------------------------------- Crane Co. 614 $ 13,895 Danaher Corp. 251 17,081 Eastman Kodak Co. 605 16,547 Eaton Corp. 191 15,015 General Electric Co. 10,945 313,903 Honeywell International Inc. 1,257 33,750 Illinois Tool Works Inc. 378 24,891 ITT Industries Inc. 203 13,288 Pall Corp. 606 13,635 3M Co. 316 40,758 Tyco International Ltd. 2,764 52,461 ------------------------------------------------------------------------------- 555,224 ------------------------------------------------------------------------------- MANUFACTURING - 0.06% ------------------------------------------------------------------------------- Acuity Brands Inc. 1,216 22,095 ESCO Technologies Inc./(1)/ 201 8,844 ------------------------------------------------------------------------------- 30,939 ------------------------------------------------------------------------------- MEDIA - 1.15% ------------------------------------------------------------------------------- AOL Time Warner Inc./(1)/ 6,342 102,043 Beasley Broadcast Group Inc. Class A/(1)/ 429 5,869 Clear Channel Communications Inc./(1)/ 1,004 42,560 Comcast Corp. Class A/(1)/ 5,065 152,862 Dow Jones & Co. Inc. 236 10,155 Gannett Co. Inc. 236 18,127 Knight Ridder Inc. 105 7,238 McGraw-Hill Companies Inc. (The) 244 15,128 Meredith Corp. 369 16,236 New York Times Co. Class A 208 9,464 Pulitzer Inc. 201 9,933 TiVo Inc./(1)/ 1,254 15,274 Tribune Co. 553 26,710 Viacom Inc. Class B/(1)/ 2,451 107,011 Walt Disney Co. (The) 2,975 58,756 ------------------------------------------------------------------------------- 597,366 ------------------------------------------------------------------------------- METAL FABRICATE / HARDWARE - 0.03% ------------------------------------------------------------------------------- Worthington Industries Inc. 1,293 17,326 ------------------------------------------------------------------------------- 17,326 ------------------------------------------------------------------------------- METALS-DIVERSIFIED - 0.04% ------------------------------------------------------------------------------- Griffon Corp./(1)/ 729 11,664 Gulf Island Fabrication Inc./(1)/ 658 11,133 ------------------------------------------------------------------------------- 22,797 ------------------------------------------------------------------------------- MINING - 0.14% ------------------------------------------------------------------------------- Alcoa Inc. 1,314 33,507 Newmont Mining Corp. 757 24,572 Phelps Dodge Corp./(1)/ 319 12,230 ------------------------------------------------------------------------------- 70,309 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.10% ------------------------------------------------------------------------------- General Binding Corp./(1)/ 393 4,716 Global Imaging Systems Inc./(1)/ 391 9,056 Imagistics International Inc./(1)/ 544 14,035 Pitney Bowes Inc. 297 11,408 Xerox Corp./(1)/ 1,001 10,601 ------------------------------------------------------------------------------- 49,816 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 1.35% ------------------------------------------------------------------------------- Amerada Hess Corp. 233 11,459 Anadarko Petroleum Corp. 569 25,303 Burlington Resources Inc. 541 29,252 ChevronTexaco Corp. 1,295 93,499 ConocoPhillips 916 50,197 Devon Energy Corp. 376 20,078 Exxon Mobil Corp. 8,465 303,978 Kerr-McGee Corp. 406 18,189 Magnum Hunter Resources Inc./(1)/ 1,930 15,421 Marathon Oil Corp. 652 17,180 Plains Exploration & Production Co./(1)/ 615 6,648 Plains Resource Inc./(1)/ 1,440 20,376 Rowan Companies Inc./(1)/ 900 20,160 South Jersey Industries Inc. 437 16,103 Sunoco Inc. 209 7,888 Transocean Inc./(1)/ 1,059 23,266 Unocal Corp. 709 20,341 ------------------------------------------------------------------------------- 699,338 ------------------------------------------------------------------------------- OIL & GAS SERVICES - 0.18% ------------------------------------------------------------------------------- Baker Hughes Inc. 961 32,261 Halliburton Co. 1,045 24,035 Lufkin Industries Inc. 250 6,087 Schlumberger Ltd. 686 32,633 ------------------------------------------------------------------------------- 95,016 ------------------------------------------------------------------------------- PACKAGING & CONTAINERS - 0.10% ------------------------------------------------------------------------------- Ball Corp. 258 11,742 Bemis Co. 315 14,742 Pactiv Corp./(1)/ 798 15,729 Sealed Air Corp./(1)/ 238 11,343 ------------------------------------------------------------------------------- 53,556 ------------------------------------------------------------------------------- PHARMACEUTICALS - 1.91% ------------------------------------------------------------------------------- Abbott Laboratories 1,740 76,142 Allergan Inc. 182 14,032 AmerisourceBergen Corp. 213 14,772 Antigenics Inc./(1)/ 1,271 14,642 Barr Laboratories Inc./(1)/ 182 11,921 Bristol-Myers Squibb Co. 2,210 60,001 Cardinal Health Inc. 619 39,802 Corixa Corp./(1)/ 1,600 12,368 Forest Laboratories Inc./(1)/ 371 20,312 Gilead Sciences Inc./(1)/ 211 11,727 King Pharmaceuticals Inc./(1)/ 600 8,856 22 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PHARMACEUTICALS (Continued) ------------------------------------------------------------------------------- La Jolla Pharmaceutical Co./(1)/ 1,365 $ 4,464 Lilly (Eli) & Co. 1,276 88,006 MedImmune Inc./(1)/ 388 14,112 Merck & Co. Inc. 2,460 148,953 MGI Pharma Inc./(1)/ 525 13,456 Penwest Pharmaceuticals Co./(1)/ 498 12,136 Pfizer Inc. 9,001 307,384 Schering-Plough Corp. 1,794 33,368 Watson Pharmaceuticals Inc./(1)/ 386 15,583 Wyeth 1,493 68,006 ------------------------------------------------------------------------------- 990,043 ------------------------------------------------------------------------------- PIPELINES - 0.03% ------------------------------------------------------------------------------- Dynegy Inc. Class A 297 1,247 El Paso Corp. 1,166 9,421 Williams Companies Inc. 768 6,067 ------------------------------------------------------------------------------- 16,735 ------------------------------------------------------------------------------- REAL ESTATE - 0.18% ------------------------------------------------------------------------------- Boykin Lodging Co. 2,561 19,976 Entertainment Properties Trust 1,123 32,286 Mid Atlantic Realty Trust 1,986 41,587 ------------------------------------------------------------------------------- 93,849 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.10% ------------------------------------------------------------------------------- Equity Office Properties Trust 821 22,175 Mid-America Apartment Communities Inc. 1,067 28,820 ------------------------------------------------------------------------------- 50,995 ------------------------------------------------------------------------------- RETAIL - 1.90% ------------------------------------------------------------------------------- AutoZone Inc./(1)/ 109 8,281 Bed Bath & Beyond Inc./(1)/ 479 18,590 Best Buy Co. Inc./(1)/ 471 20,686 Big Lots Inc./(1)/ 400 6,016 Brookstone Inc./(1)/ 802 16,240 CarMax Inc./(1)/ 527 15,889 Circuit City Stores Inc. 623 5,482 Cost Plus Inc./(1)/ 307 10,948 CVS Corp. 516 14,463 Darden Restaurants Inc. 706 13,400 Dillards Inc. Class A 385 5,186 Dollar General Corp. 601 10,974 eBay Inc./(1)/ 477 49,694 Fred's Inc. 321 11,935 Gap Inc. (The) 1,214 22,775 Gart Sports Co./(1)/ 277 7,856 Hancock Fabrics Inc. 350 5,652 Home Depot Inc. 2,572 85,185 Jill (J.) Group Inc. (The)/(1)/ 417 7,022 Kohls Corp./(1)/ 420 21,580 Limited Brands Inc. 885 13,718 Longs Drug Stores Corp. 388 6,441 Lowe's Companies Inc. 878 37,710 MarineMax Inc./(1)/ 358 5,012 May Department Stores Co. (The) 691 15,382 McDonald's Corp. 2,006 44,252 Movie Gallery Inc./(1)/ 562 10,369 Nordstrom Inc. 548 10,697 Office Depot Inc./(1)/ 811 11,768 1-800 CONTACTS INC./(1)/ 401 9,816 1-800-FLOWERS.COM Inc./(1)/ 358 2,950 PC Connection Inc./(1)/ 143 972 RadioShack Corp. 283 7,446 Sears, Roebuck and Co. 500 16,820 ShopKo Stores Inc./(1)/ 650 8,450 Staples Inc./(1)/ 940 17,249 Starbucks Corp./(1)/ 351 8,607 Target Corp. 1,387 52,484 TJX Companies Inc. 884 16,655 Ultimate Electronics Inc./(1)/ 343 4,397 United Auto Group Inc./(1)/ 479 10,433 Walgreen Co. 1,204 36,240 Wal-Mart Stores Inc. 4,824 258,904 Wendy's International Inc. 650 18,831 Whitehall Jewellers Inc./(1)/ 215 1,950 ------------------------------------------------------------------------------- 985,407 ------------------------------------------------------------------------------- SEMICONDUCTORS - 0.87% ------------------------------------------------------------------------------- Advanced Micro Devices Inc./(1)/ 1,208 7,743 Agere Systems Inc. Class B/(1)/ 6,828 15,704 Altera Corp./(1)/ 562 9,217 Analog Devices Inc./(1)/ 573 19,952 Applied Materials Inc./(1)/ 2,225 35,289 Applied Micro Circuits Corp./(1)/ 2,652 16,045 Broadcom Corp. Class A/(1)/ 696 17,337 Integrated Device Technology Inc./(1)/ 600 6,630 Intel Corp. 7,304 151,806 KLA-Tencor Corp./(1)/ 350 16,272 Linear Technology Corp. 452 14,559 LSI Logic Corp./(1)/ 1,227 8,687 Maxim Integrated Products Inc. 514 17,574 Micron Technology Inc./(1)/ 1,126 13,095 Mykrolis Corp./(1)/ 658 6,679 PMC-Sierra Inc./(1)/ 700 8,211 QLogic Corp./(1)/ 311 15,031 Teradyne Inc./(1)/ 594 10,282 Texas Instruments Inc. 2,541 44,722 Xilinx Inc./(1)/ 653 16,527 ------------------------------------------------------------------------------- 451,362 ------------------------------------------------------------------------------- SOFTWARE - 1.35% ------------------------------------------------------------------------------- Adobe Systems Inc. 503 16,131 Akamai Technologies Inc./(1)/ 2,100 10,038 Alico Inc. 215 5,308 Automatic Data Processing Inc. 887 30,034 BMC Software Inc./(1)/ 804 13,129 Certegy Inc./(1)/ 392 10,878 23 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- SOFTWARE (Continued) ------------------------------------------------------------------------------- Computer Associates International Inc. 1,146 $ 25,533 Compuware Corp./(1)/ 1,111 6,410 Electronic Arts Inc./(1)/ 264 19,533 F5 Networks Inc./(1)/ 500 8,425 First Data Corp. 1,005 41,647 IMS Health Inc. 775 13,942 Intuit Inc./(1)/ 400 17,812 Microsoft Corp. 12,311 315,285 Novell Inc./(1)/ 3,479 10,715 Oracle Corp./(1)/ 5,547 66,675 PeopleSoft Inc./(1)/ 600 10,554 Per-Se Technologies Inc./(1)/ 429 4,818 Siebel Systems Inc./(1)/ 1,422 13,566 Vastera Inc./(1)/ 1,947 11,624 Websense Inc./(1)/ 655 10,257 Yahoo! Inc./(1)/ 1,083 35,479 ------------------------------------------------------------------------------- 697,793 ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.30% ------------------------------------------------------------------------------- ADC Telecommunications Inc./(1)/ 682 1,588 Andrew Corp./(1)/ 683 6,284 Avaya Inc./(1)/ 712 4,600 CIENA Corp./(1)/ 2,412 12,518 Comverse Technology Inc./(1)/ 507 7,620 JDS Uniphase Corp./(1)/ 2,158 7,575 Lucent Technologies Inc./(1)/ 9,917 20,132 Motorola Inc. 3,669 34,599 QUALCOMM Inc. 951 33,998 Tellabs Inc./(1)/ 573 3,765 Terayon Communication Systems Inc./(1)/ 5,390 14,715 Tollgrade Communications Inc./(1)/ 443 8,262 ------------------------------------------------------------------------------- 155,656 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 0.51% ------------------------------------------------------------------------------- Anaren Inc./(1)/ 871 8,161 AT&T Wireless Services Inc./(1)/ 3,289 27,003 Catapult Communications Corp./(1)/ 679 7,211 Corning Inc./(1)/ 2,623 19,384 InterDigital Communications Corp./(1)/ 372 8,694 Nextel Communications Inc. Class A/(1)/ 1,421 25,692 Qwest Communications International Inc./(1)/ 2,119 10,129 Sprint Corp. (PCS Group)/(1)/ 1,659 9,539 Verizon Communications Inc. 3,748 147,859 ------------------------------------------------------------------------------- 263,672 ------------------------------------------------------------------------------- TELEPHONE - 0.52% ------------------------------------------------------------------------------- Alltel Corp. 579 27,919 AT&T Corp. 1,108 21,329 BellSouth Corp. 2,653 70,649 CenturyTel Inc. 410 14,289 SBC Communications Inc. 4,408 112,624 Sprint Corp. (FON Group) 1,551 22,334 ------------------------------------------------------------------------------- 269,144 ------------------------------------------------------------------------------- TEXTILES - 0.00% ------------------------------------------------------------------------------- Interface Inc. Class A 536 2,487 ------------------------------------------------------------------------------- 2,487 ------------------------------------------------------------------------------- TOBACCO - 0.24% ------------------------------------------------------------------------------- Altria Group Inc. 2,300 104,512 UST Inc. 505 17,690 ------------------------------------------------------------------------------- 122,202 ------------------------------------------------------------------------------- TOYS / GAMES / HOBBIES - 0.07% ------------------------------------------------------------------------------- Hasbro Inc. 703 12,295 Mattel Inc. 928 17,558 Topps Co. (The)/(1)/ 536 4,604 ------------------------------------------------------------------------------- 34,457 ------------------------------------------------------------------------------- TRANSPORTATION - 0.30% ------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 555 15,784 FedEx Corp. 623 38,645 Union Pacific Corp. 218 12,648 United Parcel Service Inc. Class B 1,386 88,288 ------------------------------------------------------------------------------- 155,365 ------------------------------------------------------------------------------- TRUCKING & LEASING - 0.03% ------------------------------------------------------------------------------- Ryder System Inc. 696 17,832 ------------------------------------------------------------------------------- 17,832 ------------------------------------------------------------------------------- WATER - 0.02% ------------------------------------------------------------------------------- American States Water Co. 364 9,937 ------------------------------------------------------------------------------- 9,937 ------------------------------------------------------------------------------- TOTAL U.S. COMMON STOCKS (Cost: $13,520,698) 13,624,534 ------------------------------------------------------------------------------- INTERNATIONAL COMMON STOCKS - 8.50% AUSTRALIA - 0.37% ------------------------------------------------------------------------------- Coles Myer Ltd. 4,600 21,595 Coles Myer Ltd. ADR 384 14,323 Commonwealth Property Office Fund 53,601 43,137 National Australia Bank ADR 416 46,696 News Corporation Ltd. ADR 348 10,534 Rio Tinto PLC ADR 368 28,170 Westpac Banking Corp. Ltd. 1,580 17,219 Westpac Banking Corp. Ltd. ADR 240 13,123 ------------------------------------------------------------------------------- 194,797 ------------------------------------------------------------------------------- 24 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- DENMARK - 0.14% ------------------------------------------------------------------------------- Novo-Nordisk A/S ADR 1,477 $ 51,208 TDC A/S ADR 1,244 18,847 ------------------------------------------------------------------------------- 70,055 ------------------------------------------------------------------------------- FINLAND - 0.25% ------------------------------------------------------------------------------- Outokumpu OYJ 5,474 48,088 Rautaruukki OYJ/(1)/ 18,768 80,821 ------------------------------------------------------------------------------- 128,909 ------------------------------------------------------------------------------- FRANCE - 0.68% ------------------------------------------------------------------------------- Alcatel SA ADR/(1)/ 1,516 13,568 Autoroutes du Sud de la France SA 56 1,637 Aventis SA ADR 766 41,900 AXA ADR 1,699 26,521 BNP Paribas SA 839 42,633 France Telecom SA ADR 258 6,360 Groupe Wanadoo SA/(1)/ 4,546 30,435 LVMH Moet Hennessy Louis Vuitton SA 382 18,946 Renault SA 1,366 72,220 Societe Generale Class A 140 8,874 Total SA 989 74,966 Vivendi Universal SA/(1)/ 595 10,830 Vivendi Universal SA ADR/(1)/ 270 4,979 ------------------------------------------------------------------------------- 353,869 ------------------------------------------------------------------------------- GERMANY - 0.41% ------------------------------------------------------------------------------- Allianz AG 269 22,359 DaimlerChrysler AG 1,120 38,886 Deutsche Bank AG 265 17,188 Deutsche Telekom AG ADR/(1)/ 1,426 21,675 E.ON AG 1,093 56,193 SAP AG ADR 451 13,178 Siemens AG 919 45,084 ------------------------------------------------------------------------------- 214,563 ------------------------------------------------------------------------------- HONG KONG - 0.15% ------------------------------------------------------------------------------- Cheung Kong (Holdings) Ltd. 6,000 36,085 Hutchison Whampoa Ltd. 3,000 18,274 New World Development Co. Ltd. 23,000 8,922 Sun Hung Kai Properties Ltd. 2,000 10,105 ------------------------------------------------------------------------------- 73,386 ------------------------------------------------------------------------------- IRELAND - 0.08% ------------------------------------------------------------------------------- Allied Irish Banks PLC ADR 1,380 41,276 ------------------------------------------------------------------------------- 41,276 ------------------------------------------------------------------------------- ITALY - 0.39% ------------------------------------------------------------------------------- Assicurazioni Generali SpA 2,471 57,262 Benetton Group SpA ADR 865 18,165 Eni SpA 3,186 48,184 ENI-Ente Nazionale Idrocarburi SpA ADR 154 11,710 Fiat SpA ADR/(1)/ 819 5,880 San Paolo-IMI SpA ADR 1,098 20,664 Seat-Pagine Gialle SpA/(1)/ 60,712 42,180 ------------------------------------------------------------------------------- 204,045 ------------------------------------------------------------------------------- JAPAN - 1.70% ------------------------------------------------------------------------------- Canon Inc. 1,000 45,888 Canon Inc. ADR 372 16,982 Casio Computer Co. Ltd. 15,000 95,815 Dai Nippon Printing Co. Ltd. 3,000 31,730 Fuji Photo Film Co. Ltd. 1,000 28,899 Fuji Photo Film Co. Ltd. ADR 281 8,096 Fujitsu Ltd. 7,000 28,682 Honda Motor Company Ltd. ADR 764 14,554 Ito-Yokado Co. Ltd. 1,000 23,943 Ito-Yokado Co. Ltd. ADR/(2)/ 343 8,191 Japan Airlines System Corp. ADR 868 9,250 Kinki Nippon Railway Co. Ltd. 14,000 36,377 Kirin Brewery Co. Ltd. ADR 2,740 19,070 Kubota Corp. ADR 1,264 17,127 Kyocera Corp. ADR 118 6,726 Makita Corp. ADR 347 2,741 Matsushita Electric Industrial Co. Ltd. 1,000 9,902 Millea Holdings Inc. ADR 754 28,984 Mitsubishi Corp. ADR 992 13,541 Mitsui & Co. ADR 136 13,396 Mizuho Financial Group Inc./(1)/ 12 9,484 Murata Manufacturing Co. Ltd. 800 31,447 NEC Corp./(1)/ 4,000 19,988 NEC Corp. ADR 3,107 15,659 Nippon Telegraph & Telephone Corp. ADR 685 13,563 Nissan Motor Co. Ltd. ADR 1,182 22,399 Nomura Holdings Inc. 4,000 50,768 NTT DoCoMo Inc. 17 36,810 Pioneer Corp. ADR 480 10,930 Ricoh Corp. Ltd. ADR 146 12,228 Secom Co. Ltd. 1,000 29,315 Sony Corp. 1,000 28,149 Sony Corp. ADR 1 28 Takeda Chemical Industries Ltd. 1,000 36,894 Tokyo Electric Power Co. Inc. (The) 2,100 40,137 Toyota Motor Corp. 2,000 51,801 ------------------------------------------------------------------------------- 869,494 ------------------------------------------------------------------------------- NETHERLANDS - 0.54% ------------------------------------------------------------------------------- Abn Amro Holding NV ADR 1,681 32,090 Aegon NV ADR 880 8,835 Akzo Nobel NV ADR 472 12,579 ING Groep NV 1,508 26,201 ING Groep NV ADR 616 10,798 Koninklijke Ahold NV ADR 1,162 9,726 25 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- NETHERLANDS (Continued) ------------------------------------------------------------------------------- Koninklijke Philips Electronics NV NY Shares 850 $ 16,244 Reed Elsevier NV ADR 1,491 35,411 Royal Dutch Petroleum Co. 1,320 61,270 Unilever NV CVA 1,303 69,907 ------------------------------------------------------------------------------- 283,061 ------------------------------------------------------------------------------- PANAMA - 0.06% ------------------------------------------------------------------------------- Carnival Corp. 1,000 32,510 ------------------------------------------------------------------------------- 32,510 ------------------------------------------------------------------------------- PORTUGAL - 0.03% ------------------------------------------------------------------------------- Banco Comercial Portugues SA ADR 456 4,058 Banco Comercial Portugues SA Class R 6,000 10,542 ------------------------------------------------------------------------------- 14,600 ------------------------------------------------------------------------------- SINGAPORE - 0.00% ------------------------------------------------------------------------------- Chartered Semiconductor Manufacturing Ltd. ADR/(1)/ 193 994 ------------------------------------------------------------------------------- 994 ------------------------------------------------------------------------------- SPAIN - 0.32% ------------------------------------------------------------------------------- Banco Bilbao Vizcaya Argentaria SA ADR 1,578 16,553 Banco Santander Central Hispano SA ADR 4,523 39,893 Repsol YPF SA ADR 945 15,281 Telefonica SA 7,839 91,009 ------------------------------------------------------------------------------- 162,736 ------------------------------------------------------------------------------- SWEDEN - 0.30% ------------------------------------------------------------------------------- Hoganas AB Class B 4,069 82,855 Sapa AB 3,728 74,980 ------------------------------------------------------------------------------- 157,835 ------------------------------------------------------------------------------- SWITZERLAND - 0.78% ------------------------------------------------------------------------------- Adecco SA ADR 1,038 10,847 Centerpulse ADR 569 15,363 Credit Suisse Group 1,867 49,137 Nestle SA 340 70,156 Novartis AG 2,079 82,267 Roche Holding AG - Genusschein 1,073 84,165 UBS AG - Registered 1,603 89,171 ------------------------------------------------------------------------------- 401,106 ------------------------------------------------------------------------------- UNITED KINGDOM - 2.30% ------------------------------------------------------------------------------- AstraZeneca PLC 2,550 102,252 Barclays PLC ADR/(3)/ 1,232 36,861 BP PLC 15,672 108,681 BP PLC ADR 696 29,246 British American Tobacco PLC 6,353 72,073 SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- UNITED KINGDOM (Continued) ------------------------------------------------------------------------------- British Sky Broadcasting PLC ADR/(1)/ 363 $ 16,371 British Telecom PLC ADR 552 18,580 Cadbury Schweppes PLC ADR 1,107 26,767 Diageo PLC ADR 1,519 66,471 GlaxoSmithKline PLC 5,301 106,981 Hanson PLC ADR 937 26,480 HBOS PLC 11,212 145,144 Hong Kong & Shanghai Banking ADR 362 21,398 HSBC Holdings PLC 9,842 116,284 Lloyds TSB Group PLC 2,286 16,230 Reuters Group PLC ADR 273 4,799 Royal Bank of Scotland Group PLC 2,788 78,211 Shell Transport & Trading Co. PLC 4,033 26,620 Tesco PLC 21,161 76,560 Vodafone Group PLC 21,251 41,555 Vodafone Group PLC ADR 2,697 52,996 ------------------------------------------------------------------------------- 1,190,560 ------------------------------------------------------------------------------- TOTAL INTERNATIONAL COMMON STOCKS (Cost: $4,761,819) 4,393,796 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $18,282,517) 18,018,330 ------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 62.84% ------------------------------------------------------------------------------- U.S. Treasury Notes 1.50%, 02/28/05 $ 2,235,000 2,245,739 1.63%, 01/31/05 2,090,000 2,104,369 1.63%, 04/30/05 3,020,000 3,039,817 1.88%, 09/30/04 1,500,000 1,514,766 2.00%, 05/15/06 1,475,000 1,490,672 3.25%, 08/15/07 1,605,000 1,675,031 3.88%, 02/15/13 470,000 483,641 4.00%, 11/15/12 950,000 988,557 4.75%, 11/15/08 1,090,000 1,208,325 4.88%, 02/15/12 460,000 511,318 5.00%, 08/15/11 2,200,000 2,467,782 5.50%, 05/15/09 800,000 921,437 5.63%, 05/15/08 1,790,000 2,052,067 5.75%, 11/15/05 3,025,000 3,329,273 5.75%, 08/15/10 500,000 585,254 5.88%, 11/15/04 200,000 212,852 6.00%, 08/15/04 400,000 422,031 6.13%, 08/15/07 200,000 231,352 6.50%, 10/15/06 1,920,000 2,205,899 6.75%, 05/15/05 700,000 770,902 7.00%, 07/15/06 1,575,000 1,820,355 7.25%, 08/15/04 900,000 962,050 7.50%, 02/15/05 400,000 440,500 7.88%, 11/15/04 800,000 873,094 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $31,351,021) 32,557,083 ------------------------------------------------------------------------------- 26 LIFEPATH RETIREMENT MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 25.65% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(4)/ 7,833,795 $ 7,833,795 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(4)/ 2,064,105 2,064,105 BlackRock Temp Cash Money Market Fund/(4)/ 104,091 104,091 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(4)/ 541,248 541,248 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(4)/ 229,345 229,345 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(4)/ $ 137,607 137,607 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 114,655 114,655 1.17%, 08/15/03/(4)/ 172,018 172,018 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(4)/ 91,738 91,738 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(4)/ 100,907 100,907 1.31%, 05/24/04/(4)/ 229,322 229,322 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 229,310 229,310 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(4)/ 114,672 114,672 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(4)/ 229,345 229,345 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(4)/ 45,869 45,869 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(4)/ 114,667 114,667 1.22%, 04/13/04/(4)/ 114,667 114,667 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(4)/ 114,649 114,649 1.08%, 03/29/04/(4)/ 114,672 114,672 1.29%, 05/04/04/(4)/ 114,667 114,667 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(4)/ 229,333 229,333 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(4)/ 114,672 114,672 1.14%, 05/17/04/(4)/ 137,607 137,607 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $13,292,961) 13,292,961 ------------------------------------------------------------------------------- SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.31% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(4)/ $ 114,672 $ 114,672 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(4)/ 45,869 45,869 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $160,541) 160,541 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 123.58% (Cost $63,087,040) 64,028,915 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (23.58%) (12,218,334) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 51,810,581 =============================================================================== /(1)/ Non-income earning securities. /(2)/ Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. /(3)/ Issuer is an affiliate of the Master Portfolio's investment advisor. See Note 2. /(4)/ All or a portion of this security represents investments of securities lending collateral. The accompanying notes are an integral part of these financial statements. 27 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMON STOCKS - 49.83% U.S. COMMON STOCKS - 37.66% ADVERTISING - 0.09% ------------------------------------------------------------------------------- ADVO Inc./(1)/ 705 $ 31,302 Interpublic Group of Companies Inc. 2,673 35,765 Omnicom Group Inc. 956 68,545 ------------------------------------------------------------------------------- 135,612 ------------------------------------------------------------------------------- AEROSPACE / DEFENSE - 0.50% ------------------------------------------------------------------------------- Boeing Co. (The) 4,178 143,389 Curtiss-Wright Corp. 367 23,194 General Dynamics Corp. 1,149 83,302 Goodrich (B.F.) Co. 1,120 23,520 Lockheed Martin Corp. 2,252 107,128 Northrop Grumman Corp. 841 72,570 Raytheon Co. 2,129 69,916 Rockwell Collins Inc. 1,478 36,403 United Technologies Corp. 2,336 165,459 ------------------------------------------------------------------------------- 724,881 ------------------------------------------------------------------------------- AGRICULTURE - 0.01% ------------------------------------------------------------------------------- Maui Land & Pineapple Co. Inc./(1)/ 932 20,951 ------------------------------------------------------------------------------- 20,951 ------------------------------------------------------------------------------- AIRLINES - 0.10% ------------------------------------------------------------------------------- Alaska Air Group Inc./(1)/ 216 4,633 AMR Corp./(1)/ 1,511 16,621 Continental Airlines Inc. Class B/(1)/ 1,448 21,677 Delta Air Lines Inc. 916 13,447 Northwest Airlines Corp./(1)/ 645 7,282 Southwest Airlines Co. 4,577 78,724 ------------------------------------------------------------------------------- 142,384 ------------------------------------------------------------------------------- APPAREL - 0.14% ------------------------------------------------------------------------------- Jones Apparel Group Inc./(1)/ 832 24,344 Liz Claiborne Inc. 1,333 46,988 Nike Inc. Class B 1,615 86,386 VF Corp. 1,141 38,760 ------------------------------------------------------------------------------- 196,478 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.23% ------------------------------------------------------------------------------- CLARCOR Inc. 867 33,423 Dura Automotive Systems Inc./(1)/ 1,200 11,772 Ford Motor Company 9,807 107,779 General Motors Corp. 2,907 104,652 Navistar International Corp./(1)/ 643 20,981 PACCAR Inc. 805 54,386 ------------------------------------------------------------------------------- 332,993 ------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT - 0.10% ------------------------------------------------------------------------------- Cooper Tire & Rubber Co. 1,588 27,933 Dana Corp. 1,344 15,537 Delphi Corp. 3,260 28,134 Goodyear Tire & Rubber Co. (The) 1,189 6,242 Modine Manufacturing Co. 1,200 23,244 Superior Industries International Inc. 598 24,937 Visteon Corp. 1,754 12,050 ------------------------------------------------------------------------------- 138,077 ------------------------------------------------------------------------------- BANKS - 3.12% ------------------------------------------------------------------------------- AmSouth Bancorp 2,922 63,816 BancTrust Financial Group Inc. 486 7,805 Bank of America Corp. 7,645 604,184 Bank of New York Co. Inc. (The) 3,866 111,147 Bank One Corp. 5,748 213,711 BankUnited Financial Corp. Class A/(1)/ 1,399 28,190 Banner Corp. 1,280 26,227 BB&T Corp. 2,506 85,956 Cascade Bancorp 296 5,130 Century Bancorp Inc. Class A 37 1,102 CFS Bancorp Inc. 2,765 38,986 Charter One Financial Inc. 1,629 50,792 City Bank 843 22,812 Coastal Financial Corp. 110 1,417 Comerica Inc. 1,161 53,986 Community Trust Bancorp Inc. 1,525 39,863 Dime Community Bancshares 1,802 45,861 Eastern Virginia Bankshares 263 6,036 Farmers Capital Bank Corp. 69 2,205 Fifth Third Bancorp 2,612 149,772 First Citizens Banc Corp. 224 5,813 First Community Bancshares Inc. 340 11,937 First Republic Bank/(1)/ 702 18,673 First Sentinel Bancorp Inc. 1,907 30,455 FirstFed Financial Corp./(1)/ 324 11,434 Flagstar Bancorp Inc. 1,939 47,409 FleetBoston Financial Corp. 5,406 160,612 Gold Bancorp Inc. 1,950 20,494 Golden West Financial Corp. 818 65,448 Heartland Financial USA Inc. 39 1,256 Huntington Bancshares Inc. 3,191 62,288 Investors Financial Services Corp. 946 27,443 KeyCorp 2,670 67,471 MAF Bancorp Inc. 986 36,551 Marshall & Ilsley Corp. 1,685 51,527 Mellon Financial Corp. 1,872 51,948 NASB Financial Inc. 47 1,363 National Bankshares Inc. 38 1,503 National City Corp. 3,303 108,041 NBT Bancorp Inc. 1,487 28,773 Northern States Financial Corp. 239 6,862 Northern Trust Corp. 1,174 49,061 Northwest Bancorp Inc. 1,992 31,872 OceanFirst Financial Corp. 1,618 39,528 28 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- BANKS (Continued) ------------------------------------------------------------------------------- Old Point Financial Corp. 153 $ 4,484 PNC Financial Services Group 1,474 71,946 Regions Financial Corp. 1,582 53,440 Republic Bancorp Inc. 2,215 29,725 Republic Bancorp Inc. Class A 1,314 19,487 Republic Bancshares Inc. 1,372 34,314 Royal Bancshares of Pennsylvania Class A 1,845 39,391 SoundView Technology Group Inc./(1)/ 1,647 16,666 SouthTrust Corp. 2,445 66,504 State Street Corp. 1,889 74,427 Sterling Bancorp (New York) 1,209 33,719 Sterling Financial Corp. (Pennsylvania) 1,165 27,086 SunTrust Banks Inc. 1,596 94,707 Synovus Financial Corp. 2,317 49,815 Texas Regional Bancshares Inc. Class A 859 29,807 U.S. Bancorp 10,675 261,537 UMB Financial Corp. 481 20,394 Umpqua Holdings Corp. 362 6,874 United Community Financial Corp. 1,950 18,018 United Security Bancshares Inc. 22 994 USB Holding Co. Inc. 1,585 28,134 Wachovia Corp. 6,809 272,088 Washington Mutual Inc. 4,480 185,024 Wayne Bancorp Inc. 342 10,428 Wells Fargo & Company 8,686 437,774 West Coast Bancorp 2,656 48,339 Westamerica Bancorp 671 28,907 Zions Bancorporation 882 44,638 ------------------------------------------------------------------------------- 4,505,427 ------------------------------------------------------------------------------- BEVERAGES - 0.85% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 3,181 162,390 Brown-Forman Corp. Class B 492 38,681 Coca-Cola Co. (The) 11,877 551,212 Coca-Cola Enterprises Inc. 3,105 56,356 National Beverage Corp./(1)/ 2,077 28,870 Pepsi Bottling Group Inc. 1,841 36,857 PepsiCo Inc. 7,964 354,398 ------------------------------------------------------------------------------- 1,228,764 ------------------------------------------------------------------------------- BIOTECHNOLOGY - 0.56% ------------------------------------------------------------------------------- Acacia Research - CombiMatrix/(1)/ 676 1,636 Affymetrix Inc./(1)/ 433 8,534 Amgen Inc./(1)/ 6,253 415,449 Applera Corp. - Celera Genomics Group/(1)/ 1,539 15,882 Biogen Inc./(1)/ 810 30,780 Cambrex Corp. 147 3,384 Cephalon Inc./(1)/ 377 15,517 Chiron Corp./(1)/ 1,111 48,573 CryoLife Inc./(1)/ 197 2,039 Genentech Inc./(1)/ 1,167 84,164 Genzyme Corp. - General Division/(1)/ 1,248 52,166 Human Genome Sciences Inc./(1)/ 1,081 13,750 IDEC Pharmaceuticals Corp./(1)/ 723 24,582 Integra LifeSciences Holdings Corp./(1)/ 961 25,351 Invitrogen Corp./(1)/ 224 8,595 Millennium Pharmaceuticals Inc./(1)/ 1,845 29,022 Nektar Therapeutics/(1)/ 327 3,018 Protein Design Labs Inc./(1)/ 759 10,611 Regeneron Pharmaceuticals Inc./(1)/ 313 4,930 TECHNE Corp./(1)/ 460 13,956 ------------------------------------------------------------------------------- 811,939 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.08% ------------------------------------------------------------------------------- Masco Corp. 3,262 77,799 Mestek Inc./(1)/ 69 1,242 Vulcan Materials Co. 1,042 38,627 ------------------------------------------------------------------------------- 117,668 ------------------------------------------------------------------------------- CHEMICALS - 0.57% ------------------------------------------------------------------------------- Air Products & Chemicals Inc. 1,369 56,950 Dow Chemical Co. (The) 5,023 155,512 Du Pont (E.t.) de Nemours and Co. 5,404 225,023 Eastman Chemical Co. 679 21,504 Engelhard Corp. 1,845 45,701 Great Lakes Chemical Corp. 1,400 28,560 Hercules Inc./(1)/ 1,923 19,038 Monsanto Co. 1,650 35,706 OM Group Inc. 705 10,385 PPG Industries Inc. 972 49,319 Praxair Inc. 864 51,926 Rohm & Haas Co. 1,472 45,676 Sherwin-Williams Co. (The) 1,504 40,428 Sigma-Aldrich Corp. 717 38,847 ------------------------------------------------------------------------------- 824,575 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 0.69% ------------------------------------------------------------------------------- Apollo Group Inc. Class A/(1)/ 1,217 75,162 Arbitron Inc./(1)/ 816 29,131 Bankrate Inc./(1)/ 632 7,660 Block (H & R) Inc. 849 36,719 Caremark Rx Inc./(1)/ 1,443 37,056 CDI Corp./(1)/ 1,012 26,272 Cendant Corp./(1)/ 6,002 109,957 Coinstar Inc./(1)/ 340 6,412 Concord EFS Inc./(1)/ 2,980 43,866 Convergys Corp./(1)/ 1,632 26,112 Corinthian Colleges Inc./(1)/ 593 28,802 Cornell Companies Inc./(1)/ 1,131 17,123 Corporate Executive Board Co. (The)/(1)/ 675 27,358 Donnelley (R.R.) & Sons Co. 1,779 46,503 Dun & Bradstreet Corp./(1)/ 902 37,072 29 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMERCIAL SERVICES (Continued) ------------------------------------------------------------------------------- Ecolab Inc. 1,974 $ 50,534 Electro Rent Corp./(1)/ 1,399 15,081 Equifax Inc. 1,388 36,088 First Consulting Group Inc./(1)/ 1,093 5,104 GSI Commerce Inc./(1)/ 179 1,196 Hudson Highland Group Inc./(1)/ 97 1,844 Insurance Auto Auctions Inc./(1)/ 1,490 18,714 InterActiveCorp/(1)/ 740 29,282 iPayment Holdings Inc./(1)/ 102 2,435 ITT Educational Services Inc./(1)/ 762 22,288 McKesson Corp. 1,827 65,297 Medical Staffing Network Holdings Inc./(1)/ 499 3,493 Midas Inc./(1)/ 439 5,321 Monster Worldwide Inc./(1)/ 1,300 25,649 Moody's Corp. 1,041 54,871 Paychex Inc. 2,092 61,317 Petroleum Helicopters Inc./(1)/ 461 14,545 SM&A/(1)/ 482 5,447 Wackenhut Corrections Corp./(1)/ 1,850 25,363 ------------------------------------------------------------------------------- 999,074 ------------------------------------------------------------------------------- COMPUTERS - 2.08% ------------------------------------------------------------------------------- Advent Software Inc./(1)/ 165 2,790 Affiliated Computer Services Inc. Class A/(1)/ 707 32,331 Apple Computer Inc./(1)/ 2,379 45,486 Black Box Corp. 500 18,100 Brocade Communications Systems Inc./(1)/ 2,500 14,725 CCC Information Services Group Inc./(1)/ 558 8,091 Cisco Systems Inc./(1)/ 33,202 554,141 Computer Sciences Corp./(1)/ 1,153 43,952 Datastream Systems Inc./(1)/ 721 7,635 Dell Computer Corp./(1)/ 12,265 391,989 Drexler Technology Corp./(1)/ 82 1,271 DST Systems Inc./(1)/ 972 36,936 Electronic Data Systems Corp. 2,314 49,635 EMC Corp./(1)/ 12,393 129,755 Enterasys Networks Inc./(1)/ 2,404 7,284 Extreme Networks Inc./(1)/ 1,681 8,909 FactSet Research Systems Inc. 668 29,425 Gateway Inc./(1)/ 1,301 4,749 Hewlett-Packard Co. 15,748 335,432 International Business Machines Corp. 7,945 655,462 Internet Security Systems Inc./(1)/ 413 5,984 Interwoven Inc./(1)/ 4,893 10,862 Juniper Networks Inc./(1)/ 2,261 27,969 Keynote Systems Inc./(1)/ 1,490 15,615 Lexmark International Inc./(1)/ 633 44,797 Manhattan Associates Inc./(1)/ 363 9,427 Maxtor Corp./(1)/ 1,513 11,363 McDATA Corp. Class A/(1)/ 1,701 24,954 Mindspeed Technologies Inc./(1)/ 2,029 5,477 NCR Corp./(1)/ 743 19,036 Network Appliance Inc./(1)/ 2,331 37,786 Nuance Communications Inc./(1)/ 527 2,846 Palm Inc./(1)/ 1,521 24,747 Pegasus Solutions Inc./(1)/ 1,193 19,386 Planar Systems Inc./(1)/ 49 958 Rainbow Technologies Inc./(1)/ 42 353 Red Hat Inc./(1)/ 1,823 13,800 Safeguard Scientifics Inc./(1)/ 3,696 9,979 SanDisk Corp./(1)/ 601 24,250 Sapient Corp./(1)/ 5,542 15,351 ScanSource Inc./(1)/ 42 1,123 Seagate Technology Inc./(2)/ 1,574 -- Storage Technology Corp./(1)/ 373 9,601 Sun Microsystems Inc./(1)/ 17,244 79,322 SunGard Data Systems Inc./(1)/ 2,053 53,193 Synopsys Inc./(1)/ 572 35,378 Take-Two Interactive Software Inc./(1)/ 828 23,466 Turnstone Systems Inc./(1)/ 424 1,064 Unisys Corp./(1)/ 1,931 23,713 VeriSign Inc./(1)/ 129 1,784 Veritas Software Corp./(1)/ 2,350 67,374 Western Digital Corp./(1)/ 1,464 15,079 ------------------------------------------------------------------------------- 3,014,135 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 0.81% ------------------------------------------------------------------------------- Alberto-Culver Co. Class B 669 34,186 Avon Products Inc. 1,228 76,382 Colgate-Palmolive Co. 2,395 138,790 Estee Lauder Companies Inc. Class A 807 27,059 Gillette Co. (The) 4,666 148,659 International Flavors & Fragrances Inc. 1,008 32,185 Kimberly-Clark Corp. 2,381 124,145 Procter & Gamble Co. 6,625 590,817 ------------------------------------------------------------------------------- 1,172,223 ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.14% ------------------------------------------------------------------------------- Advanced Energy Industries Inc./(1)/ 215 3,064 CDW Corp./(1)/ 557 25,511 Costco Wholesale Corp./(1)/ 2,559 93,659 Genuine Parts Co. 1,458 46,671 Grainger (W.W.) Inc. 760 35,538 ------------------------------------------------------------------------------- 204,443 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 3.16% ------------------------------------------------------------------------------- American Express Co. 5,867 245,299 American International Group Inc. 13,958 770,202 Bear Stearns Companies Inc. (The) 618 44,756 Capital One Financial Corp. 1,257 61,819 30 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES (Continued) ------------------------------------------------------------------------------- Charter Municipal Mortgage Acceptance Co. 2,823 $ 53,665 Citigroup Inc. 27,402 1,172,806 Citigroup Inc. Warrants (Expires 12/31/50)/(1)/ 500 510 Countrywide Financial Corp. 808 56,213 Digital Insight Corp./(1)/ 997 18,993 DVI Inc./(1)/ 132 616 Fannie Mae 4,524 305,099 Federal Agricultural Mortgage Corp./(1)/ 45 1,006 Federated Investors Inc. Class B 387 10,612 Financial Federal Corp./(1)/ 57 1,391 Forrester Research Inc./(1)/ 1,200 19,632 Franklin Resources Inc. 1,651 64,505 Freddie Mac 3,552 180,335 Goldman Sachs Group Inc. (The) 2,441 204,434 Investment Technology Group Inc./(1)/ 168 3,125 Janus Capital Group Inc. 2,282 37,425 Jeffries Group Inc. 805 40,081 JP Morgan Chase & Co. 10,054 343,646 Lehman Brothers Holdings Inc. 1,257 83,565 MBNA Corp. 6,933 144,484 Merrill Lynch & Co. Inc. 4,521 211,040 Morgan Stanley 5,624 240,426 Providian Financial Corp./(1)/ 1,066 9,871 Schwab (Charles) Corp. (The) 7,658 77,269 Seacoast Financial Services Corp. 1,937 38,353 SLM Corp. 2,211 86,605 T. Rowe Price Group Inc. 1,244 46,961 ------------------------------------------------------------------------------- 4,574,744 ------------------------------------------------------------------------------- ELECTRIC - 1.03% ------------------------------------------------------------------------------- AES Corp. (The)/(1)/ 3,144 19,964 Allegheny Energy Inc. 2,098 17,728 Ameren Corp. 947 41,763 American Electric Power Co. Inc. 1,425 42,508 Avista Corp. 950 13,442 Black Hills Corp. 1,259 38,651 Calpine Corp./(1)/ 1,148 7,577 CenterPoint Energy Inc. 3,123 25,452 CH Energy Group Inc. 945 42,525 Cinergy Corp. 1,322 48,636 CMS Energy Corp. 2,109 17,083 Consolidated Edison Inc. 1,138 49,253 Constellation Energy Group Inc. 1,397 47,917 Dominion Resources Inc. 1,472 94,605 DTE Energy Co. 1,089 42,079 Duke Energy Corp. 4,752 94,802 Edison International/(1)/ 1,500 24,645 Entergy Corp. 1,402 73,998 Exelon Corp. 1,853 110,828 FirstEnergy Corp. 1,760 67,672 FPL Group Inc. 1,004 67,117 NiSource Inc. 1,981 37,639 PG&E Corp./(1)/ 2,250 47,588 Pinnacle West Capital Corp. 768 28,762 PNM Resources Inc. 887 23,727 PPL Corp. 1,309 56,287 Progress Energy Inc. 1,216 53,382 Public Service Enterprise Group Inc. 953 40,264 Southern Company 4,238 132,056 Texas Genco Holdings Inc. 156 3,627 TXU Corp. 1,471 33,024 Xcel Energy Inc. 2,850 42,864 ------------------------------------------------------------------------------- 1,487,465 ------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.04% ------------------------------------------------------------------------------- American Power Conversion Corp./(1)/ 1,882 29,340 Molex Inc. 1,290 34,817 ------------------------------------------------------------------------------- 64,157 ------------------------------------------------------------------------------- ELECTRONICS - 0.42% ------------------------------------------------------------------------------- Agilent Technologies Inc./(1)/ 2,745 53,665 Applera Corp. - Applied Biosystems Group 1,727 32,865 ATMI Inc./(1)/ 323 8,065 Cymer Inc./(1)/ 340 10,730 DuPont Photomasks Inc./(1)/ 220 4,143 Electro Scientific Industries Inc./(1)/ 362 5,488 Energy Conversion Devices Inc./(1)/ 897 8,163 Exar Corp./(1)/ 383 6,063 Fairchild Semiconductor International Inc. Class A/(1)/ 427 5,461 General Cable Corp. 851 4,595 Hutchinson Technology Inc./(1)/ 584 19,208 II-VI Inc./(1)/ 1,136 26,219 InVision Technologies Inc./(1)/ 500 12,425 Jabil Circuit Inc./(1)/ 1,714 37,879 Johnson Controls Inc. 546 46,738 Keithley Instruments Inc. 863 12,470 Parker Hannifin Corp. 813 34,138 PerkinElmer Inc. 1,596 22,041 Photon Dynamics Inc./(1)/ 557 15,390 Photronics Inc./(1)/ 944 16,473 Power Integrations Inc./(1)/ 324 7,880 Sanmina-SCI Corp./(1)/ 2,897 18,280 Solectron Corp./(1)/ 4,651 17,395 Symbol Technologies Inc. 2,463 32,044 Tektronix Inc./(1)/ 1,223 26,417 Thermo Electron Corp./(1)/ 1,699 35,713 Trimble Navigation Ltd./(1)/ 915 20,981 Triumph Group Inc./(1)/ 510 14,367 Valence Technology Inc./(1)/ 1,983 5,929 Waters Corp./(1)/ 1,000 29,130 Woodward Governor Co. 406 17,458 Zoran Corp./(1)/ 313 6,013 ------------------------------------------------------------------------------- 613,826 ------------------------------------------------------------------------------- 31 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- ENERGY & RELATED - 0.01% ------------------------------------------------------------------------------- Headwaters Inc./(1)/ 1,150 $ 16,894 ------------------------------------------------------------------------------- 16,894 ------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION - 0.02% ------------------------------------------------------------------------------- Fluor Corp. 1,029 34,616 ------------------------------------------------------------------------------- 34,616 ------------------------------------------------------------------------------- ENTERTAINMENT - 0.11% ------------------------------------------------------------------------------- Alliance Gaming Corp./(1)/ 1,516 28,668 Churchill Downs Inc. 551 21,109 Expedia Inc./(1)/ 333 25,435 International Game Technology Inc./(1)/ 476 48,709 Macrovision Corp./(1)/ 475 9,462 Martha Stewart Living Omnimedia Inc. Class A/(1)/ 454 4,263 Steinway Musical Instruments Inc./(1)/ 1,063 16,370 ------------------------------------------------------------------------------- 154,016 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.07% ------------------------------------------------------------------------------- Allied Waste Industries Inc./(1)/ 1,483 14,904 Waste Connections Inc./(1)/ 559 19,593 Waste Management Inc. 2,704 65,139 ------------------------------------------------------------------------------- 99,636 ------------------------------------------------------------------------------- FOOD - 0.74% ------------------------------------------------------------------------------- Albertson's Inc. 2,203 42,298 Archer-Daniels-Midland Co. 3,612 46,486 Campbell Soup Co. 2,136 52,332 ConAgra Foods Inc. 3,297 77,809 Del Monte Foods Co./(1)/ 767 6,780 General Mills Inc. 1,624 76,994 Great Atlantic & Pacific Tea Co./(1)/ 438 3,854 Heinz (H.J.) Co. 1,649 54,384 Hershey Foods Corp. 628 43,746 IHOP Corp. 1,233 38,926 J&J Snack Foods Corp./(1)/ 737 23,311 Kellogg Co. 2,062 70,871 Kroger Co./(1)/ 4,265 71,140 Nash Finch Co. 726 12,088 P.F. Chang's China Bistro Inc./(1)/ 782 38,482 Safeway Inc./(1)/ 2,290 46,853 Sanderson Farms Inc. 1,313 36,895 Sara Lee Corp. 3,823 71,911 SUPERVALU Inc. 1,524 32,492 Sysco Corp. 3,479 104,509 Tootsie Roll Industries Inc. 689 21,008 Winn-Dixie Stores Inc. 1,891 23,278 Wrigley (William Jr.) Co. 1,230 69,163 ------------------------------------------------------------------------------- 1,065,610 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.20% ------------------------------------------------------------------------------- Georgia-Pacific Corp. 2,012 38,127 International Paper Co. 2,712 96,900 Louisiana-Pacific Corp./(1)/ 2,104 22,807 MeadWestvaco Corp. 1,967 48,585 Weyerhaeuser Co. 1,420 76,680 ------------------------------------------------------------------------------- 283,099 ------------------------------------------------------------------------------- GAS - 0.08% ------------------------------------------------------------------------------- Peoples Energy Corp. 1,052 45,120 Sempra Energy 1,459 41,625 Southwestern Energy Co./(1)/ 2,100 31,521 ------------------------------------------------------------------------------- 118,266 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.15% ------------------------------------------------------------------------------- Baldor Electric Co. 908 18,705 Black & Decker Corp. 636 27,634 Emerson Electric Co. 1,995 101,945 Kennametal Inc. 876 29,644 SPX Corp./(1)/ 296 13,042 Stanley Works (The) 756 20,866 ------------------------------------------------------------------------------- 211,836 ------------------------------------------------------------------------------- HEALTH CARE - 1.81% ------------------------------------------------------------------------------- Aetna Inc. 843 50,749 Anthem Inc./(1)/ 1,322 101,992 Bausch & Lomb Inc. 670 25,125 Baxter International Inc. 2,804 72,904 Becton, Dickinson & Co. 1,872 72,727 Biomet Inc. 1,863 53,394 Boston Scientific Corp./(1)/ 2,242 136,986 Cerner Corp./(1)/ 418 9,593 Cerus Corp./(1)/ 291 2,191 Cobalt Corp./(1)/ 1,475 30,311 Enzon Pharmaceuticals Inc./(1)/ 347 4,344 Express Scripts Inc./(1)/ 484 33,067 Guidant Corp. 1,548 68,716 HCA Inc. 3,243 103,906 Invacare Corp. 992 32,736 Johnson & Johnson 15,237 787,753 Laboratory Corp. of America Holdings/(1)/ 900 27,135 Medtronic Inc. 6,011 288,348 Micro Therapeutics Inc./(1)/ 1,072 4,545 Oxford Health Plans Inc./(1)/ 1,062 44,636 Quest Diagnostics Inc./(1)/ 944 60,227 ResMed Inc./(1)/ 641 25,127 Respironics Inc./(1)/ 744 27,915 St. Jude Medical Inc./(1)/ 1,070 61,525 Stryker Corp. 1,129 78,319 Tenet Healthcare Corp./(1)/ 3,150 36,698 Triad Hospitals Inc./(1)/ 1,116 27,699 UnitedHealth Group Inc. 3,354 168,539 32 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE (Continued) ------------------------------------------------------------------------------- Vital Images Inc./(1)/ 664 $ 12,271 WellPoint Health Networks Inc./(1)/ 1,202 101,329 Zimmer Holdings Inc./(1)/ 1,387 62,484 ------------------------------------------------------------------------------- 2,613,291 ------------------------------------------------------------------------------- HOME BUILDERS - 0.05% ------------------------------------------------------------------------------- Centex Corp. 462 35,939 Champion Enterprises Inc./(1)/ 627 3,248 Standard-Pacific Corp. 1,012 33,558 ------------------------------------------------------------------------------- 72,745 ------------------------------------------------------------------------------- HOME FURNISHINGS - 0.09% ------------------------------------------------------------------------------- Leggett & Platt Inc. 2,306 47,273 Libbey Inc. 769 17,456 Maytag Corp. 831 20,293 Oneida Ltd. 242 1,634 Whirlpool Corp. 610 38,857 ------------------------------------------------------------------------------- 125,513 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.13% ------------------------------------------------------------------------------- Avery Dennison Corp. 753 37,801 Clorox Co. 1,211 51,649 Fortune Brands Inc. 1,017 53,087 Newell Rubbermaid Inc. 1,604 44,912 ------------------------------------------------------------------------------- 187,449 ------------------------------------------------------------------------------- INSURANCE - 1.12% ------------------------------------------------------------------------------- ACE Ltd. 1,644 56,373 AFLAC Inc. 3,152 96,924 Allmerica Financial Corp./(1)/ 271 4,875 Allstate Corp. (The) 3,698 131,834 Ambac Financial Group Inc. 652 43,195 AON Corp. 1,805 43,464 Chubb Corp. 734 44,040 CIGNA Corp. 703 32,999 Cincinnati Financial Corp. 1,354 50,220 Hancock (John) Financial Services Inc. 1,851 56,881 Hartford Financial Services Group Inc. 1,254 63,151 Hilb, Rogal & Hamilton Co. 684 23,283 Jefferson-Pilot Corp. 999 41,419 Kansas City Life Insurance Co. 295 12,638 Lincoln National Corp. 948 33,777 Loews Corp. 1,038 49,087 Marsh & McLennan Companies Inc. 2,383 121,700 MBIA Inc. 761 37,099 MetLife Inc. 3,756 106,370 MGIC Investment Corp. 574 26,771 PICO Holdings Inc./(1)/ 1,017 13,221 Principal Financial Group Inc. 2,317 74,723 ProAssurance Corp./(1)/ 722 19,487 Progressive Corp. (The) 1,110 81,141 Prudential Financial Inc. 3,044 102,431 SAFECO Corp. 1,091 38,490 St. Paul Companies Inc. 1,091 39,832 Travelers Property Casualty Corp. Class B 5,381 84,858 UNUMProvident Corp. 1,961 26,297 XL Capital Ltd. Class A 762 63,246 ------------------------------------------------------------------------------- 1,619,826 ------------------------------------------------------------------------------- IRON / STEEL - 0.04% ------------------------------------------------------------------------------- Allegheny Technologies Inc. 3,391 22,381 Carpenter Technology Corp. 150 2,340 Cleveland-Cliffs Inc./(1)/ 454 8,104 Nucor Corp. 157 7,669 United States Steel Corp. 1,278 20,921 ------------------------------------------------------------------------------- 61,415 ------------------------------------------------------------------------------- LEISURE TIME - 0.07% ------------------------------------------------------------------------------- Brunswick Corp. 875 21,893 Harley-Davidson Inc. 1,437 57,279 Nautilus Group Inc. (The) 133 1,649 Sabre Holdings Corp. 1,005 24,773 ------------------------------------------------------------------------------- 105,594 ------------------------------------------------------------------------------- LODGING - 0.11% ------------------------------------------------------------------------------- Harrah's Entertainment Inc./(1)/ 838 33,721 Hilton Hotels Corp. 3,594 45,967 Marriott International Inc. Class A 1,428 54,864 Starwood Hotels & Resorts Worldwide Inc. 781 22,329 ------------------------------------------------------------------------------- 156,881 ------------------------------------------------------------------------------- MACHINERY - 0.28% ------------------------------------------------------------------------------- Caterpillar Inc. 1,715 95,457 Cummins Inc. 589 21,139 Deere & Co. 1,344 61,421 Dover Corp. 1,399 41,914 Flowserve Corp./(1)/ 555 10,917 Gardner Denver Inc./(1)/ 235 4,808 Ingersoll-Rand Co. Class A 1,223 57,872 Manitowoc Co. Inc. (The) 381 8,496 NACCO Industries Inc. 287 16,916 Robbins & Myers Inc. 588 10,878 Rockwell Automation Inc. 1,923 45,844 Terex Corp./(1)/ 1,198 23,385 ------------------------------------------------------------------------------- 399,047 ------------------------------------------------------------------------------- MANUFACTURERS - 1.65% ------------------------------------------------------------------------------- Cooper Industries Ltd. 580 23,954 Danaher Corp. 878 59,748 Eastman Kodak Co. 1,654 45,237 33 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- MANUFACTURERS (Continued) ------------------------------------------------------------------------------- Eaton Corp. 497 $ 39,069 FMC Corp./(1)/ 642 14,528 General Electric Co. 50,363 1,444,411 Honeywell International Inc. 4,403 118,221 Illinois Tool Works Inc. 1,517 99,894 ITT Industries Inc. 667 43,662 Pall Corp. 1,949 43,853 Textron Inc. 910 35,508 3M Co. 1,781 229,713 Tyco International Ltd. 10,103 191,755 ------------------------------------------------------------------------------- 2,389,553 ------------------------------------------------------------------------------- MANUFACTURING - 0.02% ------------------------------------------------------------------------------- Kaydon Corp. 1,109 23,067 ------------------------------------------------------------------------------- 23,067 ------------------------------------------------------------------------------- MEDIA - 1.63% ------------------------------------------------------------------------------- Acacia Research Corp. - Acacia Technologies Group/(1)/ 1,212 1,467 AOL Time Warner Inc./(1)/ 23,326 375,315 Banta Corp. 1,196 38,715 Clear Channel Communications Inc./(1)/ 3,252 137,852 Comcast Corp. Class A/(1)/ 19,105 576,589 Gannett Co. Inc. 1,633 125,431 Insight Communications Co. Inc./(1)/ 1,400 18,452 Knight Ridder Inc. 838 57,763 Liberty Media Corp. Class A/(1)/ 4,926 56,945 Lin TV Corp. Class A/(1)/ 700 16,485 LodgeNet Entertainment Corp./(1)/ 851 9,318 McGraw-Hill Companies Inc. (The) 1,187 73,594 Meredith Corp. 953 41,932 New York Times Co. Class A 768 34,944 Pegasus Communications Corp./(1)/ 134 3,964 Spanish Broadcasting System Inc. Class A/(1)/ 1,399 11,402 Tribune Co. 2,116 102,203 Univision Communications Inc. Class A/(1)/ 1,352 41,101 Viacom Inc. Class B/(1)/ 9,305 406,256 Walt Disney Co. (The) 10,597 209,291 Young Broadcasting Inc. Class A/(1)/ 1,100 23,243 ------------------------------------------------------------------------------- 2,362,262 ------------------------------------------------------------------------------- MINING - 0.18% ------------------------------------------------------------------------------- Alcoa Inc. 5,091 129,821 Brush Engineered Materials Inc./(1)/ 308 2,572 Newmont Mining Corp. 2,725 88,454 Phelps Dodge Corp./(1)/ 750 28,755 Stillwater Mining Co./(1)/ 2,100 10,794 ------------------------------------------------------------------------------- 260,396 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.11% ------------------------------------------------------------------------------- Global Imaging Systems Inc./(1)/ 666 15,425 HON Industries Inc. 1,139 34,740 Pitney Bowes Inc. 1,478 56,770 Xerox Corp./(1)/ 4,803 50,864 ------------------------------------------------------------------------------- 157,799 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 1.88% ------------------------------------------------------------------------------- Amerada Hess Corp. 434 21,344 Anadarko Petroleum Corp. 1,371 60,968 Apache Corp. 996 64,800 Atwood Oceanics Inc./(1)/ 494 13,412 Burlington Resources Inc. 1,200 64,884 Cabot Oil & Gas Corp. 1,059 29,239 ChevronTexaco Corp. 5,266 380,205 ConocoPhillips 3,099 169,825 Devon Energy Corp. 984 52,546 EOG Resources Inc. 984 41,171 Evergreen Resources Inc./(1)/ 196 10,645 Exxon Mobil Corp. 36,065 1,295,094 Forest Oil Corp./(1)/ 791 19,870 Hanover Compressor Co./(1)/ 1,200 13,560 Kerr-McGee Corp. 519 23,251 Kinder Morgan Inc. 843 46,070 Marathon Oil Corp. 1,865 49,143 Nabors Industries Ltd./(1)/ 971 38,403 Noble Corp./(1)/ 871 29,875 Nuevo Energy Co./(1)/ 1,000 17,450 Occidental Petroleum Corp. 2,313 77,601 Penn Virginia Corp. 374 16,082 Plains Exploration & Production Co./(1)/ 214 2,313 Remington Oil & Gas Corp./(1)/ 998 18,343 Rowan Companies Inc./(1)/ 1,475 33,040 SEACOR SMIT Inc./(1)/ 548 19,997 Spinnaker Exploration Co./(1)/ 438 11,476 Stone Energy Corp./(1)/ 398 16,684 Transocean Inc./(1)/ 1,748 38,404 Unocal Corp. 1,600 45,904 ------------------------------------------------------------------------------- 2,721,599 ------------------------------------------------------------------------------- OIL & GAS SERVICES - 0.25% ------------------------------------------------------------------------------- Baker Hughes Inc. 1,806 60,627 CARBO Ceramics Inc. 371 13,820 FMC Technologies Inc./(1)/ 1,215 25,576 Halliburton Co. 2,703 62,169 Schlumberger Ltd. 2,580 122,731 Smith International Inc./(1)/ 1,256 46,145 Veritas DGC Inc./(1)/ 2,400 27,600 ------------------------------------------------------------------------------- 358,668 ------------------------------------------------------------------------------- PACKAGING & CONTAINERS - 0.03% ------------------------------------------------------------------------------- Crown Holdings Inc./(1)/ 1,886 13,466 34 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PACKAGING & CONTAINERS (Continued) ------------------------------------------------------------------------------- Sealed Air Corp./(1)/ 563 $ 26,833 ------------------------------------------------------------------------------- 40,299 ------------------------------------------------------------------------------- PHARMACEUTICALS - 2.93% ------------------------------------------------------------------------------- Abbott Laboratories 7,171 313,803 Abgenix Inc./(1)/ 2,206 23,141 Advanced Medical Optics Inc./(1)/ 827 14,100 Allergan Inc. 757 58,365 AmerisourceBergen Corp. 724 50,209 Amylin Pharmaceuticals Inc./(1)/ 638 13,966 Andrx Group/(1)/ 399 7,940 Aphton Corp./(1)/ 127 1,046 Bristol-Myers Squibb Co. 8,659 235,092 Cardinal Health Inc. 2,056 132,201 Celgene Corp./(1)/ 961 29,214 Columbia Laboratories Inc./(1)/ 1,356 15,255 CV Therapeutics Inc./(1)/ 368 10,915 Discovery Laboratories Inc./(1)/ 942 6,048 Forest Laboratories Inc./(1)/ 1,792 98,112 Geron Corp./(1)/ 1,178 8,670 Gilead Sciences Inc./(1)/ 1,081 60,082 ICN Pharmaceuticals Inc. 359 6,017 ImClone Systems Inc./(1)/ 506 16,000 InterMune Inc./(1)/ 245 3,947 IVAX Corp./(1)/ 962 17,172 King Pharmaceuticals Inc./(1)/ 1,753 25,874 Lilly (Eli) & Co. 5,251 362,161 Medarex Inc./(1)/ 1,566 10,320 MedImmune Inc./(1)/ 1,304 47,426 Merck & Co. Inc. 11,317 685,244 MGI Pharma Inc./(1)/ 1,024 26,245 Mylan Laboratories Inc. 1,011 35,152 Neurocrine Biosciences Inc./(1)/ 457 22,823 NPS Pharmaceuticals Inc./(1)/ 324 7,886 OSI Pharmaceuticals Inc./(1)/ 427 13,754 Penwest Pharmaceuticals Co./(1)/ 1,366 33,289 Pfizer Inc. 40,380 1,378,977 Schering-Plough Corp. 6,395 118,947 Sepracor Inc./(1)/ 925 16,678 SICOR Inc./(1)/ 512 10,414 Watson Pharmaceuticals Inc./(1)/ 870 35,122 Wyeth 6,334 288,514 ------------------------------------------------------------------------------- 4,240,121 ------------------------------------------------------------------------------- PIPELINES - 0.04% ------------------------------------------------------------------------------- Dynegy Inc. Class A 1,135 4,767 El Paso Corp. 3,735 30,179 Williams Companies Inc. 3,009 23,771 ------------------------------------------------------------------------------- 58,717 ------------------------------------------------------------------------------- REAL ESTATE - 0.02% ------------------------------------------------------------------------------- LNR Property Corp. 660 24,684 ------------------------------------------------------------------------------- 24,684 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.38% ------------------------------------------------------------------------------- Alexandria Real Estate Equities Inc. 1,393 62,685 Capital Automotive 215 6,018 Capstead Mortgage Corp. 925 10,425 Chelsea Property Group Inc. 2,156 86,908 Correctional Properties Trust 2,808 78,624 Crown American Realty Trust 4,734 50,843 Equity Office Properties Trust 1,963 53,021 Friedman, Billings, Ramsey Group, Inc. Class A 1,178 15,785 Koger Equity Inc. 3,927 67,662 Mid-America Apartment Communities Inc. 1,750 47,268 Parkway Properties Inc. 953 40,074 Winston Hotels Inc. 4,230 34,559 ------------------------------------------------------------------------------- 553,872 ------------------------------------------------------------------------------- RETAIL - 2.72% ------------------------------------------------------------------------------- Abercrombie & Fitch Co. Class A/(1)/ 778 22,103 Amazon.com Inc./(1)/ 1,443 52,655 AutoZone Inc./(1)/ 604 45,886 Bed Bath & Beyond Inc./(1)/ 1,772 68,771 Best Buy Co. Inc./(1)/ 1,675 73,566 BJ's Wholesale Club Inc./(1)/ 1,236 18,614 CarMax Inc./(1)/ 634 19,115 Cato Corp. Class A 890 18,761 Charming Shoppes Inc./(1)/ 2,916 14,493 Christopher & Banks Corp./(1)/ 55 2,034 Circuit City Stores Inc. 2,021 17,785 Coach Inc./(1)/ 549 27,307 CVS Corp. 2,442 68,449 Darden Restaurants Inc. 1,531 29,058 Deb Shops Inc. 805 15,134 Dillards Inc. Class A 675 9,092 Dollar General Corp. 2,203 40,227 Dollar Tree Stores Inc./(1)/ 1,104 35,030 Duane Reade Inc./(1)/ 482 7,110 eBay Inc./(1)/ 1,473 153,457 Family Dollar Stores Inc. 1,109 42,308 Federated Department Stores Inc. 1,128 41,567 Footstar Inc./(1)/ 1,129 14,677 Fred's Inc. 762 28,331 Gap Inc. (The) 4,517 84,739 Guitar Center Inc./(1)/ 832 24,128 Home Depot Inc. 12,686 420,160 Kohls Corp./(1)/ 1,463 75,169 Limited Brands Inc. 3,187 49,399 Linens 'N Things Inc./(1)/ 888 20,966 Lithia Motors Inc. Class A/(1)/ 257 4,156 Longs Drug Stores Corp. 119 1,975 35 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- RETAIL (Continued) ------------------------------------------------------------------------------- Lowe's Companies Inc. 3,523 $ 151,313 May Department Stores Co. (The) 1,624 36,150 McDonald's Corp. 6,796 149,920 Men's Wearhouse Inc. (The)/(1)/ 1,023 22,353 Michaels Stores Inc./(1)/ 688 26,185 Nordstrom Inc. 1,444 28,187 Office Depot Inc./(1)/ 2,674 38,800 Outback Steakhouse Inc. 727 28,353 Payless ShoeSource Inc./(1)/ 1,164 14,550 Penney (J.C.) Co. Inc. (Holding Co.) 1,407 23,708 Priceline.com Inc./(1)/ 221 4,956 RadioShack Corp. 1,264 33,256 Sears, Roebuck and Co. 1,877 63,142 Sonic Automotive Inc./(1)/ 248 5,434 Sports Resorts International Inc./(1)/ 1,057 5,137 Staples Inc./(1)/ 2,933 53,821 Starbucks Corp./(1)/ 2,337 57,303 Target Corp. 3,920 148,333 Tiffany & Co. 1,187 38,791 TJX Companies Inc. 3,014 56,784 Toys R Us Inc./(1)/ 1,570 19,028 Tweeter Home Entertainment Group Inc./(1)/ 1,227 10,650 Walgreen Co. 4,980 149,898 Wal-Mart Stores Inc. 21,274 1,141,776 Wendy's International Inc. 1,052 30,476 Whitehall Jewellers Inc./(1)/ 511 4,635 Yum! Brands Inc./(1)/ 1,721 50,873 ------------------------------------------------------------------------------- 3,940,034 ------------------------------------------------------------------------------- SEMICONDUCTORS - 1.21% ------------------------------------------------------------------------------- Advanced Micro Devices Inc./(1)/ 2,927 18,762 Agere Systems Inc. Class B/(1)/ 13,168 30,286 Altera Corp./(1)/ 2,119 34,752 Analog Devices Inc./(1)/ 1,661 57,836 Applied Materials Inc./(1)/ 7,156 113,494 Applied Micro Circuits Corp./(1)/ 1,587 9,601 Atmel Corp./(1)/ 2,729 6,904 Broadcom Corp. Class A/(1)/ 1,764 43,941 Brooks Automation Inc./(1)/ 772 8,754 Conexant Systems Inc./(1)/ 6,086 24,953 Credence Systems Corp./(1)/ 1,690 14,314 Cree Inc./(1)/ 1,164 18,950 GlobeSpanVirata Inc./(1)/ 883 7,285 Integrated Circuit Systems Inc./(1)/ 572 17,978 Integrated Device Technology Inc./(1)/ 1,040 11,492 Intel Corp. 31,160 647,629 International Rectifier Corp./(1)/ 432 11,586 Intersil Corp. Class A/(1)/ 392 10,431 KLA-Tencor Corp./(1)/ 1,033 48,024 Lam Research Corp./(1)/ 727 13,239 Lattice Semiconductor Corp./(1)/ 168 1,383 Linear Technology Corp. 1,357 43,709 LSI Logic Corp./(1)/ 2,669 18,897 Maxim Integrated Products Inc. 1,583 54,123 Microchip Technology Inc. 1,250 30,788 Micron Technology Inc./(1)/ 3,677 42,764 Mykrolis Corp./(1)/ 1,254 12,728 National Semiconductor Corp./(1)/ 1,236 24,374 Novellus Systems Inc./(1)/ 944 34,570 NVIDIA Corp./(1)/ 1,121 25,794 ON Semiconductor Corp./(1)/ 7,536 20,347 QLogic Corp./(1)/ 615 29,723 Rambus Inc./(1)/ 854 14,151 Silicon Laboratories Inc./(1)/ 325 8,658 Skyworks Solutions Inc./(1)/ 644 4,360 Teradyne Inc./(1)/ 1,579 27,332 Texas Instruments Inc. 9,073 159,685 TriQuint Semiconductor Inc./(1)/ 1,500 6,240 Vitesse Semiconductor Corp./(1)/ 1,114 5,481 Xilinx Inc./(1)/ 1,595 40,369 ------------------------------------------------------------------------------- 1,755,687 ------------------------------------------------------------------------------- SOFTWARE - 1.91% ------------------------------------------------------------------------------- Adobe Systems Inc. 1,295 41,531 Akamai Technologies Inc./(1)/ 2,269 10,846 Ariba Inc./(1)/ 593 1,761 Automatic Data Processing Inc. 2,904 98,329 BEA Systems Inc./(1)/ 2,610 28,345 BMC Software Inc./(1)/ 1,768 28,871 Borland Software Corp./(1)/ 657 6,419 Cadence Design Systems Inc./(1)/ 1,943 23,433 Certegy Inc./(1)/ 887 24,614 CheckFree Corp./(1)/ 390 10,858 Citrix Systems Inc./(1)/ 1,283 26,122 Computer Associates International Inc. 3,370 75,084 Compuware Corp./(1)/ 3,070 17,714 EarthLink Inc./(1)/ 565 4,458 Edwards (J.D.) & Co./(1)/ 791 11,335 Electronic Arts Inc./(1)/ 707 52,311 eUniverse Inc./(1)/(2)/ 4,525 16,381 First Data Corp. 3,632 150,510 Fiserv Inc./(1)/ 1,321 47,041 IMPAC Medical Systems Inc./(1)/ 134 2,798 IMS Health Inc. 1,893 34,055 Inter-Tel Inc. 788 16,721 Intuit Inc./(1)/ 1,159 51,610 Macromedia Inc./(1)/ 69 1,452 Mercury Interactive Corp./(1)/ 625 24,131 Microsoft Corp. 51,255 1,312,641 NetIQ Corp./(1)/ 489 7,560 Network Associates Inc./(1)/ 1,298 16,459 NIC Inc./(1)/ 3,561 10,398 Novell Inc./(1)/ 2,488 7,663 Oracle Corp./(1)/ 25,356 304,779 Overture Services Inc./(1)/ 468 8,485 PeopleSoft Inc./(1)/ 1,918 33,738 36 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- SOFTWARE (Continued) ------------------------------------------------------------------------------- Per-Se Technologies Inc./(1)/ 1,424 $ 15,992 Pinnacle Systems Inc./(1)/ 1,321 14,135 Roxio Inc./(1)/ 286 1,913 SAFLINK Corp./(1)/ 218 1,382 Siebel Systems Inc./(1)/ 3,336 31,825 Symantec Corp./(1)/ 860 37,720 Total System Services Inc. 1,319 29,414 Vignette Corp./(1)/ 4,086 8,499 Vitria Technology Inc./(1)/ 365 2,066 Websense Inc./(1)/ 357 5,591 Yahoo! Inc./(1)/ 3,018 98,870 ------------------------------------------------------------------------------- 2,755,860 ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.33% ------------------------------------------------------------------------------- ADC Telecommunications Inc./(1)/ 3,613 8,411 Andrew Corp./(1)/ 238 2,190 Avaya Inc./(1)/ 1,902 12,287 CIENA Corp./(1)/ 1,924 9,986 Comverse Technology Inc./(1)/ 1,999 30,045 JDS Uniphase Corp./(1)/ 7,247 25,437 Lucent Technologies Inc./(1)/ 20,763 42,149 Motorola Inc. 12,856 121,232 QUALCOMM Inc. 3,538 126,484 RF Micro Devices Inc./(1)/ 1,806 10,872 Scientific-Atlanta Inc. 1,456 34,711 Sonus Networks Inc./(1)/ 3,491 17,560 Tellabs Inc./(1)/ 2,800 18,396 Terayon Communication Systems Inc./(1)/ 4,426 12,083 Tollgrade Communications Inc./(1)/ 600 11,190 ------------------------------------------------------------------------------- 483,033 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 0.74% ------------------------------------------------------------------------------- Aether Systems Inc./(1)/ 1,136 5,566 AT&T Wireless Services Inc./(1)/ 15,571 127,838 Avocent Corp./(1)/ 802 24,004 C-COR.net Corp./(1)/ 1,187 5,816 Charter Communications Inc. Class A/(1)/ 7,316 29,045 Corning Inc./(1)/ 5,061 37,401 Dobson Communications Corp. Class A/(1)/ 1,627 8,574 EchoStar Communications Corp./(1)/ 1,681 58,196 Emulex Corp./(1)/ 513 11,681 InterDigital Communications Corp./(1)/ 735 17,177 Intrado Inc./(1)/ 1,249 19,722 MRV Communications Inc./(1)/ 4,770 9,588 Nextel Communications Inc. Class A/(1)/ 4,967 89,803 Price Communications Corp./(1)/ 822 10,612 Qwest Communications International Inc./(1)/ 8,919 42,633 Sprint Corp. (PCS Group)/(1)/ 5,571 32,033 United Online Inc./(1)/ 379 9,604 Verizon Communications Inc. 13,205 520,937 WebEx Communications Inc./(1)/ 319 4,450 Western Wireless Corp. Class A/(1)/ 400 4,612 ------------------------------------------------------------------------------- 1,069,292 ------------------------------------------------------------------------------- TELEPHONE - 0.70% ------------------------------------------------------------------------------- Alltel Corp. 1,992 96,054 AT&T Corp. 4,008 77,154 BellSouth Corp. 10,213 271,972 CenturyTel Inc. 1,090 37,987 SBC Communications Inc. 17,904 457,447 Sprint Corp. (FON Group) 5,218 75,139 Telephone & Data Systems Inc. 55 2,734 ------------------------------------------------------------------------------- 1,018,487 ------------------------------------------------------------------------------- TEXTILES - 0.08% ------------------------------------------------------------------------------- Cintas Corp. 1,170 41,465 G&K Services Inc. Class A 1,121 33,182 UniFirst Corp. 1,540 33,726 ------------------------------------------------------------------------------- 108,373 ------------------------------------------------------------------------------- TOBACCO - 0.35% ------------------------------------------------------------------------------- Altria Group Inc. 9,752 443,131 R.J. Reynolds Tobacco Holdings Inc. 701 26,084 UST Inc. 1,189 41,651 ------------------------------------------------------------------------------- 510,866 ------------------------------------------------------------------------------- TOYS / GAMES / HOBBIES - 0.06% ------------------------------------------------------------------------------- Action Performance Companies Inc. 401 7,619 Hasbro Inc. 2,108 36,869 Mattel Inc. 2,458 46,505 ------------------------------------------------------------------------------- 90,993 ------------------------------------------------------------------------------- TRANSPORTATION - 0.59% ------------------------------------------------------------------------------- Arkansas Best Corp. 967 23,005 Burlington Northern Santa Fe Corp. 2,083 59,241 CSX Corp. 1,004 30,210 Dollar Thrifty Automotive Group Inc./(1)/ 1,000 18,550 EGL Inc./(1)/ 1,600 24,320 FedEx Corp. 1,646 102,101 Hunt (J.B.) Transport Services Inc./(1)/ 917 34,617 Kansas City Southern Industries Inc./(1)/ 2,135 25,684 Norfolk Southern Corp. 2,455 47,136 Overseas Shipholding Group Inc. 1,258 27,689 SCS Transportation Inc./(1)/ 850 10,736 Union Pacific Corp. 1,098 63,706 United Parcel Service Inc. Class B 5,435 346,210 USF Corp. 896 24,165 Yellow Corp./(1)/ 950 21,993 ------------------------------------------------------------------------------- 859,363 ------------------------------------------------------------------------------- 37 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- TRUCKING & LEASING - 0.02% ------------------------------------------------------------------------------- GATX Corp. 473 $ 7,734 Interpool Inc. 1,031 16,929 ------------------------------------------------------------------------------- 24,663 ------------------------------------------------------------------------------- WATER - 0.03% ------------------------------------------------------------------------------- Middlesex Water Co. 1,807 44,524 ------------------------------------------------------------------------------- 44,524 ------------------------------------------------------------------------------- TOTAL U.S. COMMON STOCKS (Cost: $54,065,903) 54,487,762 ------------------------------------------------------------------------------- INTERNATIONAL COMMON STOCKS - 12.17% AUSTRALIA - 0.51% ------------------------------------------------------------------------------- Broken Hill Proprietary Co. Ltd. 12,217 70,790 Coles Myer Ltd. ADR 2,154 80,344 Commonwealth Bank of Australia 1,569 31,094 National Australia Bank ADR 1,547 173,651 News Corporation Ltd. ADR 1,839 55,667 Rio Tinto PLC ADR 1,334 102,118 Westpac Banking Corp. Ltd. ADR 3,428 187,443 Woolworths Ltd. 3,557 29,866 ------------------------------------------------------------------------------- 730,973 ------------------------------------------------------------------------------- BELGIUM - 0.05% ------------------------------------------------------------------------------- Electrabel SA 129 32,872 Fortis Group 2,519 43,738 ------------------------------------------------------------------------------- 76,610 ------------------------------------------------------------------------------- DENMARK - 0.13% ------------------------------------------------------------------------------- Novo-Nordisk A/S ADR 2,986 103,525 TDC A/S ADR 5,683 86,097 ------------------------------------------------------------------------------- 189,622 ------------------------------------------------------------------------------- FINLAND - 0.28% ------------------------------------------------------------------------------- Nokia OYJ 3,000 49,402 Nokia OYJ ADR 5,571 91,532 Outokumpu OYJ 1,378 12,106 Rautaruukki OYJ/(1)/ 16,680 71,829 Stora Enso OYJ Class R 806 9,006 TietoEnator OYJ 1,214 20,437 Uponor OYJ 6,358 147,484 ------------------------------------------------------------------------------- 401,796 ------------------------------------------------------------------------------- FRANCE - 1.10% ------------------------------------------------------------------------------- Alcatel SA ADR/(1)/ 8,456 75,681 Autoroutes du Sud de la France SA 1,504 43,955 Aventis SA ADR 4,046 221,316 AXA ADR 8,435 131,670 BNP Paribas SA 3,111 158,084 Carrefour SA 1,274 62,441 Compagnie de Saint-Gobain SA 595 23,416 France Telecom SA/(1)/ 899 22,051 France Telecom SA ADR 1,356 33,425 Groupe Danone 244 33,764 Lafarge SA 237 13,890 L'Air Liquide SA 150 22,238 L'Oreal SA 661 46,606 LVMH Moet Hennessy Louis Vuitton SA 2,139 106,088 PSA Peugeot Citroen 500 24,288 Renault SA 420 22,205 Sanofi-Synthelabo SA 1,049 61,436 Schneider Electric SA 342 16,079 Societe Generale Class A 745 47,225 STMicroelectronics NV 1,504 31,537 Suez SA 1,574 25,052 Total SA 4,234 320,937 Vivendi Universal SA/(1)/ 781 14,215 Vivendi Universal SA ADR/(1)/ 1,492 27,512 ------------------------------------------------------------------------------- 1,585,111 ------------------------------------------------------------------------------- GERMANY - 0.71% ------------------------------------------------------------------------------- Allianz AG 443 36,821 BASF AG 838 35,798 Bayer AG 1,908 44,215 DaimlerChrysler AG 4,553 158,080 Deutsche Bank AG 2,524 163,704 Deutsche Telekom AG ADR/(1)/ 8,004 121,661 E.ON AG 4,392 225,800 Muenchener Rueckversicherungs- Gesellschaft AG 193 19,676 RWE AG 1,286 38,825 SAP AG ADR 2,437 71,209 Schering AG 323 15,794 Siemens AG 1,927 94,534 ------------------------------------------------------------------------------- 1,026,117 ------------------------------------------------------------------------------- HONG KONG - 0.17% ------------------------------------------------------------------------------- Bank of East Asia Ltd. 28,800 56,875 Cheung Kong (Holdings) Ltd. 1,000 6,014 CLP Holdings Ltd. 7,000 30,610 Hang Seng Bank Ltd. 900 9,521 Hong Kong & China Gas Co. Ltd. 47,300 59,746 Hongkong Electric Holdings Ltd. 8,000 31,392 Sun Hung Kai Properties Ltd. 1,000 5,052 Swire Pacific Ltd. Class A 7,500 32,796 Wharf Holdings Ltd. 11,000 21,159 ------------------------------------------------------------------------------- 253,165 ------------------------------------------------------------------------------- IRELAND - 0.10% ------------------------------------------------------------------------------- Allied Irish Banks PLC ADR 3,923 117,337 38 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- IRELAND (Continued) ------------------------------------------------------------------------------- Bank of Ireland 1,884 $ 22,825 ------------------------------------------------------------------------------- 140,162 ------------------------------------------------------------------------------- ITALY - 0.52% ------------------------------------------------------------------------------- Assicurazioni Generali SpA 370 8,574 Banca Intesa SpA 14,796 47,320 Benetton Group SpA ADR 4,882 102,522 ENI-Ente Nazionale Idrocarburi SpA ADR 1,560 118,622 Fiat SpA ADR/(1)/ 4,478 32,152 San Paolo-IMI SpA ADR 5,997 112,864 Seat-Pagine Gialle SpA/(1)/ 44,037 30,595 Telecom Italia Mobile SpA 5,523 27,209 Telecom Italia SpA Class A 3,683 33,327 Unicredito Italiano SpA 50,787 242,033 ------------------------------------------------------------------------------- 755,218 ------------------------------------------------------------------------------- JAPAN - 2.68% ------------------------------------------------------------------------------- Ajinomoto Co. Inc. 2,000 19,155 Bridgestone Corp. 2,000 27,150 Canon Inc. ADR 3,272 149,367 Chubu Electric Power Co. Inc. 2,400 43,773 Dai Nippon Printing Co. Ltd. 2,000 21,153 Daiwa Securities Group Inc. 11,000 63,210 East Japan Railway Co. 14 62,261 Fuji Photo Film Co. Ltd. ADR 2,462 70,930 Hitachi Ltd. ADR 1,460 61,758 Honda Motor Company Ltd. ADR 5,418 103,213 Ito-Yokado Co. Ltd. ADR/(2)/ 3,001 71,664 Japan Airlines System Corp. ADR 7,202 76,750 Kansai Electric Power Co. Inc. 2,600 41,011 Kao Corp. 2,000 37,227 Kirin Brewery Co. Ltd. ADR 23,264 161,917 Kubota Corp. ADR 7,268 98,481 Kyocera Corp. ADR 1,046 59,622 Makita Corp. 10,000 81,199 Makita Corp. ADR 3,040 24,016 Matsushita Electric Industrial Co. Ltd. ADR 7,599 76,370 Millea Holdings Inc. ADR 3,608 138,692 Mitsubishi Corp. ADR 7,259 99,085 Mitsubishi Estate Co. Ltd. 5,000 33,854 Mitsubishi Heavy Industries Ltd. 9,000 23,310 Mitsubishi Tokyo Financial Group Inc. 11 49,744 Mitsui & Co. ADR 980 96,530 Mitsui Sumitomo Insurance Co. Ltd. 3,000 13,916 Mizuho Financial Group Inc./(1)/ 24 18,968 Murata Manufacturing Co. Ltd. 1,000 39,309 NEC Corp. ADR 11,218 56,539 Nikko Cordial Corp. 11,000 44,156 Nintendo Co. Ltd. 400 29,082 Nippon Oil Corp. 7,000 30,373 Nippon Steel Corp. 31,000 42,598 Nippon Telegraph & Telephone Corp. ADR 6,022 119,236 Nissan Motor Co. Ltd. ADR 4,959 93,973 Nomura Holdings Inc. 6,000 76,152 NTT DoCoMo Inc. 61 132,084 Oki Electric Industry Co. Ltd./(1)/ 80,000 229,190 Pioneer Corp. ADR 4,237 96,476 Ricoh Corp. Ltd. ADR 1,092 91,455 Rohm Co. Ltd. 600 65,409 Secom Co. Ltd. 2,000 58,630 Seven-Eleven Japan Co. Ltd. 2,000 49,802 Sharp Corp. 2,000 25,667 Shin-Etsu Chemical Co. Ltd. 1,300 44,389 Sony Corp. 700 19,704 Sony Corp. ADR 1,998 55,944 Sumitomo Mitsui Financial Group Inc. 13 28,366 Takeda Chemical Industries Ltd. 3,100 114,370 Takefuji Corp. 490 25,423 Tohoku Electric Power Co. Inc. 2,000 29,582 Tokyo Electric Power Co. Inc. (The) 4,100 78,364 Tokyo Electron Ltd. 1,100 52,126 Tokyo Gas Co. Ltd. 11,000 31,605 Toshiba Corp. 11,000 37,835 Toyota Motor Corp. 900 23,310 Toyota Motor Corp. ADR 3,637 188,397 UFJ Holdings Inc./(1)/ 15 21,986 Yamanouchi Pharmaceutical Co. Ltd. 1,600 41,707 ------------------------------------------------------------------------------- 3,897,565 ------------------------------------------------------------------------------- NETHERLANDS - 0.72% ------------------------------------------------------------------------------- Abn Amro Holding NV ADR 8,148 155,545 Aegon NV ADR 4,753 47,720 Akzo Nobel NV ADR 2,640 70,356 ING Groep NV ADR 3,618 63,424 Koninklijke Ahold NV ADR 6,465 54,112 Koninklijke KPN NV/(1)/ 9,968 70,626 Koninklijke Philips Electronics NV NY Shares 4,729 90,371 Reed Elsevier NV ADR 4,916 116,755 Royal Dutch Petroleum Co. 6,534 303,284 Unilever NV CVA 1,104 59,231 ------------------------------------------------------------------------------- 1,031,424 ------------------------------------------------------------------------------- NEW ZEALAND - 0.04% ------------------------------------------------------------------------------- Telecom Corp. of New Zealand Ltd. ADR 2,178 53,056 ------------------------------------------------------------------------------- 53,056 ------------------------------------------------------------------------------- NORWAY - 0.00% ------------------------------------------------------------------------------- Gjensidige NOR ASA 153 5,352 ------------------------------------------------------------------------------- 5,352 ------------------------------------------------------------------------------- 39 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PANAMA - 0.08% ------------------------------------------------------------------------------- Carnival Corp. 3,360 $ 109,234 ------------------------------------------------------------------------------- 109,234 ------------------------------------------------------------------------------- PORTUGAL - 0.04% ------------------------------------------------------------------------------- Banco Comercial Portugues SA ADR 2,762 24,582 Portugal Telecom SGPS SA 4,063 29,114 ------------------------------------------------------------------------------- 53,696 ------------------------------------------------------------------------------- SINGAPORE - 0.10% ------------------------------------------------------------------------------- Chartered Semiconductor Manufacturing Ltd./(1)/ 10,000 5,168 Chartered Semiconductor Manufacturing Ltd. ADR/(1)/ 1,089 5,608 Haw Par Corp. Ltd. 48,081 118,496 United Overseas Bank Ltd. 2,000 14,083 ------------------------------------------------------------------------------- 143,355 ------------------------------------------------------------------------------- SPAIN - 0.44% ------------------------------------------------------------------------------- Altadis SA 2,366 60,643 Banco Bilbao Vizcaya Argentaria SA ADR 8,683 91,085 Banco Santander Central Hispano SA ADR 25,209 222,343 Iberdrola SA 1,365 23,638 Repsol YPF SA ADR 5,256 84,990 Telefonica SA 415 4,818 Telefonica SA ADR 4,032 139,386 ------------------------------------------------------------------------------- 626,903 ------------------------------------------------------------------------------- SWEDEN - 0.34% ------------------------------------------------------------------------------- Hennes & Mauritz AB Class B 505 11,608 Hoganas AB Class B 5,606 114,152 Nordea AB 2,015 9,716 Sapa AB 8,263 166,190 Securitas AB Class B 559 5,726 SSAB Svenskt Stal AB Series A 5,278 70,550 SSAB Svenskt Stal AB Series B 5,413 68,973 Svenska Cellulosa AB Class B 398 13,598 Telefonaktiebolaget LM Ericsson AB ADR/(1)/ 2,312 24,577 ------------------------------------------------------------------------------- 485,090 ------------------------------------------------------------------------------- SWITZERLAND - 0.97% ------------------------------------------------------------------------------- Adecco SA ADR 6,256 65,375 Centerpulse ADR 2,731 73,737 Compagnie Financiere Richemont AG 1,536 24,834 Credit Suisse Group 2,871 75,561 Lonza Group AG - Registered 4,110 188,122 Nestle SA 1,397 288,259 Novartis AG 6,237 246,800 Roche Holding AG - Genusschein 1,195 93,735 Swiss Re 868 48,092 UBS AG - Registered 3,059 170,164 Zurich Financial Services AG/(1)/ 977 116,486 ------------------------------------------------------------------------------- 1,391,165 ------------------------------------------------------------------------------- UNITED KINGDOM - 3.19% ------------------------------------------------------------------------------- AstraZeneca PLC ADR 5,300 216,081 Aviva PLC 11,291 78,393 BAA PLC 3,545 28,693 Barclays PLC ADR/(3)/ 6,340 189,693 BG Group PLC 7,486 33,168 BHP Billiton PLC 10,837 57,046 BP PLC 38,334 265,837 BP PLC ADR 4,878 204,974 British American Tobacco PLC 14,100 159,961 British Sky Broadcasting PLC ADR/(1)/ 2,090 94,259 British Telecom PLC ADR 3,066 103,202 Cadbury Schweppes PLC ADR 6,075 146,894 Centrica PLC 13,001 37,705 Compass Group PLC 3,934 21,212 Diageo PLC ADR 4,633 202,740 GlaxoSmithKline PLC ADR 10,144 411,238 GUS PLC 4,284 48,000 Hanson PLC ADR 4,693 132,624 HBOS PLC 15,403 199,398 Hong Kong & Shanghai Banking ADR 1,585 93,689 HSBC Holdings PLC 21,478 253,764 Imperial Tobacco Group PLC 3,134 56,008 Kingfisher PLC 10,200 46,665 Lloyds TSB Group PLC 12,355 87,718 Marks & Spencer Group PLC 6,598 34,378 National Grid Transco PLC 8,586 58,231 Pearson PLC 4,794 44,775 Prudential Corp. PLC 3,693 22,365 Reckitt Benckiser PLC 2,257 41,415 Reed International PLC 5,863 48,785 Reuters Group PLC 764 2,216 Reuters Group PLC ADR 1,502 26,405 Royal Bank of Scotland Group PLC 8,332 233,734 Scottish & Southern Energy PLC 3,186 32,806 Scottish Power PLC 5,869 35,252 Shell Transport & Trading Co. PLC 25,087 165,589 Tesco PLC 33,041 119,541 Unilever PLC 13,800 109,875 Vodafone Group PLC 72,164 141,111 Vodafone Group PLC ADR 14,928 293,335 40 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- UNITED KINGDOM (Continued) ------------------------------------------------------------------------------- WPP Group PLC 5,316 $ 41,668 ------------------------------------------------------------------------------- 4,620,443 ------------------------------------------------------------------------------- TOTAL INTERNATIONAL COMMON STOCKS (Cost: $20,215,796) 17,576,057 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $74,281,699) 72,063,819 ------------------------------------------------------------------------------- PREFERRED STOCKS - 0.02% AUSTRALIA - 0.02% ------------------------------------------------------------------------------- News Corporation Ltd. (The) 5,746 35,414 ------------------------------------------------------------------------------- 35,414 ------------------------------------------------------------------------------- TOTAL PREFERRED STOCKS (Cost: $35,355) 35,414 ------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 48.65% ------------------------------------------------------------------------------- U.S. Treasury Bonds 10.75%, 08/15/05 $ 900,000 1,076,730 U.S. Treasury Notes 1.50%, 02/28/05 6,735,000 6,767,362 1.63%, 01/31/05 3,490,000 3,513,994 1.63%, 03/31/05 1,740,000 1,751,963 1.63%, 04/30/05 3,630,000 3,653,820 3.25%, 08/15/07 2,070,000 2,160,320 3.88%, 02/15/13 100,000 102,902 4.00%, 11/15/12 2,070,000 2,154,013 4.88%, 02/15/12 1,830,000 2,034,158 5.00%, 02/15/11 1,610,000 1,807,162 5.00%, 08/15/11 3,100,000 3,477,329 5.50%, 05/15/09 395,000 454,960 5.63%, 05/15/08 5,730,000 6,568,906 5.75%, 11/15/05 3,140,000 3,455,840 5.75%, 08/15/10 1,100,000 1,287,559 6.00%, 08/15/04 3,300,000 3,481,757 6.00%, 08/15/09 1,220,000 1,439,075 6.13%, 08/15/07 2,630,000 3,042,274 6.50%, 10/15/06 8,190,000 9,409,540 6.75%, 05/15/05 5,590,000 6,156,206 6.88%, 05/15/06 2,690,000 3,082,678 7.88%, 11/15/04 3,190,000 3,481,461 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $67,779,980) 70,360,009 ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 20.34% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(4)/ 17,059,958 $ 17,059,958 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(4)/ 4,671,240 4,671,240 BlackRock Temp Cash Money Market Fund/(4)/ 235,567 235,567 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(4)/ 1,224,891 1,224,891 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(4)/ 519,027 519,027 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(4)/ 311,416 311,416 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 259,474 259,474 1.17%, 08/15/03/(4)/ 389,292 389,292 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(4)/ 207,610 207,610 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(4)/ 228,360 228,360 1.31%, 05/24/04/(4)/ 518,975 518,975 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 518,949 518,949 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(4)/ 259,513 259,513 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(4)/ 519,027 519,027 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(4)/ 103,805 103,805 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(4)/ 259,500 259,500 1.22%, 04/13/04/(4)/ 259,500 259,500 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(4)/ 259,461 259,461 1.08%, 03/29/04/(4)/ 259,513 259,513 1.29%, 05/04/04/(4)/ 259,500 259,500 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(4)/ 519,001 519,001 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(4)/ 259,513 259,513 1.14%, 05/17/04/(4)/ 311,416 311,416 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $29,414,508) 29,414,508 ------------------------------------------------------------------------------- 41 LIFEPATH 2010 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.25% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(4)/ $ 259,513 $ 259,513 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(4)/ 103,805 103,805 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $363,318) 363,318 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 119.09% (Cost $171,874,860) 172,237,068 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (19.09%) (27,606,811) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 144,630,257 ------------------------------------------------------------------------------- ---------- /(1)/ Non-income earning securities. /(2)/ Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. /(3)/ Issuer is an affiliate of the Master Portfolio's investment advisor. See Note 2. /(4)/ All or a portion of this security represents investments of securities lending collateral. The accompanying notes are an integral part of these financial statements. 42 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMON STOCKS - 64.76% U.S. COMMON STOCKS - 48.78% ADVERTISING - 0.13% ------------------------------------------------------------------------------- ADVO Inc./(1)/ 2,553 $ 113,353 Interpublic Group of Companies Inc. 6,934 92,775 Omnicom Group Inc. 2,761 197,964 ------------------------------------------------------------------------------- 404,092 ------------------------------------------------------------------------------- AEROSPACE / DEFENSE - 0.64% ------------------------------------------------------------------------------- Boeing Co. (The) 11,960 410,467 General Dynamics Corp. 2,687 194,807 Goodrich (B.F.) Co. 3,386 71,106 L-3 Communications Holdings Inc./(1)/ 795 34,575 Lockheed Martin Corp. 6,058 288,179 Northrop Grumman Corp. 2,483 214,258 Raytheon Co. 6,180 202,951 Rockwell Collins Inc. 4,473 110,170 United Technologies Corp. 6,574 465,636 ------------------------------------------------------------------------------- 1,992,149 ------------------------------------------------------------------------------- AIRLINES - 0.07% ------------------------------------------------------------------------------- AMR Corp./(1)/ 2,821 31,031 Northwest Airlines Corp./(1)/ 2,385 26,927 Southwest Airlines Co. 9,315 160,218 ------------------------------------------------------------------------------- 218,176 ------------------------------------------------------------------------------- APPAREL - 0.17% ------------------------------------------------------------------------------- Jones Apparel Group Inc./(1)/ 3,183 93,135 Liz Claiborne Inc. 3,412 120,273 Nike Inc. Class B 4,301 230,060 VF Corp. 2,818 95,727 Warnaco Group Inc. (The)/(1)/ 612 8,231 ------------------------------------------------------------------------------- 547,426 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.24% ------------------------------------------------------------------------------- Ford Motor Company 28,616 314,490 General Motors Corp. 7,126 256,536 Navistar International Corp./(1)/ 1,006 32,826 PACCAR Inc. 2,087 140,998 ------------------------------------------------------------------------------- 744,850 ------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT - 0.13% ------------------------------------------------------------------------------- ArvinMeritor Inc. 725 14,630 BorgWarner Inc. 911 58,668 Cooper Tire & Rubber Co. 1,211 21,301 Dana Corp. 4,828 55,812 Delphi Corp. 9,252 79,845 Goodyear Tire & Rubber Co. (The) 3,998 20,989 Lear Corp./(1)/ 1,232 56,697 Standard Motor Products Inc. 5,802 64,402 Visteon Corp. 6,236 42,841 ------------------------------------------------------------------------------- 415,185 ------------------------------------------------------------------------------- BANKS - 3.92% ------------------------------------------------------------------------------- ABC Bancorp 2,058 29,491 AmSouth Bancorp 4,816 105,181 Associated Bancorp 2,254 83,128 Bank of America Corp. 21,490 1,698,355 Bank of New York Co. Inc. (The) 10,375 298,281 Bank One Corp. 15,639 581,458 Banknorth Group Inc. 1,884 48,080 BB&T Corp. 6,080 208,544 Bryn Mawr Bank Corp. 1,378 51,082 Cascade Bancorp 6,498 112,610 CB Bancshares Inc. 123 7,653 Charter One Financial Inc. 3,085 96,190 City National Corp. 250 11,140 CoBiz Inc. 2,969 40,200 Columbia Bancorp 3,220 77,280 Comerica Inc. 2,462 114,483 Commerce Bancshares Inc. 2,652 103,295 Commercial Federal Corp. 955 20,246 Compass Bancshares Inc. 2,313 80,793 Connecticut Bankshares Inc. 5,162 202,608 Downey Financial Corp. 169 6,980 Fifth Third Bancorp 7,807 447,653 First Bancorp 243 6,670 First Oak Brook Bancshares Class A 1,743 57,502 First Place Financial Corp. 5,134 88,921 First Tennessee National Corp. 1,602 70,344 First Virginia Banks Inc. 1,717 74,037 FirstMerit Corp. 3,609 82,502 FleetBoston Financial Corp. 14,146 420,278 Fulton Financial Corp. 4,436 88,143 German American Bancorp 1,312 22,894 Golden West Financial Corp. 1,808 144,658 Greene County Bancshares Inc. 97 2,052 GreenPoint Financial Corp. 1,053 53,640 Hibernia Corp. Class A 3,716 67,483 Horizon Financial Corp. 25,671 405,088 Hudson United Bancorp 222 7,581 Huntington Bancshares Inc. 5,164 100,801 Independence Community Bank Corp. 320 9,030 ITLA Capital Corp./(1)/ 1,702 68,812 KeyCorp 5,692 143,837 M&T Bank Corp. 788 66,365 Marshall & Ilsley Corp. 4,196 128,314 Mellon Financial Corp. 5,179 143,717 Mercantile Bankshares Corp. 1,662 65,450 National City Corp. 8,067 263,872 National Commerce Financial Corp. 3,613 80,172 New York Community Bancorp Inc. 1,869 54,369 North Fork Bancorp Inc. 1,999 68,086 Northern Trust Corp. 2,641 110,367 43 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- BANKS (Continued) ------------------------------------------------------------------------------- Peoples Bancorp Inc. 1,799 $ 45,461 PFF Bancorp Inc. 220 8,503 PNC Financial Services Group 3,173 154,874 Popular Inc. 1,751 67,571 Prosperity Bancshares Inc. 8,790 169,207 Regions Financial Corp. 3,232 109,177 Silicon Valley Bancshares/(1)/ 298 7,095 SouthTrust Corp. 5,897 160,398 Sovereign Bancorp Inc. 7,658 119,848 State Bancorp Inc. 1,369 26,795 State Street Corp. 4,646 183,052 SunTrust Banks Inc. 3,793 225,077 Synovus Financial Corp. 5,286 113,649 TCF Financial Corp. 240 9,562 Trustmark Corp. 528 13,448 U.S. Bancorp 28,263 692,443 Union Planters Corp. 1,907 59,174 Valley National Bancorp 4,107 108,219 Wachovia Corp. 19,727 788,291 Washington Mutual Inc. 13,109 541,402 Wells Fargo & Company 24,337 1,226,585 Westamerica Bancorp 343 14,776 Wilmington Trust Corp. 1,928 56,587 Zions Bancorporation 1,279 64,730 ------------------------------------------------------------------------------- 12,285,640 ------------------------------------------------------------------------------- BEVERAGES - 1.09% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 9,750 497,737 Coca-Cola Co. (The) 34,140 1,584,437 Coca-Cola Enterprises Inc. 8,658 157,143 Pepsi Bottling Group Inc. 4,500 90,090 PepsiAmericas Inc. 3,757 47,188 PepsiCo Inc. 23,358 1,039,431 ------------------------------------------------------------------------------- 3,416,026 ------------------------------------------------------------------------------- BIOTECHNOLOGY - 0.73% ------------------------------------------------------------------------------- Amgen Inc./(1)/ 18,655 1,239,438 Applera Corp. - Celera Genomics Group/(1)/ 3,155 32,560 Biogen Inc./(1)/ 2,357 89,566 Cephalon Inc./(1)/ 1,058 43,547 Chiron Corp./(1)/ 3,708 162,114 CuraGen Corp./(1)/ 2,949 16,367 Gene Logic Inc./(1)/ 3,692 22,041 Genentech Inc./(1)/ 3,561 256,819 Genzyme Corp. - General Division/(1)/ 3,571 149,268 Human Genome Sciences Inc./(1)/ 3,230 41,086 IDEC Pharmaceuticals Corp./(1)/ 2,066 70,244 Immunomedics Inc./(1)/ 1,487 9,383 Incyte Corp./(1)/ 3,261 15,131 Millennium Pharmaceuticals Inc./(1)/ 6,343 99,775 Protein Design Labs Inc./(1)/ 2,862 40,011 ------------------------------------------------------------------------------- 2,287,350 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.18% ------------------------------------------------------------------------------- American Standard Companies Inc./(1)/ 1,198 88,568 Masco Corp. 8,273 197,311 Rayonier Inc. 3,306 109,098 Texas Industries Inc. 3,556 84,633 Vulcan Materials Co. 2,418 89,635 ------------------------------------------------------------------------------- 569,245 ------------------------------------------------------------------------------- CHEMICALS - 0.76% ------------------------------------------------------------------------------- Air Products & Chemicals Inc. 2,971 123,594 Ashland Inc. 1,053 32,306 Cabot Corp. 2,044 58,663 Cabot Microelectronics Corp./(1)/ 1,180 59,555 Crompton Corp. 5,117 36,075 Dow Chemical Co. (The) 12,097 374,523 Du Pont (E.I.) de Nemours and Co. 13,776 573,633 Eastman Chemical Co. 736 23,309 Engelhard Corp. 2,696 66,780 Great Lakes Chemical Corp. 4,142 84,497 Hercules Inc./(1)/ 3,071 30,403 IMC Global Inc. 4,536 30,437 Lubrizol Corp. 2,406 74,562 Millennium Chemicals Inc. 5,399 51,344 Monsanto Co. 4,212 91,148 PPG Industries Inc. 2,089 105,996 Praxair Inc. 2,010 120,801 Rogers Corp./(1)/ 1,800 59,940 Rohm & Haas Co. 3,050 94,641 Sherwin-Williams Co. (The) 3,046 81,876 Sigma-Aldrich Corp. 1,509 81,758 Valspar Corp. (The) 1,692 71,436 Vertex Pharmaceuticals Inc./(1)/ 2,955 43,143 ------------------------------------------------------------------------------- 2,370,420 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 0.97% ------------------------------------------------------------------------------- Apollo Group Inc. Class A/(1)/ 3,451 213,134 Arbitron Inc./(1)/ 2,434 86,894 Block (H & R) Inc. 2,061 89,138 Caremark Rx Inc./(1)/ 4,227 108,549 Cendant Corp./(1)/ 16,925 310,066 Concord EFS Inc./(1)/ 8,906 131,096 Convergys Corp./(1)/ 3,984 63,744 CorVel Corp./(1)/ 1,606 57,816 Deluxe Corp. 2,035 91,168 Donnelley (R.R.) & Sons Co. 4,043 105,684 Dun & Bradstreet Corp./(1)/ 2,594 106,613 Ecolab Inc. 4,246 108,698 Equifax Inc. 3,621 94,146 First Health Group Corp./(1)/ 3,580 98,808 Hudson Highland Group Inc./(1)/ 214 4,068 InterActiveCorp/(1)/ 3,387 134,024 ITT Educational Services Inc./(1)/ 254 7,429 Landauer Inc. 2,867 119,927 Manpower Inc. 2,431 90,166 44 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMERCIAL SERVICES (Continued) ------------------------------------------------------------------------------- McKesson Corp. 5,526 $ 197,499 Monster Worldwide Inc./(1)/ 2,855 56,329 Moody's Corp. 2,898 152,754 MPS Group Inc./(1)/ 3,618 24,892 Paychex Inc. 6,258 183,422 Plexus Corp./(1)/ 2,649 30,543 Quintiles Transnational Corp./(1)/ 4,227 59,981 Robert Half International Inc./(1)/ 4,899 92,787 ServiceMaster Co. (The) 6,219 66,543 Valassis Communications Inc./(1)/ 1,915 49,254 Viad Corp. 4,236 94,844 ------------------------------------------------------------------------------- 3,030,016 ------------------------------------------------------------------------------- COMPUTERS - 2.67% ------------------------------------------------------------------------------- Affiliated Computer Services Inc. Class A/(1)/ 1,523 69,647 Apple Computer Inc./(1)/ 5,910 112,999 Brocade Communications Systems Inc./(1)/ 6,198 36,506 Ceridian Corp./(1)/ 3,668 62,246 Cisco Systems Inc./(1)/ 98,659 1,646,619 Computer Sciences Corp./(1)/ 3,000 114,360 Dell Computer Corp./(1)/ 36,376 1,162,577 Diebold Inc. 1,230 53,197 DST Systems Inc./(1)/ 2,111 80,218 Echelon Corp./(1)/ 3,549 48,870 Electronic Data Systems Corp. 6,295 135,028 EMC Corp./(1)/ 32,839 343,824 Enterasys Networks Inc./(1)/ 6,817 20,656 Extreme Networks Inc./(1)/ 3,955 20,961 FactSet Research Systems Inc. 2,616 115,235 Gateway Inc./(1)/ 5,294 19,323 Hewlett-Packard Co. 43,138 918,839 International Business Machines Corp. 24,085 1,987,012 Internet Security Systems Inc./(1)/ 1,993 28,879 Juniper Networks Inc./(1)/ 5,686 70,336 Lexmark International Inc./(1)/ 2,082 147,343 McDATA Corp. Class A/(1)/ 2,565 37,629 Mindspeed Technologies Inc./(1)/ 10,009 27,024 NCR Corp./(1)/ 2,307 59,105 Network Appliance Inc./(1)/ 6,764 109,644 Palm Inc./(1)/ 594 9,664 Quantum Corp./(1)/ 4,547 18,415 RSA Security Inc./(1)/ 1,619 17,404 SanDisk Corp./(1)/ 2,381 96,073 Seagate Technology Inc./(2)/ 4,153 -- Sun Microsystems Inc./(1)/ 53,479 246,003 SunGard Data Systems Inc./(1)/ 5,456 141,365 Synopsys Inc./(1)/ 1,548 95,744 3Com Corp./(1)/ 4,989 23,349 Unisys Corp./(1)/ 5,483 67,331 VeriSign Inc./(1)/ 2,025 28,006 Veritas Software Corp./(1)/ 6,932 198,740 ------------------------------------------------------------------------------- Western Digital Corp./(1)/ 798 8,219 ------------------------------------------------------------------------------- 8,378,390 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 0.99% ------------------------------------------------------------------------------- Alberto-Culver Co. Class B 890 45,479 Avon Products Inc. 3,073 191,141 Colgate-Palmolive Co. 7,117 412,430 Estee Lauder Companies Inc. Class A 1,621 54,352 Gillette Co. (The) 13,139 418,609 International Flavors & Fragrances Inc. 2,202 70,310 Kimberly-Clark Corp. 6,553 341,673 Procter & Gamble Co. 17,574 1,567,249 ------------------------------------------------------------------------------- 3,101,243 ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.19% ------------------------------------------------------------------------------- CDW Corp./(1)/ 1,549 70,944 Costco Wholesale Corp./(1)/ 6,575 240,645 Fastenal Co. 2,162 73,378 Genuine Parts Co. 3,548 113,571 Grainger (W.W.) Inc. 1,371 64,108 Tech Data Corp./(1)/ 1,216 32,479 ------------------------------------------------------------------------------- 595,125 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 3.97% ------------------------------------------------------------------------------- American Express Co. 17,725 741,082 American International Group Inc. 37,735 2,082,217 Bear Stearns Companies Inc. (The) 1,270 91,973 Capital One Financial Corp. 3,140 154,425 Citigroup Inc. 74,726 3,198,273 Citigroup Inc. Warrants (Expires 12/31/50)/(1)/ 800 816 Countrywide Financial Corp. 1,641 114,164 E*TRADE Group Inc./(1)/ 12,879 109,471 Edwards (A.G.) Inc. 1,481 50,650 Fannie Mae 13,676 922,309 Federated Investors Inc. Class B 2,741 75,158 Franklin Resources Inc. 3,915 152,959 Freddie Mac 9,748 494,906 Goldman Sachs Group Inc. (The) 6,754 565,647 Janus Capital Group Inc. 4,559 74,768 JP Morgan Chase & Co. 27,960 955,673 Knight Trading Group Inc./(1)/ 1,767 10,991 Legg Mason Inc. 1,025 66,574 Lehman Brothers Holdings Inc. 3,475 231,018 MBNA Corp. 19,630 409,089 Merrill Lynch & Co. Inc. 12,194 569,216 Metris Companies Inc. 8,929 49,556 Morgan Stanley 15,338 655,699 Providian Financial Corp./(1)/ 4,743 43,920 Schwab (Charles) Corp. (The) 23,865 240,798 SLM Corp. 5,784 226,559 T. Rowe Price Group Inc. 2,731 103,095 45 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES (Continued) ------------------------------------------------------------------------------- World Acceptance Corp./(1)/ 3,873 $ 63,052 ------------------------------------------------------------------------------- 12,454,058 ------------------------------------------------------------------------------- ELECTRIC - 1.15% ------------------------------------------------------------------------------- AES Corp. (The)/(1)/ 9,170 58,229 Allegheny Energy Inc. 1,717 14,509 Ameren Corp. 1,382 60,946 American Electric Power Co. Inc. 2,501 74,605 Calpine Corp./(1)/ 5,088 33,581 CenterPoint Energy Inc. 6,613 53,896 Cinergy Corp. 2,041 75,088 CMS Energy Corp. 2,437 19,740 Consolidated Edison Inc. 2,827 122,353 Constellation Energy Group Inc. 3,465 118,849 Dominion Resources Inc. 3,854 247,697 DQE Inc. 4,313 64,997 DTE Energy Co. 2,706 104,560 Duke Energy Corp. 13,401 267,350 Edison International/(1)/ 6,610 108,602 Energy East Corp. 1,851 38,427 Entergy Corp. 2,920 154,118 Exelon Corp. 4,349 260,114 FirstEnergy Corp. 4,108 157,953 FPL Group Inc. 1,604 107,227 NiSource Inc. 5,049 95,931 Pepco Holdings Inc. 1,967 37,688 PG&E Corp./(1)/ 6,797 143,757 Pinnacle West Capital Corp. 1,507 56,437 PNM Resources Inc. 327 8,747 PPL Corp. 2,771 119,153 Progress Energy Inc. 2,680 117,652 Public Service Enterprise Group Inc. 2,509 106,005 Reliant Resources Inc./(1)/ 5,215 31,968 SCANA Corp. 1,343 46,038 Southern Company 8,931 278,290 TECO Energy Inc. 2,071 24,831 Texas Genco Holdings Inc. 330 7,672 TXU Corp. 2,849 63,960 Wisconsin Energy Corp. 1,478 42,862 WPS Resources Corp. 4,194 168,599 Xcel Energy Inc. 7,853 118,109 ------------------------------------------------------------------------------- 3,610,540 ------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.06% ------------------------------------------------------------------------------- American Power Conversion Corp./(1)/ 4,905 76,469 Molex Inc. 3,912 105,585 Power-One Inc./(1)/ 1,430 10,224 ------------------------------------------------------------------------------- 192,278 ------------------------------------------------------------------------------- ELECTRONICS - 0.36% ------------------------------------------------------------------------------- Agilent Technologies Inc./(1)/ 7,539 147,387 Applera Corp. - Applied Biosystems Group 4,339 82,571 Arrow Electronics Inc./(1)/ 2,688 40,965 Fairchild Semiconductor International Inc. Class A/(1)/ 3,300 42,207 Jabil Circuit Inc./(1)/ 4,317 95,406 Johnson Controls Inc. 1,269 108,626 Millipore Corp./(1)/ 1,423 63,139 Parker Hannifin Corp. 1,623 68,150 PerkinElmer Inc. 2,415 33,351 Sanmina-SCI Corp./(1)/ 10,043 63,371 Solectron Corp./(1)/ 13,777 51,526 Symbol Technologies Inc. 5,372 69,890 Tektronix Inc./(1)/ 3,209 69,314 Thermo Electron Corp./(1)/ 4,296 90,302 Vishay Intertechnology Inc./(1)/ 2,914 38,465 Waters Corp./(1)/ 2,438 71,019 ------------------------------------------------------------------------------- 1,135,689 ------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION - 0.05% ------------------------------------------------------------------------------- EMCOR Group Inc./(1)/ 2,103 103,804 Fluor Corp. 1,858 62,503 ------------------------------------------------------------------------------- 166,307 ------------------------------------------------------------------------------- ENTERTAINMENT - 0.08% ------------------------------------------------------------------------------- Hollywood Entertainment Corp./(1)/ 438 7,534 International Game Technology Inc./(1)/ 1,321 135,178 International Speedway Corp. Class A 2,475 97,787 Speedway Motorsports Inc. 290 7,772 ------------------------------------------------------------------------------- 248,271 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.09% ------------------------------------------------------------------------------- Allied Waste Industries Inc./(1)/ 4,597 46,200 Republic Services Inc./(1)/ 1,976 44,796 Waste Management Inc. 7,368 177,495 ------------------------------------------------------------------------------- 268,491 ------------------------------------------------------------------------------- FOOD - 1.01% ------------------------------------------------------------------------------- Albertson's Inc. 3,898 74,842 Applebee's International Inc. 472 14,835 Archer-Daniels-Midland Co. 12,294 158,224 Campbell Soup Co. 6,993 171,328 CEC Entertainment Inc./(1)/ 259 9,565 ConAgra Foods Inc. 8,467 199,821 Dean Foods Co./(1)/ 1,731 54,526 Del Monte Foods Co./(1)/ 2,078 18,370 Flowers Foods Inc. 5,075 100,272 General Mills Inc. 4,457 211,306 Heinz (H.J.) Co. 4,223 139,275 Hershey Foods Corp. 1,658 115,496 Hormel Foods Corp. 2,904 68,825 IHOP Corp. 282 8,903 Kellogg Co. 5,735 197,112 Kraft Foods Inc. 3,644 118,612 46 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- FOOD (Continued) ------------------------------------------------------------------------------- Kroger Co./(1)/ 11,139 $ 185,799 McCormick & Co. Inc. 4,716 128,275 Safeway Inc./(1)/ 4,870 99,640 Sara Lee Corp. 12,765 240,110 Smucker (J.M.) Co. (The) 3,814 152,140 Sonic Corp./(1)/ 279 7,095 SUPERVALU Inc. 4,133 88,116 Sysco Corp. 9,648 289,826 Tyson Foods Inc. Class A 3,409 36,204 Whole Foods Market Inc./(1)/ 667 31,703 Winn-Dixie Stores Inc. 4,064 50,028 Wrigley (William Jr.) Co. 3,262 183,422 ------------------------------------------------------------------------------- 3,153,670 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.23% ------------------------------------------------------------------------------- Boise Cascade Corp. 1,475 35,252 Bowater Inc. 531 19,886 Georgia-Pacific Corp. 4,034 76,444 International Paper Co. 6,141 219,418 Louisiana-Pacific Corp./(1)/ 918 9,951 MeadWestvaco Corp. 4,080 100,776 Plum Creek Timber Co. Inc. 2,985 77,461 Temple-Inland Inc. 664 28,492 Weyerhaeuser Co. 2,801 151,254 ------------------------------------------------------------------------------- 718,934 ------------------------------------------------------------------------------- GAS - 0.06% ------------------------------------------------------------------------------- KeySpan Corp. 2,175 77,104 Sempra Energy 3,995 113,977 ------------------------------------------------------------------------------- 191,081 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.14% ------------------------------------------------------------------------------- Black & Decker Corp. 1,566 68,043 Emerson Electric Co. 5,430 277,473 SPX Corp./(1)/ 1,351 59,525 Stanley Works (The) 1,449 39,992 ------------------------------------------------------------------------------- 445,033 ------------------------------------------------------------------------------- HEALTH CARE - 2.41% ------------------------------------------------------------------------------- Aetna Inc. 1,379 83,016 Anthem Inc./(1)/ 2,035 157,000 Apogent Technologies Inc./(1)/ 3,990 79,800 Apria Healthcare Group Inc./(1)/ 2,955 73,520 Bard (C.R.) Inc. 1,274 90,849 Bausch & Lomb Inc. 1,749 65,587 Baxter International Inc. 8,822 229,372 Beckman Coulter Inc. 2,065 83,922 Becton, Dickinson & Co. 4,472 173,737 Biomet Inc. 5,253 150,551 Boston Scientific Corp./(1)/ 6,666 407,293 Cerner Corp./(1)/ 353 8,101 Covance Inc./(1)/ 2,892 52,345 Enzon Pharmaceuticals Inc./(1)/ 2,024 25,340 Express Scripts Inc./(1)/ 857 58,550 Guidant Corp. 4,512 200,288 HCA Inc. 7,730 247,669 Health Management Associates Inc. Class A 5,070 93,542 Health Net Inc./(1)/ 2,253 74,236 Humana Inc./(1)/ 4,790 72,329 Invacare Corp. 3,365 111,045 Johnson & Johnson 41,681 2,154,908 Laboratory Corp. of America Holdings/(1)/ 1,933 58,280 Lincare Holdings Inc./(1)/ 1,458 45,942 Manor Care Inc./(1)/ 3,465 86,660 Medtronic Inc. 17,111 820,815 Oxford Health Plans Inc./(1)/ 2,192 92,130 PacifiCare Health Systems Inc./(1)/ 1,148 56,631 Quest Diagnostics Inc./(1)/ 1,667 106,355 Renal Care Group Inc./(1)/ 2,696 94,926 St. Jude Medical Inc./(1)/ 2,835 163,012 Stryker Corp. 3,180 220,597 Tenet Healthcare Corp./(1)/ 8,282 96,485 UnitedHealth Group Inc. 8,304 417,276 Universal Health Services Inc. Class B/(1)/ 1,122 44,454 Varian Medical Systems Inc./(1)/ 922 53,080 Viasys Healthcare Inc./(1)/ 3,574 73,982 Vital Images Inc./(1)/ 4,449 82,218 WellPoint Health Networks Inc./(1)/ 2,172 183,100 Zimmer Holdings Inc./(1)/ 3,793 170,875 ------------------------------------------------------------------------------- 7,559,818 ------------------------------------------------------------------------------- HOME BUILDERS - 0.10% ------------------------------------------------------------------------------- Centex Corp. 534 41,540 Clayton Homes Inc. 5,750 72,162 Lennar Corp. Class A 570 40,755 Lennar Corp. Class B 57 3,916 M.D.C. Holdings Inc. 1,521 73,434 Pulte Homes Inc. 1,394 85,954 ------------------------------------------------------------------------------- 317,761 ------------------------------------------------------------------------------- HOME FURNISHINGS - 0.11% ------------------------------------------------------------------------------- Ethan Allen Interiors Inc. 2,929 102,984 Furniture Brands International Inc./(1)/ 327 8,535 Leggett & Platt Inc. 5,350 109,675 Maytag Corp. 2,209 53,944 Polycom Inc./(1)/ 2,761 38,267 Whirlpool Corp. 686 43,698 ------------------------------------------------------------------------------- 357,103 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.14% ------------------------------------------------------------------------------- Avery Dennison Corp. 1,401 70,330 Clorox Co. 2,503 106,753 Fortune Brands Inc. 1,754 91,559 Newell Rubbermaid Inc. 3,517 98,476 47 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES (Continued) ------------------------------------------------------------------------------- Tupperware Corp. 4,287 $ 61,561 Yankee Candle Co. Inc. (The)/(1)/ 355 8,243 ------------------------------------------------------------------------------- 436,922 ------------------------------------------------------------------------------- INSURANCE - 1.48% ------------------------------------------------------------------------------- ACE Ltd. 7,287 249,871 AFLAC Inc. 6,487 199,475 Allmerica Financial Corp./(1)/ 2,477 44,561 Allstate Corp. (The) 10,005 356,678 Ambac Financial Group Inc. 1,411 93,479 American National Insurance Co. 949 81,987 AON Corp. 4,369 105,206 Chubb Corp. 1,755 105,300 CIGNA Corp. 1,179 55,342 Cincinnati Financial Corp. 3,872 143,612 CNA Financial Corp./(1)/ 1,884 46,346 Fidelity National Financial Inc. 1,532 47,124 Hancock (John) Financial Services Inc. 3,703 113,793 Hartford Financial Services Group Inc. 3,184 160,346 Jefferson-Pilot Corp. 1,636 67,829 Lincoln National Corp. 1,257 44,787 Loews Corp. 2,921 138,134 Marsh & McLennan Companies Inc. 7,257 370,615 MBIA Inc. 1,849 90,139 MetLife Inc. 9,302 263,433 MGIC Investment Corp. 1,372 63,990 MONY Group Inc. (The) 323 8,705 Old Republic International Corp. 2,192 75,120 PMI Group Inc. (The) 1,886 50,620 Principal Financial Group Inc. 4,683 151,027 Progressive Corp. (The) 2,909 212,648 Protective Life Corp. 2,023 54,115 Prudential Financial Inc. 7,456 250,894 Radian Group Inc. 1,491 54,645 SAFECO Corp. 2,842 100,266 St. Paul Companies Inc. 2,031 74,152 Stewart Information Services Corp./(1)/ 1,176 32,752 Torchmark Corp. 1,871 69,695 Travelers Property Casualty Corp. Class B 15,367 242,338 Unitrin Inc. 2,788 75,611 UNUMProvident Corp. 4,386 58,816 XL Capital Ltd. Class A 3,537 293,571 ------------------------------------------------------------------------------- 4,647,022 ------------------------------------------------------------------------------- IRON / STEEL - 0.05% ------------------------------------------------------------------------------- Allegheny Technologies Inc. 3,799 25,073 Nucor Corp. 1,357 66,289 United States Steel Corp. 4,693 76,824 ------------------------------------------------------------------------------- 168,186 ------------------------------------------------------------------------------- LEISURE TIME - 0.14% ------------------------------------------------------------------------------- Callaway Golf Co. 4,025 53,211 Harley-Davidson Inc. 4,758 189,654 Polaris Industries Inc. 2,067 126,914 Sabre Holdings Corp. 3,377 83,243 ------------------------------------------------------------------------------- 453,022 ------------------------------------------------------------------------------- LODGING - 0.17% ------------------------------------------------------------------------------- Extended Stay America Inc./(1)/ 615 8,296 Harrah's Entertainment Inc./(1)/ 2,415 97,180 Hilton Hotels Corp. 8,029 102,691 Mandalay Resort Group 1,147 36,532 Marriott International Inc. Class A 3,773 144,959 Park Place Entertainment Corp./(1)/ 5,994 54,485 Starwood Hotels & Resorts Worldwide Inc. 3,465 99,064 ------------------------------------------------------------------------------- 543,207 ------------------------------------------------------------------------------- MACHINERY - 0.37% ------------------------------------------------------------------------------- AGCO Corp./(1)/ 2,791 47,670 Albany International Corp. Class A 305 8,357 Briggs & Stratton Corp. 2,451 123,776 Caterpillar Inc. 5,120 284,979 Cummins Inc. 261 9,367 Deere & Co. 3,513 160,544 Dover Corp. 3,684 110,373 Idex Corp. 3,440 124,666 Ingersoll-Rand Co. Class A 2,941 139,168 Kadant Inc./(1)/ 2,901 54,394 Rockwell Automation Inc. 4,473 106,636 ------------------------------------------------------------------------------- 1,169,930 ------------------------------------------------------------------------------- MANUFACTURERS - 2.10% ------------------------------------------------------------------------------- Cooper Industries Ltd. 807 33,329 Crane Co. 4,389 99,323 Danaher Corp. 2,085 141,884 Eastman Kodak Co. 4,194 114,706 Eaton Corp. 901 70,828 FMC Corp./(1)/ 1,248 28,242 General Electric Co. 138,309 3,966,702 Honeywell International Inc. 12,120 325,422 Illinois Tool Works Inc. 4,174 274,858 ITT Industries Inc. 1,690 110,627 Pall Corp. 2,621 58,973 Textron Inc. 2,574 100,437 3M Co. 4,985 642,965 Tyco International Ltd. 31,982 607,018 ------------------------------------------------------------------------------- 6,575,314 ------------------------------------------------------------------------------- MEDIA - 2.15% ------------------------------------------------------------------------------- AOL Time Warner Inc./(1)/ 62,751 1,009,664 Belo (A.H.) Corp. 4,589 102,610 Cablevision Systems Corp./(1)/ 854 17,729 48 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- MEDIA (Continued) ------------------------------------------------------------------------------- Clear Channel Communications Inc./(1)/ 8,541 $ 362,053 Comcast Corp. Class A/(1)/ 53,682 1,620,123 Dow Jones & Co. Inc. 1,891 81,370 Fox Entertainment Group Inc. Class A/(1)/ 915 26,334 Gannett Co. Inc. 3,865 296,871 Gemstar-TV Guide International Inc./(1)/ 4,845 24,661 Hispanic Broadcasting Corp./(1)/ 2,557 65,076 Knight Ridder Inc. 1,355 93,400 Liberty Corp. 171 7,268 Liberty Media Corp. Class A/(1)/ 32,944 380,833 McClatchy Co. (The) Class A 2,329 134,197 McGraw-Hill Companies Inc. (The) 2,642 163,804 New York Times Co. Class A 2,805 127,628 Radio One Inc. Class D/(1)/ 447 7,943 Readers Digest Association Inc. (The) 2,477 33,390 Tribune Co. 4,879 235,656 UnitedGlobalCom Inc. Class A/(1)/ 1,561 8,070 Univision Communications Inc. Class A/(1)/ 3,143 95,547 Viacom Inc. Class B/(1)/ 25,178 1,099,271 Walt Disney Co. (The) 27,180 536,805 Washington Post Company (The) Class B 119 87,215 Westwood One Inc./(1)/ 1,618 54,899 Young Broadcasting Inc. Class A/(1)/ 3,300 69,729 ------------------------------------------------------------------------------- 6,742,146 ------------------------------------------------------------------------------- METAL FABRICATE / HARDWARE - 0.06% ------------------------------------------------------------------------------- Precision Castparts Corp. 3,273 101,790 Worthington Industries Inc. 6,188 82,919 ------------------------------------------------------------------------------- 184,709 ------------------------------------------------------------------------------- MINING - 0.23% ------------------------------------------------------------------------------- Alcoa Inc. 13,182 336,141 Arch Coal Inc. 2,641 60,690 Freeport-McMoRan Copper & Gold Inc. 2,154 52,773 Newmont Mining Corp. 6,523 211,737 Phelps Dodge Corp./(1)/ 1,243 47,657 ------------------------------------------------------------------------------- 708,998 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.17% ------------------------------------------------------------------------------- Herman Miller Inc. 3,790 76,596 HON Industries Inc. 3,940 120,170 Imagistics International Inc./(1)/ 2,817 72,679 Pitney Bowes Inc. 3,463 133,014 Xerox Corp./(1)/ 13,514 143,113 ------------------------------------------------------------------------------- 545,572 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 2.47% ------------------------------------------------------------------------------- Amerada Hess Corp. 1,291 63,491 Anadarko Petroleum Corp. 3,754 166,940 Apache Corp. 2,624 170,717 Burlington Resources Inc. 3,612 195,301 ChevronTexaco Corp. 14,694 1,060,907 ConocoPhillips 10,002 548,110 Devon Energy Corp. 4,218 225,241 Diamond Offshore Drilling Inc. 729 15,302 Energen Corp. 225 7,493 ENSCO International Inc. 2,663 71,635 EOG Resources Inc. 3,155 132,005 Exxon Mobil Corp. 97,199 3,490,416 Houston Exploration Co./(1)/ 1,861 64,577 Kerr-McGee Corp. 1,712 76,698 Kinder Morgan Inc. 1,444 78,915 Marathon Oil Corp. 4,495 118,443 Nabors Industries Ltd./(1)/ 2,148 84,953 Newfield Exploration Co./(1)/ 1,533 57,564 Noble Corp./(1)/ 2,017 69,183 Noble Energy Inc. 2,424 91,627 Occidental Petroleum Corp. 5,517 185,095 Piedmont Natural Gas Co. 3,911 151,786 Pioneer Natural Resources Co./(1)/ 4,007 104,583 Rowan Companies Inc./(1)/ 1,940 43,456 Stone Energy Corp./(1)/ 202 8,468 Transocean Inc./(1)/ 4,936 108,444 Unocal Corp. 5,550 159,230 Valero Energy Corp. 416 15,113 WD-40 Co. 4,762 135,955 XTO Energy Inc. 1,988 39,979 ------------------------------------------------------------------------------- 7,741,627 ------------------------------------------------------------------------------- OIL & GAS SERVICES - 0.37% ------------------------------------------------------------------------------- Baker Hughes Inc. 4,889 164,124 BJ Services Co./(1)/ 2,004 74,869 Cooper Cameron Corp./(1)/ 386 19,447 FMC Technologies Inc./(1)/ 3,386 71,275 Grant Prideco Inc./(1)/ 6,027 70,817 Halliburton Co. 5,745 132,135 Schlumberger Ltd. 10,529 500,865 Smith International Inc./(1)/ 1,358 49,893 Tidewater Inc. 820 24,083 Varco International Inc./(1)/ 2,982 58,447 ------------------------------------------------------------------------------- 1,165,955 ------------------------------------------------------------------------------- PACKAGING & CONTAINERS - 0.07% ------------------------------------------------------------------------------- Ball Corp. 845 38,456 Bemis Co. 811 37,955 Pactiv Corp./(1)/ 2,356 46,437 Sealed Air Corp./(1)/ 1,209 57,621 Smurfit-Stone Container Corp./(1)/ 4,169 54,322 ------------------------------------------------------------------------------- 234,791 ------------------------------------------------------------------------------- 49 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PHARMACEUTICALS - 3.88% ------------------------------------------------------------------------------- Abbott Laboratories 22,281 $ 975,017 Abgenix Inc./(1)/ 3,992 41,876 Advanced Medical Optics Inc./(1)/ 2,019 34,424 Allergan Inc. 1,996 153,892 AmerisourceBergen Corp. 1,593 110,475 Bristol-Myers Squibb Co. 25,654 696,506 Cardinal Health Inc. 6,301 405,154 Celgene Corp./(1)/ 3,087 93,845 DENTSPLY International Inc. 2,721 111,289 Forest Laboratories Inc./(1)/ 5,272 288,642 Gilead Sciences Inc./(1)/ 3,173 176,355 ICN Pharmaceuticals Inc. 3,639 60,990 ImClone Systems Inc./(1)/ 2,550 80,631 IVAX Corp./(1)/ 2,933 52,354 King Pharmaceuticals Inc./(1)/ 5,234 77,254 Lilly (Eli) & Co. 16,245 1,120,418 Medarex Inc./(1)/ 1,924 12,679 MedImmune Inc./(1)/ 4,322 157,191 Merck & Co. Inc. 31,821 1,926,762 Mylan Laboratories Inc. 4,336 150,763 Neurocrine Biosciences Inc./(1)/ 2,224 111,067 Omnicare Inc. 2,252 76,095 Pfizer Inc. 111,786 3,817,492 Priority Healthcare Corp. Class B/(1)/ 4,203 77,966 Schering-Plough Corp. 21,025 391,065 Sepracor Inc./(1)/ 4,187 75,492 Watson Pharmaceuticals Inc./(1)/ 2,101 84,817 Wyeth 17,733 807,738 ------------------------------------------------------------------------------- 12,168,249 ------------------------------------------------------------------------------- PIPELINES - 0.10% ------------------------------------------------------------------------------- Dynegy Inc. Class A 4,435 18,627 El Paso Corp. 10,355 83,668 Questar Corp. 3,950 132,207 Williams Companies Inc. 9,943 78,550 ------------------------------------------------------------------------------- 313,052 ------------------------------------------------------------------------------- REAL ESTATE - 0.07% ------------------------------------------------------------------------------- Catellus Development Corp./(1)/ 4,931 108,482 LNR Property Corp. 2,864 107,114 ------------------------------------------------------------------------------- 215,596 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.75% ------------------------------------------------------------------------------- Annaly Mortgage Management Inc. 3,077 61,263 Apartment Investment & Management Co. Class A 2,834 98,056 Archstone-Smith Trust 6,567 157,608 AvalonBay Communities Inc. 3,365 143,484 Capital Automotive 369 10,328 Capstead Mortgage Corp. 5,400 60,858 CBL & Associates Properties Inc. 3,759 161,637 Chelsea Property Group Inc. 3,863 155,718 Duke Realty Corp. 1,154 31,793 Equity Office Properties Trust 6,513 175,916 Equity Residential 6,196 160,786 General Growth Properties Inc. 1,503 93,847 Host Marriott Corp./(1)/ 10,770 98,546 iStar Financial Inc. 4,445 162,243 Kimco Realty Corp. 1,176 44,570 ProLogis 2,059 56,211 Public Storage Inc. 1,273 43,117 Simon Property Group Inc. 3,945 153,973 SL Green Realty Corp. 10,101 352,424 Vornado Realty Trust 3,019 131,628 ------------------------------------------------------------------------------- 2,354,006 ------------------------------------------------------------------------------- RETAIL - 3.61% ------------------------------------------------------------------------------- Aeropostale Inc./(1)/ 400 8,592 Amazon.com Inc./(1)/ 2,388 87,138 American Eagle Outfitters Inc./(1)/ 475 8,712 AnnTaylor Stores Corp./(1)/ 325 9,409 AutoNation Inc./(1)/ 6,991 109,899 AutoZone Inc./(1)/ 1,427 108,409 Bed Bath & Beyond Inc./(1)/ 5,147 199,755 Best Buy Co. Inc./(1)/ 4,844 212,748 Big Lots Inc./(1)/ 736 11,069 BJ's Wholesale Club Inc./(1)/ 1,414 21,295 Bob Evans Farms Inc. 297 8,206 Brinker International Inc./(1)/ 2,708 97,542 Burlington Coat Factory Warehouse Corp. 714 12,781 CarMax Inc./(1)/ 1,565 47,185 Cash America International Inc. 8,518 112,608 Cato Corp. Class A 385 8,116 Christopher & Banks Corp./(1)/ 286 10,579 Circuit City Stores Inc. 4,986 43,877 Claire's Stores Inc. 283 7,177 Coach Inc./(1)/ 1,203 59,837 CVS Corp. 6,427 180,149 Darden Restaurants Inc. 4,658 88,409 Dollar General Corp. 5,817 106,218 Dollar Tree Stores Inc./(1)/ 3,147 99,854 eBay Inc./(1)/ 4,619 481,207 Edison Brothers Stores Warrants (Expires 09/26/05)/(1)/(2)/ 16 -- Family Dollar Stores Inc. 2,603 99,304 Federated Department Stores Inc. 2,702 99,569 Gap Inc. (The) 14,928 280,049 Group 1 Automotive Inc./(1)/ 253 8,200 Home Depot Inc. 34,281 1,135,387 Kohls Corp./(1)/ 4,720 242,514 Limited Brands Inc. 9,715 150,583 Lowe's Companies Inc. 11,430 490,919 May Department Stores Co. (The) 3,851 85,723 McDonald's Corp. 17,681 390,043 Men's Wearhouse Inc. (The)/(1)/ 452 9,876 MSC Industrial Direct Co. Inc. Class A/(1)/ 389 6,963 Nordstrom Inc. 4,431 86,493 50 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- RETAIL (Continued) ------------------------------------------------------------------------------- Office Depot Inc./(1)/ 6,641 $ 96,361 Outback Steakhouse Inc. 2,144 83,616 Pacific Sunwear of California Inc./(1)/ 321 7,733 Payless ShoeSource Inc./(1)/ 4,911 61,388 Penney (J.C.) Co. Inc. (Holding Co.) 4,206 70,871 Pier 1 Imports Inc. 2,907 59,303 RadioShack Corp. 3,984 104,819 Regis Corp. 337 9,790 Rite Aid Corp./(1)/ 6,847 30,469 Ross Stores Inc. 2,090 89,327 Ruby Tuesday Inc. 615 15,209 Saks Inc./(1)/ 4,626 44,872 Sears, Roebuck and Co. 3,676 123,661 Sonic Automotive Inc./(1)/ 542 11,875 Sports Resorts International Inc./(1)/ 1,135 5,516 Staples Inc./(1)/ 7,889 144,763 Starbucks Corp./(1)/ 6,990 171,395 Target Corp. 12,443 470,843 Tiffany & Co. 3,695 120,753 TJX Companies Inc. 9,408 177,247 Toys R Us Inc./(1)/ 4,822 58,443 United Auto Group Inc./(1)/ 416 9,060 Walgreen Co. 14,765 444,427 Wal-Mart Stores Inc. 61,933 3,323,944 Wendy's International Inc. 2,987 86,533 Yum! Brands Inc./(1)/ 5,366 158,619 Zale Corp./(1)/ 2,840 113,600 ------------------------------------------------------------------------------- 11,320,831 ------------------------------------------------------------------------------- SEMICONDUCTORS - 1.56% ------------------------------------------------------------------------------- Advanced Micro Devices Inc./(1)/ 6,026 38,627 Altera Corp./(1)/ 6,508 106,731 Analog Devices Inc./(1)/ 5,277 183,745 Applied Materials Inc./(1)/ 21,621 342,909 Applied Micro Circuits Corp./(1)/ 6,014 36,385 Broadcom Corp. Class A/(1)/ 3,676 91,569 Conexant Systems Inc./(1)/ 30,027 123,111 Cree Inc./(1)/ 2,714 44,184 Cypress Semiconductor Corp./(1)/ 3,327 39,924 Integrated Device Technology Inc./(1)/ 3,818 42,189 Intel Corp. 92,465 1,921,793 International Rectifier Corp./(1)/ 1,299 34,839 Intersil Corp. Class A/(1)/ 1,900 50,559 KLA-Tencor Corp./(1)/ 2,989 138,959 Lam Research Corp./(1)/ 3,733 67,978 Lattice Semiconductor Corp./(1)/ 2,510 20,657 Linear Technology Corp. 4,424 142,497 LSI Logic Corp./(1)/ 6,050 42,834 Maxim Integrated Products Inc. 4,746 162,266 Microchip Technology Inc. 2,842 69,998 Micron Technology Inc./(1)/ 9,078 105,577 Mykrolis Corp./(1)/ 5,198 52,760 National Semiconductor Corp./(1)/ 2,647 52,199 Novellus Systems Inc./(1)/ 2,240 82,031 NVIDIA Corp./(1)/ 2,468 56,789 PMC-Sierra Inc./(1)/ 3,800 44,574 QLogic Corp./(1)/ 1,155 55,821 Rambus Inc./(1)/ 2,199 36,437 Skyworks Solutions Inc./(1)/ 2,169 14,684 Teradyne Inc./(1)/ 3,212 55,600 Texas Instruments Inc. 24,716 435,002 TriQuint Semiconductor Inc./(1)/ 2,598 10,808 Varian Semiconductor Equipment Associates Inc./(1)/ 1,767 52,586 Vitesse Semiconductor Corp./(1)/ 4,520 22,238 Xilinx Inc./(1)/ 5,016 126,955 ------------------------------------------------------------------------------- 4,905,815 ------------------------------------------------------------------------------- SOFTWARE - 2.61% ------------------------------------------------------------------------------- Adobe Systems Inc. 4,537 145,502 Akamai Technologies Inc./(1)/ 18,014 86,107 Ariba Inc./(1)/ 2,516 7,473 Autodesk Inc. 4,484 72,461 Automatic Data Processing Inc. 8,500 287,810 BEA Systems Inc./(1)/ 6,608 71,763 BMC Software Inc./(1)/ 6,043 98,682 Cadence Design Systems Inc./(1)/ 5,858 70,647 Certegy Inc./(1)/ 2,060 57,165 CheckFree Corp./(1)/ 1,383 38,503 ChoicePoint Inc./(1)/ 2,265 78,188 Citrix Systems Inc./(1)/ 4,059 82,641 Computer Associates International Inc. 9,739 216,985 Compuware Corp./(1)/ 6,574 37,932 DoubleClick Inc./(1)/ 2,130 19,703 Edwards (J.D.) & Co./(1)/ 652 9,343 eFunds Corp./(1)/ 2,862 32,999 Electronic Arts Inc./(1)/ 2,064 152,715 First Data Corp. 10,741 445,107 Fiserv Inc./(1)/ 3,650 129,977 Global Payments Inc. 243 8,627 IMS Health Inc. 4,946 88,979 Intuit Inc./(1)/ 3,461 154,118 Macromedia Inc./(1)/ 2,463 51,822 Mercury Interactive Corp./(1)/ 1,904 73,513 Micromuse Inc./(1)/ 1,824 14,574 Microsoft Corp. 150,918 3,865,010 Network Associates Inc./(1)/ 3,882 49,224 Novell Inc./(1)/ 6,488 19,983 Oracle Corp./(1)/ 75,901 912,330 Parametric Technology Corp./(1)/ 5,101 15,558 PeopleSoft Inc./(1)/ 5,599 98,486 RealNetworks Inc./(1)/ 1,767 11,980 Reynolds & Reynolds Co. (The) Class A 3,534 100,931 Siebel Systems Inc./(1)/ 8,041 76,711 Sybase Inc./(1)/ 4,950 68,855 Symantec Corp./(1)/ 2,439 106,975 TIBCO Software Inc./(1)/ 4,024 20,482 webMethods Inc./(1)/ 2,501 20,333 51 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- SOFTWARE (Continued) ------------------------------------------------------------------------------- Yahoo! Inc./(1)/ 8,633 $ 282,817 ------------------------------------------------------------------------------- 8,183,011 ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.42% ------------------------------------------------------------------------------- Advanced Fibre Communications Inc./(1)/ 2,745 44,661 American Tower Corp. Class A/(1)/ 5,226 46,250 Andrew Corp./(1)/ 3,059 28,143 Avaya Inc./(1)/ 6,795 43,896 CIENA Corp./(1)/ 6,022 31,254 Comverse Technology Inc./(1)/ 3,074 46,202 Harris Corp. 1,603 48,170 JDS Uniphase Corp./(1)/ 23,428 82,232 Motorola Inc. 35,637 336,057 QUALCOMM Inc. 10,451 373,623 RF Micro Devices Inc./(1)/ 3,041 18,307 Scientific-Atlanta Inc. 3,815 90,950 Sonus Networks Inc./(1)/ 12,056 60,642 Sycamore Networks Inc./(1)/ 1,698 6,503 Tellabs Inc./(1)/ 7,394 48,579 ------------------------------------------------------------------------------- 1,305,469 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 0.98% ------------------------------------------------------------------------------- AT&T Wireless Services Inc./(1)/ 44,595 366,125 Charter Communications Inc. Class A/(1)/ 4,144 16,452 Citizens Communications Co./(1)/ 6,591 84,958 Corning Inc./(1)/ 16,334 120,708 Cox Communications Inc. Class A/(1)/ 2,252 71,839 Crown Castle International Corp./(1)/ 2,641 20,521 EchoStar Communications Corp./(1)/ 3,398 117,639 Emulex Corp./(1)/ 1,654 37,662 General Motors Corp. Class H/(1)/ 12,486 159,946 InterDigital Communications Corp./(1)/ 322 7,525 Level 3 Communications Inc./(1)/ 5,588 37,104 Newport Corp./(1)/ 2,512 37,178 Nextel Communications Inc. Class A/(1)/ 13,155 237,842 Powerwave Technologies Inc./(1)/ 1,444 9,054 Price Communications Corp./(1)/ 797 10,289 Qwest Communications International Inc./(1)/ 29,649 141,722 Sprint Corp. (PCS Group)/(1)/ 16,803 96,617 Verizon Communications Inc. 38,007 1,499,376 ------------------------------------------------------------------------------- 3,072,557 ------------------------------------------------------------------------------- TELEPHONE - 0.83% ------------------------------------------------------------------------------- Alltel Corp. 5,515 265,933 AT&T Corp. 9,086 174,906 BellSouth Corp. 25,103 668,493 CenturyTel Inc. 1,940 67,609 Cincinnati Bell Inc./(1)/ 5,614 37,614 SBC Communications Inc. 45,284 1,157,006 Sprint Corp. (FON Group) 12,700 182,880 Telephone & Data Systems Inc. 932 46,320 ------------------------------------------------------------------------------- 2,600,761 ------------------------------------------------------------------------------- TEXTILES - 0.06% ------------------------------------------------------------------------------- Cintas Corp. 3,666 129,923 Mohawk Industries Inc./(1)/ 697 38,704 Polo Ralph Lauren Corp. 328 8,459 ------------------------------------------------------------------------------- 177,086 ------------------------------------------------------------------------------- TOBACCO - 0.47% ------------------------------------------------------------------------------- Altria Group Inc. 27,926 1,268,957 Loews Corporation - Carolina Group 413 11,151 R.J. Reynolds Tobacco Holdings Inc. 1,961 72,969 Universal Corp. 324 13,705 UST Inc. 2,715 95,106 ------------------------------------------------------------------------------- 1,461,888 ------------------------------------------------------------------------------- TOYS / GAMES / HOBBIES - 0.07% ------------------------------------------------------------------------------- Hasbro Inc. 4,495 78,618 Mattel Inc. 7,798 147,538 ------------------------------------------------------------------------------- 226,156 ------------------------------------------------------------------------------- TRANSPORTATION - 0.63% ------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 3,910 111,200 CNF Inc. 2,182 55,379 CSX Corp. 1,989 59,849 Expeditors International Washington Inc. 1,276 44,201 FedEx Corp. 4,567 283,291 Kansas City Southern Industries Inc./(1)/ 4,545 54,676 Landstar System Inc./(1)/ 1,625 102,131 Norfolk Southern Corp. 5,202 99,878 Union Pacific Corp. 2,819 163,558 United Parcel Service Inc. Class B 15,940 1,015,378 ------------------------------------------------------------------------------- 1,989,541 ------------------------------------------------------------------------------- TRUCKING & LEASING - 0.02% ------------------------------------------------------------------------------- GATX Corp. 2,959 48,380 ------------------------------------------------------------------------------- 48,380 ------------------------------------------------------------------------------- WATER - 0.05% ------------------------------------------------------------------------------- Connecticut Water Service Inc. 2,671 68,244 Middlesex Water Co. 2,970 73,181 ------------------------------------------------------------------------------- 141,425 ------------------------------------------------------------------------------- TOTAL U.S. COMMON STOCKS (Cost: $174,767,293) 152,975,591 ------------------------------------------------------------------------------- 52 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- INTERNATIONAL COMMON STOCKS - 15.98% AUSTRALIA - 0.91% ------------------------------------------------------------------------------- Coles Myer Ltd. ADR 10,219 $ 381,169 National Australia Bank ADR 5,471 614,120 Newcrest Mining Ltd. 34,883 178,966 News Corporation Ltd. ADR 8,429 255,146 Rio Tinto PLC ADR 7,215 552,308 Westpac Banking Corp. Ltd. ADR 16,195 885,543 ------------------------------------------------------------------------------- 2,867,252 ------------------------------------------------------------------------------- DENMARK - 0.21% ------------------------------------------------------------------------------- Novo-Nordisk A/S ADR 10,309 357,413 TDC A/S ADR 20,900 316,635 ------------------------------------------------------------------------------- 674,048 ------------------------------------------------------------------------------- FINLAND - 0.33% ------------------------------------------------------------------------------- Nokia OYJ 9,561 157,444 Nokia OYJ ADR 41,416 680,465 Stora Enso OYJ Class R 16,832 188,071 ------------------------------------------------------------------------------- 1,025,980 ------------------------------------------------------------------------------- FRANCE - 1.42% ------------------------------------------------------------------------------- Alcatel SA ADR/(1)/ 23,097 206,718 Autoroutes du Sud de la France SA 647 18,909 Aventis SA ADR 14,219 777,779 AXA ADR 42,045 656,322 BNP Paribas SA 1,358 69,006 Business Objects SA/(1)/ 439 9,790 Cap Gemini SA/(1)/ 324 11,504 Carrefour SA 2,100 102,924 Compagnie de Saint-Gobain SA 780 30,696 European Aeronautic Defence and Space Co. 1,051 12,890 France Telecom SA/(1)/ 1,803 44,225 France Telecom SA ADR 4,784 117,926 Groupe Wanadoo SA/(1)/ 3,331 22,301 Lafarge SA 179 10,490 L'Oreal SA 7,421 523,245 LVMH Moet Hennessy Louis Vuitton SA 10,094 500,635 Renault SA 626 33,097 Sanofi-Synthelabo SA 600 35,140 STMicroelectronics NV 2,000 41,938 Suez SA 2,116 33,679 Total SA 14,341 1,087,048 Valeo SA 331 11,479 Vivendi Universal SA ADR/(1)/ 7,022 129,486 ------------------------------------------------------------------------------- 4,487,227 ------------------------------------------------------------------------------- GERMANY - 1.02% ------------------------------------------------------------------------------- Allianz AG 700 58,182 DaimlerChrysler AG 16,229 563,471 Deutsche Bank AG 2,250 145,932 Deutsche Telekom AG ADR/(1)/ 25,311 384,727 E.ON AG 12,825 659,354 Infineon Technologies AG/(1)/ 1,346 13,015 Marschollek, Lautenschlaeger und Partner AG/(1)/ 773 11,540 Muenchener Rueckversicherungs- Gesellschaft AG 226 23,041 RWE AG 13,510 407,869 SAP AG 463 54,604 SAP AG ADR 11,445 334,423 Siemens AG 10,761 527,908 ------------------------------------------------------------------------------- 3,184,066 ------------------------------------------------------------------------------- GREECE - 0.00% ------------------------------------------------------------------------------- Public Power Corp. 611 11,016 ------------------------------------------------------------------------------- 11,016 ------------------------------------------------------------------------------- HONG KONG - 0.17% ------------------------------------------------------------------------------- ASM Pacific Technology Ltd. 51,500 150,574 Bank of East Asia Ltd. 78,800 155,616 Giordano International Ltd. 150,000 46,646 Hang Lung Properties Ltd. 26,000 23,506 Hong Kong Exchanges & Clearing Ltd. 18,000 25,852 Sino Land Co. Ltd. 350,000 108,840 Wharf Holdings Ltd. 9,000 17,312 ------------------------------------------------------------------------------- 528,346 ------------------------------------------------------------------------------- IRELAND - 0.17% ------------------------------------------------------------------------------- Allied Irish Banks PLC ADR 18,163 543,255 ------------------------------------------------------------------------------- 543,255 ------------------------------------------------------------------------------- ITALY - 0.59% ------------------------------------------------------------------------------- Assicurazioni Generali SpA 7,000 162,216 Benetton Group SpA ADR 15,905 334,005 Eni SpA 8,227 124,423 ENI-Ente Nazionale Idrocarburi SpA ADR 7,224 549,313 Fiat SpA ADR/(1)/ 21,073 151,304 San Paolo-IMI SpA ADR 28,328 533,133 ------------------------------------------------------------------------------- 1,854,394 ------------------------------------------------------------------------------- JAPAN - 3.55% ------------------------------------------------------------------------------- Anritsu Corp./(1)/ 12,000 65,459 Asatsu-DK Inc. 5,500 98,480 Bridgestone Corp. 2,000 27,150 Canon Inc. ADR 8,640 394,416 CSK Corp. 3,000 81,699 Daicel Chemical Industries Ltd. 31,000 98,364 Daimaru Inc. (The) 24,000 96,340 Fuji Photo Film Co. Ltd. ADR 9,554 275,251 Fujikura Ltd. 13,000 42,873 53 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- JAPAN (Continued) ------------------------------------------------------------------------------- Gunma Bank Ltd. 14,000 $ 63,660 Hitachi Cable Ltd. 15,000 40,475 Hitachi Ltd. ADR 5,544 234,511 Honda Motor Company Ltd. ADR 16,116 307,010 Ito-Yokado Co. Ltd. ADR/(2)/ 6,819 162,838 Japan Airlines System Corp. ADR 17,084 182,059 JFE Holdings Inc. 7,900 118,426 JGC Corp. 14,000 94,208 JSR Corp. 10,000 121,507 Kaken Pharmaceutical Co. Ltd. 20,000 107,266 Katokichi Co. Ltd. 7,800 132,842 Kikkoman Corp. 28,000 184,918 Kinden Corp. 41,000 137,606 Kirin Brewery Co. Ltd. ADR 80,800 562,368 Kubota Corp. ADR 18,584 251,813 Kurita Water Industries Ltd. 10,500 116,215 Kyocera Corp. ADR 2,671 152,247 Makita Corp. ADR 11,884 93,884 Matsushita Electric Industrial Co. Ltd. ADR 29,617 297,651 Meitec Corp. 4,500 136,790 Millea Holdings Inc. 14 107,033 Millea Holdings Inc. ADR 11,943 459,089 Mitsubishi Corp. ADR 23,108 315,424 Mitsubishi Gas Chemical Co. Inc. 46,000 97,306 Mitsui & Co. ADR 3,265 321,603 Mitsui Engineering & Shipbuilding Co. Ltd 67,000 84,256 Mitsui O.S.K. Lines Ltd. 34,000 103,352 Mitsui Trust Holdings Inc./(1)/ 55,000 120,924 Mitsumi Electric Co. Ltd. 7,100 73,380 Namco Ltd. 5,700 90,953 NEC Corp. ADR 23,721 119,554 Nichirei Corp. 42,000 146,558 Nikon Corp./(1)/ 7,000 57,656 Nippon Sanso Corp. 31,000 99,654 Nippon Telegraph & Telephone Corp. ADR 15,712 311,098 Nishimatsu Construction Co. Ltd. 49,000 166,496 Nissan Chemical Industries Ltd. 18,000 96,240 Nissan Motor Co. Ltd. ADR 15,513 292,420 Nomura Holdings Inc. 4,000 50,768 NTT DoCoMo Inc. 137 296,648 Oki Electric Industry Co. Ltd./(1)/ 37,000 106,000 Pioneer Corp. ADR 7,850 178,745 Q.P. Corp. 22,500 177,639 Ricoh Corp. Ltd. ADR 2,589 216,829 Rohm Co. Ltd. 1,500 163,523 Sekisui Chemical Co. Ltd. 48,000 162,299 Seven-Eleven Japan Co. Ltd. 2,000 49,802 77 Bank Ltd. (The) 10,000 45,388 Showa Denko K.K./(1)/ 49,000 85,288 Softbank Corp. 3,300 62,523 Sony Corp. ADR 7,740 216,720 Sumitomo Metal Industries Ltd. 169,000 116,819 Sumitomo Metal Mining Co. Ltd. 11,000 42,140 Suruga Bank Ltd. (The) 8,000 46,038 Takeda Chemical Industries Ltd. 500 18,447 Takuma Co. Ltd 25,000 121,591 Teikoku Oil Co. Ltd. 42,000 137,114 Toda Corp. 50,000 107,433 Tokyo Electric Power Co. Inc. (The) 3,000 57,339 Toyota Motor Corp. 1,000 25,900 Toyota Motor Corp. ADR 9,697 502,305 Ube Industries Ltd. 51,000 75,178 Yamazaki Baking Co. Ltd. 24,000 152,904 Yokogawa Electric Corp. 15,000 115,803 ------------------------------------------------------------------------------- 11,072,505 ------------------------------------------------------------------------------- NETHERLANDS - 1.20% ------------------------------------------------------------------------------- Abn Amro Holding NV ADR 42,781 816,689 Aegon NV ADR 22,161 222,496 Akzo Nobel NV ADR 12,353 329,207 ING Groep NV 1,218 21,162 ING Groep NV ADR 15,416 270,242 Koninklijke Ahold NV ADR 30,081 251,778 Koninklijke KPN NV/(1)/ 7,193 50,965 Koninklijke Philips Electronics NV NY Shares 22,377 427,624 Reed Elsevier NV ADR 22,113 525,184 Royal Dutch Petroleum Co. 17,386 806,994 ------------------------------------------------------------------------------- 3,722,341 ------------------------------------------------------------------------------- NEW ZEALAND - 0.06% ------------------------------------------------------------------------------- Telecom Corp. of New Zealand Ltd. ADR 7,975 194,271 ------------------------------------------------------------------------------- 194,271 ------------------------------------------------------------------------------- NORWAY - 0.00% ------------------------------------------------------------------------------- Gjensidige NOR ASA 418 14,622 ------------------------------------------------------------------------------- 14,622 ------------------------------------------------------------------------------- PANAMA - 0.12% ------------------------------------------------------------------------------- Carnival Corp. 11,870 385,894 ------------------------------------------------------------------------------- 385,894 ------------------------------------------------------------------------------- PORTUGAL - 0.04% ------------------------------------------------------------------------------- Banco Comercial Portugues SA ADR 14,551 129,504 ------------------------------------------------------------------------------- 129,504 ------------------------------------------------------------------------------- SINGAPORE - 0.19% ------------------------------------------------------------------------------- Chartered Semiconductor Manufacturing Ltd. ADR/(1)/ 1,909 9,831 Neptune Orient Lines Ltd./(1)/ 120,000 100,852 Parkway Holdings Ltd. 211,000 93,458 Singapore Exchange Ltd. 197,000 153,260 SMRT Corp. Ltd. 335,000 117,944 54 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- SINGAPORE (Continued) ------------------------------------------------------------------------------- ST Assembly Test Services Ltd./(1)/ 64,000 $ 62,147 Venture Corp. Ltd. 6,000 54,855 ------------------------------------------------------------------------------- 592,347 ------------------------------------------------------------------------------- SPAIN - 0.77% ------------------------------------------------------------------------------- Banco Bilbao Vizcaya Argentaria SA ADR 41,026 430,363 Banco Santander Central Hispano SA ADR 101,283 893,316 Repsol YPF SA ADR 24,863 402,035 Telefonica SA 6,336 73,560 Telefonica SA ADR 17,784 614,793 ------------------------------------------------------------------------------- 2,414,067 ------------------------------------------------------------------------------- SWEDEN - 0.19% ------------------------------------------------------------------------------- ASSA Abloy AB Class B 1,056 10,224 Hennes & Mauritz AB Class B 1,098 25,238 Modern Times Group AB Class B/(1)/ 906 13,921 OM AB 2,725 19,404 Svenska Cellulosa AB Class B 10,768 367,903 Telefonaktiebolaget LM Ericsson AB ADR/(1)/ 10,924 116,122 Telefonaktiebolaget LM Ericsson AB Class B/(1)/ 23,786 25,554 WM-Data AB Class B/(1)/ 6,872 10,473 ------------------------------------------------------------------------------- 588,839 ------------------------------------------------------------------------------- SWITZERLAND - 1.22% ------------------------------------------------------------------------------- Adecco SA ADR 29,005 303,102 Centerpulse ADR 9,711 262,197 Credit Suisse Group 7,486 197,022 Kudelski SA - Bearer/(1)/ 1,347 24,413 Nestle SA 4,045 834,652 Novartis AG 29,463 1,165,861 Swiss Re 2,422 134,193 UBS AG - Registered 12,436 691,781 Zurich Financial Services AG/(1)/ 1,341 159,884 ------------------------------------------------------------------------------- 3,773,105 ------------------------------------------------------------------------------- UNITED KINGDOM - 3.82% ------------------------------------------------------------------------------- ARM Holdings PLC/(1)/ 22,819 25,229 AstraZeneca PLC ADR 22,275 908,152 BAE Systems PLC 13,711 32,241 Barclays PLC ADR/(3)/ 29,055 869,326 BHP Billiton PLC 44,433 233,894 BP PLC 84,389 585,217 BP PLC ADR 22,914 962,846 British American Tobacco PLC 3,780 42,883 British Sky Broadcasting PLC ADR/(1)/ 6,827 307,898 British Telecom PLC ADR 14,358 483,290 Cadbury Schweppes PLC ADR 28,624 692,128 Centrica PLC 15,000 43,502 SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- UNITED KINGDOM (Continued) ------------------------------------------------------------------------------- Diageo PLC ADR 22,388 $ 979,699 GlaxoSmithKline PLC ADR 35,085 1,422,346 Hanson PLC ADR 15,682 443,173 HBOS PLC 8,823 114,218 Hong Kong & Shanghai Banking ADR 10,802 638,506 HSBC Holdings PLC 60,201 711,279 International Power PLC/(1)/ 10,297 21,962 National Grid Transco PLC 10,120 68,635 Reuters Group PLC ADR 6,052 106,394 Royal Bank of Scotland Group PLC 30,801 864,047 Scottish Power PLC 2,816 16,914 Shell Transport & Trading Co. PLC 23,700 156,434 Tesco PLC 10,624 38,437 Unilever PLC 4,892 38,950 Vodafone Group PLC ADR 62,167 1,221,582 ------------------------------------------------------------------------------- 12,029,182 ------------------------------------------------------------------------------- TOTAL INTERNATIONAL COMMON STOCKS (Cost: $63,985,929) 50,092,261 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $238,753,222) 203,067,852 ------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 33.52% ------------------------------------------------------------------------------- U.S. Treasury Bonds 5.38%, 02/15/31 $ 6,530,000 7,353,139 8.00%, 11/15/21 1,000,000 1,448,711 10.38%, 11/15/12 3,000,000 3,996,210 U.S. Treasury Notes 1.50%, 02/28/05 970,000 974,661 1.63%, 01/31/05 960,000 966,600 1.63%, 04/30/05 3,510,000 3,533,033 1.88%, 09/30/04 5,350,000 5,402,665 2.00%, 05/15/06 4,705,000 4,754,991 2.25%, 07/31/04 3,990,000 4,041,591 3.25%, 08/15/07 1,370,000 1,429,777 3.88%, 02/15/13 960,000 987,862 4.00%, 11/15/12 1,930,000 2,008,331 4.38%, 05/15/07 5,970,000 6,485,844 4.63%, 05/15/06 7,540,000 8,173,533 4.75%, 11/15/08 3,620,000 4,012,969 4.88%, 02/15/12 1,830,000 2,034,159 5.00%, 02/15/11 6,110,000 6,858,237 5.00%, 08/15/11 1,810,000 2,030,311 5.63%, 05/15/08 5,060,000 5,800,814 5.88%, 11/15/05 7,760,000 8,562,982 6.00%, 08/15/04 2,300,000 2,426,679 6.50%, 05/15/05 8,290,000 9,091,801 6.50%, 02/15/10 3,770,000 4,573,628 6.75%, 05/15/05 6,420,000 7,070,275 55 LIFEPATH 2020 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- 7.88%, 11/15/04 $ 1,000,000 $ 1,091,367 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $102,788,840) 105,110,170 ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 24.40% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(4)/ 44,653,996 44,653,996 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(4)/ 12,043,913 12,043,913 BlackRock Temp Cash Money Market Fund/(4)/ 607,365 607,365 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(4)/ 3,158,151 3,158,151 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(4)/ 1,338,213 1,338,213 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(4)/ $ 802,928 802,928 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 669,006 669,006 1.17%, 08/15/03/(4)/ 1,003,716 1,003,716 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(4)/ 535,285 535,285 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(4)/ 588,784 588,784 1.31%, 05/24/04/(4)/ 1,338,079 1,338,079 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 1,338,012 1,338,012 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(4)/ 669,106 669,106 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(4)/ 1,338,213 1,338,213 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(4)/ 267,643 267,643 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(4)/ 669,073 669,073 1.22%, 04/13/04/(4)/ 669,073 669,073 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(4)/ 668,972 668,972 1.08%, 03/29/04/(4)/ 669,106 669,106 1.29%, 05/04/04/(4)/ 669,073 669,073 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(4)/ 1,338,146 1,338,146 SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(4)/ $ 669,106 $ 669,106 1.14%, 05/17/04/(4)/ 802,928 802,928 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $76,507,887) 76,507,887 ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.30% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(4)/ 669,106 669,106 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(4)/ 267,643 267,643 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $936,749) 936,749 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 122.98% (Cost $418,986,698) 385,622,658 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (22.98%) (72,057,708) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 313,564,950 =============================================================================== /(1)/ Non-income earning securities. /(2)/ Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. /(3)/ Issuer is an affiliate of the Master Portfolio's investment advisor. See Note 2. /(4)/ All or a portion of this security represents investments of securities lending collateral. The accompanying notes are an integral part of these financial statements. 56 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMON STOCKS - 75.90% U.S. COMMON STOCKS - 57.33% ADVERTISING - 0.13% ------------------------------------------------------------------------------- Harte-Hanks Inc. 1,320 $ 25,081 Interpublic Group of Companies Inc. 3,501 46,843 Omnicom Group Inc. 1,363 97,727 ------------------------------------------------------------------------------- 169,651 ------------------------------------------------------------------------------- AEROSPACE / DEFENSE - 0.78% ------------------------------------------------------------------------------- Alliant Techsystems Inc./(1)/ 283 14,691 Boeing Co. (The) 6,608 226,787 General Dynamics Corp. 1,630 118,175 Goodrich (B.F.) Co. 1,107 23,247 L-3 Communications Holdings Inc./(1)/ 482 20,962 Lockheed Martin Corp. 2,955 140,569 Northrop Grumman Corp. 1,323 114,162 Raytheon Co. 3,127 102,691 Rockwell Collins Inc. 1,815 44,703 United Technologies Corp. 3,328 235,722 ------------------------------------------------------------------------------- 1,041,709 ------------------------------------------------------------------------------- AIRLINES - 0.11% ------------------------------------------------------------------------------- AMR Corp./(1)/ 1,274 14,014 Continental Airlines Inc. Class B/(1)/ 486 7,275 Delta Air Lines Inc. 1,828 26,835 Northwest Airlines Corp./(1)/ 1,001 11,301 Southwest Airlines Co. 4,697 80,788 ------------------------------------------------------------------------------- 140,213 ------------------------------------------------------------------------------- APPAREL - 0.18% ------------------------------------------------------------------------------- Jones Apparel Group Inc./(1)/ 1,246 36,458 Liz Claiborne Inc. 1,436 50,619 Nike Inc. Class B 2,254 120,566 VF Corp. 1,083 36,790 ------------------------------------------------------------------------------- 244,433 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.29% ------------------------------------------------------------------------------- Ford Motor Company 13,253 145,650 General Motors Corp. 3,972 142,992 Navistar International Corp./(1)/ 1,106 36,089 PACCAR Inc. 977 66,006 ------------------------------------------------------------------------------- 390,737 ------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT - 0.08% ------------------------------------------------------------------------------- Dana Corp. 1,629 18,831 Delphi Corp. 4,186 36,125 Goodyear Tire & Rubber Co. (The) 2,652 13,923 Lear Corp./(1)/ 374 17,211 Visteon Corp. 3,065 21,057 ------------------------------------------------------------------------------- 107,147 ------------------------------------------------------------------------------- BANKS - 4.62% ------------------------------------------------------------------------------- AmSouth Bancorp 3,431 74,933 Associated Bancorp 1,388 51,189 Bank of America Corp. 10,038 793,303 Bank of Hawaii Corp. 1,383 45,846 Bank of New York Co. Inc. (The) 4,966 142,773 Bank One Corp. 7,276 270,522 Banknorth Group Inc. 1,030 26,286 BB&T Corp. 3,035 104,100 Century Bancorp Inc. Class A 1,609 47,916 Charter One Financial Inc. 1,778 55,438 Citizens Banking Corp. 1,700 45,509 City National Corp. 625 27,850 Comerica Inc. 1,610 74,865 Commerce Bancorp Inc. 817 30,311 Commerce Bancshares Inc. 1,368 53,284 Compass Bancshares Inc. 1,491 52,081 Eastern Virginia Bankshares 1,460 33,507 Fifth Third Bancorp 4,210 241,401 First Citizens Banc Corp. 1,399 36,304 First State Bancorp 1,606 44,181 First Tennessee National Corp. 993 43,603 First Virginia Banks Inc. 1,308 56,401 FleetBoston Financial Corp. 7,871 233,847 Golden West Financial Corp. 912 72,969 GreenPoint Financial Corp. 562 28,628 Heartland Financial USA Inc. 42 1,352 Hibernia Corp. Class A 1,646 29,891 Hudson United Bancorp 2,000 68,300 Huntington Bancshares Inc. 2,058 40,172 KeyCorp 2,953 74,622 M&T Bank Corp. 884 74,450 Marshall & Ilsley Corp. 1,933 59,111 Mellon Financial Corp. 2,281 63,298 Mercantile Bankshares Corp. 1,219 48,004 Nara Bancorp Inc. 2,216 42,104 National City Corp. 4,425 144,742 National Commerce Financial Corp. 2,695 59,802 New York Community Bancorp Inc. 2,803 81,539 North Fork Bancorp Inc. 1,406 47,888 Northern Trust Corp. 1,350 56,416 Old Point Financial Corp. 491 14,391 PNC Financial Services Group 1,820 88,834 Popular Inc. 957 36,931 Regions Financial Corp. 1,892 63,912 Sky Financial Group Inc. 2,008 43,614 SouthTrust Corp. 2,916 79,315 Sovereign Bancorp Inc. 1,825 28,561 State Street Corp. 2,408 94,875 SunTrust Banks Inc. 2,138 126,869 Synovus Financial Corp. 1,821 39,152 TCF Financial Corp. 743 29,601 Trustmark Corp. 1,344 34,232 U.S. Bancorp 13,714 335,993 UCBH Holdings Inc. 3,839 110,103 57 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- BANKS (Continued) ------------------------------------------------------------------------------- Union Planters Corp. 1,046 $ 32,457 UnionBanCal Corp. 670 27,718 Valley National Bancorp 2,416 63,662 Wachovia Corp. 8,763 350,169 Washington Federal Inc. 2,879 66,591 Washington Mutual Inc. 5,876 242,679 Wells Fargo & Company 11,701 589,730 Wilmington Trust Corp. 1,088 31,933 Zions Bancorporation 939 47,523 ------------------------------------------------------------------------------- 6,157,583 ------------------------------------------------------------------------------- BEVERAGES - 1.32% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 4,735 241,722 Brown-Forman Corp. Class B 755 59,358 Coca-Cola Co. (The) 17,457 810,179 Coca-Cola Enterprises Inc. 3,770 68,425 Coors (Adolf) Company Class B 287 14,057 Pepsi Bottling Group Inc. 1,843 36,897 PepsiAmericas Inc. 797 10,010 PepsiCo Inc. 11,716 521,362 ------------------------------------------------------------------------------- 1,762,010 ------------------------------------------------------------------------------- BIOTECHNOLOGY - 0.79% ------------------------------------------------------------------------------- Amgen Inc./(1)/ 9,223 612,776 Applera Corp. - Celera Genomics Group/(1)/ 1,576 16,264 Biogen Inc./(1)/ 1,101 41,838 Cephalon Inc./(1)/ 506 20,827 Chiron Corp./(1)/ 1,477 64,574 CuraGen Corp./(1)/ 1,146 6,360 Genentech Inc./(1)/ 1,734 125,056 Genzyme Corp. - General Division/(1)/ 1,667 69,681 IDEC Pharmaceuticals Corp./(1)/ 1,041 35,394 Millennium Pharmaceuticals Inc./(1)/ 3,438 54,080 ------------------------------------------------------------------------------- 1,046,850 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.12% ------------------------------------------------------------------------------- American Standard Companies Inc./(1)/ 508 37,556 Masco Corp. 3,690 88,006 Vulcan Materials Co. 910 33,734 ------------------------------------------------------------------------------- 159,296 ------------------------------------------------------------------------------- CHEMICALS - 0.81% ------------------------------------------------------------------------------- Air Products & Chemicals Inc. 1,500 62,400 Ashland Inc. 478 14,665 Cabot Corp. 809 23,218 Cabot Microelectronics Corp./(1)/ 506 25,538 Crompton Corp. 1,379 9,722 Dow Chemical Co. (The) 7,061 218,609 Du Pont (E.I.) de Nemours and Co. 7,001 291,522 Eastman Chemical Co. 522 16,532 Engelhard Corp. 1,064 26,355 IMC Global Inc. 1,055 7,079 Lubrizol Corp. 831 25,753 Lyondell Chemical Co. 1,089 14,734 Millennium Chemicals Inc. 895 8,511 Monsanto Co. 1,786 38,649 Olin Corp. 1,597 27,309 PPG Industries Inc. 1,029 52,211 Praxair Inc. 871 52,347 Rohm & Haas Co. 1,770 54,923 Sherwin-Williams Co. (The) 1,202 32,310 Sigma-Aldrich Corp. 741 40,147 Valspar Corp. (The) 927 39,138 ------------------------------------------------------------------------------- 1,081,672 ------------------------------------------------------------------------------- COAL - 0.01% ------------------------------------------------------------------------------- Massey Energy Co. 573 7,535 ------------------------------------------------------------------------------- 7,535 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 1.09% ------------------------------------------------------------------------------- Actuant Corp. Class A/(1)/ 726 34,354 Apollo Group Inc. Class A/(1)/ 1,457 89,984 Arbitron Inc./(1)/ 775 27,667 Block (H & R) Inc. 1,518 65,653 Career Education Corp./(1)/ 562 38,452 Caremark Rx Inc./(1)/ 2,138 54,904 Cendant Corp./(1)/ 7,772 142,383 Concord EFS Inc./(1)/ 3,992 58,762 Convergys Corp./(1)/ 1,507 24,112 Deluxe Corp. 877 39,290 Donnelley (R.R.) & Sons Co. 1,257 32,858 Dun & Bradstreet Corp./(1)/ 981 40,319 Ecolab Inc. 1,978 50,637 Equifax Inc. 1,389 36,114 First Health Group Corp./(1)/ 1,414 39,026 Hudson Highland Group Inc./(1)/ 112 2,129 InterActiveCorp/(1)/ 2,470 97,738 iPayment Holdings Inc./(1)/ 98 2,339 Iron Mountain Inc./(1)/ 847 31,415 Landauer Inc. 901 37,689 Manpower Inc. 988 36,645 McKesson Corp. 2,365 84,525 Monster Worldwide Inc./(1)/ 1,500 29,595 Moody's Corp. 1,025 54,028 MPS Group Inc./(1)/ 1,184 8,146 Paychex Inc. 2,375 69,611 Petroleum Helicopters Inc./(1)/ 1,032 32,560 Quintiles Transnational Corp./(1)/ 1,523 21,611 Rent-A-Center Inc./(1)/ 715 54,204 Robert Half International Inc./(1)/ 1,884 35,683 ServiceMaster Co. (The) 2,527 27,039 Valassis Communications Inc./(1)/ 788 20,267 Viad Corp. 1,512 33,854 ------------------------------------------------------------------------------- 1,453,593 ------------------------------------------------------------------------------- 58 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMPUTERS - 3.18% ------------------------------------------------------------------------------- Affiliated Computer Services Inc. Class A/(1)/ 692 $ 31,645 Apple Computer Inc./(1)/ 3,046 58,240 Brocade Communications Systems Inc./(1)/ 2,788 16,421 Ceridian Corp./(1)/ 1,531 25,981 Cisco Systems Inc./(1)/ 49,501 826,172 Computer Sciences Corp./(1)/ 1,335 50,890 Dell Computer Corp./(1)/ 18,106 578,668 Diebold Inc. 693 29,972 DST Systems Inc./(1)/ 819 31,122 Echelon Corp./(1)/ 1,392 19,168 Electronic Data Systems Corp. 3,348 71,815 Electronics For Imaging Inc./(1)/ 1,077 21,852 EMC Corp./(1)/ 15,753 164,934 Enterasys Networks Inc./(1)/ 3,377 10,232 FactSet Research Systems Inc. 829 36,517 Fair Isaac Corp. 520 26,754 Gateway Inc./(1)/ 2,019 7,369 Hewlett-Packard Co. 22,208 473,030 International Business Machines Corp. 12,269 1,012,192 Internet Security Systems Inc./(1)/ 830 12,027 Juniper Networks Inc./(1)/ 3,334 41,242 Lexmark International Inc./(1)/ 999 70,699 Maxtor Corp./(1)/ 1,755 13,180 McDATA Corp. Class A/(1)/ 787 11,545 Mentor Graphics Corp./(1)/ 1,504 21,778 Mindspeed Technologies Inc./(1)/ 3,449 9,312 NCR Corp./(1)/ 814 20,855 Network Appliance Inc./(1)/ 2,864 46,425 Palm Inc./(1)/ 1,683 27,382 Quantum Corp./(1)/ 1,386 5,613 RSA Security Inc./(1)/ 545 5,859 SanDisk Corp./(1)/ 1,699 68,555 Seagate Technology Inc./(2)/ 2,893 -- Storage Technology Corp./(1)/ 1,077 27,722 Sun Microsystems Inc./(1)/ 22,723 104,526 SunGard Data Systems Inc./(1)/ 2,364 61,251 Synopsys Inc./(1)/ 699 43,233 3Com Corp./(1)/ 3,048 14,265 Unisys Corp./(1)/ 1,914 23,504 VeriSign Inc./(1)/ 1,825 25,240 Veritas Software Corp./(1)/ 2,953 84,663 ------------------------------------------------------------------------------- 4,231,850 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 1.21% ------------------------------------------------------------------------------- Alberto-Culver Co. Class B 828 42,311 Avon Products Inc. 1,884 117,185 Colgate-Palmolive Co. 3,780 219,051 Estee Lauder Companies Inc. Class A 728 24,410 Gillette Co. (The) 7,032 224,040 International Flavors & Fragrances Inc. 921 29,408 Kimberly-Clark Corp. 3,466 180,717 Procter & Gamble Co. 8,751 780,414 ------------------------------------------------------------------------------- 1,617,536 ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.20% ------------------------------------------------------------------------------- CDW Corp./(1)/ 521 23,862 Costco Wholesale Corp./(1)/ 3,323 121,622 Fastenal Co. 818 27,763 Genuine Parts Co. 1,475 47,215 Grainger (W.W.) Inc. 797 37,268 Tech Data Corp./(1)/ 437 11,672 ------------------------------------------------------------------------------- 269,402 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 4.83% ------------------------------------------------------------------------------- American Express Co. 9,429 394,226 American International Group Inc. 18,910 1,043,454 AmeriCredit Corp./(1)/ 1,587 13,569 Bear Stearns Companies Inc. (The) 670 48,521 Capital One Financial Corp. 1,939 95,360 CIT Group Inc. 1,474 36,334 Citigroup Inc. 37,341 1,598,195 Citigroup Inc. Warrants (Expires 12/31/50)/(1)/ 900 918 Countrywide Financial Corp. 1,065 74,092 Edwards (A.G.) Inc. 1,527 52,223 Fannie Mae 6,784 457,513 Federal Agricultural Mortgage Corp./(1)/ 1,118 24,987 Federated Investors Inc. Class B 1,300 35,646 Financial Federal Corp./(1)/ 903 22,033 Franklin Resources Inc. 2,637 103,028 Freddie Mac 4,748 241,056 Gabelli Asset Management Inc. Class A/(1)/ 1,457 52,598 Goldman Sachs Group Inc. (The) 3,144 263,310 Janus Capital Group Inc. 2,980 48,872 JP Morgan Chase & Co. 14,925 510,136 Legg Mason Inc. 728 47,284 Lehman Brothers Holdings Inc. 1,869 124,251 MBNA Corp. 8,931 186,122 Merrill Lynch & Co. Inc. 6,613 308,695 Morgan Stanley 7,428 317,547 Neuberger Berman Inc. 958 38,234 Providian Financial Corp./(1)/ 2,006 18,576 Schwab (Charles) Corp. (The) 9,519 96,047 SLM Corp. 3,072 120,330 T. Rowe Price Group Inc. 1,553 58,626 ------------------------------------------------------------------------------- 6,431,783 ------------------------------------------------------------------------------- ELECTRIC - 1.54% ------------------------------------------------------------------------------- AES Corp. (The)/(1)/ 3,979 25,267 Ameren Corp. 1,042 45,952 American Electric Power Co. Inc. 2,676 79,825 59 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- ELECTRIC (Continued) ------------------------------------------------------------------------------- Calpine Corp./(1)/ 2,946 $ 19,444 CenterPoint Energy Inc. 2,983 24,311 Cinergy Corp. 1,815 66,774 Consolidated Edison Inc. 1,335 57,779 Constellation Energy Group Inc. 1,802 61,809 Dominion Resources Inc. 2,365 151,999 DTE Energy Co. 1,312 50,696 Duke Energy Corp. 6,989 139,431 Edison International/(1)/ 3,010 49,454 Energy East Corp. 1,011 20,988 Entergy Corp. 1,583 83,551 Exelon Corp. 2,512 150,243 FirstEnergy Corp. 2,346 90,204 FPL Group Inc. 1,242 83,028 Hawaiian Electric Industries Inc. 1,106 50,710 NiSource Inc. 1,782 33,858 Northeast Utilities 3,738 62,574 NSTAR 1,593 72,561 Pepco Holdings Inc. 1,075 20,597 PG&E Corp./(1)/ 3,226 68,230 Pinnacle West Capital Corp. 519 19,437 PPL Corp. 1,715 73,745 Progress Energy Inc. 1,625 71,337 Public Service Enterprise Group Inc. 1,584 66,924 Reliant Resources Inc./(1)/ 2,352 14,418 SCANA Corp. 734 25,162 Southern Company 5,061 157,701 Texas Genco Holdings Inc. 149 3,464 TXU Corp. 1,956 43,912 Wisconsin Energy Corp. 808 23,432 Xcel Energy Inc. 3,000 45,120 ------------------------------------------------------------------------------- 2,053,937 ------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.07% ------------------------------------------------------------------------------- American Power Conversion Corp./(1)/ 1,623 25,303 Hubbell Inc. Class B 909 30,088 Molex Inc. 1,552 41,888 ------------------------------------------------------------------------------- 97,279 ------------------------------------------------------------------------------- ELECTRONICS - 0.43% ------------------------------------------------------------------------------- Agilent Technologies Inc./(1)/ 3,487 68,171 Applera Corp. - Applied Biosystems Group 2,328 44,302 Arrow Electronics Inc./(1)/ 1,045 15,926 Avnet Inc./(1)/ 973 12,338 AVX Corp. 1,680 18,463 Cymer Inc./(1)/ 583 18,399 Jabil Circuit Inc./(1)/ 2,008 44,377 Johnson Controls Inc. 639 54,698 Millipore Corp./(1)/ 712 31,591 Parker Hannifin Corp. 820 34,432 PerkinElmer Inc. 768 10,606 Sanmina-SCI Corp./(1)/ 3,910 24,672 Solectron Corp./(1)/ 4,669 17,462 Symbol Technologies Inc. 2,262 29,429 Tektronix Inc./(1)/ 1,144 24,710 Thermo Electron Corp./(1)/ 1,602 33,674 Thomas & Betts Corp./(1)/ 525 7,586 Varian Inc./(1)/ 844 29,261 Vishay Intertechnology Inc./(1)/ 1,410 18,612 Waters Corp./(1)/ 957 27,877 ------------------------------------------------------------------------------- 566,586 ------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION - 0.02% ------------------------------------------------------------------------------- Fluor Corp. 781 26,273 ------------------------------------------------------------------------------- 26,273 ------------------------------------------------------------------------------- ENTERTAINMENT - 0.12% ------------------------------------------------------------------------------- Dover Motorsports Inc. 9,600 39,360 Expedia Inc./(1)/ 372 28,413 International Game Technology Inc./(1)/ 683 69,891 Macrovision Corp./(1)/ 1,223 24,362 ------------------------------------------------------------------------------- 162,026 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.09% ------------------------------------------------------------------------------- Republic Services Inc./(1)/ 1,080 24,484 Waste Management Inc. 3,919 94,409 ------------------------------------------------------------------------------- 118,893 ------------------------------------------------------------------------------- FOOD - 1.09% ------------------------------------------------------------------------------- Albertson's Inc. 2,300 44,160 Archer-Daniels-Midland Co. 4,670 60,103 Arden Group Inc. Class A/(1)/ 200 11,800 Campbell Soup Co. 2,618 64,141 ConAgra Foods Inc. 3,726 87,934 Dean Foods Co./(1)/ 1,560 49,140 Del Monte Foods Co./(1)/ 972 8,592 General Mills Inc. 2,220 105,250 Heinz (H.J.) Co. 2,997 98,841 Hershey Foods Corp. 766 53,360 Hormel Foods Corp. 728 17,254 Kellogg Co. 2,791 95,927 Kraft Foods Inc. 1,809 58,883 Kroger Co./(1)/ 5,143 85,785 McCormick & Co. Inc. 1,380 37,536 Safeway Inc./(1)/ 4,265 87,262 Sara Lee Corp. 5,550 104,395 Smithfield Foods Inc./(1)/ 1,814 41,577 Smucker (J.M.) Co. (The) 561 22,378 SUPERVALU Inc. 1,104 23,537 Sysco Corp. 4,416 132,657 Tyson Foods Inc. Class A 3,571 37,924 Whole Foods Market Inc./(1)/ 445 21,151 Winn-Dixie Stores Inc. 1,163 14,317 60 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- FOOD (Continued) ------------------------------------------------------------------------------- Wrigley (William Jr.) Co. 1,502 $ 84,457 ------------------------------------------------------------------------------- 1,448,361 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.30% ------------------------------------------------------------------------------- Boise Cascade Corp. 751 17,949 Bowater Inc. 534 19,998 Georgia-Pacific Corp. 3,210 60,830 International Paper Co. 3,556 127,056 MeadWestvaco Corp. 1,432 35,370 Plum Creek Timber Co. Inc. 1,006 26,106 Temple-Inland Inc. 974 41,794 Weyerhaeuser Co. 1,397 75,438 ------------------------------------------------------------------------------- 404,541 ------------------------------------------------------------------------------- GAS - 0.11% ------------------------------------------------------------------------------- KeySpan Corp. 1,471 52,147 Nicor Inc. 1,366 50,692 Sempra Energy 1,553 44,307 ------------------------------------------------------------------------------- 147,146 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.17% ------------------------------------------------------------------------------- Black & Decker Corp. 617 26,809 Emerson Electric Co. 2,941 150,285 SPX Corp./(1)/ 636 28,022 Stanley Works (The) 1,002 27,655 ------------------------------------------------------------------------------- 232,771 ------------------------------------------------------------------------------- HEALTH CARE - 2.70% ------------------------------------------------------------------------------- Aetna Inc. 864 52,013 AMERIGROUP Corp./(1)/ 164 6,101 Anthem Inc./(1)/ 1,116 86,099 Apogent Technologies Inc./(1)/ 1,095 21,900 Apria Healthcare Group Inc./(1)/ 295 7,340 Bard (C.R.) Inc. 535 38,151 Bausch & Lomb Inc. 719 26,962 Baxter International Inc. 4,338 112,788 Beckman Coulter Inc. 750 30,480 Becton, Dickinson & Co. 1,798 69,852 Biomet Inc. 2,026 58,065 Boston Scientific Corp./(1)/ 3,139 191,793 Cerner Corp./(1)/ 795 18,245 Covance Inc./(1)/ 517 9,358 Express Scripts Inc./(1)/ 314 21,452 Guidant Corp. 2,314 102,718 HCA Inc. 3,232 103,553 Health Management Associates Inc. Class A 2,282 42,103 Health Net Inc./(1)/ 1,540 50,743 IDEXX Laboratories Inc./(1)/ 1,024 34,345 Johnson & Johnson 20,953 1,083,270 Laboratory Corp. of America Holdings/(1)/ 774 23,336 Lincare Holdings Inc./(1)/ 1,264 39,829 Matria Healthcare Inc./(1)/ 2,470 43,595 Medtronic Inc. 9,013 432,354 Micro Therapeutics Inc./(1)/ 3,778 16,019 Mid Atlantic Medical Services Inc./(1)/ 275 14,382 Oxford Health Plans Inc./(1)/ 959 40,307 PacifiCare Health Systems Inc./(1)/ 809 39,908 Pediatrix Medical Group Inc./(1)/ 106 3,779 Quest Diagnostics Inc./(1)/ 716 45,681 Renal Care Group Inc./(1)/ 933 32,851 St. Jude Medical Inc./(1)/ 1,165 66,987 Steris Corp./(1)/ 1,145 26,438 Stryker Corp. 1,391 96,494 Tenet Healthcare Corp./(1)/ 3,181 37,059 UnitedHealth Group Inc. 4,062 204,115 Universal Health Services Inc. Class B/(1)/ 519 20,563 Varian Medical Systems Inc./(1)/ 637 36,672 Viasys Healthcare Inc./(1)/ 590 12,213 Vital Images Inc./(1)/ 2,386 44,093 WellPoint Health Networks Inc./(1)/ 950 80,085 Zimmer Holdings Inc./(1)/ 1,492 67,215 ------------------------------------------------------------------------------- 3,591,306 ------------------------------------------------------------------------------- HOME BUILDERS - 0.19% ------------------------------------------------------------------------------- Centex Corp. 622 48,385 Clayton Homes Inc. 1,189 14,922 D.R. Horton Inc. 1,200 33,720 KB Home 744 46,113 Lennar Corp. Class A 598 42,757 Lennar Corp. Class B 59 4,053 NVR Inc./(1)/ 72 29,592 Pulte Homes Inc. 603 37,181 ------------------------------------------------------------------------------- 256,723 ------------------------------------------------------------------------------- HOME FURNISHINGS - 0.16% ------------------------------------------------------------------------------- Ethan Allen Interiors Inc. 871 30,624 Harman International Industries Inc. 392 31,023 Hooker Furniture Corp. 1,119 27,673 Leggett & Platt Inc. 1,920 39,360 Maytag Corp. 849 20,733 Whirlpool Corp. 1,032 65,738 ------------------------------------------------------------------------------- 215,151 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.21% ------------------------------------------------------------------------------- American Greetings Corp. Class A/(1)/ 1,269 24,923 Avery Dennison Corp. 859 43,122 Clorox Co. 1,472 62,781 Dial Corp. (The) 1,667 32,423 Fortune Brands Inc. 1,053 54,967 Newell Rubbermaid Inc. 2,043 57,204 ------------------------------------------------------------------------------- 275,420 ------------------------------------------------------------------------------- 61 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- INSURANCE - 1.80% ------------------------------------------------------------------------------- ACE Ltd. 2,438 $ 83,599 AFLAC Inc. 4,076 125,337 Allmerica Financial Corp./(1)/ 819 14,734 Allstate Corp. (The) 4,986 177,751 Ambac Financial Group Inc. 677 44,851 American Financial Group Inc. 792 18,058 American National Insurance Co. 169 14,600 AON Corp. 1,871 45,054 Chubb Corp. 1,399 83,940 CIGNA Corp. 972 45,626 Cincinnati Financial Corp. 1,483 55,004 Fidelity National Financial Inc. 837 25,746 Hancock (John) Financial Services Inc. 2,300 70,679 Hartford Financial Services Group Inc. 1,848 93,065 Jefferson-Pilot Corp. 547 22,679 Lincoln National Corp. 937 33,385 Loews Corp. 1,211 57,268 Markel Corp./(1)/ 169 43,264 Marsh & McLennan Companies Inc. 3,575 182,575 MBIA Inc. 914 44,558 Mercury General Corp. 387 17,667 MetLife Inc. 5,440 154,061 MGIC Investment Corp. 714 33,301 MONY Group Inc. (The) 946 25,495 Old Republic International Corp. 1,194 40,918 PMI Group Inc. (The) 896 24,049 Principal Financial Group Inc. 2,700 87,075 Progressive Corp. (The) 1,721 125,805 Protective Life Corp. 1,066 28,516 Prudential Financial Inc. 3,972 133,658 Radian Group Inc. 692 25,362 SAFECO Corp. 1,296 45,723 St. Paul Companies Inc. 1,376 50,238 Torchmark Corp. 794 29,577 Transatlantic Holdings Inc. 165 11,410 Travelers Property Casualty Corp. Class B 8,249 130,087 21st Century Insurance Group 577 8,251 Unitrin Inc. 904 24,516 UNUMProvident Corp. 1,866 25,023 XL Capital Ltd. Class A 1,192 98,936 ------------------------------------------------------------------------------- 2,401,441 ------------------------------------------------------------------------------- IRON / STEEL - 0.07% ------------------------------------------------------------------------------- Allegheny Technologies Inc. 806 5,320 Nucor Corp. 545 26,623 Schnitzer Steel Industries Inc. Class A 1,319 58,194 ------------------------------------------------------------------------------- 90,137 ------------------------------------------------------------------------------- LEISURE TIME - 0.15% ------------------------------------------------------------------------------- Brunswick Corp. 1,445 36,154 Callaway Golf Co. 992 13,114 Harley-Davidson Inc. 2,362 94,149 Polaris Industries Inc. 334 20,508 Sabre Holdings Corp. 1,245 30,689 ------------------------------------------------------------------------------- 194,614 ------------------------------------------------------------------------------- LODGING - 0.20% ------------------------------------------------------------------------------- Harrah's Entertainment Inc./(1)/ 970 39,033 Hilton Hotels Corp. 2,863 36,618 Mandalay Resort Group 549 17,486 Marriott International Inc. Class A 1,828 70,232 MGM Grand Inc./(1)/ 961 32,847 Park Place Entertainment Corp./(1)/ 1,659 15,080 Starwood Hotels & Resorts Worldwide Inc. 1,914 54,721 ------------------------------------------------------------------------------- 266,017 ------------------------------------------------------------------------------- MACHINERY - 0.33% ------------------------------------------------------------------------------- Caterpillar Inc. 2,504 139,373 Cognex Corp./(1)/ 565 12,628 Deere & Co. 1,577 72,069 Dover Corp. 1,512 45,300 Imation Corp. 660 24,961 Ingersoll-Rand Co. Class A 1,879 88,914 Robbins & Myers Inc. 1,401 25,919 Rockwell Automation Inc. 1,515 36,118 ------------------------------------------------------------------------------- 445,282 ------------------------------------------------------------------------------- MANUFACTURERS - 2.61% ------------------------------------------------------------------------------- Cooper Industries Ltd. 1,494 61,702 Crane Co. 886 20,050 Danaher Corp. 1,139 77,509 Eastman Kodak Co. 2,600 71,110 Eaton Corp. 662 52,040 General Electric Co. 71,541 2,051,796 Harsco Corp. 1,070 38,574 Honeywell International Inc. 6,415 172,243 Illinois Tool Works Inc. 2,411 158,764 ITT Industries Inc. 819 53,612 Jacuzzi Brands Inc./(1)/ 1,030 5,449 Pall Corp. 1,542 34,695 Pentair Inc. 900 35,154 Textron Inc. 1,049 40,932 3M Co. 2,588 333,800 Tyco International Ltd. 14,291 271,243 ------------------------------------------------------------------------------- 3,478,673 ------------------------------------------------------------------------------- MEDIA - 2.58% ------------------------------------------------------------------------------- AOL Time Warner Inc./(1)/ 33,221 534,526 Beasley Broadcast Group Inc. Class A/(1)/ 1,000 13,680 Belo (A.H.) Corp. 1,801 40,270 Cablevision Systems Corp./(1)/ 1,400 29,064 62 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- MEDIA (Continued) ------------------------------------------------------------------------------- Clear Channel Communications Inc./(1)/ 4,380 $ 185,668 Comcast Corp. Class A/(1)/ 25,822 779,308 Dow Jones & Co. Inc. 1,307 56,240 Fox Entertainment Group Inc. Class A/(1)/ 895 25,758 Gannett Co. Inc. 1,698 130,423 Gemstar-TV Guide International Inc./(1)/ 1,884 9,590 Hearst-Argyle Television Inc./(1)/ 867 22,455 Hispanic Broadcasting Corp./(1)/ 1,182 30,082 Hollinger International Inc. 3,150 33,926 Knight Ridder Inc. 617 42,530 Liberty Media Corp. Class A/(1)/ 20,200 233,512 McGraw-Hill Companies Inc. (The) 1,152 71,424 Meredith Corp. 861 37,884 New York Times Co. Class A 1,006 45,773 Readers Digest Association Inc. (The) 751 10,123 Scripps (E.W.) Co. Class A 252 22,357 Tribune Co. 2,391 115,485 UnitedGlobalCom Inc. Class A/(1)/ 803 4,152 Univision Communications Inc. Class A/(1)/ 1,677 50,981 Viacom Inc. Class B/(1)/ 13,108 572,295 Walt Disney Co. (The) 13,869 273,913 Washington Post Company (The) Class B 52 38,111 Westwood One Inc./(1)/ 1,003 34,032 ------------------------------------------------------------------------------- 3,443,562 ------------------------------------------------------------------------------- MINING - 0.21% ------------------------------------------------------------------------------- Alcoa Inc. 5,763 146,957 Newmont Mining Corp. 3,291 106,826 Phelps Dodge Corp./(1)/ 770 29,522 ------------------------------------------------------------------------------- 283,305 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.18% ------------------------------------------------------------------------------- Herman Miller Inc. 1,334 26,960 HON Industries Inc. 1,589 48,465 Imagistics International Inc./(1)/ 857 22,111 Pitney Bowes Inc. 2,282 87,652 Xerox Corp./(1)/ 4,675 49,508 ------------------------------------------------------------------------------- 234,696 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 3.04% ------------------------------------------------------------------------------- Amerada Hess Corp. 686 33,737 Anadarko Petroleum Corp. 1,926 85,649 Apache Corp. 1,037 67,467 Burlington Resources Inc. 1,346 72,778 Chesapeake Utilities Corp. 2,741 61,947 ChevronTexaco Corp. 7,804 563,449 ConocoPhillips 5,111 280,083 Devon Energy Corp. 2,041 108,989 Diamond Offshore Drilling Inc. 987 20,717 ENSCO International Inc. 1,754 47,183 EOG Resources Inc. 1,071 44,811 Equitable Resources Inc. 1,336 54,429 Exxon Mobil Corp. 49,162 1,765,407 Houston Exploration Co./(1)/ 440 15,268 Kerr-McGee Corp. 639 28,627 Kinder Morgan Inc. 1,330 72,685 Marathon Oil Corp. 1,891 49,828 Murphy Oil Corp. 1,036 54,494 Nabors Industries Ltd./(1)/ 1,515 59,918 Noble Corp./(1)/ 1,484 50,901 Noble Energy Inc. 639 24,154 Occidental Petroleum Corp. 2,814 94,410 Patina Oil & Gas Corp. 443 14,242 Penn Virginia Corp. 1,200 51,600 Pioneer Natural Resources Co./(1)/ 788 20,567 Plains Exploration & Production Co./(1)/ 1,900 20,539 Plains Resource Inc./(1)/ 1,900 26,885 Rowan Companies Inc./(1)/ 1,398 31,315 Sunoco Inc. 862 32,532 Transocean Inc./(1)/ 4,025 88,429 Unocal Corp. 1,784 51,183 Valero Energy Corp. 993 36,076 XTO Energy Inc. 1,070 21,518 ------------------------------------------------------------------------------- 4,051,817 ------------------------------------------------------------------------------- OIL & GAS SERVICES - 0.37% ------------------------------------------------------------------------------- Baker Hughes Inc. 1,975 66,301 BJ Services Co./(1)/ 1,406 52,528 Cooper Cameron Corp./(1)/ 491 24,737 Grant Prideco Inc./(1)/ 1,147 13,477 Halliburton Co. 2,687 61,801 Patterson-UTI Energy Inc./(1)/ 1,291 41,828 Schlumberger Ltd. 3,526 167,732 Smith International Inc./(1)/ 1,240 45,558 Varco International Inc./(1)/ 889 17,424 ------------------------------------------------------------------------------- 491,386 ------------------------------------------------------------------------------- PACKAGING & CONTAINERS - 0.12% ------------------------------------------------------------------------------- Ball Corp. 634 28,853 Bemis Co. 754 35,287 Pactiv Corp./(1)/ 1,261 24,854 Sealed Air Corp./(1)/ 701 33,410 Smurfit-Stone Container Corp./(1)/ 1,532 19,962 Sonoco Products Co. 896 21,522 ------------------------------------------------------------------------------- 163,888 ------------------------------------------------------------------------------- PHARMACEUTICALS - 4.60% ------------------------------------------------------------------------------- Abbott Laboratories 11,199 490,068 Abgenix Inc./(1)/ 2,346 24,610 Advanced Medical Optics Inc./(1)/ 220 3,751 Allergan Inc. 880 67,848 63 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PHARMACEUTICALS (Continued) ------------------------------------------------------------------------------- AmerisourceBergen Corp. 767 $ 53,191 Bone Care International Inc./(1)/ 3,700 51,430 Bristol-Myers Squibb Co. 13,823 375,294 Cardinal Health Inc. 3,351 215,469 Celgene Corp./(1)/ 933 28,363 DENTSPLY International Inc. 1,170 47,853 Discovery Laboratories Inc./(1)/ 7,443 47,784 Forest Laboratories Inc./(1)/ 2,829 154,888 Gilead Sciences Inc./(1)/ 1,463 81,314 ICN Pharmaceuticals Inc. 1,562 26,179 IVAX Corp./(1)/ 1,396 24,919 King Pharmaceuticals Inc./(1)/ 2,148 31,704 Lilly (Eli) & Co. 8,081 557,347 Medicis Pharmaceutical Corp. Class A 261 14,799 MedImmune Inc./(1)/ 1,908 69,394 Merck & Co. Inc. 16,069 972,978 Mylan Laboratories Inc. 1,731 60,187 Neurocrine Biosciences Inc./(1)/ 657 32,811 Pfizer Inc. 57,148 1,951,604 Schering-Plough Corp. 10,375 192,975 Sepracor Inc./(1)/ 1,354 24,413 Sybron Dental Specialties Inc./(1)/ 1,406 33,182 Tanox Inc./(1)/ 1,876 30,110 Watson Pharmaceuticals Inc./(1)/ 915 36,939 Wyeth 9,532 434,183 ------------------------------------------------------------------------------- 6,135,587 ------------------------------------------------------------------------------- PIPELINES - 0.05% ------------------------------------------------------------------------------- Dynegy Inc. Class A 2,689 11,294 El Paso Corp. 3,205 25,896 Williams Companies Inc. 3,520 27,808 ------------------------------------------------------------------------------- 64,998 ------------------------------------------------------------------------------- REAL ESTATE - 0.09% ------------------------------------------------------------------------------- Shurgard Storage Centers Inc. Class A 1,982 65,565 Urstadt Biddle Properties Inc. Class A 4,500 57,870 ------------------------------------------------------------------------------- 123,435 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.75% ------------------------------------------------------------------------------- Apartment Investment & Management Co. Class A 1,145 39,617 Archstone-Smith Trust 1,971 47,304 Arden Realty Inc. 2,216 57,505 AvalonBay Communities Inc. 854 36,415 Boston Properties Inc. 1,245 54,531 Capital Automotive 162 4,534 CarrAmerica Realty Corp. 1,774 49,335 Crescent Real Estate Equities Co. 2,271 37,721 Duke Realty Corp. 2,251 62,015 Equity Office Properties Trust 2,477 66,904 Equity Residential 1,552 40,274 General Growth Properties Inc. 1,299 81,110 Highwoods Properties Inc. 2,196 48,971 Host Marriott Corp./(1)/ 3,386 30,982 Kimco Realty Corp. 1,414 53,591 Liberty Property Trust 520 17,992 Mack-Cali Realty Corp. 1,472 53,551 ProLogis 1,125 30,713 Public Storage Inc. 936 31,702 Rouse Co. (The) 1,455 55,436 Simon Property Group Inc. 1,425 55,618 Vornado Realty Trust 1,014 44,210 ------------------------------------------------------------------------------- 1,000,031 ------------------------------------------------------------------------------- RETAIL - 4.17% ------------------------------------------------------------------------------- Abercrombie & Fitch Co. Class A/(1)/ 1,029 29,234 Amazon.com Inc./(1)/ 1,672 61,011 AutoNation Inc./(1)/ 3,167 49,785 AutoZone Inc./(1)/ 753 57,205 Barnes & Noble Inc./(1)/ 718 16,550 Bed Bath & Beyond Inc./(1)/ 2,124 82,432 Best Buy Co. Inc./(1)/ 2,597 114,060 Big Lots Inc./(1)/ 1,599 24,049 BJ's Wholesale Club Inc./(1)/ 416 6,265 Borders Group Inc./(1)/ 1,186 20,885 Brinker International Inc./(1)/ 1,068 38,469 CarMax Inc./(1)/ 1,497 45,135 Circuit City Stores Inc. 2,234 19,659 Coach Inc./(1)/ 886 44,070 CVS Corp. 2,642 74,055 Darden Restaurants Inc. 1,961 37,220 Dollar General Corp. 2,506 45,760 Dollar Tree Stores Inc./(1)/ 1,336 42,391 eBay Inc./(1)/ 2,459 256,179 Family Dollar Stores Inc. 1,486 56,691 Federated Department Stores Inc. 1,529 56,344 FreeMarkets Inc./(1)/ 984 6,849 Gap Inc. (The) 6,066 113,798 Home Depot Inc. 17,853 591,291 Kohls Corp./(1)/ 2,461 126,446 Krispy Kreme Doughnuts Inc./(1)/ 816 33,603 Limited Brands Inc. 4,179 64,775 Lowe's Companies Inc. 5,672 243,612 May Department Stores Co. (The) 2,244 49,951 McDonald's Corp. 11,257 248,329 Michaels Stores Inc./(1)/ 490 18,649 Nordstrom Inc. 1,586 30,959 Office Depot Inc./(1)/ 3,402 49,363 Outback Steakhouse Inc. 951 37,089 Payless ShoeSource Inc./(1)/ 663 8,288 Penney (J.C.) Co. Inc. (Holding Co.) 1,674 28,207 Pier 1 Imports Inc. 1,591 32,456 RadioShack Corp. 1,430 37,623 Rite Aid Corp./(1)/ 3,998 17,791 64 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- RETAIL (Continued) ------------------------------------------------------------------------------- Ross Stores Inc. 776 $ 33,166 Saks Inc./(1)/ 2,048 19,866 Sears, Roebuck and Co. 2,444 82,216 Staples Inc./(1)/ 3,465 63,583 Starbucks Corp./(1)/ 2,745 67,307 Target Corp. 6,969 263,707 Tiffany & Co. 1,268 41,438 TJX Companies Inc. 3,834 72,233 Toys R Us Inc./(1)/ 1,320 15,998 Walgreen Co. 7,361 221,566 Wal-Mart Stores Inc. 30,896 1,658,188 Wendy's International Inc. 1,058 30,650 Williams-Sonoma Inc./(1)/ 604 17,637 Yum! Brands Inc./(1)/ 1,983 58,617 ------------------------------------------------------------------------------- 5,562,700 ------------------------------------------------------------------------------- SEMICONDUCTORS - 1.77% ------------------------------------------------------------------------------- Advanced Micro Devices Inc./(1)/ 3,329 21,339 Altera Corp./(1)/ 2,799 45,904 Analog Devices Inc./(1)/ 2,650 92,273 Applied Materials Inc./(1)/ 11,596 183,913 Applied Micro Circuits Corp./(1)/ 1,888 11,422 Atmel Corp./(1)/ 2,354 5,956 Axcelis Technologies Inc./(1)/ 1,231 7,534 Broadcom Corp. Class A/(1)/ 2,098 52,261 Cirrus Logic Inc./(1)/ 614 2,468 Conexant Systems Inc./(1)/ 10,347 42,423 Cree Inc./(1)/ 1,019 16,589 Cypress Semiconductor Corp./(1)/ 1,291 15,492 Integrated Device Technology Inc./(1)/ 1,682 18,586 Intel Corp. 44,809 931,310 International Rectifier Corp./(1)/ 891 23,897 Intersil Corp. Class A/(1)/ 780 20,756 KLA-Tencor Corp./(1)/ 1,317 61,227 Lam Research Corp./(1)/ 1,577 28,717 Lattice Semiconductor Corp./(1)/ 1,830 15,061 Linear Technology Corp. 2,135 68,768 LSI Logic Corp./(1)/ 3,159 22,366 Maxim Integrated Products Inc. 2,153 73,611 Microchip Technology Inc. 1,472 36,255 Micron Technology Inc./(1)/ 4,516 52,521 Mykrolis Corp./(1)/ 278 2,822 National Semiconductor Corp./(1)/ 1,502 29,619 Novellus Systems Inc./(1)/ 1,020 37,353 NVIDIA Corp./(1)/ 1,579 36,333 QLogic Corp./(1)/ 780 37,697 Rambus Inc./(1)/ 641 10,621 Silicon Laboratories Inc./(1)/ 553 14,732 Skyworks Solutions Inc./(1)/ 608 4,116 Teradyne Inc./(1)/ 1,651 28,579 Texas Instruments Inc. 12,589 221,566 Varian Semiconductor Equipment Associates Inc./(1)/ 663 19,731 Vitesse Semiconductor Corp./(1)/ 1,199 5,899 Xilinx Inc./(1)/ 2,072 52,442 ------------------------------------------------------------------------------- 2,352,159 ------------------------------------------------------------------------------- SOFTWARE - 3.06% ------------------------------------------------------------------------------- Adobe Systems Inc. 1,597 51,216 Akamai Technologies Inc./(1)/ 6,122 29,263 Ariba Inc./(1)/ 1,184 3,516 Ascential Software Corp./(1)/ 504 8,286 Autodesk Inc. 1,656 26,761 Automatic Data Processing Inc. 3,964 134,221 BEA Systems Inc./(1)/ 3,160 34,318 BMC Software Inc./(1)/ 1,997 32,611 Cadence Design Systems Inc./(1)/ 2,324 28,027 Certegy Inc./(1)/ 944 26,196 ChoicePoint Inc./(1)/ 907 31,310 Citrix Systems Inc./(1)/ 1,340 27,282 Computer Associates International Inc. 4,576 101,953 Compuware Corp./(1)/ 3,093 17,847 DoubleClick Inc./(1)/ 2,034 18,815 eFunds Corp./(1)/ 1,666 19,209 Electronic Arts Inc./(1)/ 1,219 90,194 eUniverse Inc./(1)//(2)/ 4,298 15,559 First Data Corp. 5,377 222,823 Fiserv Inc./(1)/ 1,494 53,201 Global Payments Inc. 1,047 37,169 IMS Health Inc. 2,073 37,293 Intuit Inc./(1)/ 1,710 76,146 Keane Inc./(1)/ 759 10,345 Legato Systems Inc./(1)/ 934 7,836 Macromedia Inc./(1)/ 1,200 25,248 Mercury Interactive Corp./(1)/ 738 28,494 Micromuse Inc./(1)/ 719 5,745 Microsoft Corp. 77,121 1,975,069 NDCHealth Corp. 762 13,983 Network Associates Inc./(1)/ 1,713 21,721 Novell Inc./(1)/ 2,244 6,912 Oracle Corp./(1)/ 36,576 439,644 Parametric Technology Corp./(1)/ 2,243 6,841 PeopleSoft Inc./(1)/ 2,155 37,906 RealNetworks Inc./(1)/ 1,519 10,299 Reynolds & Reynolds Co. (The) Class A 1,335 38,128 SAFLINK Corp./(1)/ 4,722 29,937 Siebel Systems Inc./(1)/ 4,205 40,116 Sybase Inc./(1)/ 1,622 22,562 Symantec Corp./(1)/ 1,001 43,904 Total System Services Inc. 1,455 32,447 Yahoo! Inc./(1)/ 4,716 154,496 ------------------------------------------------------------------------------- 4,074,849 ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.47% ------------------------------------------------------------------------------- ADTRAN Inc./(1)/ 570 29,235 65 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT (Continued) ------------------------------------------------------------------------------- Advanced Fibre Communications Inc./(1)/ 1,218 $ 19,817 American Tower Corp. Class A/(1)/ 3,292 29,134 Andrew Corp./(1)/ 1,138 10,470 Avaya Inc./(1)/ 3,142 20,297 CIENA Corp./(1)/ 3,152 16,359 CommScope Inc./(1)/ 696 6,612 Comverse Technology Inc./(1)/ 1,113 16,728 Harris Corp. 618 18,571 JDS Uniphase Corp./(1)/ 11,096 38,947 Motorola Inc. 16,411 154,756 QUALCOMM Inc. 5,443 194,587 RF Micro Devices Inc./(1)/ 1,388 8,356 Scientific-Atlanta Inc. 1,584 37,763 Tellabs Inc./(1)/ 3,129 20,558 ------------------------------------------------------------------------------- 622,190 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 1.20% ------------------------------------------------------------------------------- Adaptec Inc./(1)/ 742 5,773 Anixter International Inc./(1)/ 349 8,177 AT&T Wireless Services Inc./(1)/ 19,868 163,116 Corning Inc./(1)/ 7,832 57,878 Cox Communications Inc. Class A/(1)/ 1,904 60,738 Dobson Communications Corp. Class A/(1)/ 3,613 19,041 EchoStar Communications Corp./(1)/ 1,985 68,721 Emulex Corp./(1)/ 793 18,057 General Motors Corp. Class H/(1)/ 6,403 82,022 InterDigital Communications Corp./(1)/ 777 18,158 Level 3 Communications Inc./(1)/ 2,623 17,417 Nextel Communications Inc. Class A/(1)/ 7,398 133,756 Qwest Communications International Inc./(1)/ 13,282 63,488 Sprint Corp. (PCS Group)/(1)/ 6,688 38,456 UTStarcom Inc./(1)/ 1,057 37,597 Verizon Communications Inc. 20,335 802,216 ------------------------------------------------------------------------------- 1,594,611 ------------------------------------------------------------------------------- TELEPHONE - 1.05% ------------------------------------------------------------------------------- Alltel Corp. 2,477 119,441 AT&T Corp. 6,054 116,540 BellSouth Corp. 13,225 352,182 CenturyTel Inc. 1,344 46,838 Cincinnati Bell Inc./(1)/ 4,165 27,906 SBC Communications Inc. 24,448 624,646 Sprint Corp. (FON Group) 6,373 91,771 Telephone & Data Systems Inc. 415 20,626 ------------------------------------------------------------------------------- 1,399,950 ------------------------------------------------------------------------------- TEXTILES - 0.06% ------------------------------------------------------------------------------- Cintas Corp. 1,502 53,231 Mohawk Industries Inc./(1)/ 533 29,597 ------------------------------------------------------------------------------- 82,828 ------------------------------------------------------------------------------- TOBACCO - 0.57% ------------------------------------------------------------------------------- Altria Group Inc. 14,741 669,831 R.J. Reynolds Tobacco Holdings Inc. 1,017 37,843 UST Inc. 1,529 53,561 ------------------------------------------------------------------------------- 761,235 ------------------------------------------------------------------------------- TOYS / GAMES / HOBBIES - 0.08% ------------------------------------------------------------------------------- Hasbro Inc. 1,471 25,728 Mattel Inc. 3,944 74,620 ------------------------------------------------------------------------------- 100,348 ------------------------------------------------------------------------------- TRANSPORTATION - 0.79% ------------------------------------------------------------------------------- Airborne Inc. 867 18,120 Alexander & Baldwin Inc. 1,545 40,989 Burlington Northern Santa Fe Corp. 2,235 63,563 CNF Inc. 1,153 29,263 CSX Corp. 1,440 43,330 Expeditors International Washington Inc. 716 24,802 FedEx Corp. 2,109 130,821 Kansas City Southern Industries Inc./(1)/ 2,489 29,943 Norfolk Southern Corp. 2,813 54,010 Union Pacific Corp. 1,789 103,798 United Parcel Service Inc. Class B 8,139 518,454 ------------------------------------------------------------------------------- 1,057,093 ------------------------------------------------------------------------------- TRUCKING & LEASING - 0.01% ------------------------------------------------------------------------------- GATX Corp. 1,003 16,399 ------------------------------------------------------------------------------- 16,399 ------------------------------------------------------------------------------- TOTAL U.S. COMMON STOCKS (Cost: $69,876,846) 76,402,644 ------------------------------------------------------------------------------- INTERNATIONAL COMMON STOCKS - 18.57% AUSTRALIA - 1.03% ------------------------------------------------------------------------------- Coles Myer Ltd. ADR 4,129 154,012 National Australia Bank ADR 4,512 506,472 News Corporation Ltd. ADR 3,539 107,126 Rio Tinto PLC ADR 3,211 245,802 Westpac Banking Corp. Ltd. ADR 6,568 359,138 ------------------------------------------------------------------------------- 1,372,550 ------------------------------------------------------------------------------- BELGIUM - 0.07% ------------------------------------------------------------------------------- Cofinimmo 342 41,237 Compagnie Maritime Belge SA 895 35,458 66 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- BELGIUM (Continued) ------------------------------------------------------------------------------- Electrabel SA 40 $ 10,193 ------------------------------------------------------------------------------- 86,888 ------------------------------------------------------------------------------- DENMARK - 0.27% ------------------------------------------------------------------------------- Novo Nordisk A/S ADR 6,732 233,398 TDC A/S ADR 7,786 117,958 ------------------------------------------------------------------------------- 351,356 ------------------------------------------------------------------------------- FINLAND - 0.37% ------------------------------------------------------------------------------- Nokia OYJ ADR 17,369 285,373 Outokumpu OYJ 3,289 28,893 Rautaruukki OYJ/(1)/ 14,852 63,957 Stora Enso OYJ Class R 2,721 30,403 UPM-Kymmene OYJ 1,130 16,493 Uponor OYJ 3,719 86,268 ------------------------------------------------------------------------------- 511,387 ------------------------------------------------------------------------------- FRANCE - 1.78% ------------------------------------------------------------------------------- Alcatel SA ADR/(1)/ 10,027 89,742 Autoroutes du Sud de la France SA 534 15,606 Aventis SA ADR 8,141 445,313 AXA ADR 18,158 283,446 BNP Paribas SA 1,678 85,267 Carrefour SA 1,026 50,286 Compagnie de Saint-Gobain SA 1,013 39,866 France Telecom SA/(1)/ 613 15,036 France Telecom SA ADR 2,490 61,379 Groupe Wanadoo SA/(1)/ 1,675 11,214 L'Oreal SA 658 46,395 LVMH Moet Hennessy Louis Vuitton SA 4,089 202,803 Sanofi-Synthelabo SA 917 53,705 Societe Generale Class A 721 45,703 STMicroelectronics NV 1,946 40,805 Suez SA 2,727 43,403 Technip-Coflexip SA 262 22,926 Total SA 8,355 633,309 Union du Credit Bail Immobilier 997 73,846 Vivendi Universal SA/(1)/ 687 12,504 Vivendi Universal SA ADR/(1)/ 2,837 52,314 Zodiac SA 2,235 54,514 ------------------------------------------------------------------------------- 2,379,382 ------------------------------------------------------------------------------- GERMANY - 1.07% ------------------------------------------------------------------------------- Allianz AG 767 63,751 BASF AG 1,838 78,517 Bayer AG 2,122 49,175 DaimlerChrysler AG 9,984 346,644 Deutsche Bank AG 1,945 126,150 Deutsche Telekom AG ADR/(1)/ 13,311 202,327 Douglas Holding AG 3,594 77,591 E.ON AG 2,214 113,825 Merck KGaA 614 17,839 Muenchener Rueckversicherungs-Gesellschaft AG 309 31,503 RWE AG 1,617 48,817 SAP AG ADR 4,658 136,107 Siemens AG 2,966 145,505 ------------------------------------------------------------------------------- 1,437,751 ------------------------------------------------------------------------------- GREECE - 0.06% ------------------------------------------------------------------------------- Aluminium of Greece S.A.I.C 1,290 26,428 Papastratos Cigarette Co. 1,130 23,046 Technical Olympic SA 5,770 22,528 ------------------------------------------------------------------------------- 72,002 ------------------------------------------------------------------------------- HONG KONG - 0.29% ------------------------------------------------------------------------------- ASM Pacific Technology Ltd. 10,500 30,700 Bank of East Asia Ltd. 7,200 14,219 CLP Holdings Ltd. 4,500 19,678 Esprit Holdings Ltd. 10,000 24,429 Giordano International Ltd. 64,000 19,902 Hong Kong & China Gas Co. Ltd. 52,000 65,682 Hong Kong Exchanges & Clearing Ltd. 36,000 51,705 Hongkong Electric Holdings Ltd. 16,500 64,746 Hysan Development Co. Ltd. 47,000 38,875 Shangri-La Asia Ltd. 14,000 8,887 Sino Land Co. Ltd. 90,000 27,987 Wharf Holdings Ltd. 5,000 9,618 ------------------------------------------------------------------------------- 376,428 ------------------------------------------------------------------------------- IRELAND - 0.22% ------------------------------------------------------------------------------- Allied Irish Banks PLC ADR 9,849 294,584 ------------------------------------------------------------------------------- 294,584 ------------------------------------------------------------------------------- ITALY - 0.64% ------------------------------------------------------------------------------- Assicurazioni Generali SpA 1,871 43,358 Banca Popolare di Milano SCRL 8,404 36,769 Benetton Group SpA ADR 9,120 191,520 ENI-Ente Nazionale Idrocarburi SpA ADR 2,928 222,645 Fiat SpA ADR/(1)/ 8,550 61,389 Finmeccanica SpA 65,619 42,047 San Paolo-IMI SpA ADR 11,488 216,204 Seat-Pagine Gialle SpA/(1)/ 29,456 20,465 Tiscali SpA/(1)/ 2,946 15,055 ------------------------------------------------------------------------------- 849,452 ------------------------------------------------------------------------------- JAPAN - 4.29% ------------------------------------------------------------------------------- Ariake Japan Co. Ltd. 2,270 67,679 Ashikaga Financial Group Inc./(1)/ 41,000 60,779 Bridgestone Corp. 3,000 40,725 Canon Inc. ADR 7,000 319,550 67 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- JAPAN (Continued) ------------------------------------------------------------------------------- Chubu Electric Power Co. Inc. 3,100 $ 56,540 Dainippon Screen Manufacturing Co. Ltd./(1)/ 15,000 73,454 Dowa Mining Co. Ltd. 9,000 34,553 East Japan Railway Co. 19 84,497 Fuji Photo Film Co. Ltd. ADR 5,276 152,002 Hitachi Ltd. ADR 3,187 134,810 Honda Motor Company Ltd. ADR 10,856 206,807 Ito-Yokado Co. Ltd. ADR/(2)/ 4,521 107,961 Japan Airlines System Corp. ADR 11,178 119,121 JFE Holdings Inc. 2,300 34,478 Kansai Electric Power Co. Inc. 2,900 45,743 Kikkoman Corp. 11,000 72,646 Kirin Brewery Co. Ltd. ADR 38,969 271,224 Kubota Corp. ADR 12,153 164,673 Kyocera Corp. ADR 1,630 92,910 Kyushu Electric Power Co. Inc. 3,200 49,809 Makita Corp. ADR 6,620 52,298 Matsushita Electric Industrial Co. Ltd. ADR 16,391 164,730 Millea Holdings Inc. ADR 9,079 348,997 Mitsubishi Corp. ADR 12,781 174,461 Mitsubishi Tokyo Financial Group Inc. 13 58,788 Mitsui & Co. ADR 1,647 162,230 NEC Corp. ADR 22,088 111,324 Nintendo Co. Ltd. 800 58,164 Nippon Oil Corp. 14,000 60,745 Nippon Telegraph & Telephone Corp. ADR 11,750 232,650 Nissan Motor Co. Ltd. ADR 8,838 167,480 Nomura Holdings Inc. 9,000 114,229 NTT DoCoMo Inc. 74 160,233 Osaka Gas Co. Ltd. 19,000 46,996 Pioneer Corp. ADR 5,395 122,844 Ricoh Corp. Ltd. ADR 1,970 164,988 Seino Transportation Co. Ltd. 6,000 34,329 Seven-Eleven Japan Co. Ltd. 2,000 49,802 Sharp Corp. 3,000 38,501 Shin-Etsu Chemical Co. Ltd. 1,600 54,633 Snow Brand Milk Products Co. Ltd./(1)/ 32,000 80,217 Softbank Corp. 1,500 28,420 Sony Corp. ADR 4,291 120,148 Sumitomo Mitsui Financial Group Inc. 26 56,731 Sumitomo Osaka Cement Co. Ltd. 14,000 27,516 Takeda Chemical Industries Ltd. 3,000 110,681 Takefuji Corp. 480 24,904 Tohoku Electric Power Co. Inc. 3,000 44,372 Tokyo Electric Power Co. Inc. (The) 5,200 99,388 Tokyo Gas Co. Ltd. 19,000 54,591 Tokyu Corp. 12,000 38,676 Toshiba Corp. 12,000 41,274 Toyota Motor Corp. ADR 7,853 406,785 Yamanouchi Pharmaceutical Co. Ltd. 1,200 31,280 ------------------------------------------------------------------------------- 5,733,366 ------------------------------------------------------------------------------- NETHERLANDS - 1.20% ------------------------------------------------------------------------------- Abn Amro Holding NV ADR 17,633 336,614 Aegon NV ADR 9,080 91,163 Akzo Nobel NV ADR 5,022 133,836 ING Groep NV ADR 6,908 121,097 Koninklijke Ahold NV ADR 12,337 103,261 Koninklijke KPN NV/(1)/ 6,993 49,548 Koninklijke Philips Electronics NV NY Shares 9,058 173,098 Reed Elsevier NV ADR 8,507 202,041 Royal Dutch Petroleum Co. 7,000 324,914 Unilever NV CVA 1,284 68,888 ------------------------------------------------------------------------------- 1,604,460 ------------------------------------------------------------------------------- NEW ZEALAND - 0.08% ------------------------------------------------------------------------------- Telecom Corp. of New Zealand Ltd. ADR 4,215 102,677 ------------------------------------------------------------------------------- 102,677 ------------------------------------------------------------------------------- NORWAY - 0.02% ------------------------------------------------------------------------------- Aker Kvaerner ASA/(1)/ 700 9,237 Gjensidige NOR ASA 398 13,922 ------------------------------------------------------------------------------- 23,159 ------------------------------------------------------------------------------- PANAMA - 0.11% ------------------------------------------------------------------------------- Carnival Corp. 4,555 148,083 ------------------------------------------------------------------------------- 148,083 ------------------------------------------------------------------------------- PORTUGAL - 0.04% ------------------------------------------------------------------------------- Banco Comercial Portugues SA ADR 5,288 47,063 ------------------------------------------------------------------------------- 47,063 ------------------------------------------------------------------------------- SINGAPORE - 0.10% ------------------------------------------------------------------------------- Chartered Semiconductor Manufacturing Ltd. ADR/(1)/ 2,111 10,872 Haw Par Corp. Ltd. 19,000 46,826 Singapore Exchange Ltd. 24,000 18,671 SMRT Corp. Ltd. 166,000 58,444 ------------------------------------------------------------------------------- 134,813 ------------------------------------------------------------------------------- SPAIN - 0.77% ------------------------------------------------------------------------------- Banco Bilbao Vizcaya Argentaria SA ADR 16,643 174,585 Banco Santander Central Hispano SA ADR 48,205 425,168 Repsol YPF SA ADR 10,083 163,042 Telefonica SA ADR 7,670 265,152 ------------------------------------------------------------------------------- 1,027,947 ------------------------------------------------------------------------------- SWEDEN - 0.29% ------------------------------------------------------------------------------- Hennes & Mauritz AB Class B 1,683 38,685 68 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- SWEDEN (Continued) ------------------------------------------------------------------------------- Hoganas AB Class B 2,233 $ 45,469 Holmen AB Class B 845 23,065 OM AB 9,005 64,121 Sapa AB 2,979 59,915 Skanska AB Class B 6,104 34,848 SSAB Svenskt Stal AB Series A 2,059 27,522 Telefonaktiebolaget LM Ericsson AB ADR/(1)/ 4,430 47,091 Telefonaktiebolaget LM Ericsson AB Class B/(1)/ 30,460 32,724 ------------------------------------------------------------------------------- 373,440 ------------------------------------------------------------------------------- SWITZERLAND - 1.26% ------------------------------------------------------------------------------- Adecco SA ADR 11,739 122,673 Centerpulse ADR 4,079 110,133 Ciba Specialty Chemicals AG/(1)/ 599 36,261 Compagnie Financiere Richemont AG 2,022 32,691 Credit Suisse Group 4,162 109,538 Givaudan SA - Registered 203 85,423 Logitech International SA - Registered/(1)/ 1,198 44,929 Lonza Group AG - Registered 1,016 46,504 Nestle SA 1,181 243,689 Novartis AG 6,552 259,265 Roche Holding AG - Genusschein 742 58,202 Schindler Holding AG Certificates of Participation/(1)/ 169 27,199 Societe Generale de Surveillance Holding SA 159 62,095 Sulzer AG - Registered/(1)/ 248 34,649 Swiss Re 513 28,423 UBS AG - Registered 4,149 230,798 Unaxis Holding AG Class R 581 47,289 Valora Holding AG 244 49,897 Zurich Financial Services AG/(1)/ 488 58,183 ------------------------------------------------------------------------------- 1,687,841 ------------------------------------------------------------------------------- UNITED KINGDOM - 4.61% ------------------------------------------------------------------------------- AstraZeneca PLC ADR 10,090 411,369 BAE Systems PLC 14,185 33,356 Balfour Beatty PLC 12,791 40,737 Barclays PLC ADR/(3)/ 13,656 408,588 Barratt Developments PLC 5,135 36,606 BHP Billiton PLC 7,452 39,227 BP PLC 24,917 172,793 BP PLC ADR 9,282 390,030 British American Tobacco PLC 4,202 47,671 British Sky Broadcasting PLC ADR/(1)/ 3,168 142,877 British Telecom PLC ADR 5,837 196,473 Cadbury Schweppes PLC ADR 11,609 280,706 Carnival PLC 757 22,997 Centrica PLC 17,300 50,172 Compass Group PLC 6,224 33,559 SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- UNITED KINGDOM (Continued) ------------------------------------------------------------------------------- Diageo PLC ADR 10,257 $ 448,846 George Wimpey PLC 9,237 44,965 GlaxoSmithKline PLC ADR 18,562 752,503 Great Portland Estates PLC 19,725 75,026 GUS PLC 2,102 23,552 Hanson PLC ADR 7,619 215,313 HBOS PLC 10,852 140,484 Hong Kong & Shanghai Banking ADR 3,025 178,808 HSBC Holdings PLC 15,580 184,079 Imperial Tobacco Group PLC 1,723 30,792 Kelda Group PLC 3,511 24,768 Kidde PLC 36,578 51,305 Kingfisher PLC 5,215 23,859 Lloyds TSB Group PLC 12,588 89,372 National Grid Transco PLC 9,741 66,065 Peninsular & Oriental Steam Navigation Co. PLC 11,395 44,188 Prudential Corp. PLC 3,199 19,373 Rank Group PLC 5,486 22,541 Reckitt Benckiser PLC 1,625 29,818 Reuters Group PLC ADR 2,892 50,841 Royal Bank of Scotland Group PLC 8,956 251,239 Scottish & Southern Energy PLC 5,340 54,986 Scottish Power PLC 6,243 37,499 Shell Transport & Trading Co. PLC 28,369 187,252 Tate & Lyle PLC 6,536 36,940 Tesco PLC 16,830 60,890 Unilever PLC 7,486 59,603 United Utilities PLC 1,106 10,750 Vodafone Group PLC ADR 28,325 556,586 WPP Group PLC 4,466 35,005 ------------------------------------------------------------------------------- 6,114,409 ------------------------------------------------------------------------------- TOTAL INTERNATIONAL STOCKS (Cost: $28,010,085) 24,729,038 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $97,886,931) 101,131,682 ------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 22.59% ------------------------------------------------------------------------------- U.S. Treasury Bonds 5.38%, 02/15/31 $ 3,380,000 3,806,066 6.25%, 05/15/30 1,320,000 1,643,297 7.50%, 11/15/16 1,420,000 1,927,595 8.00%, 11/15/21 6,630,000 9,604,954 U.S. Treasury Notes 1.50%, 02/28/05 1,465,000 1,472,039 2.25%, 07/31/04 720,000 729,310 3.00%, 11/15/07 1,370,000 1,413,133 4.00%, 11/15/12 470,000 489,075 5.00%, 08/15/11 700,000 785,203 5.63%, 05/15/08 1,665,000 1,908,766 69 LIFEPATH 2030 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- 5.75%, 08/15/10 $ 1,130,000 $ 1,322,674 6.50%, 05/15/05 2,210,000 2,423,749 6.50%, 10/15/06 1,420,000 1,631,447 7.00%, 07/15/06 820,000 947,740 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $29,437,147) 30,105,048 ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 10.89% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(4)/ 9,086,279 9,086,279 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(4)/ 2,049,960 2,049,960 BlackRock Temp Cash Money Market Fund/(4)/ 103,378 103,378 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(4)/ 537,540 537,540 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(4)/ 227,773 227,773 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(4)/ $ 136,664 136,664 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 113,870 113,870 1.17%, 08/15/03/(4)/ 170,840 170,840 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(4)/ 91,109 91,109 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(4)/ 100,215 100,215 1.31%, 05/24/04/(4)/ 227,751 227,751 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 227,739 227,739 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(4)/ 113,887 113,887 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(4)/ 227,773 227,773 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(4)/ 45,555 45,555 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(4)/ 113,881 113,881 1.22%, 04/13/04/(4)/ 113,881 113,881 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(4)/ 113,864 113,864 1.08%, 03/29/04/(4)/ 113,887 113,887 1.29%, 05/04/04/(4)/ 113,881 113,881 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(4)/ 227,762 227,762 SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(4)/ $ 113,887 $ 113,887 1.14%, 05/17/04/(4)/ 136,664 136,664 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $14,508,040) 14,508,040 ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.12% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(4)/ 113,887 113,887 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(4)/ 45,555 45,555 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $159,442) 159,442 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 109.50% (Cost $141,991,560) 145,904,212 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (9.50%) (12,656,827) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 133,247,385 =============================================================================== /(1)/ Non-income earning securities. /(2)/ Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. /(3)/ Issuer is an affiliate of the Master Portfolio's investment advisor. See Note 2. /(4)/ All or a portion of this security represents investments of securities lending collateral. The accompanying notes are an integral part of these financial statements. 70 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMON STOCKS - 85.43% U.S. COMMON STOCKS - 66.47% ADVERTISING - 0.17% ------------------------------------------------------------------------------- ADVO Inc./(1)/ 207 $ 9,191 Getty Images Inc./(1)/ 294 12,142 Interpublic Group of Companies Inc. 2,354 31,497 Lamar Advertising Co./(1)/ 673 23,696 Omnicom Group Inc. 1,109 79,515 ------------------------------------------------------------------------------- 156,041 ------------------------------------------------------------------------------- AEROSPACE / DEFENSE - 0.86% ------------------------------------------------------------------------------- Alliant Techsystems Inc./(1)/ 260 13,497 Boeing Co. (The) 4,594 157,666 General Dynamics Corp. 1,054 76,415 Goodrich (B.F.) Co. 884 18,564 L-3 Communications Holdings Inc./(1)/ 604 26,268 Lockheed Martin Corp. 2,484 118,164 Northrop Grumman Corp. 983 84,823 Raytheon Co. 2,251 73,923 Rockwell Collins Inc. 1,248 30,738 United Technologies Corp. 2,717 192,445 ------------------------------------------------------------------------------- 792,503 ------------------------------------------------------------------------------- AIRLINES - 0.10% ------------------------------------------------------------------------------- Delta Air Lines Inc. 890 13,065 Southwest Airlines Co. 4,704 80,909 ------------------------------------------------------------------------------- 93,974 ------------------------------------------------------------------------------- APPAREL - 0.19% ------------------------------------------------------------------------------- Jones Apparel Group Inc./(1)/ 973 28,470 Liz Claiborne Inc. 1,004 35,391 Nike Inc. Class B 1,574 84,193 VF Corp. 665 22,590 ------------------------------------------------------------------------------- 170,644 ------------------------------------------------------------------------------- AUTO MANUFACTURERS - 0.33% ------------------------------------------------------------------------------- Ford Motor Company 10,372 113,988 General Motors Corp. 3,139 113,004 Navistar International Corp./(1)/ 436 14,227 PACCAR Inc. 752 50,805 Wabash National Corp./(1)/ 447 6,271 ------------------------------------------------------------------------------- 298,295 ------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT - 0.13% ------------------------------------------------------------------------------- Autoliv Inc. 711 19,254 BorgWarner Inc. 231 14,876 Dana Corp. 1,080 12,485 Delphi Corp. 4,337 37,428 Goodyear Tire & Rubber Co. (The) 743 3,901 Lear Corp./(1)/ 622 28,624 Visteon Corp. 343 2,356 ------------------------------------------------------------------------------- 118,924 ------------------------------------------------------------------------------- BANKS - 5.15% ------------------------------------------------------------------------------- AmSouth Bancorp 2,657 58,029 Associated Bancorp 870 32,086 Astoria Financial Corp. 513 14,328 BancTrust Financial Group Inc. 225 3,613 Bank of America Corp. 8,232 650,575 Bank of Hawaii Corp. 363 12,033 Bank of New York Co. Inc. (The) 4,153 119,399 Bank One Corp. 6,105 226,984 Banknorth Group Inc. 1,809 46,166 BB&T Corp. 2,577 88,391 Cascade Bancorp 613 10,623 Charter One Financial Inc. 1,398 43,590 City National Corp. 500 22,280 Coastal Financial Corp. 267 3,443 Comerica Inc. 926 43,059 Commerce Bancorp Inc. 543 20,145 Commerce Bancshares Inc. 1,013 39,456 Compass Bancshares Inc. 1,418 49,531 Downey Financial Corp. 408 16,850 East West Bancorp Inc. 947 34,225 Eastern Virginia Bankshares 361 8,285 Fifth Third Bancorp 3,330 190,942 First Citizens Banc Corp. 26 675 First Tennessee National Corp. 844 37,060 First Virginia Banks Inc. 425 18,326 FleetBoston Financial Corp. 5,706 169,525 Fulton Financial Corp. 623 12,379 Golden West Financial Corp. 898 71,849 GreenPoint Financial Corp. 651 33,162 Hibernia Corp. Class A 921 16,725 Huntington Bancshares Inc. 2,661 51,943 KeyCorp 2,293 57,944 M&T Bank Corp. 554 46,658 Marshall & Ilsley Corp. 1,574 48,133 Mellon Financial Corp. 2,293 63,631 Mercantile Bankshares Corp. 1,030 40,561 National Bankshares Inc. 293 11,588 National City Corp. 3,521 115,172 National Commerce Financial Corp. 1,603 35,571 New York Community Bancorp Inc. 813 23,650 North Fork Bancorp Inc. 713 24,285 Northern States Financial Corp. 272 7,809 Northern Trust Corp. 1,293 54,034 Old Point Financial Corp. 136 3,986 PNC Financial Services Group 1,530 74,679 Popular Inc. 1,708 65,912 Port Financial Corp. 193 10,399 Prosperity Bancshares Inc. 2,240 43,120 Regions Financial Corp. 1,440 48,643 Shore Bancshares Inc. 164 5,043 71 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- BANKS (Continued) ------------------------------------------------------------------------------- SouthTrust Corp. 2,055 $ 55,896 Sovereign Bancorp Inc. 3,386 52,991 State Street Corp. 1,800 70,920 Sterling Bancorp (New York) 1,181 32,938 SunTrust Banks Inc. 1,490 88,417 Synovus Financial Corp. 2,005 43,107 TCF Financial Corp. 325 12,948 U.S. Bancorp 10,922 267,589 UCBH Holdings Inc. 1,332 38,202 Union Planters Corp. 1,160 35,995 UnionBanCal Corp. 689 28,504 Valley National Bancorp 566 14,914 Wachovia Corp. 7,348 293,626 Washington Mutual Inc. 5,235 216,205 Wayne Bancorp Inc. 158 4,817 Wells Fargo & Company 9,025 454,860 Westamerica Bancorp 650 28,002 Wilmington Trust Corp. 1,011 29,673 Zions Bancorporation 498 25,204 ------------------------------------------------------------------------------- 4,721,303 ------------------------------------------------------------------------------- BEVERAGES - 1.64% ------------------------------------------------------------------------------- Anheuser-Busch Companies Inc. 4,716 240,752 Brown-Forman Corp. Class B 287 22,564 Coca-Cola Co. (The) 14,396 668,118 Coca-Cola Enterprises Inc. 2,550 46,282 Constellation Brands Inc./(1)/ 608 19,091 Coors (Adolf) Company Class B 199 9,747 Pepsi Bottling Group Inc. 1,673 33,493 PepsiAmericas Inc. 1,340 16,830 PepsiCo Inc. 10,042 446,869 ------------------------------------------------------------------------------- 1,503,746 ------------------------------------------------------------------------------- BIOTECHNOLOGY - 0.99% ------------------------------------------------------------------------------- Amgen Inc./(1)/ 7,502 498,433 Applera Corp. - Celera Genomics Group/(1)/ 884 9,123 Biogen Inc./(1)/ 782 29,716 Cephalon Inc./(1)/ 400 16,464 Chiron Corp./(1)/ 1,067 46,649 CuraGen Corp./(1)/ 1,051 5,833 Genentech Inc./(1)/ 1,505 108,541 Genzyme Corp. - General Division/(1)/ 1,242 51,916 Human Genome Sciences Inc./(1)/ 1,386 17,630 ICOS Corp./(1)/ 374 13,744 IDEC Pharmaceuticals Corp./(1)/ 771 26,214 Immunomedics Inc./(1)/ 1,410 8,897 Invitrogen Corp./(1)/ 439 16,844 Millennium Pharmaceuticals Inc./(1)/ 2,014 31,680 Myriad Genetics Inc./(1)/ 118 1,606 Protein Design Labs Inc./(1)/ 442 6,179 Regeneron Pharmaceuticals Inc./(1)/ 148 2,331 TECHNE Corp./(1)/ 426 12,925 ------------------------------------------------------------------------------- 904,725 ------------------------------------------------------------------------------- BUILDING MATERIALS - 0.13% ------------------------------------------------------------------------------- American Standard Companies Inc./(1)/ 413 30,533 Masco Corp. 2,784 66,398 Vulcan Materials Co. 592 21,945 ------------------------------------------------------------------------------- 118,876 ------------------------------------------------------------------------------- CHEMICALS - 0.94% ------------------------------------------------------------------------------- Air Products & Chemicals Inc. 1,241 51,626 Ashland Inc. 556 17,058 Cabot Corp. 646 18,540 Cabot Microelectronics Corp./(1)/ 152 7,671 Dow Chemical Co. (The) 5,363 166,038 Du Pont (E.I.) de Nemours and Co. 5,758 239,763 Eastman Chemical Co. 503 15,930 Engelhard Corp. 1,008 24,968 Great Lakes Chemical Corp. 620 12,648 Hercules Inc./(1)/ 1,041 10,306 IMC Global Inc. 1,283 8,609 Lyondell Chemical Co. 1,478 19,997 Monsanto Co. 1,414 30,599 PPG Industries Inc. 973 49,370 Praxair Inc. 950 57,095 Rohm & Haas Co. 1,408 43,690 Sherwin-Williams Co. (The) 851 22,875 Sigma-Aldrich Corp. 492 26,657 Valspar Corp. (The) 485 20,477 Vertex Pharmaceuticals Inc./(1)/ 944 13,782 ------------------------------------------------------------------------------- 857,699 ------------------------------------------------------------------------------- COMMERCIAL SERVICES - 1.22% ------------------------------------------------------------------------------- Alliance Data Systems Corp./(1)/ 432 10,109 Apollo Group Inc. Class A/(1)/ 1,113 68,739 BearingPoint Inc./(1)/ 1,733 16,723 Block (H & R) Inc. 1,076 46,537 Career Education Corp./(1)/ 438 29,968 Caremark Rx Inc./(1)/ 1,807 46,404 Cendant Corp./(1)/ 5,876 107,648 Coinstar Inc./(1)/ 96 1,811 Concord EFS Inc./(1)/ 2,905 42,762 Convergys Corp./(1)/ 1,221 19,536 Corinthian Colleges Inc./(1)/ 365 17,728 Corporate Executive Board Co. (The)/(1)/ 244 9,889 Deluxe Corp. 644 28,851 DeVry Inc./(1)/ 370 8,617 Donnelley (R.R.) & Sons Co. 1,010 26,401 Dun & Bradstreet Corp./(1)/ 714 29,345 Ecolab Inc. 1,662 42,547 Equifax Inc. 952 24,752 First Health Group Corp./(1)/ 1,203 33,203 Heidrick & Struggles International Inc./(1)/ 772 9,743 Hudson Highland Group Inc./(1)/ 81 1,540 InterActiveCorp/(1)/ 2,310 91,407 72 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- COMMERCIAL SERVICES (Continued) ------------------------------------------------------------------------------- Iron Mountain Inc./(1)/ 631 $ 23,404 ITT Educational Services Inc./(1)/ 339 9,916 Landauer Inc. 169 7,069 Manpower Inc. 706 26,186 McKesson Corp. 1,725 61,651 Monster Worldwide Inc./(1)/ 984 19,414 Moody's Corp. 927 48,862 Paychex Inc. 2,083 61,053 Quintiles Transnational Corp./(1)/ 835 11,849 Rent-A-Center Inc./(1)/ 261 19,786 Robert Half International Inc./(1)/ 1,511 28,618 Roper Industries Inc. 189 7,031 ServiceMaster Co. (The) 3,630 38,841 Trimeris Inc./(1)/ 39 1,782 Valassis Communications Inc./(1)/ 517 13,297 Viad Corp. 1,046 23,420 ------------------------------------------------------------------------------- 1,116,439 ------------------------------------------------------------------------------- COMPUTERS - 3.80% ------------------------------------------------------------------------------- Affiliated Computer Services Inc. Class A/(1)/ 783 35,807 Apple Computer Inc./(1)/ 2,269 43,383 Ask Jeeves Inc./(1)/ 148 2,035 BISYS Group Inc. (The)/(1)/ 811 14,898 Brocade Communications Systems Inc./(1)/ 2,329 13,718 CACI International Inc. Class A/(1)/ 237 8,129 Ceridian Corp./(1)/ 1,438 24,403 Cisco Systems Inc./(1)/ 41,527 693,086 Computer Sciences Corp./(1)/ 1,096 41,780 Dell Computer Corp./(1)/ 15,104 482,724 Diebold Inc. 684 29,583 DST Systems Inc./(1)/ 612 23,256 Echelon Corp./(1)/ 817 11,250 Electronic Data Systems Corp. 2,788 59,803 EMC Corp./(1)/ 12,854 134,581 Extreme Networks Inc./(1)/ 1,748 9,264 FactSet Research Systems Inc. 255 11,233 Fair Isaac Corp. 404 20,786 Foundry Networks Inc./(1)/ 993 14,299 Gateway Inc./(1)/ 2,826 10,315 Hewlett-Packard Co. 16,994 361,972 Hyperion Solutions Corp./(1)/ 366 12,356 International Business Machines Corp. 10,068 830,610 Internet Security Systems Inc./(1)/ 124 1,797 Juniper Networks Inc./(1)/ 2,165 26,781 Kronos Inc./(1)/ 110 5,589 Lexmark International Inc./(1)/ 754 53,361 Manhattan Associates Inc./(1)/ 259 6,726 McDATA Corp. Class A/(1)/ 1,040 15,257 Mindspeed Technologies Inc./(1)/ 873 2,356 NCR Corp./(1)/ 611 15,654 NetScreen Technologies Inc./(1)/ 224 5,051 Network Appliance Inc./(1)/ 1,906 30,896 Palm Inc./(1)/ 65 1,058 Planar Systems Inc./(1)/ 268 5,242 Retek Inc./(1)/ 827 5,293 SanDisk Corp./(1)/ 561 22,636 Sapient Corp./(1)/ 7,650 21,190 ScanSource Inc./(1)/ 70 1,872 Seagate Technology Inc./(2)/ 6,036 -- SEI Investment Co. 429 13,728 SRA International Inc. Class A/(1)/ 86 2,752 Storage Technology Corp./(1)/ 829 21,338 Sun Microsystems Inc./(1)/ 20,116 92,534 SunGard Data Systems Inc./(1)/ 1,731 44,850 Synopsys Inc./(1)/ 518 32,038 Take-Two Interactive Software Inc./(1)/ 319 9,040 3Com Corp./(1)/ 5,567 26,054 Unisys Corp./(1)/ 2,112 25,935 VeriSign Inc./(1)/ 1,839 25,433 Veritas Software Corp./(1)/ 2,291 65,683 Western Digital Corp./(1)/ 1,064 10,959 ------------------------------------------------------------------------------- 3,480,374 ------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE - 1.49% ------------------------------------------------------------------------------- Alberto-Culver Co. Class B 554 28,309 Avon Products Inc. 1,384 86,085 Colgate-Palmolive Co. 3,132 181,499 Estee Lauder Companies Inc. Class A 838 28,098 Gillette Co. (The) 5,952 189,631 International Flavors & Fragrances Inc. 901 28,769 Kimberly-Clark Corp. 2,934 152,979 Procter & Gamble Co. 7,550 673,309 ------------------------------------------------------------------------------- 1,368,679 ------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE - 0.23% ------------------------------------------------------------------------------- CDW Corp./(1)/ 454 20,793 Costco Wholesale Corp./(1)/ 2,585 94,611 Fastenal Co. 625 21,213 Genuine Parts Co. 1,171 37,484 Grainger (W.W.) Inc. 594 27,775 Tech Data Corp./(1)/ 500 13,355 ------------------------------------------------------------------------------- 215,231 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 5.52% ------------------------------------------------------------------------------- Affiliated Managers Group Inc./(1)/ 136 8,289 Alleghany Corp./(1)/ 148 28,268 Allied Capital Corp. 680 15,708 American Express Co. 7,613 318,300 American International Group Inc. 14,408 795,033 AmeriCredit Corp./(1)/ 917 7,840 Bear Stearns Companies Inc. (The) 601 43,524 Capital One Financial Corp. 1,303 64,082 73 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES (Continued) ------------------------------------------------------------------------------- CIT Group Inc. 1,590 $ 39,194 Citigroup Inc. 28,379 1,214,621 Citigroup Inc. Warrants (Expires 12/31/50)/(1)/ 1,900 1,938 Countrywide Financial Corp. 809 56,282 Doral Financial Corp. 770 34,381 E*TRADE Group Inc./(1)/ 2,318 19,703 Edwards (A.G.) Inc. 738 25,240 Fannie Mae 5,796 390,882 Federal Agricultural Mortgage Corp./(1)/ 112 2,503 Federated Investors Inc. Class B 689 18,892 Franklin Resources Inc. 1,506 58,839 Freddie Mac 4,050 205,619 Gabelli Asset Management Inc. Class A/(1)/ 247 8,917 Goldman Sachs Group Inc. (The) 2,614 218,923 Janus Capital Group Inc. 1,685 27,634 JP Morgan Chase & Co. 11,133 380,526 Legg Mason Inc. 556 36,112 Lehman Brothers Holdings Inc. 1,429 95,000 MBNA Corp. 7,305 152,236 Merrill Lynch & Co. Inc. 5,218 243,576 Morgan Stanley 6,153 263,041 Neuberger Berman Inc. 645 25,742 Nuveen Investments Inc. Class A 1,060 28,874 Providian Financial Corp./(1)/ 2,109 19,529 Schwab (Charles) Corp. (The) 7,316 73,818 SLM Corp. 2,611 102,273 T. Rowe Price Group Inc. 827 31,219 ------------------------------------------------------------------------------- 5,056,558 ------------------------------------------------------------------------------- ELECTRIC - 1.77% ------------------------------------------------------------------------------- AES Corp. (The)/(1)/ 3,426 21,755 Ameren Corp. 1,131 49,877 American Electric Power Co. Inc. 2,061 61,480 Calpine Corp./(1)/ 1,835 12,111 CenterPoint Energy Inc. 2,087 17,009 Cinergy Corp. 1,341 49,335 CMS Energy Corp. 474 3,839 Consolidated Edison Inc. 1,158 50,118 Constellation Energy Group Inc. 1,233 42,292 Dominion Resources Inc. 1,631 104,824 DPL Inc. 728 11,604 DTE Energy Co. 1,051 40,611 Duke Energy Corp. 4,980 99,351 Edison International/(1)/ 2,270 37,296 Energy East Corp. 831 17,252 Entergy Corp. 1,343 70,884 Exelon Corp. 1,969 117,766 FirstEnergy Corp. 1,711 65,788 FPL Group Inc. 1,052 70,326 Great Plains Energy Inc. 1,280 36,966 Hawaiian Electric Industries Inc. 710 32,554 MDU Resources Group Inc. 497 16,645 NiSource Inc. 1,546 29,374 Northeast Utilities 746 12,488 NSTAR 689 31,384 Pepco Holdings Inc. 883 16,918 PG&E Corp./(1)/ 2,141 45,282 Pinnacle West Capital Corp. 724 27,114 PPL Corp. 1,180 50,740 Progress Energy Inc. 1,316 57,772 Public Service Enterprise Group Inc. 1,048 44,278 Puget Energy Inc. 540 12,890 Reliant Resources Inc./(1)/ 1,825 11,187 SCANA Corp. 637 21,836 Southern Company 4,072 126,884 TECO Energy Inc. 776 9,304 Texas Genco Holdings Inc. 115 2,674 TXU Corp. 1,608 36,100 Wisconsin Energy Corp. 744 21,576 Xcel Energy Inc. 2,263 34,036 ------------------------------------------------------------------------------- 1,621,520 ------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.09% ------------------------------------------------------------------------------- American Power Conversion Corp./(1)/ 1,511 23,556 Energizer Holdings Inc./(1)/ 595 18,683 Molex Inc. 1,211 32,685 Power-One Inc./(1)/ 789 5,641 ------------------------------------------------------------------------------- 80,565 ------------------------------------------------------------------------------- ELECTRONICS - 0.52% ------------------------------------------------------------------------------- Agilent Technologies Inc./(1)/ 2,619 51,201 AMETEK Inc. 400 14,660 Amphenol Corp. Class A/(1)/ 104 4,869 Applera Corp. - Applied Biosystems Group 1,133 21,561 Arrow Electronics Inc./(1)/ 953 14,524 ATMI Inc./(1)/ 237 5,918 Avnet Inc./(1)/ 1,098 13,923 AVX Corp. 534 5,869 Cymer Inc./(1)/ 182 5,744 Fairchild Semiconductor International Inc. Class A/(1)/ 842 10,769 Gentex Corp./(1)/ 467 14,295 Helix Technology Corp. 419 5,543 Jabil Circuit Inc./(1)/ 1,259 27,824 Johnson Controls Inc. 550 47,080 Millipore Corp./(1)/ 409 18,147 Park Electrochemical Corp. 120 2,394 Parker Hannifin Corp. 687 28,847 PerkinElmer Inc. 661 9,128 Sanmina-SCI Corp./(1)/ 4,253 26,836 Solectron Corp./(1)/ 4,732 17,698 Symbol Technologies Inc. 1,794 23,340 Tektronix Inc./(1)/ 761 16,438 74 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- ELECTRONICS (Continued) ------------------------------------------------------------------------------- Thermo Electron Corp./(1)/ 1,219 $ 25,623 Thomas & Betts Corp./(1)/ 378 5,462 Trimble Navigation Ltd./(1)/ 208 4,769 Varian Inc./(1)/ 363 12,585 Vishay Intertechnology Inc./(1)/ 1,564 20,645 Waters Corp./(1)/ 764 22,255 ------------------------------------------------------------------------------- 477,947 ------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION - 0.02% ------------------------------------------------------------------------------- Fluor Corp. 554 18,637 ------------------------------------------------------------------------------- 18,637 ------------------------------------------------------------------------------- ENTERTAINMENT - 0.10% ------------------------------------------------------------------------------- Expedia Inc./(1)/ 213 16,269 GTECH Holdings Corp./(1)/ 297 11,182 Hollywood Entertainment Corp./(1)/ 118 2,030 International Game Technology Inc./(1)/ 580 59,351 ------------------------------------------------------------------------------- 88,832 ------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL - 0.14% ------------------------------------------------------------------------------- Allied Waste Industries Inc./(1)/ 1,637 16,452 Republic Services Inc./(1)/ 1,305 29,584 Waste Management Inc. 3,382 81,472 ------------------------------------------------------------------------------- 127,508 ------------------------------------------------------------------------------- FOOD - 1.36% ------------------------------------------------------------------------------- Albertson's Inc. 2,056 39,475 Applebee's International Inc. 483 15,181 Archer-Daniels-Midland Co. 4,903 63,102 Campbell Soup Co. 2,548 62,426 CEC Entertainment Inc./(1)/ 271 10,008 Cheesecake Factory (The)/(1)/ 317 11,377 ConAgra Foods Inc. 2,968 70,045 Dean Foods Co./(1)/ 1,130 35,595 Del Monte Foods Co./(1)/ 875 7,735 General Mills Inc. 2,181 103,401 Heinz (H.J.) Co. 2,028 66,883 Hershey Foods Corp. 752 52,384 Hormel Foods Corp. 1,115 26,426 Kellogg Co. 2,479 85,203 Kraft Foods Inc. 2,264 73,693 Kroger Co./(1)/ 3,977 66,336 McCormick & Co. Inc. 1,376 37,427 Safeway Inc./(1)/ 2,583 52,848 Sara Lee Corp. 4,448 83,667 Smithfield Foods Inc./(1)/ 637 14,600 Smucker (J.M.) Co. (The) 450 17,951 SUPERVALU Inc. 945 20,147 Sysco Corp. 3,694 110,968 Tyson Foods Inc. Class A 1,784 18,946 Whole Foods Market Inc./(1)/ 324 15,400 Winn-Dixie Stores Inc. 1,053 12,962 Wrigley (William Jr.) Co. 1,293 72,705 ------------------------------------------------------------------------------- 1,246,891 ------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER - 0.32% ------------------------------------------------------------------------------- Boise Cascade Corp. 555 13,265 Bowater Inc. 461 17,264 Georgia-Pacific Corp. 1,215 23,024 International Paper Co. 2,618 93,541 MeadWestvaco Corp. 1,204 29,739 Plum Creek Timber Co. Inc. 1,264 32,801 Temple-Inland Inc. 329 14,117 Weyerhaeuser Co. 1,276 68,904 ------------------------------------------------------------------------------- 292,655 ------------------------------------------------------------------------------- GAS - 0.14% ------------------------------------------------------------------------------- EnergySouth Inc. 188 6,166 KeySpan Corp. 982 34,812 Nicor Inc. 357 13,248 Peoples Energy Corp. 794 34,055 Sempra Energy 1,372 39,143 ------------------------------------------------------------------------------- 127,424 ------------------------------------------------------------------------------- HAND / MACHINE TOOLS - 0.22% ------------------------------------------------------------------------------- Black & Decker Corp. 479 20,813 Emerson Electric Co. 2,441 124,735 Snap-On Inc. 483 14,021 SPX Corp./(1)/ 643 28,331 Stanley Works (The) 596 16,450 ------------------------------------------------------------------------------- 204,350 ------------------------------------------------------------------------------- HEALTH CARE - 3.29% ------------------------------------------------------------------------------- Aetna Inc. 805 48,461 AMERIGROUP Corp./(1)/ 362 13,466 AmSurg Corp./(1)/ 361 11,011 Anthem Inc./(1)/ 835 64,420 Apogent Technologies Inc./(1)/ 1,069 21,380 Apria Healthcare Group Inc./(1)/ 655 16,296 Bard (C.R.) Inc. 484 34,514 Bausch & Lomb Inc. 415 15,563 Baxter International Inc. 3,589 93,314 Beckman Coulter Inc. 570 23,165 Becton, Dickinson & Co. 1,471 57,148 Biomet Inc. 1,463 41,930 Bio-Rad Laboratories Inc. Class A/(1)/ 286 15,830 Biosite Inc./(1)/ 45 2,165 Boston Scientific Corp./(1)/ 2,442 149,206 Candela Corp./(1)/ 877 10,103 Cerner Corp./(1)/ 199 4,567 CNS Inc./(1)/ 1,282 10,897 Covance Inc./(1)/ 670 12,127 Cyberonics Inc./(1)/ 123 2,646 Cytyc Corp./(1)/ 1,073 11,288 Enzon Pharmaceuticals Inc./(1)/ 786 9,841 75 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE (Continued) ------------------------------------------------------------------------------- Express Scripts Inc./(1)/ 383 $ 26,167 Guidant Corp. 1,882 83,542 HCA Inc. 2,736 87,661 Health Management Associates Inc. Class A 1,964 36,236 Health Net Inc./(1)/ 905 29,820 Hillenbrand Industries Inc. 516 26,032 Humana Inc./(1)/ 950 14,345 Invacare Corp. 399 13,167 Johnson & Johnson 17,399 899,528 Laboratory Corp. of America Holdings/(1)/ 984 29,668 LifePoint Hospitals Inc./(1)/ 312 6,533 Lincare Holdings Inc./(1)/ 482 15,188 Manor Care Inc./(1)/ 497 12,430 Medtronic Inc. 7,224 346,535 Mid Atlantic Medical Services Inc./(1)/ 318 16,631 Oakley Inc./(1)/ 450 5,297 Oxford Health Plans Inc./(1)/ 703 29,547 Pediatrix Medical Group Inc./(1)/ 281 10,018 PolyMedica Corp. 65 2,976 Quest Diagnostics Inc./(1)/ 615 39,237 Renal Care Group Inc./(1)/ 672 23,661 ResMed Inc./(1)/ 314 12,309 Respironics Inc./(1)/ 213 7,992 Select Medical Corp./(1)/ 125 3,104 St. Jude Medical Inc./(1)/ 1,006 57,845 Stryker Corp. 1,160 80,469 Tenet Healthcare Corp./(1)/ 2,317 26,993 Triad Hospitals Inc./(1)/ 426 10,573 UnitedHealth Group Inc. 3,419 171,805 Universal Health Services Inc. Class B/(1)/ 466 18,463 Varian Medical Systems Inc./(1)/ 587 33,794 VISX Inc./(1)/ 317 5,500 Vital Images Inc./(1)/ 527 9,739 WebMD Corp./(1)/ 2,427 26,284 WellPoint Health Networks Inc./(1)/ 871 73,425 Zimmer Holdings Inc./(1)/ 1,133 51,042 ------------------------------------------------------------------------------- 3,012,894 ------------------------------------------------------------------------------- HOME BUILDERS - 0.18% ------------------------------------------------------------------------------- Centex Corp. 343 26,682 D.R. Horton Inc. 1,295 36,390 KB Home 464 28,759 Lennar Corp. Class A 432 30,888 Lennar Corp. Class B 43 2,954 NVR Inc./(1)/ 33 13,563 Pulte Homes Inc. 261 16,093 Ryland Group Inc. 184 12,770 ------------------------------------------------------------------------------- 168,099 ------------------------------------------------------------------------------- HOME FURNISHINGS - 0.13% ------------------------------------------------------------------------------- Harman International Industries Inc. 236 18,677 Hooker Furniture Corp. 329 8,136 Leggett & Platt Inc. 1,651 33,846 Maytag Corp. 620 15,140 Polycom Inc./(1)/ 1,148 15,911 Whirlpool Corp. 483 30,767 ------------------------------------------------------------------------------- 122,477 ------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES - 0.23% ------------------------------------------------------------------------------- Avery Dennison Corp. 578 29,016 Clorox Co. 1,182 50,412 Fortune Brands Inc. 970 50,634 Newell Rubbermaid Inc. 1,605 44,940 Toro Co. 546 21,704 Tupperware Corp. 991 14,231 ------------------------------------------------------------------------------- 210,937 ------------------------------------------------------------------------------- INSURANCE - 2.11% ------------------------------------------------------------------------------- ACE Ltd. 1,573 53,938 AFLAC Inc. 2,957 90,928 Allstate Corp. (The) 3,907 139,285 Ambac Financial Group Inc. 610 40,413 American National Insurance Co. 421 36,371 AON Corp. 1,626 39,154 Berkley (W.R.) Corp. 235 12,385 Brown & Brown Inc. 483 15,698 Chubb Corp. 1,001 60,060 CIGNA Corp. 746 35,017 Cincinnati Financial Corp. 1,112 41,244 CNA Financial Corp./(1)/ 383 9,422 Fidelity National Financial Inc. 965 29,683 First American Corp. 533 14,045 Gallagher (Arthur J.) & Co. 623 16,946 Hancock (John) Financial Services Inc. 1,540 47,324 Hartford Financial Services Group Inc. 1,531 77,101 HCC Insurance Holdings Inc. 635 18,777 Hilb, Rogal & Hamilton Co. 283 9,633 Jefferson-Pilot Corp. 840 34,826 Lincoln National Corp. 999 35,594 Loews Corp. 999 47,243 Markel Corp./(1)/ 115 29,440 Marsh & McLennan Companies Inc. 3,102 158,419 MBIA Inc. 800 39,000 MetLife Inc. 4,379 124,013 MGIC Investment Corp. 565 26,352 Old Republic International Corp. 799 27,382 PMI Group Inc. (The) 682 18,305 Principal Financial Group Inc. 2,050 66,113 Progressive Corp. (The) 1,264 92,398 Prudential Financial Inc. 3,137 105,560 76 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- INSURANCE (Continued) ------------------------------------------------------------------------------- Radian Group Inc. 762 $ 27,927 SAFECO Corp. 1,015 35,809 St. Paul Companies Inc. 1,210 44,177 StanCorp Financial Group Inc. 186 9,713 Torchmark Corp. 643 23,952 Transatlantic Holdings Inc. 79 5,463 Travelers Property Casualty Corp. Class B 5,864 92,475 Unitrin Inc. 673 18,252 UNUMProvident Corp. 1,432 19,203 XL Capital Ltd. Class A 761 63,163 ------------------------------------------------------------------------------- 1,932,203 ------------------------------------------------------------------------------- IRON / STEEL - 0.04% ------------------------------------------------------------------------------- Allegheny Technologies Inc. 602 3,973 Nucor Corp. 506 24,718 United States Steel Corp. 457 7,481 ------------------------------------------------------------------------------- 36,172 ------------------------------------------------------------------------------- LEISURE TIME - 0.14% ------------------------------------------------------------------------------- Brunswick Corp. 929 23,244 Harley-Davidson Inc. 1,797 71,628 Polaris Industries Inc. 188 11,543 Sabre Holdings Corp. 864 21,298 ------------------------------------------------------------------------------- 127,713 ------------------------------------------------------------------------------- LODGING - 0.22% ------------------------------------------------------------------------------- Harrah's Entertainment Inc./(1)/ 759 30,542 Hilton Hotels Corp. 2,288 29,264 Marriott International Inc. Class A 1,417 54,441 MGM Grand Inc./(1)/ 639 21,841 Park Place Entertainment Corp./(1)/ 3,472 31,560 Starwood Hotels & Resorts Worldwide Inc. 1,178 33,679 ------------------------------------------------------------------------------- 201,327 ------------------------------------------------------------------------------- MACHINERY - 0.35% ------------------------------------------------------------------------------- Caterpillar Inc. 1,947 108,370 Cognex Corp./(1)/ 440 9,834 Deere & Co. 1,323 60,461 Dover Corp. 1,163 34,843 Graco Inc. 670 21,440 Ingersoll-Rand Co. Class A 964 45,616 Manitowoc Co. Inc. (The) 255 5,687 Rockwell Automation Inc. 1,248 29,752 Ultratech Inc./(1)/ 353 6,527 ------------------------------------------------------------------------------- 322,530 ------------------------------------------------------------------------------- MANUFACTURERS - 3.00% ------------------------------------------------------------------------------- Carlisle Companies Inc. 221 9,317 Cooper Industries Ltd. 617 25,482 Crane Co. 779 17,629 Danaher Corp. 823 56,005 Eastman Kodak Co. 1,667 45,592 Eaton Corp. 470 36,947 General Electric Co. 58,592 1,680,419 Harsco Corp. 450 16,223 Honeywell International Inc. 4,826 129,578 Illinois Tool Works Inc. 1,683 110,826 ITT Industries Inc. 632 41,371 Pall Corp. 893 20,093 Pentair Inc. 641 25,037 Textron Inc. 830 32,387 3M Co. 2,242 289,173 Tyco International Ltd. 11,270 213,905 ------------------------------------------------------------------------------- 2,749,984 ------------------------------------------------------------------------------- MEDIA - 3.00% ------------------------------------------------------------------------------- AOL Time Warner Inc./(1)/ 25,128 404,310 Belo (A.H.) Corp. 1,400 31,304 Cablevision Systems Corp./(1)/ 832 17,272 Clear Channel Communications Inc./(1)/ 3,401 144,168 Comcast Corp. Class A/(1)/ 20,143 607,916 Dow Jones & Co. Inc. 522 22,462 Entercom Communications Corp./(1)/ 418 20,486 Fox Entertainment Group Inc. Class A/(1)/ 1,276 36,723 Gannett Co. Inc. 1,419 108,993 Gemstar-TV Guide International Inc./(1)/ 2,333 11,875 Hispanic Broadcasting Corp./(1)/ 766 19,495 Knight Ridder Inc. 437 30,122 Lee Enterprises Inc. 525 19,703 Liberty Media Corp. Class A/(1)/ 19,520 225,651 LodgeNet Entertainment Corp./(1)/ 440 4,818 McClatchy Co. (The) Class A 478 27,542 McGraw-Hill Companies Inc. (The) 1,043 64,666 Meredith Corp. 606 26,664 New York Times Co. Class A 812 36,946 Readers Digest Association Inc. (The) 1,018 13,723 Scripps (E.W.) Co. Class A 297 26,350 Tribune Co. 1,868 90,224 Univision Communications Inc. Class A/(1)/ 1,382 42,013 Viacom Inc. Class B/(1)/ 9,706 423,764 Walt Disney Co. (The) 11,822 233,485 Washington Post Company (The) Class B 50 36,645 Westwood One Inc./(1)/ 726 24,633 ------------------------------------------------------------------------------- 2,751,953 ------------------------------------------------------------------------------- METAL FABRICATE / HARDWARE - 0.02% ------------------------------------------------------------------------------- Precision Castparts Corp. 678 21,086 ------------------------------------------------------------------------------- 21,086 ------------------------------------------------------------------------------- 77 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- METALS-DIVERSIFIED - 0.00% ------------------------------------------------------------------------------- Maverick Tube Corp./(1)/ 97 $ 1,858 ------------------------------------------------------------------------------- 1,858 ------------------------------------------------------------------------------- MINING - 0.27% ------------------------------------------------------------------------------- Alcoa Inc. 4,920 125,460 Freeport-McMoRan Copper & Gold Inc. 1,324 32,438 Newmont Mining Corp. 2,206 71,607 Phelps Dodge Corp./(1)/ 518 19,860 ------------------------------------------------------------------------------- 249,365 ------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT - 0.13% ------------------------------------------------------------------------------- Herman Miller Inc. 1,132 22,878 Pitney Bowes Inc. 1,328 51,008 Xerox Corp./(1)/ 4,463 47,263 ------------------------------------------------------------------------------- 121,149 ------------------------------------------------------------------------------- OIL & GAS PRODUCERS - 3.23% ------------------------------------------------------------------------------- Amerada Hess Corp. 494 24,295 Anadarko Petroleum Corp. 1,398 62,169 Apache Corp. 936 60,896 Burlington Resources Inc. 1,067 57,693 ChevronTexaco Corp. 5,844 421,937 Cimarex Energy Co./(1)/ 444 10,545 ConocoPhillips 3,859 211,473 Devon Energy Corp. 1,347 71,930 Diamond Offshore Drilling Inc. 445 9,341 ENSCO International Inc. 1,230 33,087 EOG Resources Inc. 725 30,334 Equitable Resources Inc. 833 33,936 Evergreen Resources Inc./(1)/ 193 10,482 EXCO Resources Inc./(1)/ 464 8,310 Exxon Mobil Corp. 36,607 1,314,557 Kerr-McGee Corp. 603 27,014 Kinder Morgan Inc. 830 45,360 Marathon Oil Corp. 1,760 46,376 Murphy Oil Corp. 768 40,397 Nabors Industries Ltd./(1)/ 976 38,601 Newfield Exploration Co./(1)/ 433 16,259 Noble Corp./(1)/ 969 33,237 Noble Energy Inc. 476 17,993 Occidental Petroleum Corp. 2,321 77,870 Patina Oil & Gas Corp. 569 18,293 Pioneer Natural Resources Co./(1)/ 727 18,975 Pogo Producing Co. 513 21,931 Rowan Companies Inc./(1)/ 782 17,517 St. Mary Land & Exploration Co. 436 11,903 Sunoco Inc. 587 22,153 Transocean Inc./(1)/ 1,701 37,371 Unocal Corp. 1,321 37,899 Valero Energy Corp. 900 32,697 XTO Energy Inc. 2,002 40,260 ------------------------------------------------------------------------------- 2,963,091 ------------------------------------------------------------------------------- OIL & GAS SERVICES - 0.49% ------------------------------------------------------------------------------- Baker Hughes Inc. 1,932 64,857 BJ Services Co./(1)/ 992 37,061 Cooper Cameron Corp./(1)/ 385 19,396 Grant Prideco Inc./(1)/ 1,087 12,772 Halliburton Co. 2,294 52,762 Patterson-UTI Energy Inc./(1)/ 460 14,904 Schlumberger Ltd. 3,408 162,119 Smith International Inc./(1)/ 919 33,764 Tidewater Inc. 534 15,684 Varco International Inc./(1)/ 1,708 33,477 ------------------------------------------------------------------------------- 446,796 ------------------------------------------------------------------------------- PACKAGING & CONTAINERS - 0.17% ------------------------------------------------------------------------------- Ball Corp. 444 20,206 Bemis Co. 472 22,090 Pactiv Corp./(1)/ 1,497 29,506 Sealed Air Corp./(1)/ 557 26,547 Smurfit-Stone Container Corp./(1)/ 1,864 24,288 Sonoco Products Co. 1,220 29,304 ------------------------------------------------------------------------------- 151,941 ------------------------------------------------------------------------------- PHARMACEUTICALS - 5.42% ------------------------------------------------------------------------------- Abbott Laboratories 9,202 402,680 Able Laboratories Inc./(1)/ 326 6,422 Advanced Medical Optics Inc./(1)/ 702 11,969 AdvancePCS/(1)/ 364 13,916 Alkermes Inc./(1)/ 441 4,741 Allergan Inc. 763 58,827 AmerisourceBergen Corp. 677 46,950 Andrx Group/(1)/ 278 5,532 Barr Laboratories Inc./(1)/ 380 24,890 Bristol-Myers Squibb Co. 11,451 310,895 Cardinal Health Inc. 2,470 158,821 Celgene Corp./(1)/ 870 26,448 CV Therapeutics Inc./(1)/ 294 8,720 DENTSPLY International Inc. 523 21,391 Forest Laboratories Inc./(1)/ 2,137 117,001 Gilead Sciences Inc./(1)/ 1,435 79,757 ICN Pharmaceuticals Inc. 824 13,810 ImClone Systems Inc./(1)/ 338 10,688 IVAX Corp./(1)/ 1,632 29,131 King Pharmaceuticals Inc./(1)/ 1,514 22,347 KV Pharmaceuticals Co./(1)/ 199 5,532 Ligand Pharmaceuticals Inc. Class B/(1)/ 123 1,672 Lilly (Eli) & Co. 6,631 457,340 Medicines Co. (The)/(1)/ 81 1,595 Medicis Pharmaceutical Corp. Class A 263 14,912 MedImmune Inc./(1)/ 1,536 55,864 Merck & Co. Inc. 13,156 796,596 MGI Pharma Inc./(1)/ 82 2,102 Mylan Laboratories Inc. 1,397 48,574 Neurocrine Biosciences Inc./(1)/ 458 22,873 78 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- PHARMACEUTICALS (Continued) ------------------------------------------------------------------------------- NPS Pharmaceuticals Inc./(1)/ 286 $ 6,961 Omnicare Inc. 899 30,377 OSI Pharmaceuticals Inc./(1)/ 276 8,890 Pfizer Inc. 46,372 1,583,604 Schering-Plough Corp. 8,128 151,181 Sepracor Inc./(1)/ 615 11,088 Sybron Dental Specialties Inc./(1)/ 584 13,782 Watson Pharmaceuticals Inc./(1)/ 684 27,613 Wyeth 7,848 357,476 ------------------------------------------------------------------------------- 4,972,968 ------------------------------------------------------------------------------- PIPELINES - 0.07% ------------------------------------------------------------------------------- Dynegy Inc. Class A 1,710 7,182 El Paso Corp. 2,721 21,986 Questar Corp. 539 18,040 Williams Companies Inc. 2,582 20,398 ------------------------------------------------------------------------------- 67,606 ------------------------------------------------------------------------------- REAL ESTATE - 0.14% ------------------------------------------------------------------------------- Catellus Development Corp./(1)/ 1,558 34,276 CenterPoint Properties Corp. 858 52,553 Developers Diversified Realty Corp. 490 13,936 Mid Atlantic Realty Trust 258 5,403 St. Joe Company (The) 687 21,434 ------------------------------------------------------------------------------- 127,602 ------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - 0.91% ------------------------------------------------------------------------------- AMB Property Corp. 482 13,578 Apartment Investment & Management Co. Class A 684 23,666 Archstone-Smith Trust 2,142 51,408 AvalonBay Communities Inc. 533 22,727 Boston Properties Inc. 868 38,018 CBL & Associates Properties Inc. 1,169 50,267 Crescent Real Estate Equities Co. 2,023 33,602 Duke Realty Corp. 2,161 59,536 Equity Office Properties Trust 2,262 61,097 Equity Residential 1,663 43,155 General Growth Properties Inc. 491 30,658 Health Care Property Investors Inc. 900 38,115 Host Marriott Corp./(1)/ 3,617 33,096 iStar Financial Inc. 1,386 50,589 Kimco Realty Corp. 1,449 54,917 Liberty Property Trust 609 21,071 Parkway Properties Inc. 273 11,480 ProLogis 1,044 28,501 Public Storage Inc. 1,161 39,323 Rouse Co. (The) 732 27,889 Simon Property Group Inc. 1,406 54,876 U.S. Restaurant Properties Inc. 691 10,849 Vornado Realty Trust 779 33,964 ------------------------------------------------------------------------------- 832,382 ------------------------------------------------------------------------------- RETAIL - 4.85% ------------------------------------------------------------------------------- Abercrombie & Fitch Co. Class A/(1)/ 663 18,836 Amazon.com Inc./(1)/ 1,592 58,092 America's Car-Mart Inc./(1)/ 639 11,681 AutoNation Inc./(1)/ 2,323 36,518 AutoZone Inc./(1)/ 540 41,024 Bed Bath & Beyond Inc./(1)/ 1,746 67,762 Best Buy Co. Inc./(1)/ 1,940 85,205 Big Lots Inc./(1)/ 1,243 18,695 Borders Group Inc./(1)/ 422 7,431 Brinker International Inc./(1)/ 638 22,981 CarMax Inc./(1)/ 620 18,693 CBRL Group Inc. 446 17,332 Circuit City Stores Inc. 1,761 15,497 Coach Inc./(1)/ 755 37,554 CVS Corp. 2,209 61,918 Darden Restaurants Inc. 1,418 26,914 Dick's Sporting Goods Inc./(1)/ 80 2,934 Dillards Inc. Class A 798 10,749 Dollar General Corp. 2,266 41,377 Dollar Tree Stores Inc./(1)/ 912 28,938 eBay Inc./(1)/ 1,880 195,858 Family Dollar Stores Inc. 1,083 41,316 Federated Department Stores Inc. 1,129 41,604 Foot Locker Inc. 1,571 20,816 Gap Inc. (The) 5,325 99,897 Home Depot Inc. 13,583 449,869 Hot Topic Inc./(1)/ 87 2,341 Kenneth Cole Productions Class A/(1)/ 537 10,466 Kohls Corp./(1)/ 2,025 104,045 Krispy Kreme Doughnuts Inc./(1)/ 377 15,525 Limited Brands Inc. 3,529 54,700 Lowe's Companies Inc. 4,655 199,932 May Department Stores Co. (The) 1,775 39,512 McDonald's Corp. 7,176 158,303 Michaels Stores Inc./(1)/ 521 19,829 Neiman-Marcus Group Inc. Class A/(1)/ 369 13,505 99 Cents Only Stores/(1)/ 339 11,634 Nordstrom Inc. 1,188 23,190 Office Depot Inc./(1)/ 2,173 31,530 Outback Steakhouse Inc. 707 27,573 Penney (J.C.) Co. Inc. (Holding Co.) 1,477 24,887 PETsMART Inc./(1)/ 1,459 24,322 Pier 1 Imports Inc. 539 10,996 RadioShack Corp. 1,024 26,941 Rite Aid Corp./(1)/ 1,754 7,805 Ross Stores Inc. 680 29,063 Ruby Tuesday Inc. 289 7,147 Sears, Roebuck and Co. 1,779 59,846 Staples Inc./(1)/ 2,483 45,563 Starbucks Corp./(1)/ 2,132 52,277 Target Corp. 5,043 190,827 Tiffany & Co. 929 30,360 TJX Companies Inc. 2,974 56,030 79 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- RETAIL (Continued) ------------------------------------------------------------------------------- Toys R Us Inc./(1)/ 1,627 $ 19,719 Walgreen Co. 5,948 179,035 Wal-Mart Stores Inc. 25,687 1,378,621 Wendy's International Inc. 849 24,596 Williams-Sonoma Inc./(1)/ 758 22,134 Yum! Brands Inc./(1)/ 1,769 52,292 Zale Corp./(1)/ 235 9,400 ------------------------------------------------------------------------------- 4,443,437 ------------------------------------------------------------------------------- SEMICONDUCTORS - 2.12% ------------------------------------------------------------------------------- Advanced Micro Devices Inc./(1)/ 2,723 17,454 Agere Systems Inc. Class B/(1)/ 12,558 28,883 Altera Corp./(1)/ 1,955 32,062 Amkor Technology Inc./(1)/ 1,275 16,754 Analog Devices Inc./(1)/ 2,019 70,302 Applied Materials Inc./(1)/ 8,858 140,488 Applied Micro Circuits Corp./(1)/ 1,962 11,870 Atmel Corp./(1)/ 4,724 11,952 Broadcom Corp. Class A/(1)/ 1,710 42,596 Brooks Automation Inc./(1)/ 158 1,792 Conexant Systems Inc./(1)/ 2,618 10,734 Cree Inc./(1)/ 662 10,777 Cypress Semiconductor Corp./(1)/ 1,380 16,560 GlobeSpanVirata Inc./(1)/ 1,350 11,138 Integrated Device Technology Inc./(1)/ 1,302 14,387 Intel Corp. 37,979 789,356 International Rectifier Corp./(1)/ 542 14,536 Intersil Corp. Class A/(1)/ 818 21,767 KLA-Tencor Corp./(1)/ 1,024 47,606 Lam Research Corp./(1)/ 635 11,563 Lattice Semiconductor Corp./(1)/ 998 8,214 Linear Technology Corp. 1,630 52,502 LSI Logic Corp./(1)/ 2,650 18,762 Maxim Integrated Products Inc. 1,802 61,610 Microchip Technology Inc. 1,264 31,132 Micron Technology Inc./(1)/ 3,278 38,123 Mykrolis Corp./(1)/ 239 2,426 National Semiconductor Corp./(1)/ 1,056 20,824 Novellus Systems Inc./(1)/ 782 28,638 NVIDIA Corp./(1)/ 1,025 23,585 OmniVision Technologies Inc./(1)/ 281 8,767 ON Semiconductor Corp./(1)/ 7,353 19,853 PMC-Sierra Inc./(1)/ 457 5,361 QLogic Corp./(1)/ 551 26,630 Rambus Inc./(1)/ 629 10,423 Silicon Laboratories Inc./(1)/ 243 6,474 Skyworks Solutions Inc./(1)/ 1,065 7,210 Teradyne Inc./(1)/ 1,123 19,439 Texas Instruments Inc. 9,431 165,986 TriQuint Semiconductor Inc./(1)/ 1,213 5,046 Varian Semiconductor Equipment Associates Inc./(1)/ 201 5,982 Vitesse Semiconductor Corp./(1)/ 2,369 11,655 Xilinx Inc./(1)/ 1,828 46,267 ------------------------------------------------------------------------------- 1,947,486 ------------------------------------------------------------------------------- SOFTWARE - 3.48% ------------------------------------------------------------------------------- Adobe Systems Inc. 1,150 36,881 Akamai Technologies Inc./(1)/ 1,781 8,513 Ariba Inc./(1)/ 3,036 9,017 Ascential Software Corp./(1)/ 499 8,208 Autodesk Inc. 1,207 19,505 Automatic Data Processing Inc. 3,475 117,664 BEA Systems Inc./(1)/ 2,176 23,631 BMC Software Inc./(1)/ 1,450 23,679 Cadence Design Systems Inc./(1)/ 1,721 20,755 Centillium Communications Inc./(1)/ 198 1,962 Certegy Inc./(1)/ 587 16,289 CheckFree Corp./(1)/ 626 17,428 ChoicePoint Inc./(1)/ 710 24,509 Citrix Systems Inc./(1)/ 1,267 25,796 Computer Associates International Inc. 3,271 72,878 Compuware Corp./(1)/ 3,155 18,204 CSG Systems International Inc./(1)/ 837 11,827 Documentum Inc./(1)/ 544 10,700 Electronic Arts Inc./(1)/ 842 62,300 eUniverse Inc./(1)//(2)/ 3,155 11,421 First Data Corp. 4,455 184,615 Fiserv Inc./(1)/ 1,018 36,251 IMPAC Medical Systems Inc./(1)/ 245 5,116 IMS Health Inc. 1,434 25,798 Intuit Inc./(1)/ 1,184 52,724 Mercury Interactive Corp./(1)/ 536 20,695 Micromuse Inc./(1)/ 611 4,882 Microsoft Corp. 63,087 1,615,658 Netegrity Inc./(1)/ 2,375 13,870 Network Associates Inc./(1)/ 830 10,524 Novell Inc./(1)/ 2,219 6,835 Oracle Corp./(1)/ 30,485 366,430 Parametric Technology Corp./(1)/ 1,981 6,042 PeopleSoft Inc./(1)/ 1,534 26,983 ProQuest Co./(1)/ 189 4,876 RealNetworks Inc./(1)/ 1,281 8,685 Reynolds & Reynolds Co. (The) Class A 352 10,053 SAFLINK Corp./(1)/ 537 3,405 SERENA Software Inc./(1)/ 406 8,477 Siebel Systems Inc./(1)/ 3,022 28,830 Sybase Inc./(1)/ 803 11,170 Symantec Corp./(1)/ 849 37,237 TIBCO Software Inc./(1)/ 1,514 7,706 Total System Services Inc. 636 14,183 Vignette Corp./(1)/ 5,453 11,342 Websense Inc./(1)/ 316 4,949 Yahoo! Inc./(1)/ 3,579 117,248 ------------------------------------------------------------------------------- 3,185,751 ------------------------------------------------------------------------------- 80 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT - 0.58% ------------------------------------------------------------------------------- ADC Telecommunications Inc./(1)/ 4,999 $ 11,638 Advanced Fibre Communications Inc./(1)/ 922 15,001 American Tower Corp. Class A/(1)/ 1,826 16,160 Andrew Corp./(1)/ 589 5,419 Avaya Inc./(1)/ 2,456 15,866 CIENA Corp./(1)/ 3,327 17,267 Comverse Technology Inc./(1)/ 1,099 16,518 Harris Corp. 447 13,432 JDS Uniphase Corp./(1)/ 8,704 30,551 Lucent Technologies Inc./(1)/ 19,904 40,405 Motorola Inc. 12,418 117,102 QUALCOMM Inc. 4,600 164,450 RF Micro Devices Inc./(1)/ 1,372 8,259 Scientific-Atlanta Inc. 924 22,028 Sonus Networks Inc./(1)/ 1,970 9,909 Sycamore Networks Inc./(1)/ 1,453 5,565 Tellabs Inc./(1)/ 3,079 20,229 ------------------------------------------------------------------------------- 529,799 ------------------------------------------------------------------------------- TELECOMMUNICATIONS - 1.40% ------------------------------------------------------------------------------- Allen Telecom Inc./(1)/ 115 1,900 AT&T Wireless Services Inc./(1)/ 14,509 119,119 Avocent Corp./(1)/ 440 13,169 Citizens Communications Co./(1)/ 2,393 30,846 Corning Inc./(1)/ 6,588 48,685 Cox Communications Inc. Class A/(1)/ 1,908 60,865 Crown Castle International Corp./(1)/ 1,729 13,434 EchoStar Communications Corp./(1)/ 1,653 57,227 Emulex Corp./(1)/ 707 16,098 General Motors Corp. Class H/(1)/ 6,172 79,063 InterDigital Communications Corp./(1)/ 638 14,910 Level 3 Communications Inc./(1)/ 3,331 22,118 Nextel Communications Inc. Class A/(1)/ 5,963 107,811 PanAmSat Corp./(1)/ 568 10,468 Plantronics Inc./(1)/ 268 5,808 Powerwave Technologies Inc./(1)/ 408 2,558 Qwest Communications International Inc./(1)/ 9,458 45,209 Sprint Corp. (PCS Group)/(1)/ 5,521 31,746 Verizon Communications Inc. 15,201 599,679 Western Wireless Corp. Class A/(1)/ 475 5,477 ------------------------------------------------------------------------------- 1,286,190 ------------------------------------------------------------------------------- TELEPHONE - 1.13% ------------------------------------------------------------------------------- Alltel Corp. 1,780 85,832 AT&T Corp. 4,448 85,624 BellSouth Corp. 10,242 272,744 CenturyTel Inc. 921 32,097 SBC Communications Inc. 18,308 467,769 Sprint Corp. (FON Group) 4,846 69,782 Telephone & Data Systems Inc. 381 18,936 ------------------------------------------------------------------------------- 1,032,784 ------------------------------------------------------------------------------- TEXTILES - 0.06% ------------------------------------------------------------------------------- Cintas Corp. 1,046 37,070 Mohawk Industries Inc./(1)/ 400 22,212 ------------------------------------------------------------------------------- 59,282 ------------------------------------------------------------------------------- TOBACCO - 0.66% ------------------------------------------------------------------------------- Altria Group Inc. 11,923 541,781 Loews Corporation - Carolina Group 447 12,069 R.J. Reynolds Tobacco Holdings Inc. 439 16,335 UST Inc. 1,059 37,097 ------------------------------------------------------------------------------- 607,282 ------------------------------------------------------------------------------- TOYS / GAMES / HOBBIES - 0.09% ------------------------------------------------------------------------------- Action Performance Companies Inc. 247 4,693 Hasbro Inc. 1,425 24,923 Marvel Enterprises Inc./(1)/ 82 1,566 Mattel Inc. 2,925 55,341 ------------------------------------------------------------------------------- 86,523 ------------------------------------------------------------------------------- TRANSPORTATION - 0.93% ------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 2,194 62,397 CH Robinson Worldwide Inc. 267 9,495 CNF Inc. 553 14,035 CSX Corp. 1,256 37,793 Expeditors International Washington Inc. 958 33,185 FedEx Corp. 1,807 112,088 Landstar System Inc./(1)/ 403 25,329 Norfolk Southern Corp. 2,454 47,117 Union Pacific Corp. 1,450 84,129 United Parcel Service Inc. Class B 6,660 424,242 ------------------------------------------------------------------------------- 849,810 ------------------------------------------------------------------------------- TRUCKING & LEASING - 0.01% ------------------------------------------------------------------------------- Ryder System Inc. 423 10,837 ------------------------------------------------------------------------------- 10,837 ------------------------------------------------------------------------------- WATER - 0.05% ------------------------------------------------------------------------------- Middlesex Water Co. 1,894 46,668 ------------------------------------------------------------------------------- 46,668 ------------------------------------------------------------------------------- TOTAL U.S. COMMON STOCKS (Cost: $72,988,330) 60,938,322 ------------------------------------------------------------------------------- 81 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- INTERNATIONAL COMMON STOCKS - 18.96% AUSTRALIA - 0.97% ------------------------------------------------------------------------------- Broken Hill Proprietary Co. Ltd. 5,000 $ 28,972 Coles Myer Ltd. ADR 3,319 123,799 Commonwealth Bank of Australia 3,113 61,693 National Australia Bank ADR 1,210 135,823 News Corporation Ltd. ADR 2,847 86,179 Rio Tinto PLC ADR 2,238 171,319 Westpac Banking Corp. Ltd. ADR 5,289 289,203 ------------------------------------------------------------------------------- 896,988 ------------------------------------------------------------------------------- DENMARK - 0.26% ------------------------------------------------------------------------------- Novo-Nordisk A/S ADR 4,247 147,243 TDC A/S ADR 5,834 88,385 ------------------------------------------------------------------------------- 235,628 ------------------------------------------------------------------------------- FINLAND - 0.39% ------------------------------------------------------------------------------- Nokia OYJ ADR 12,141 199,477 Outokumpu OYJ 2,701 23,728 Rautaruukki OYJ/(1)/ 18,644 80,287 Stora Enso OYJ Class R 2,198 24,559 UPM-Kymmene OYJ 1,010 14,741 ------------------------------------------------------------------------------- 342,792 ------------------------------------------------------------------------------- FRANCE - 1.57% ------------------------------------------------------------------------------- Alcatel SA ADR/(1)/ 7,505 67,170 Aventis SA ADR 5,421 296,529 AXA ADR 13,204 206,114 BNP Paribas SA 1,470 74,697 France Telecom SA ADR 1,981 48,832 LVMH Moet Hennessy Louis Vuitton SA 3,287 163,026 Societe Generale Class A 784 49,697 STMicroelectronics NV 1,225 25,687 Total SA 3,360 254,688 Total SA 384 58,031 Vivendi Universal SA/(1)/ 1,158 21,077 Vivendi Universal SA ADR/(1)/ 2,336 43,076 Zodiac SA 5,500 134,150 ------------------------------------------------------------------------------- 1,442,774 ------------------------------------------------------------------------------- GERMANY - 0.91% ------------------------------------------------------------------------------- DaimlerChrysler AG 6,974 242,137 Deutsche Bank AG 1,384 89,765 Deutsche Telekom AG ADR/(1)/ 7,627 115,930 E.ON AG 1,627 83,647 RWE AG 2,056 62,071 SAP AG ADR 3,739 109,254 Siemens AG 2,511 123,183 ------------------------------------------------------------------------------- 825,987 ------------------------------------------------------------------------------- GREECE - 0.04% ------------------------------------------------------------------------------- Technical Olympic SA 10,380 40,528 ------------------------------------------------------------------------------- 40,528 ------------------------------------------------------------------------------- HONG KONG - 0.29% ------------------------------------------------------------------------------- ASM Pacific Technology Ltd. 8,500 24,852 CLP Holdings Ltd. 9,000 39,355 Esprit Holdings Ltd. 14,000 34,200 Hong Kong & China Gas Co. Ltd. 60,000 75,787 Hong Kong Exchanges & Clearing Ltd. 28,000 40,215 Hongkong Electric Holdings Ltd. 10,500 41,202 Wharf Holdings Ltd. 5,000 9,618 ------------------------------------------------------------------------------- 265,229 ------------------------------------------------------------------------------- IRELAND - 0.22% ------------------------------------------------------------------------------- Allied Irish Banks PLC ADR 6,731 201,324 ------------------------------------------------------------------------------- 201,324 ------------------------------------------------------------------------------- ITALY - 0.72% ------------------------------------------------------------------------------- Benetton Group SpA ADR 7,416 155,736 ENI-Ente Nazionale Idrocarburi SpA ADR 2,344 178,238 Fiat SpA/(1)/ 3,053 22,227 Fiat SpA ADR/(1)/ 6,859 49,248 San Paolo-IMI SpA ADR 9,236 173,822 Snam Rete Gas SpA 14,808 58,156 Telecom Italia Mobile SpA 2,000 9,853 Tiscali SpA/(1)/ 3,307 16,899 ------------------------------------------------------------------------------- 664,179 ------------------------------------------------------------------------------- JAPAN - 4.42% ------------------------------------------------------------------------------- Canon Inc. ADR 3,646 166,440 Dainippon Screen Manufacturing Co. Ltd./(1)/ 18,000 88,145 Dowa Mining Co. Ltd. 13,000 49,910 East Japan Railway Co. 24 106,733 Fuji Photo Film Co. Ltd. ADR 4,261 122,759 Hitachi Ltd. ADR 2,273 96,148 Honda Motor Co. Ltd. 200 7,579 Honda Motor Company Ltd. ADR 5,344 101,803 Ito-Yokado Co. Ltd. ADR/(2)/ 3,268 78,040 Japan Airlines System Corp. ADR 9,187 97,903 JFE Holdings Inc. 3,800 56,964 Kamigumi Co. Ltd. 31,000 155,161 Kawasaki Kisen Kaisha Ltd. 41,000 99,021 Kirin Brewery Co. Ltd. ADR 29,957 208,501 Kubota Corp. ADR 10,921 147,980 Kyocera Corp. ADR 1,102 62,814 Makita Corp. 8,000 64,959 Makita Corp. ADR 5,370 42,423 Matsushita Electric Industrial Co. Ltd. ADR 11,218 112,741 Millea Holdings Inc. ADR 5,756 221,261 82 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY SHARES VALUE ------------------------------------------------------------------------------- JAPAN (Continued) ------------------------------------------------------------------------------- Mitsubishi Corp. ADR 8,746 $ 119,383 Mitsui & Co. ADR 1,350 132,975 Murata Manufacturing Co. Ltd. 1,100 43,240 NEC Corp. ADR 17,475 88,074 Nintendo Co. Ltd. 700 50,893 Nippon Telegraph & Telephone Corp. ADR 5,642 111,712 Nippon Unipac Holding 16 62,494 Nissan Motor Co. Ltd. ADR 5,064 95,456 Nomura Holdings Inc. 8,000 101,537 NTT DoCoMo Inc. 45 97,439 Oji Paper Co. Ltd. 14,000 61,212 Osaka Gas Co. Ltd. 26,000 64,310 Pioneer Corp. ADR 4,582 104,332 Ricoh Corp. Ltd. ADR 1,233 103,264 Rohm Co. Ltd. 400 43,606 Seven-Eleven Japan Co. Ltd. 2,000 49,802 Sony Corp. ADR 2,767 77,476 Sumitomo Metal Mining Co. Ltd. 11,000 42,140 Sumitomo Mitsui Financial Group Inc. 32 69,823 Takeda Chemical Industries Ltd. 2,700 99,613 Tokyo Electric Power Co. Inc. (The) 4,900 93,654 Tokyo Electron Ltd. 1,000 47,387 Toyota Motor Corp. 7,400 191,664 Trend Micro Inc./(1)/ 2,000 31,064 ------------------------------------------------------------------------------- 4,069,835 ------------------------------------------------------------------------------- LUXEMBOURG - 0.03% ------------------------------------------------------------------------------- Arcelor 2,038 23,731 ------------------------------------------------------------------------------- 23,731 ------------------------------------------------------------------------------- NETHERLANDS - 1.41% ------------------------------------------------------------------------------- Abn Amro Holding NV ADR 14,235 271,746 Aegon NV ADR 7,301 73,302 Akzo Nobel NV ADR 4,026 107,293 ING Groep NV ADR 5,560 97,467 Koninklijke Ahold NV ADR 10,311 86,303 Koninklijke KPN NV/(1)/ 3,744 26,527 Koninklijke Philips Electronics NV NY Shares 6,872 131,324 Reed Elsevier NV ADR 7,170 170,288 Royal Dutch Petroleum Co. 6,000 278,498 Unilever NV CVA 835 44,799 ------------------------------------------------------------------------------- 1,287,547 ------------------------------------------------------------------------------- NEW ZEALAND - 0.04% ------------------------------------------------------------------------------- Telecom Corp. of New Zealand Ltd. ADR 1,672 40,730 ------------------------------------------------------------------------------- 40,730 ------------------------------------------------------------------------------- PANAMA - 0.13% ------------------------------------------------------------------------------- Carnival Corp. 3,580 116,386 ------------------------------------------------------------------------------- 116,386 ------------------------------------------------------------------------------- PORTUGAL - 0.04% ------------------------------------------------------------------------------- Banco Comercial Portugues SA ADR 4,146 36,899 ------------------------------------------------------------------------------- 36,899 ------------------------------------------------------------------------------- SINGAPORE - 0.15% ------------------------------------------------------------------------------- Chartered Semiconductor Manufacturing Ltd. ADR/(1)/ 1,708 8,796 Neptune Orient Lines Ltd./(1)/ 60,000 50,426 Singapore Exchange Ltd. 103,000 80,131 ------------------------------------------------------------------------------- 139,353 ------------------------------------------------------------------------------- SPAIN - 0.87% ------------------------------------------------------------------------------- Acerinox SA 859 32,828 Banco Bilbao Vizcaya Argentaria SA ADR 13,380 140,356 Banco Santander Central Hispano SA ADR 33,904 299,033 Repsol YPF SA ADR 8,103 131,026 Telefonica SA ADR 5,565 192,382 ------------------------------------------------------------------------------- 795,625 ------------------------------------------------------------------------------- SWEDEN - 0.26% ------------------------------------------------------------------------------- Hoganas AB Class B 2,667 54,307 Holmen AB Class B 635 17,333 Sapa AB 2,950 59,332 SSAB Svenskt Stal AB Series A 1,492 19,943 SSAB Svenskt Stal AB Series B 2,281 29,065 Svenska Cellulosa AB Class B 835 28,529 Telefonaktiebolaget LM Ericsson AB ADR/(1)/ 3,558 37,822 ------------------------------------------------------------------------------- 246,331 ------------------------------------------------------------------------------- SWITZERLAND - 1.36% ------------------------------------------------------------------------------- Adecco SA ADR 9,417 98,408 Centerpulse ADR 3,453 93,231 Credit Suisse Group 4,245 111,723 Logitech International SA - Registered/(1)/ 655 24,565 Nestle SA 990 204,278 Novartis AG 7,000 276,992 Roche Holding AG - Genusschein 1,745 136,877 Societe Generale de Surveillance Holding SA 110 42,959 Swiss Re 1,466 81,225 UBS AG - Registered 3,065 170,498 ------------------------------------------------------------------------------- 1,240,756 ------------------------------------------------------------------------------- 83 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SHARES OR SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- UNITED KINGDOM - 4.88% ------------------------------------------------------------------------------- AstraZeneca PLC ADR 6,936 $ 282,781 Barclays PLC ADR/(3)/ 9,636 288,309 BHP Billiton PLC 6,247 32,884 BP PLC 20,824 144,409 BP PLC ADR 7,460 313,469 British American Tobacco PLC 5,886 66,775 British Sky Broadcasting PLC ADR/(1)/ 2,584 116,538 British Telecom PLC ADR 4,687 157,764 Cadbury Schweppes PLC ADR 9,338 225,793 Centrica PLC 31,278 90,711 Diageo PLC ADR 7,483 327,456 GlaxoSmithKline PLC ADR 9,795 397,089 Hanson PLC ADR 7,970 225,232 HBOS PLC 8,301 107,460 Hong Kong & Shanghai Banking ADR 2,415 142,751 HSBC Holdings PLC 17,008 200,951 Lloyds TSB Group PLC 14,504 102,975 National Grid Transco PLC 14,421 97,805 Reuters Group PLC 2,646 7,674 Reuters Group PLC ADR 2,299 40,416 Royal Bank of Scotland Group PLC 5,435 152,466 Scottish & Southern Energy PLC 9,113 93,836 Scottish Power PLC 13,631 81,875 Shell Transport & Trading Co. PLC 28,864 190,520 Tesco PLC 22,629 81,871 Unilever PLC 8,667 69,006 Vodafone Group PLC 24,234 47,388 Vodafone Group PLC ADR 18,793 369,282 ------------------------------------------------------------------------------- 4,455,486 ------------------------------------------------------------------------------- TOTAL INTERNATIONAL COMMON STOCKS (Cost: $23,997,482) 17,368,108 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $96,985,812) 78,306,430 ------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 13.21% ------------------------------------------------------------------------------- U.S. Treasury Bonds 5.38%, 02/15/31 $ 380,000 427,901 6.13%, 11/15/27 1,165,000 1,418,115 6.25%, 08/15/23 630,000 771,701 7.50%, 11/15/16 910,000 1,235,289 8.00%, 11/15/21 2,810,000 4,070,878 8.13%, 08/15/19 695,000 1,005,171 8.13%, 05/15/21 1,200,000 1,752,422 8.13%, 08/15/21 360,000 526,416 U.S. Treasury Notes 3.88%, 02/15/13 880,000 905,540 ------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $11,719,789) 12,113,433 ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS - 10.86% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares/(4)/ 6,538,307 6,538,307 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares/(4)/ 1,290,563 1,290,563 BlackRock Temp Cash Money Market Fund/(4)/ 65,082 65,082 Short Term Investment Co. - Liquid Assets Money Market Portfolio/(4)/ 338,411 338,411 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares/(4)/ 143,396 143,396 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03/(4)/ 86,038 86,038 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 71,687 71,687 1.17%, 08/15/03/(4)/ 107,553 107,553 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03/(4)/ 57,358 57,358 CC USA Inc., Floating Rate Note 1.10%, 04/19/04/(4)/ 63,091 63,091 1.31%, 05/24/04/(4)/ 143,382 143,382 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04/(4)/ 143,374 143,374 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04/(4)/ 71,698 71,698 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04/(4)/ 143,396 143,396 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04/(4)/ 28,679 28,679 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04/(4)/ 71,694 71,694 1.22%, 04/13/04/(4)/ 71,694 71,694 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04/(4)/ 71,684 71,684 1.08%, 03/29/04/(4)/ 71,698 71,698 1.29%, 05/04/04/(4)/ 71,694 71,694 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03/(4)/ 143,389 143,389 84 LIFEPATH 2040 MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY PRINCIPAL VALUE ------------------------------------------------------------------------------- White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04/(4)/ $ 71,698 $ 71,698 1.14%, 05/17/04/(4)/ 86,038 86,038 ------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $9,951,604) 9,951,604 ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 0.11% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%./(4)/ 71,698 71,698 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%./(4)/ 28,679 28,679 ------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $100,377) 100,377 ------------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 109.61% (Cost $118,757,582) 100,471,844 ------------------------------------------------------------------------------- Other Assets, Less Liabilities - (9.61%) (8,810,251) ------------------------------------------------------------------------------- NET ASSETS - 100.00% $ 91,661,593 =============================================================================== /(1)/ Non-income earning securities. /(2)/ Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. /(3)/ Issuer is an affiliate of the Master Portfolio's investment advisor. See Note 2. /(4)/ All or a portion of this security represents investments of securities lending collateral. The accompanying notes are an integral part of these financial statements. 85 MASTER INVESTMENT PORTFOLIO STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2003 (Unaudited)

LIFEPATH RETIREMENT LIFEPATH 2010 LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040 MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO ---------------------------------------------------------------------------------------------------------------------- ASSETS Investments at cost $ 63,087,040 $ 171,874,860 $ 418,986,698 $ 141,991,560 $ 118,757,582 ------------------- ---------------- ---------------- ---------------- ---------------- Foreign currency, at cost $ 4,453 $ 19,867 $ 43,745 $ -- $ 6,176 ------------------- ---------------- ---------------- ---------------- ---------------- Investments in securities, at value (including securities on loan/(1)/) (Note 1) $ 64,028,915 $ 172,237,068 $ 385,622,658 $ 145,904,212 $ 100,471,844 Foreign currency, at value 4,466 19,682 43,366 -- 9,230 Receivables: Investment securities sold 299,672 12,457 697,543 5,319,702 1,357,112 Dividends and interest 365,393 890,531 1,402,693 517,083 301,716 ------------------- ---------------- ---------------- ---------------- ---------------- Total Assets 64,698,446 173,159,738 387,766,260 151,740,997 102,139,902 ------------------- ---------------- ---------------- ---------------- ---------------- LIABILITIES Payables: Investment securities purchased 710,362 955,526 3,141,453 6,338,964 2,837,722 Collateral for securities loaned (Note 4) 12,152,485 27,502,094 70,908,992 12,069,222 7,598,238 Due to bank 23 197 265 139 95 Advisory fees (Note 2) 24,995 71,664 150,600 66,386 42,254 Foreign currency, at value (Cost: $18,772) -- -- -- 18,901 -- ------------------- ---------------- ---------------- ---------------- ---------------- Total Liabilities 12,887,865 28,529,481 74,201,310 18,493,612 10,478,309 ------------------- ---------------- ---------------- ---------------- ---------------- NET ASSETS $ 51,810,581 $ 144,630,257 $ 313,564,950 $ 133,247,385 $ 91,661,593 =================== ================ ================ ================ ================

---------- /(1)/ Securities on loan with market values of $11,890,633, $26,838,467, $69,071,794, $11,692,104 and $7,372,769, respectively. See Note 4. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2003 (Unaudited)

LIFEPATH RETIREMENT LIFEPATH 2010 LIFEPATH 2020 LIFEPATH 2030 LIFEPATH 2040 MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO ---------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME Dividends/(1)/ $ 176,746 $ 725,487 $ 2,067,885 $ 919,330 $ 680,193 Interest 459,457 1,003,144 1,458,534 385,926 205,726 Securities lending income 4,494 11,894 23,393 20,190 5,638 ------------------- ---------------- ---------------- ---------------- ---------------- Total investment income 640,697 1,740,525 3,549,812 1,325,446 891,557 ------------------- ---------------- ---------------- ---------------- ---------------- EXPENSES (Note 2) Advisory fees 74,805 217,593 484,656 191,516 130,911 ------------------- ---------------- ---------------- ---------------- ---------------- Total expenses 74,805 217,593 484,656 191,516 130,911 ------------------- ---------------- ---------------- ---------------- ---------------- Net investment income 565,892 1,522,932 3,065,156 1,133,930 760,646 ------------------- ---------------- ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized loss on sale of investments (318,819) (2,256,115) (9,094,781) (3,062,518) (9,488,810) Net realized gain (loss) on foreign currency transactions 2,545 14,623 (4,576) 8,945 2,623 Net change in unrealized appreciation (depreciation) of investments 2,336,168 9,675,582 30,224,849 12,994,501 16,911,936 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies (948) (1,021) (1,749) (986) 2,654 ------------------- ---------------- ---------------- ---------------- ---------------- Net gain on investments 2,018,946 7,433,069 21,123,743 9,939,942 7,428,403 ------------------- ---------------- ---------------- ---------------- ---------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,584,838 $ 8,956,001 $ 24,188,899 $ 11,073,872 $ 8,189,049 =================== ================ ================ ================ ================

---------- /(1)/ Net of foreign withholding tax of $12,529, $50,317, $136,861, $59,400 and $46,540, respectively. The accompanying notes are an integral part of these financial statements. 86 MASTER INVESTMENT PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS

LIFEPATH RETIREMENT MASTER PORTFOLIO ---------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE FOR THE JUNE 30, 2003 PERIOD ENDED YEAR ENDED (Unaudited) DECEMBER 31, 2002/(1)/ FEBRUARY 28, 2002 --------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 565,892 $ 1,063,583 $ 2,309,590 Net realized gain (loss) (316,274) (47,763) 1,795,486 Net change in unrealized appreciation (depreciation) 2,335,220 (1,664,379) (2,311,088) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from operations 2,584,838 (648,559) 1,793,988 ------------- ---------------------- ----------------- INTERESTHOLDER TRANSACTIONS: Contributions 18,967,669 21,078,592 30,951,244 Withdrawals (10,205,855) (22,734,457) (95,547,521) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions 8,761,814 (1,655,865) (64,596,277) ------------- ---------------------- ----------------- Increase (decrease) in net assets 11,346,652 (2,304,424) (62,802,289) NET ASSETS: Beginning of period 40,463,929 42,768,353 105,570,642 ------------- ---------------------- ----------------- End of period $ 51,810,581 $ 40,463,929 $ 42,768,353 ============= ====================== =================

LIFEPATH 2010 MASTER PORTFOLIO ---------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE FOR THE JUNE 30, 2003 PERIOD ENDED YEAR ENDED (Unaudited) DECEMBER 31, 2002/(1)/ FEBRUARY 28, 2002 --------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 1,522,932 $ 2,573,253 $ 5,471,867 Net realized gain (loss) (2,241,492) (4,435,915) 11,414,844 Net change in unrealized appreciation (depreciation) 9,674,561 (7,050,480) (16,181,695) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from operations 8,956,001 (8,913,142) 705,016 ------------- ---------------------- ----------------- INTERESTHOLDER TRANSACTIONS: Contributions 34,243,529 53,577,613 84,755,676 Withdrawals (19,887,654) (48,559,069) (236,515,911) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions 14,355,875 5,018,544 (151,760,235) ------------- ---------------------- ----------------- Increase (decrease) in net assets 23,311,876 (3,894,598) (151,055,219) NET ASSETS: Beginning of period 121,318,381 125,212,979 276,268,198 ------------- ---------------------- ----------------- End of period $ 144,630,257 $ 121,318,381 $ 125,212,979 ============ ====================== =================

LIFEPATH 2020 MASTER PORTFOLIO ---------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE FOR THE JUNE 30, 2003 PERIOD ENDED YEAR ENDED (Unaudited) DECEMBER 31, 2002/(1)/ FEBRUARY 28, 2002 --------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 3,065,156 $ 5,376,753 $ 9,797,068 Net realized gain (loss) (9,099,357) (29,021,362) 55,898,904 Net change in unrealized appreciation (depreciation) 30,223,100 (10,052,572) (82,078,470) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from operations 24,188,899 (33,697,181) (16,382,498) ------------- ---------------------- ----------------- INTERESTHOLDER TRANSACTIONS: Contributions 50,432,926 75,967,508 271,054,874 Withdrawals (31,086,297) (116,588,501) (390,877,654) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions 19,346,629 (40,620,993) (119,822,780) ------------- ---------------------- ----------------- Increase (decrease) in net assets 43,535,528 (74,318,174) (136,205,278) NET ASSETS: Beginning of period 270,029,422 344,347,596 480,552,874 ------------- ---------------------- ----------------- End of period $ 313,564,950 $ 270,029,422 $ 344,347,596 ============= ====================== =================

LIFEPATH 2030 MASTER PORTFOLIO ---------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE FOR THE JUNE 30, 2003 PERIOD ENDED YEAR ENDED (Unaudited) DECEMBER 31, 2002/(1)/ FEBRUARY 28, 2002 --------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 1,133,930 $ 1,678,094 $ 3,067,702 Net realized gain (loss) (3,053,573) (5,796,135) 20,799,655 Net change in unrealized appreciation (depreciation) 12,993,515 (11,856,843) (34,991,407) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from operations 11,073,872 (15,974,884) (11,124,050) ------------- ---------------------- ----------------- INTERESTHOLDER TRANSACTIONS: Contributions 37,485,651 35,206,565 89,451,581 Withdrawals (17,541,396) (36,875,703) (240,386,251) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions 19,944,255 (1,669,138) (150,934,670) ------------- ---------------------- ----------------- Increase (decrease) in net assets 31,018,127 (17,644,022) (162,058,720) NET ASSETS: Beginning of period 102,229,258 119,873,280 281,932,000 ------------- ---------------------- ----------------- End of period $ 133,247,385 $ 102,229,258 $ 119,873,280 ============= ====================== =================

---------- /(1)/ For the ten months ended December 31, 2002. The Master Portfolio changed its fiscal year-end from February 28 to December 31. The accompanying notes are an integral part of these financial statements. 87 MASTER INVESTMENT PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS (Continued)

LIFEPATH 2040 MASTER PORTFOLIO ---------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE FOR THE JUNE 30, 2003 PERIOD ENDED YEAR ENDED (Unaudited) DECEMBER 31, 2002/(1)/ FEBRUARY 28, 2002 ----------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 760,646 $ 1,112,958 $ 2,317,577 Net realized gain (loss) (9,486,187) (11,398,816) 65,072,130 Net change in unrealized appreciation (depreciation) 16,914,590 (4,941,229) (85,921,644) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from operations 8,189,049 (15,227,087) (18,531,937) ------------- ---------------------- ----------------- INTERESTHOLDER TRANSACTIONS: Contributions 27,413,903 30,043,947 47,790,242 Withdrawals (18,179,056) (35,865,224) (384,441,174) ------------- ---------------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions 9,234,847 (5,821,277) (336,650,932) ------------- ---------------------- ----------------- Increase (decrease) in net assets 17,423,896 (21,048,364) (355,182,869) NET ASSETS: Beginning of period 74,237,697 95,286,061 450,468,930 ------------- ---------------------- ----------------- End of period $ 91,661,593 $ 74,237,697 $ 95,286,061 ============= ====================== =================

---------- /(1)/ For the ten months ended December 31, 2002. The Master Portfolio changed its fiscal year-end from February 28 to December 31. The accompanying notes are an integral part of these financial statements. 88 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) 1. SIGNIFICANT ACCOUNTING POLICIES Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Delaware business trust. MIP currently consists of the following separate portfolios: Asset Allocation, Bond Index, Extended Index, International Index, LifePath Retirement (formerly LifePath Income), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, Russell 2000 Index, S&P 500 Index and U.S. Equity Index Master Portfolios. These financial statements relate only to the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a "Master Portfolio", collectively the "Master Portfolios"). The following is a summary of significant accounting policies which are consistently followed by MIP in the preparation of its financial statements. Such policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION The equity securities of each Master Portfolio are valued at the last reported sales price on the primary securities exchange or national securities market on which such securities are traded. Beginning April 14, 2003, securities for which the primary market is the National Association of Securities Dealers Automated Quotations National Market System ("NASDAQ") are valued at the NASDAQ Official Closing Price. Securities not listed on an exchange or national securities market, or securities for which there was no last reported sales price, are valued at the most recent bid prices. Debt securities are generally traded in the over-the-counter market and are valued at a price deemed best to reflect fair value as quoted by dealers who make markets in those securities or by an independent pricing source. U.S. Government obligations are valued at the last reported bid price. Debt securities maturing in 60 days or less are valued at amortized cost, which approximates market value. Mutual fund shares are valued at net asset value. Any securities, restricted securities or other assets for which market quotations are not readily available, or for which a significant event has occurred since the time of the most recent market quotation, are valued in accordance with fair value pricing policies approved by MIP's Board of Trustees. SECURITY TRANSACTIONS AND INCOME RECOGNITION Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method. FOREIGN CURRENCY TRANSLATION The accounting records of the Master Portfolios are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the prevailing rates of exchange on the valuation date. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective date of such transactions. Each Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities. Such fluctuations are reflected by the Master Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes. FEDERAL INCOME TAXES MIP believes that each Master Portfolio has and will continue to be operated in a manner so as to qualify it as a partnership for federal income tax purposes. Provided that each Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gain (if any). However, each investor in a Master Portfolio will be taxed on its distributive share of the Master Portfolio's taxable income in determining its federal income tax liability. As a partnership for federal income tax purposes, each Master Portfolio will be deemed to have "passed through" to interestholders any interest, dividends, gains or losses for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the "Code"), and regulations promulgated thereunder. 89 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) It is intended that each Master Portfolio's assets, income and distributions will be managed in such a way that an entity electing and qualifying as a "regulated investment company" under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g. distributing at least 90% of the regulated investment company's "investment company taxable income" annually). REPURCHASE AGREEMENTS Each Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as a loan by the Master Portfolio to the seller, collateralized by securities, which are delivered to the Master Portfolio's custodian, or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest. The Master Portfolios did not enter into any repurchase agreements at June 30, 2003. Repurchase agreements held by the Master Portfolios at June 30, 2003 represent collateral from securities on loan. 2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy direction in connection with the management of each Master Portfolio's assets. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive 0.35% of the average daily net assets of each of the Master Portfolios as compensation for its advisory services. Investors Bank & Trust Company ("IBT") serves as the custodian to each Master Portfolio. IBT will not be entitled to receive fees for its custodial services so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. ("BGI") for its services as sub-administrator of each Master Portfolio. Prior to February 24, 2003, IBT served as securities lending agent for MIP. Effective February 24, 2003, BGI began serving as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios' investment advisor. The Board of Trustees has approved the selection of BGI as securities lending agent subject to the conditions of the exemptive order that was issued by the Securities and Exchange Commission ("SEC"). As securities lending agent, BGI receives a fee based on a share of the income earned on investment of the cash collateral received for the loan of securities. For the period from February 24, 2003 through June 30, 2003, BGI earned securities lending agent fees as follows: ---------------------------------------------------------------------- SECURITIES LENDING MASTER PORTFOLIO AGENT FEES ---------------------------------------------------------------------- LifePath Retirement Master Portfolio $ 2,073 LifePath 2010 Master Portfolio 7,605 LifePath 2020 Master Portfolio 17,746 LifePath 2030 Master Portfolio 4,732 LifePath 2040 Master Portfolio 2,745 ---------------------------------------------------------------------- SEI Investment Distribution Company is the sponsor and placement agent for the Master Portfolios. Prior to April 1, 2003, Stephens Inc. served as sponsor and placement agent for the Master Portfolios. MIP has entered into administration services arrangements with BGI who has agreed to provide general administration services to the Master Portfolios, such as managing and coordinating third-party service relationships. BGI is not entitled to compensation for providing administration services to the Master Portfolios for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BGI (or an affiliate) receives advisory fees from the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators. Prior to April 1, 2003, BGI and Stephens Inc. jointly served as co-administrators for the Master Portfolios. Barclays Global Investors Services ("BGIS"), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the six months ended June 30, 2003, BGIS did not receive any brokerage commissions from the Master Portfolios. As a result of using an index approach to investing, the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios held shares of Barclays PLC, with current market values of $36,861, $189,693, $869,326, $408,588, and $288,309, respectively, as of June 30, 2003. Barclays PLC is an affiliate of BGFA, the Master Portfolios' investment advisor. 90 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Institutional Money Market Fund ("IMMF") and Prime Money Market Fund ("PMMF") of Barclays Global Investors Funds. The IMMF and PMMF are feeder funds in a master/feeder fund structure that invests substantially all of its assets in the Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios' investment advisor. The IMMF and PMMF are open-end money market funds available only to institutional investors, including other investment companies managed by BGFA. The IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the IMMF and PMMF do not directly charge an advisory fee, the master portfolios in which they invest do charge an advisory fee. Income distributions from the IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest income or securities lending income, respectively, in the accompanying Statements of Operations. Pursuant to Rule 17a-7 of the 1940 Act, certain Master Portfolios executed cross trades for the six months ended June 30, 2003. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment advisor. The Board has concluded that all transactions executed during the first quarter of 2003 were in compliance with the requirements and restrictions set forth by Rule 17a-7, and has not yet reviewed those transactions executed during the second quarter of 2003. Certain officers and trustees of MIP are also officers or employees of BGI. As of June 30, 2003, these officers or employees of BGI collectively owned less than 1% of MIP's outstanding beneficial interests. 3. INVESTMENT PORTFOLIO TRANSACTIONS Investment transactions (excluding short-term investments) for the six months ended June 30, 2003, were as follows:

U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES ----------------------------- ----------------------------- MASTER PORTFOLIO PURCHASES SALES PURCHASES SALES ---------------------------------------------------------------------------------------------------- LifePath Retirement Master Portfolio $ 16,579,041 $ 7,868,567 $ 4,142,510 $ 3,803,626 LifePath 2010 Master Portfolio 34,982,285 15,101,927 9,707,937 13,220,679 LifePath 2020 Master Portfolio 54,342,211 24,076,693 20,512,862 29,959,625 LifePath 2030 Master Portfolio 34,286,546 21,553,772 22,113,424 14,547,122 LifePath 2040 Master Portfolio 12,660,179 5,514,833 17,422,476 14,816,771

At June 30, 2003, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

NET UNREALIZED TAX UNREALIZED UNREALIZED APPRECIATION MASTER PORTFOLIO COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------------------------------------------------------------------------------------------------- LifePath Retirement Master Portfolio $ 63,610,372 $ 2,315,593 $ (1,897,050) $ 418,543 LifePath 2010 Master Portfolio 174,279,468 6,790,765 (8,833,165) (2,042,400) LifePath 2020 Master Portfolio 429,600,470 5,990,398 (49,968,210) (43,977,812) LifePath 2030 Master Portfolio 144,302,035 12,986,818 (11,384,641) 1,602,177 LifePath 2040 Master Portfolio 121,922,318 2,580,705 (24,031,179) (21,450,474)

The Master Portfolios' "tax cost" does not reflect any book/tax adjustments for the period ended June 30, 2003. 4. PORTFOLIO SECURITIES LOANED Each Master Portfolio may lend its investment securities to approved borrowers such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received is required to have a value of at least 102% of the market value of the loaned securities for securities denominated in U.S. dollars and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required, or return the securities when due. As of June 30, 2003, the Master Portfolios had loaned securities which were collateralized by cash. The cash collateral received was invested in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds. The market value of the securities on loan at June 30, 2003 and the value of the related collateral are disclosed in the Statements of Assets and Liabilities. 91 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) 5. FINANCIAL HIGHLIGHTS Financial highlights for each of the Master Portfolios were as follows:

SIX MONTHS ENDED PERIOD ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, FEBRUARY 28, (Unaudited) 2002/(1)/ 2002 ---------------------------------------------------------------------------------------- LIFEPATH RETIREMENT MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.35% 0.35% 0.46% Ratio of net investment income to average net assets/(2)/ 2.65% 2.98% 3.73%/(4)/ Portfolio turnover rate 28% 56% 116%/(5)/ Total return 6.21%/(3)/ (1.36)%/(3)/ 2.68% LIFEPATH 2010 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.35% 0.35% 0.46% Ratio of net investment income to average net assets/(2)/ 2.45% 2.49% 3.11%/(4)/ Portfolio turnover rate 23% 72% 86%/(5)/ Total return 7.27%/(3)/ (6.43)%/(3)/ (0.70)% LIFEPATH 2020 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.35% 0.35% 0.44% Ratio of net investment income to average net assets/(2)/ 2.21% 2.14% 2.23%/(4)/ Portfolio turnover rate 20% 67% 86%/(5)/ Total return 8.97%/(3)/ (10.18)%/(3)/ (4.99)% LIFEPATH 2030 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.35% 0.35% 0.46% Ratio of net investment income to average net assets/(2)/ 2.07% 1.81% 1.74%/(4)/ Portfolio turnover rate 33% 68% 53%/(5)/ Total return 10.43%/(3)/ (13.05)%/(3)/ (7.82)% LIFEPATH 2040 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.35% 0.35% 0.49% Ratio of net investment income to average net assets/(2)/ 2.03% 1.57% 1.13%/(4)/ Portfolio turnover rate 27% 62% 15%/(5)/ Total return 11.59%/(3)/ (15.63)%/(3)/ (10.48)%

YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED FEBRUARY 28, FEBRUARY 29, FEBRUARY 28, FEBRUARY 28, 2001 2000 1999 1998 ------------------------------------------------------------------------------------------ LIFEPATH RETIREMENT MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.55% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets/(2)/ 4.40% 4.03% 3.95% 4.46% Portfolio turnover rate 58% 55% 66% 39% Total return 6.56% 5.22% 7.10% 12.72% LIFEPATH 2010 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.55% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets/(2)/ 3.49% 3.20% 3.12% 3.49% Portfolio turnover rate 54% 49% 38% 46% Total return 2.13% 8.32% 10.59% 19.13% LIFEPATH 2020 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.55% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets/(2)/ 2.38% 2.27% 2.30% 2.69% Portfolio turnover rate 39% 43% 36% 41% Total return (3.14)% 11.24% 12.82% 24.65% LIFEPATH 2030 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.55% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets/(2)/ 1.72% 1.72% 1.74% 2.13% Portfolio turnover rate 27% 26% 19% 27% Total return (5.59)% 13.44% 13.95% 28.62% LIFEPATH 2040 MASTER PORTFOLIO Ratio of expenses to average net assets/(2)/ 0.55% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets/(2)/ 0.90% 0.99% 1.11% 1.45% Portfolio turnover rate 20% 29% 19% 34% Total return (10.41)% 16.41% 15.75% 31.35%

---------- /(1)/ For the ten months ended December 31, 2002. The Master Portfolios changed their fiscal year-end from February 28 to December 31. /(2)/ Annualized for periods of less than one year. /(3)/ Not annualized. /(4)/ Effective March 1, 2001, the Master Portfolios adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratio of net investment income to average net assets for the Master Portfolios for the year ended February 28, 2002. Ratios for the periods prior to March 1, 2001 have not been restated to reflect this change in policy. /(5)/ Portfolio turnover rates excluding in-kind transactions for the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios were 52%, 48%, 35%, 25%, and 15%, respectively. 92 MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE -------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT - 13.18% -------------------------------------------------------------------------- Canadian Imperial Bank of Commerce 1.05%, 07/28/03 $ 50,000,000 $ 50,000,000 1.24%, 05/17/04 20,000,000 19,997,981 1.25%, 07/15/03 50,000,000 50,000,000 Chase Manhattan Bank USA 1.27%, 07/23/03 25,000,000 25,000,000 Citibank NA 1.03%, 09/29/03 25,000,000 25,000,000 1.22%, 09/04/03 25,000,000 25,000,000 1.26%, 07/23/03 75,000,000 75,000,000 Deutsche Bank AG 1.30%, 07/08/03 25,000,000 25,000,000 Societe Generale NA Inc. 1.25%, 07/15/03 25,000,000 25,000,000 Svenska Handelsbanken Inc. 1.26%, 04/07/04 50,000,000 49,996,146 1.27%, 03/19/04 25,000,000 24,997,306 1.29%, 07/17/03 50,000,000 50,000,000 Toronto-Dominion Bank 1.25%, 03/17/04 25,000,000 24,997,326 1.51%, 11/12/03 30,000,000 30,001,651 UBS AG 1.24%, 03/17/04 50,000,000 49,994,651 US Bank NA 1.30%, 07/09/03 25,000,000 25,000,000 -------------------------------------------------------------------------- TOTAL CERTIFICATES OF DEPOSIT (Cost: $574,985,061) 574,985,061 -------------------------------------------------------------------------- COMMERCIAL PAPER - 38.61% -------------------------------------------------------------------------- Amstel Funding Corp. 1.04%, 09/23/03 50,000,000 49,878,667 1.25%, 08/12/03 15,000,000 14,978,125 1.32%, 07/21/03 20,000,000 19,985,333 1.34%, 07/08/03 15,000,000 14,996,091 Bank of America Corp. 1.23%, 07/10/03 25,000,000 24,992,313 Banque Generale du Luxembourg 1.27%, 07/09/03 9,067,000 9,064,441 1.30%, 07/14/03 23,000,000 22,989,203 1.32%, 07/09/03 10,000,000 9,997,078 Beta Finance Inc. 1.30%, 07/15/03 14,000,000 13,992,923 Dorada Finance Inc. 1.30%, 07/17/03 15,000,000 14,991,334 Edison Asset Securitization Corp. 1.24%, 08/07/03 25,000,000 24,968,139 Eureka Securitization Inc. 1.23%, 08/05/03 40,000,000 39,952,167 Falcon Asset Securitization Corp. 1.05%, 07/23/03 25,000,000 24,983,958 1.25%, 08/08/03 19,508,000 19,482,260 Florens Container Inc. 1.27%, 07/22/03 35,000,000 34,974,071 GE Financial Assurance Holdings 1.00%, 08/01/03 25,000,000 24,978,472 Greenwich Funding Corp. 1.25%, 07/10/03 15,000,000 14,995,312 Intrepid Funding Corp. 1.24%, 07/15/03 20,029,000 20,019,342 Jupiter Securities Corp. 1.26%, 07/14/03 25,000,000 24,988,625 K2 USA LLC 1.00%, 08/08/03 10,000,000 9,989,444 1.25%, 07/09/03 15,000,000 14,995,833 1.33%, 07/03/03 15,000,000 14,998,892 Kitty Hawk Funding Corp. 1.00%, 07/21/03 65,397,000 65,360,668 1.04%, 09/12/03 37,113,000 37,034,733 1.06%, 08/15/03 25,000,000 24,966,875 Liberty Street Funding Corp. 1.07%, 07/17/03 24,000,000 23,988,587 Loch Ness LLC 1.19%, 07/10/03 16,331,000 16,326,141 1.20%, 07/10/03 41,823,000 41,810,453 1.27%, 07/15/03 34,669,000 34,651,878 Moat Funding LLC 1.04%, 09/26/03 22,995,000 22,937,206 1.15%, 07/02/03 50,000,000 49,998,403 1.24%, 07/16/03 25,000,000 24,987,083 1.24%, 08/19/03 25,000,000 24,957,805 1.26%, 07/18/03 50,000,000 49,970,250 Park Avenue Receivables Corp. 1.20%, 07/09/03 15,058,000 15,053,984 1.25%, 07/08/03 51,063,000 51,050,589 Quincy Capital Corp. 1.01%, 07/24/03 25,000,000 24,983,868 1.02%, 07/21/03 61,201,000 61,166,319 Scaldis Capital LLC 1.26%, 07/15/03 20,000,000 19,990,200 1.26%, 10/17/03 17,762,000 17,694,860 1.28%, 07/29/03/(1)/ 30,190,000 30,160,062 Sigma Finance Inc. 1.05%, 09/03/03 25,000,000 24,953,333 1.23%, 09/05/03 25,000,000 24,943,625 1.27%, 08/26/03 50,000,000 49,901,222 Societe Generale NA Inc. 1.25%, 07/17/03 25,000,000 24,986,056 Special Purpose Accounts Receivable Corp. 1.02%, 09/12/03 29,550,000 29,488,881 1.18%, 07/08/03 50,000,000 49,988,576 1.20%, 07/08/03 19,500,000 19,495,450 Svenska Handelsbanken Inc. 1.00%, 07/07/03 34,900,000 34,894,183 Thames Asset Global Securitization Inc. 1.00%, 07/15/03 12,293,000 12,288,219 1.02%, 08/14/03 22,278,000 22,250,227 1.05%, 09/12/03 17,646,000 17,608,429 1.18%, 07/10/03 16,777,000 16,772,051 1.19%, 07/10/03 16,777,000 16,772,009 1.20%, 07/10/03 17,285,000 17,279,815 1.23%, 09/02/03 15,577,000 15,543,470 11 MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE -------------------------------------------------------------------------- Toronto-Dominion Holding (USA) Inc. 0.93%, 09/11/03 $ 50,000,000 $ 49,907,000 UBS Finance (Delaware) Inc. 0.99%, 07/21/03 50,000,000 49,972,500 1.03%, 07/11/03 30,000,000 29,991,417 1.05%, 07/07/03 50,000,000 49,991,250 Windmill Funding Corp. 1.05%, 08/21/03 25,000,000 24,962,813 -------------------------------------------------------------------------- TOTAL COMMERCIAL PAPER (Cost: $1,684,272,513) 1,684,272,513 -------------------------------------------------------------------------- MEDIUM TERM NOTES - 6.03% -------------------------------------------------------------------------- Associates Corp. NA 6.20%, 01/26/04 7,000,000 7,193,012 Beta Finance Inc. 1.50%, 11/12/03/(1)/ 20,000,000 20,000,000 Citigroup Inc. 5.70%, 02/06/04 30,000,000 30,774,537 Dorada Finance Inc. 1.64%, 11/26/03/(1)/ 20,000,000 20,000,000 General Electric Capital Corp. 5.38%, 04/23/04 19,250,000 19,926,049 6.27%, 07/23/03 25,000,000 25,074,659 6.75%, 09/11/03 5,026,000 5,079,337 Goldman Sachs Group Inc. 1.25%, 08/28/03 25,000,000 25,000,000 6.65%, 08/01/03/(1)/ 9,690,000 9,733,393 K2 USA LLC 1.63%, 12/08/03/(1)/ 15,000,000 15,000,000 1.64%, 11/26/03/(1)/ 15,000,000 15,000,000 Links Finance LLC 1.47%, 11/18/03/(1)/ 10,000,000 10,000,000 1.65%, 12/03/03/(1)/ 10,000,000 10,000,000 Merrill Lynch & Co. Inc. 5.35%, 06/15/04 17,914,000 18,641,690 Morgan Stanley 5.63%, 01/20/04 9,900,000 10,128,673 6.13%, 10/01/03 7,000,000 7,081,719 Regions Auto Receivables Trust 1.19%, 03/15/04 14,592,731 14,592,731 -------------------------------------------------------------------------- TOTAL MEDIUM TERM NOTES (Cost: $263,225,800) 263,225,800 -------------------------------------------------------------------------- TIME DEPOSITS - 4.58% -------------------------------------------------------------------------- American Express Centurion Bank 0.98%, 07/24/03 75,000,000 75,000,000 DEPFA BANK PLC 1.24%, 08/11/03 20,000,000 20,000,000 ING Bank NV 1.25%, 07/14/03 30,000,000 30,000,000 Societe Generale NA Inc. 1.41%, 07/01/03 75,000,000 75,000,000 -------------------------------------------------------------------------- TOTAL TIME DEPOSITS (Cost: $200,000,000) 200,000,000 -------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS - 0.78% -------------------------------------------------------------------------- Federal National Mortgage Association 4.00%, 08/15/03 33,876,000 33,984,767 -------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost: $33,984,767) 33,984,767 -------------------------------------------------------------------------- VARIABLE & FLOATING RATE NOTES - 34.35% -------------------------------------------------------------------------- American Express Centurion Bank 1.23%, 03/12/04 50,000,000 50,000,000 Associates Corp. NA 1.22%, 06/15/04 15,000,000 14,996,791 Bank of America Corp. 1.35%, 07/07/03 15,000,000 15,000,204 Beta Finance Inc. 1.01%, 09/25/03/(1)/ 50,000,000 49,999,411 1.09%, 01/23/04/(1)/ 20,000,000 20,000,000 1.23%, 09/15/03/(1)/ 25,000,000 25,003,104 Chase Manhattan Bank USA 1.07%, 06/30/04 20,000,000 20,000,000 Citigroup Global Markets Holdings Inc. 1.21%, 06/17/04 8,000,000 8,013,624 Credit Suisse First Boston 1.26%, 09/04/03 50,000,000 50,000,000 Deutsche Bank AG London 1.34%, 09/02/03 10,000,000 10,001,635 Dorada Finance Inc. 1.06%, 05/14/04/(1)/ 30,000,000 29,998,697 1.06%, 06/30/04/(1)/ 25,000,000 24,992,500 1.08%, 09/15/03/(1)/ 25,000,000 25,000,000 1.09%, 01/27/04/(1)/ 25,000,000 25,000,000 1.14%, 03/15/04/(1)/ 20,000,000 19,998,582 First USA Bank 1.50%, 07/21/04 25,000,000 25,059,527 Fleet National Bank 1.50%, 07/31/03 10,000,000 10,001,267 General Electric Capital Corp. 1.09%, 03/25/04/(1)/ 43,500,000 43,536,294 1.11%, 01/28/04 25,000,000 25,006,732 1.43%, 04/22/04 38,000,000 38,041,434 Goldman Sachs Group Inc. 1.23%, 01/22/04 45,000,000 45,048,005 1.30%, 12/05/03 25,000,000 25,000,000 1.34%, 10/02/03/(1)/ 25,000,000 25,000,000 1.54%, 08/18/03 26,000,000 26,010,052 1.94%, 02/11/04 20,000,000 20,079,712 12 PRIME MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE -------------------------------------------------------------------------- Granite Mortgages PLC 1.09%, 01/20/04 $ 65,625,000 $ 65,624,826 HBOS Treasury Services PLC 1.27%, 06/24/04/(1)/ 50,000,000 50,000,000 Holmes Financing PLC 1.14%, 04/15/04 50,000,000 50,000,000 K2 USA LLC 1.01%, 11/26/03/(1)/ 25,000,000 25,000,000 1.07%, 08/15/03/(1)/ 20,000,000 20,000,000 1.08%, 03/15/04/(1)/ 15,000,000 15,000,000 1.10%, 02/06/04/(1)/ 20,000,000 20,000,000 Links Finance LLC 1.06%, 05/24/04/(1)/ 20,000,000 19,998,000 1.06%, 06/21/04/(1)/ 25,000,000 24,997,575 1.07%, 03/18/04/(1)/ 40,000,000 40,000,000 1.09%, 09/30/03/(1)/ 25,000,000 25,000,000 1.26%, 03/08/04/(1)/ 25,000,000 25,000,000 Merrill Lynch & Co. Inc. 1.37%, 08/13/03 13,525,000 13,527,054 1.46%, 01/14/04 17,000,000 17,019,714 Metropolitan Life Insurance Co. Funding Agreement 1.41%, 07/18/03/(1)/ 25,000,000 25,000,000 Morgan Stanley 1.16%, 09/19/03 75,000,000 75,017,923 1.54%, 08/07/03 33,650,000 33,659,516 National City Bank 1.31%, 11/14/03 25,000,000 25,005,747 1.41%, 07/22/03 10,000,000 10,000,649 Nationwide Building Society 1.36%, 07/23/03 25,000,000 25,000,942 Permanent Financing PLC 1.29%, 03/10/04 78,000,000 78,000,000 Sigma Finance Inc. 0.97%, 06/28/04/(1)/ 25,000,000 24,992,500 1.23%, 06/15/04/(1)/ 25,000,000 24,996,250 Travelers Insurance Co. 1.38%, 02/05/04/(1)/ 50,000,000 50,000,000 Winston Funding Ltd. 1.32%, 04/23/04/(1)/ 45,000,000 45,000,000 -------------------------------------------------------------------------- TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $1,498,628,267) 1,498,628,267 -------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 2.31% -------------------------------------------------------------------------- Goldman Sachs Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $25,978,873 and an effective yield of 1.21%. 25,978,000 25,978,000 Lehman Brothers Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $50,001,875 and an effective yield of 1.35%. 50,000,000 50,000,000 Merrill Lynch Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $25,000,833 and an effective yield of 1.20%. 25,000,000 25,000,000 -------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $100,978,000) 100,978,000 -------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 99.84% (Cost $4,356,074,408) 4,356,074,408 -------------------------------------------------------------------------- Other Assets, Less Liabilities - 0.16 % 6,710,214 -------------------------------------------------------------------------- NET ASSETS - 100.00% $ 4,362,784,622 ========================================================================== /(1)/ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The accompanying notes are an integral part of these financial statements. 13 PRIME MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE -------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT - 6.70% -------------------------------------------------------------------------- Canadian Imperial Bank of Commerce 1.05%, 07/28/03 $ 25,000,000 $ 25,000,000 1.24%, 05/17/04 10,000,000 9,998,991 Chase Manhattan Bank USA 1.25%, 07/23/03 15,000,000 15,000,000 Citibank NA 1.03%, 09/29/03 25,000,000 25,000,000 1.22%, 09/04/03 25,000,000 25,000,000 1.26%, 07/23/03 15,000,000 15,000,000 -------------------------------------------------------------------------- TOTAL CERTIFICATES OF DEPOSIT (Cost: $114,998,991) 114,998,991 -------------------------------------------------------------------------- COMMERCIAL PAPER - 47.63% -------------------------------------------------------------------------- Amstel Funding Corp. 1.24%, 08/14/03 9,709,000 9,694,285 1.25%, 08/12/03 10,000,000 9,985,417 1.27%, 07/28/03 15,000,000 14,985,713 1.28%, 07/21/03 10,000,000 9,992,889 Amsterdam Funding Corp. 1.25%, 07/01/03 25,000,000 25,000,000 Bank of America Corp. 1.23%, 07/10/03 25,000,000 24,992,313 Banque Generale du Luxembourg 1.23%, 08/11/03 10,000,000 9,985,992 DEPFA BANK PLC 1.25%, 07/23/03 8,103,000 8,096,810 Edison Asset Securitization Corp. 1.20%, 08/22/03 19,419,000 19,385,340 1.24%, 07/22/03 30,000,000 29,978,300 1.25%, 07/23/03 10,000,000 9,992,361 Eureka Securitization Inc. 1.23%, 08/05/03 10,000,000 9,988,042 Falcon Asset Securitization Corp. 1.05%, 07/23/03 24,000,000 23,984,600 1.25%, 07/15/03 11,000,000 10,994,652 Florens Container Inc. 1.27%, 07/23/03 15,000,000 14,988,359 Fortis Funding LLC 1.24%, 10/22/03 10,000,000 9,961,077 GE Capital Services Inc. 1.25%, 07/17/03 15,000,000 14,991,666 GE Financial Assurance Holdings 1.00%, 08/01/03 25,000,000 24,978,472 General Electric Capital Corp. 0.97%, 08/11/03 8,900,000 8,890,168 Greenwich Funding Corp. 1.25%, 07/10/03 10,000,000 9,996,875 K2 USA LLC 1.00%, 07/24/03 5,000,000 4,996,806 1.00%, 08/15/03 8,200,000 8,189,750 1.03%, 07/17/03 6,080,000 6,077,215 1.25%, 07/09/03 15,000,000 14,995,833 Kitty Hawk Funding Corp. 1.04%, 09/12/03 25,000,000 24,947,278 1.06%, 08/15/03 25,000,000 24,966,875 Liberty Street Funding Corp. 1.06%, 07/21/03/(1)/ 12,649,000 12,641,551 1.25%, 07/02/03 10,000,000 9,999,653 Loch Ness LLC 1.25%, 07/29/03 34,866,000 34,832,103 Moat Funding LLC 1.04%, 09/26/03 10,000,000 9,974,867 1.21%, 09/05/03 25,000,000 24,944,542 1.24%, 08/19/03 25,000,000 24,957,805 Nationwide Building Society 1.21%, 08/12/03 25,000,000 24,964,708 Quincy Capital Corp. 1.02%, 07/18/03 23,780,000 23,768,546 Scaldis Capital LLC 1.24%, 07/25/03/(1)/ 14,338,000 14,326,147 1.25%, 10/21/03 10,000,000 9,961,111 1.26%, 07/21/03 10,000,000 9,993,000 Sigma Finance Inc. 1.05%, 09/03/03 10,000,000 9,981,333 Societe Generale NA Inc. 1.25%, 07/17/03 15,000,000 14,991,634 Special Purpose Accounts Receivable Corp. 1.02%, 08/14/03 5,000,000 4,993,767 1.22%, 08/07/03 29,000,000 28,963,637 Stellar Funding Group Inc. 1.00%, 07/14/03 13,531,000 13,526,114 1.11%, 07/07/03 4,064,000 4,063,248 Thames Asset Global Securitization Inc. 1.00%, 07/23/03 15,386,000 15,376,597 1.05%, 09/12/03 10,000,000 9,978,708 UBS Finance (Delaware) Inc. 0.99%, 07/21/03 50,000,000 49,972,500 1.03%, 07/11/03 20,000,000 19,994,278 Variable Funding Capital Corp. 1.26%, 07/11/03 15,000,000 14,994,750 Windmill Funding Corp. 1.05%, 08/21/03 25,000,000 24,962,812 1.25%, 07/01/03 20,000,000 20,000,000 -------------------------------------------------------------------------- TOTAL COMMERCIAL PAPER (Cost: $817,200,499) 817,200,499 -------------------------------------------------------------------------- MEDIUM TERM NOTES - 7.57% -------------------------------------------------------------------------- Associates Corp. NA 5.80%, 04/20/04 39,189,000 40,651,054 Beta Finance Inc. 1.33%, 04/26/04/(1)/ 10,000,000 10,000,000 General Electric Capital Corp. 6.75%, 09/11/03 8,200,000 8,290,952 8.09%, 04/01/04 4,500,000 4,737,185 Goldman Sachs Group Inc. 1.25%, 08/28/03 15,000,000 15,000,000 1.27%, 08/18/03 20,000,000 20,000,000 14 PRIME MONEY MARKET MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (Continued) JUNE 30, 2003 (Unaudited) SECURITY FACE AMOUNT VALUE -------------------------------------------------------------------------- Links Finance LLC 1.32%, 05/04/04/(1)/ $ 10,000,000 $ 10,000,000 Wells Fargo & Company 6.63%, 07/15/04 20,000,000 21,157,097 -------------------------------------------------------------------------- TOTAL MEDIUM TERM NOTES (Cost: $129,836,288) 129,836,288 -------------------------------------------------------------------------- TIME DEPOSITS - 4.08% -------------------------------------------------------------------------- DEPFA BANK PLC 1.24%, 08/11/03 20,000,000 20,000,000 Key Bank NA 1.28%, 07/01/03 50,000,000 50,000,000 -------------------------------------------------------------------------- TOTAL TIME DEPOSITS (Cost: $70,000,000) 70,000,000 -------------------------------------------------------------------------- VARIABLE & FLOATING RATE NOTES - 31.84% -------------------------------------------------------------------------- American Express Centurion Bank 1.01%, 05/24/04 25,000,000 25,000,000 Bank of America Corp. 1.38%, 07/02/04 25,000,000 25,031,525 Bank of Nova Scotia 1.28%, 09/04/03 21,000,000 21,001,227 Beta Finance Inc. 0.99%, 04/26/04/(1)/ 8,000,000 8,000,000 1.06%, 05/20/04/(1)/ 10,000,000 9,998,672 Canadian Imperial Bank of Commerce 1.07%, 10/30/03 10,000,000 9,999,993 Chase Manhattan Bank USA 1.07%, 06/30/04 20,000,000 20,000,000 Danske Bank A/S 1.29%, 05/07/04 25,000,000 25,004,830 Deutsche Bank AG London 1.34%, 09/02/03/(1)/ 10,000,000 10,001,446 Deutsche Bank Finance NV 1.15%, 12/17/03 16,758,000 16,763,177 Dorada Finance Inc. 1.06%, 05/14/04/(1)/ 20,000,000 19,999,131 1.06%, 05/20/04/(1)/ 25,000,000 24,996,681 1.06%, 06/30/04/(1)/ 25,000,000 24,992,500 General Electric Capital Corp. 1.39%, 05/07/04 12,000,000 12,013,404 1.43%, 04/22/04 24,000,000 24,027,276 Goldman Sachs Group Inc. 1.53%, 05/28/04 19,380,000 19,432,035 1.57%, 05/10/04 5,000,000 5,014,289 1.77%, 12/15/03/(1)/ 7,000,000 7,021,628 K2 USA LLC 1.15%, 05/17/04/(1)/ 25,000,000 24,998,750 Links Finance LLC 1.06%, 05/24/04/(1)/ 15,000,000 14,998,500 1.29%, 05/04/04/(1)/ 20,000,000 19,999,000 Merrill Lynch & Co. Inc. 1.37%, 06/28/04 18,890,000 18,942,607 1.45%, 06/11/04 5,000,000 5,014,497 1.46%, 01/14/04 28,500,000 28,534,048 1.50%, 12/08/03 5,330,000 5,335,639 Sigma Finance Inc. 0.97%, 06/28/04/(1)/ 25,000,000 24,992,500 1.23%, 06/15/04/(1)/ 25,000,000 24,995,000 US Bank NA 1.09%, 11/17/03 50,000,000 49,999,073 Wells Fargo Bank NA 1.04%, 05/10/04 20,000,000 20,000,000 -------------------------------------------------------------------------- TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $546,107,428) 546,107,428 -------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 2.04% -------------------------------------------------------------------------- Goldman Sachs Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $15,052,506 and an effective yield of 1.21%. 15,052,000 15,052,000 Merrill Lynch Tri-Party Repurchase Agreement, dated 06/30/03, due 07/01/03, with a maturity value of $20,000,667 and an effective yield of 1.20%. 20,000,000 20,000,000 -------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $35,052,000) 35,052,000 -------------------------------------------------------------------------- TOTAL INVESTMENTS IN SECURITIES - 99.86% (Cost $1,713,195,206) 1,713,195,206 -------------------------------------------------------------------------- Other Assets, Less Liabilities - 0.14% 2,157,888 -------------------------------------------------------------------------- NET ASSETS - 100.00% $ 1,715,353,094 ========================================================================== /(1)/ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The accompanying notes are an integral part of these financial statements. 15 MASTER INVESTMENT PORTFOLIO STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2003 (Unaudited) -------------------------------------------------------------------------------- MONEY MARKET PRIME MONEY MARKET MASTER PORTFOLIO MASTER PORTFOLIO ---------------- ------------------ ASSETS Investments in securities, at amortized cost $ 4,356,074,408 $ 1,713,195,206 ---------------- ------------------- Investments in securities, at value (Note 1) $ 4,356,074,408 $ 1,713,195,206 Cash 284 262 Receivables: Interest 7,372,993 2,157,626 ---------------- ------------------- Total Assets 4,363,447,685 1,715,353,094 ---------------- ------------------- LIABILITIES Payables: Advisory fees (Note 2) 663,063 -- --------------- ------------------- Total Liabilities 663,063 -- --------------- ------------------- NET ASSETS $ 4,362,784,622 $ 1,715,353,094 ================ =================== STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2003 (Unaudited) -------------------------------------------------------------------------------- MONEY MARKET PRIME MONEY MARKET MASTER PORTFOLIO MASTER PORTFOLIO/(1)/ ---------------- --------------------- NET INVESTMENT INCOME Interest $ 27,317,199 $ 3,282,087 ---------------- --------------------- Total investment income 27,317,199 3,282,087 ---------------- --------------------- EXPENSES (NOTE 2) Advisory fees 1,992,129 260,969 ---------------- --------------------- Total expenses 1,992,129 260,969 Less advisory fees waived -- (260,969) ---------------- --------------------- Net expenses 1,992,129 -- ---------------- --------------------- Net investment income 25,325,070 3,282,087 ---------------- --------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain on sale of investments 17,236 1,531 ---------------- --------------------- Net gain on investments 17,236 1,531 ---------------- --------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 25,342,306 $ 3,283,618 ================ ===================== STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------

PRIME MONEY MARKET MASTER PORTFOLIO MONEY MARKET MASTER PORTFOLIO ------------------- ----------------------------------- FOR THE PERIOD FOR THE SIX APRIL 16, 2003/(2)/ MONTHS ENDED FOR THE TO JUNE 30, 2003 YEAR ENDED JUNE 30, 2003 (Unaudited) DECEMBER 31, 2002 (Unaudited) ---------------- ----------------- ------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 25,325,070 $ 45,475,626 $ 3,282,087 Net realized gain 17,236 8,083 1,531 ---------------- ----------------- ------------------- Net increase in net assets resulting from operations 25,342,306 45,483,709 3,283,618 ---------------- ----------------- ------------------- INTERESTHOLDER TRANSACTIONS: Contributions 10,721,799,532 11,212,874,658 2,601,449,521 Withdrawals (10,273,118,999) (9,134,078,695) (889,380,045) ---------------- ----------------- ------------------- Net increase in net assets resulting from interestholder transactions 448,680,533 2,078,795,963 1,712,069,476 ---------------- ----------------- ------------------- Increase in net assets 474,022,839 2,124,279,672 1,715,353,094 NET ASSETS: Beginning of period 3,888,761,783 1,764,482,111 -- ---------------- ----------------- ------------------- End of period $ 4,362,784,622 $ 3,888,761,783 $ 1,715,353,094 ================ ================= ===================

/(1)/ For the period from April 16, 2003 (commencement of operations) through June 30, 2003. /(2)/ Commencement of operations. The accompanying notes are an integral part of these financial statements. 16 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) 1. SIGNIFICANT ACCOUNTING POLICIES Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Delaware business trust. MIP currently consists of the following separate portfolios: Asset Allocation, Bond Index, Extended Index, International Index, LifePath Retirement (formerly LifePath Income), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, Russell 2000 Index, S&P 500 Index and U.S. Equity Index Master Portfolios. These financial statements relate only to the Money Market and the Prime Money Market Master Portfolios (each, a "Master Portfolio", collectively the "Master Portfolios"). The following is a summary of significant accounting policies which are consistently followed by MIP in the preparation of its financial statements. Such policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION The Master Portfolios use the amortized cost method of valuation to determine the value of its portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value. SECURITY TRANSACTIONS AND INCOME RECOGNITION Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premium and accrete discount using a constant yield to maturity method. FEDERAL INCOME TAXES MIP believes that each Master Portfolio will be operated in a manner so as to qualify it as a partnership for federal income tax purposes. Provided that each Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gain (if any). However, each investor in a Master Portfolio will be taxed on its distributive share of the Master Portfolio's taxable income in determining its federal income tax liability. As a partnership for federal income tax purposes, each Master Portfolio will be deemed to have "passed through" to interestholders any interest, dividends, gains or losses for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the "Code"), and regulations promulgated thereunder. It is intended that each Master Portfolio's assets, income and distributions will be managed in such a way that an entity electing and qualifying as a "regulated investment company" under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g. distributing at least 90% of the regulated investment company's "investment company taxable income" annually). REPURCHASE AGREEMENTS Each Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as a loan by the Master Portfolio to the seller, collateralized by securities, which are delivered to the Master Portfolio's custodian, or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest. 17 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) The repurchase agreements held by the Master Portfolios at June 30, 2003 were fully collateralized by U.S. Government and Agency obligations as follows:

AGGREGATE REPURCHASE AGREEMENT INTEREST RATE(S) MATURITY DATE(S) MARKET VALUE ----------------------------------------------------------------------------------------------------------------- Money Market Master Goldman Sachs Tri-Party 5.50% 06/01/33 $ 26,497,561 Portfolio Lehman Brothers Tri-Party 5.50% - 6.625% 09/15/09 - 09/15/11 50,987,383 Merrill Lynch Tri-Party 3.51% - 6.33% 09/01/27 - 04/01/33 25,000,927 Prime Money Market Goldman Sachs Tri-Party 6.50% 09/01/32 15,353,040 Master Portfolio Merrill Lynch Tri-Party 2.85% - 5.53% 03/01/32 - 05/01/42 20,399,085

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy direction in connection with the management of each Master Portfolio's assets. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the period ended June 30, 2003, BGFA waived $260,969 in advisory fees for the PMMF. Investors Bank & Trust Company ("IBT") serves as the custodian to each Master Portfolio. IBT will not be entitled to receive fees for its custodial services so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. ("BGI") for its services as sub-administrator of each Master Portfolio. SEI Investment Distribution Company is the sponsor and placement agent for the Master Portfolios. Prior to April 1, 2003, Stephens Inc. served as sponsor and placement agent for the Master Portfolios. MIP has entered into an administration services arrangement with BGI who has agreed to provide general administration services to the Master Portfolios, such as managing and coordinating third-party service relationships. BGI is not entitled to compensation for providing administration services to the Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BGI (or an affiliate) receives advisory fees from the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators. Prior to April 1, 2003, BGI and Stephens Inc. jointly served as co-administrators for the Master Portfolios. Barclays Global Investors Services ("BGIS"), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the six months ended June 30, 2003, BGIS did not receive any brokerage commissions from the Master Portfolios. Certain officers and trustees of MIP are also officers or employees of BGI. As of June 30, 2003, these officers or employees of BGI collectively owned less than 1% of MIP's outstanding beneficial interests. 3. INVESTMENT PORTFOLIO TRANSACTIONS At June 30, 2003, the Master Portfolios' cost for federal income tax purposes were the same as for financial statement purposes. 18 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued) 4. FINANCIAL HIGHLIGHTS Financial highlights for the Master Portfolios were as follows:

SIX MONTHS ENDED YEAR ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, DECEMBER 31, (Unaudited) 2002 2001 --------------------------------------------------------------------------------- MONEY MARKET MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.10% 0.10% 0.10% Ratio of net investment income to average net assets/(3)/ 1.27% 1.80% 3.66% Total return 0.64%/(4)/ 1.84% 4.23% PRIME MONEY MARKET MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.00%/(5)//(6)/ N/A N/A Ratio of net investment income to average net assets/(3)/ 1.26%/(5)//(6)/ N/A N/A Total return 0.26%/(4)//(5)/ N/A N/A

YEAR ENDED PERIOD ENDED PERIOD ENDED DECEMBER 31, DECEMBER 31, FEBRUARY 28, 2000 1999/(1)/ 1999/(2)/ ----------------------------------------------------------------------------- MONEY MARKET MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ 0.10% 0.10% 0.10% Ratio of net investment income to average net assets/(3)/ 6.43% 5.23% 5.17% Total return 6.52% 4.44%/(4)/ 2.61%/(4)/ PRIME MONEY MARKET MASTER PORTFOLIO Ratio of expenses to average net assets/(3)/ N/A N/A N/A Ratio of net investment income to average net assets/(3)/ N/A N/A N/A Total return N/A N/A N/A

/(1)/ For the ten months ended December 31, 1999. The Master Portfolio changed its fiscal year-end from February 28 to December 31. /(2)/ For the period from September 1, 1998 (commencement of operations) to February 28, 1999. /(3)/ Annualized for periods less than one year. /(4)/ Not annualized. /(5)/ For the period from April 16, 2003 (commencement of operations) to June 30, 2003. /(6)/ Ratios of expenses and net investment income to average net assets prior to waived fees were 0.10% and 1.16%, Respectively. 19 Financial Statements of Master Investment Portfolio 119 MASTER INVESTMENT PORTFOLIO Statements of Assets & Liabilities June 30, 2003 (Unaudited) Bond Index Extended Index Master Portfolio Master Portfolio ---------------- ---------------- ASSETS Investments at cost: Unaffiliated issuers .................... $ 763,362,029 $ 214,028,953 ---------------- ---------------- Non-controlled affiliated issuers ....... $ -- $ -- ---------------- ---------------- Foreign currency, at cost ................ $ -- $ -- ---------------- ---------------- Investments in securities, at value (including securities on loan(1)) (Note 1): Unaffiliated issuers .................... $ 798,650,868 $ 178,762,449 Non-controlled affiliated issuers ....... -- -- Cash pledged for margin requirements (Note 1) ................................ -- -- Foreign currency, at value ............... -- -- Receivables: Investment securities sold .............. 16,629,500 97,333 Dividends and interest .................. 6,552,628 145,637 Unrealized gain on forward foreign currency exchange contracts ............. -- -- ---------------- ---------------- Total Assets ........................... 821,832,996 179,005,419 ---------------- ---------------- LIABILITIES Payables: Investment securities purchased ......... 68,779,662 128,768 Due to broker--variation margin ......... -- 6,400 Collateral for securities loaned (Note 4) ............................... 97,019,853 19,832,817 Due to bank ............................. -- 437 Advisory fees (Note 2) .................. 94,993 19,309 Administration fees (Note 2) ............ -- 18,088 Unrealized loss on forward foreign currency exchange contracts ............. -- -- ---------------- ---------------- Total Liabilities ...................... 165,894,508 20,005,819 ---------------- ---------------- NET ASSETS ............................... $ 655,938,488 $ 158,999,600 ================ ================

International Index S&P 500 Index U.S. Equity Index Master Portfolio Master Portfolio Master Portfolio ------------------- ---------------- -----------------

ASSETS Investments at cost: Unaffiliated issuers .................... $ 146,018,926 $ 3,082,175,264 $ -- ------------------- ---------------- ----------------- Non-controlled affiliated issuers ....... $ 1,030,497 $ -- $ -- ------------------- ---------------- ----------------- Foreign currency, at cost ................ $ 184,290 $ -- $ -- ------------------- ---------------- ----------------- Investments in securities, at value (including securities on loan(1)) (Note 1): Unaffiliated issuers .................... $ 123,788,194 $ 2,990,490,543 $ 444,565,447 Non-controlled affiliated issuers ....... 1,140,721 -- -- Cash pledged for margin requirements (Note 1) ................................ 1,206,335 -- -- Foreign currency, at value ............... 182,585 -- -- Receivables: Investment securities sold .............. 102,322 -- -- Dividends and interest .................. 485,269 3,505,157 -- Unrealized gain on forward foreign currency exchange contracts ............. 66,241 -- -- ------------------- ---------------- ----------------- Total Assets ........................... 126,971,667 2,993,995,700 444,565,447 ------------------- ---------------- ----------------- LIABILITIES Payables: Investment securities purchased ......... 179,859 -- -- Due to broker--variation margin ......... 988,179 22,260 -- Collateral for securities loaned (Note 4) ............................... 14,061,587 142,749,585 -- Due to bank ............................. -- -- -- Advisory fees (Note 2) .................. 22,557 255,909 7,059 Administration fees (Note 2) ............ 29,852 -- 7,059 Unrealized loss on forward foreign currency exchange contracts ............. 2,002 -- -- ------------------- ---------------- ----------------- Total Liabilities ...................... 15,284,036 143,027,754 14,118 ------------------- ---------------- ----------------- NET ASSETS ............................... $ 111,687,631 $ 2,850,967,946 $ 444,551,329 =================== ================ ================= ---------- (1) Securities on loan with market values of $95,171,354, $18,898,114, $13,357,771, $137,590,771 and $--, respectively. See Note 4. The accompanying notes are an integral part of these financial statements. 120 MASTER INVESTMENT PORTFOLIO Statements of Operations For the Six Months Ended June 30, 2003 (Unaudited) Bond Index Extended Index Master Portfolio Master Portfolio ---------------- ---------------- NET INVESTMENT INCOME Dividends(1) ............................. $ -- $ 891,031 Interest ................................. 13,798,912 11,970 Securities lending income ................ 30,922 22,413 Expenses allocated from Master Portfolios (See Note 1) ................. -- -- ---------------- ---------------- Total investment income .................. 13,829,834 925,414 ---------------- ---------------- EXPENSES (Note 2) Advisory fees ............................ 250,757 54,043 Administration fees ...................... -- 13,511 ---------------- ---------------- Total expenses ........................... 250,757 67,554 ---------------- ---------------- NET INVESTMENT INCOME .................... 13,579,077 857,860 ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on sale of investments ............................. 4,970,859 (4,091,830) Net realized gain (loss) on futures contracts ............................... -- 50,845 Net realized gain on foreign currency transactions ............................ -- -- Net change in unrealized appreciation (depreciation) of investments ........... 6,057,227 25,619,968 Net change in unrealized appreciation (depreciation) of futures contracts ..... -- (3,295) Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies ... -- -- ---------------- ---------------- NET GAIN ON INVESTMENTS .................. 11,028,086 21,575,688 ---------------- ---------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............................. $ 24,607,163 $ 22,433,548 ================ ================

International Index S&P 500 Index U.S. Equity Index Master Portfolio Master Portfolio Master Portfolio ------------------- ---------------- ----------------- NET INVESTMENT INCOME Dividends(1) ............................. $ 1,748,422 $ 21,247,302 $ 3,215,298(2) Interest ................................. 5,449 748,126 120,231(2) Securities lending income ................ 22,047 44,064 -- Expenses allocated from Master Portfolios (See Note 1) ................. -- -- (116,157)(2) ------------------- ---------------- ----------------- Total investment income .................. 1,775,918 22,039,492 3,219,372 ------------------- ---------------- ----------------- EXPENSES (Note 2) Advisory fees ............................ 71,286 620,619 19,704 Administration fees ...................... 47,524 -- 19,704 ------------------- ---------------- ----------------- Total expenses ........................... 118,810 620,619 39,408 ------------------- ---------------- ----------------- NET INVESTMENT INCOME .................... 1,657,108 21,418,873 3,179,964 ------------------- ---------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on sale of investments ............................. (2,232,742) (51,725,104) (8,248,097)(2) Net realized gain (loss) on futures contracts ............................... (23,218) 7,697,446 -- Net realized gain on foreign currency transactions ............................ 124,873 -- -- Net change in unrealized appreciation (depreciation) of investments ........... 10,264,998 310,520,446 55,128,258(2) Net change in unrealized appreciation (depreciation) of futures contracts ..... 6,318 1,004,340 -- Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies ... 10,013 -- -- ------------------- ---------------- -----------------

NET GAIN ON INVESTMENTS .................. 8,150,242 267,497,128 46,880,161 ------------------- ---------------- ----------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............... $ 9,807,350 $ 288,916,001 $ 50,060,125 =================== ================ ================= ---------- (1) Net of foreign withholding tax of $--, $791, $287,968, $6,109 and $1,234, respectively. (2) Allocated from underlying Master Portfolios. The accompanying notes are an integral part of these financial statements. 121 MASTER INVESTMENT PORTFOLIO Statements of Changes in Net Assets

Bond Index Master Portfolio Extended Index Master Portfolio ----------------------------------- ----------------------------------- For the Six For the Six Months Ended For the Months Ended For the June 30, 2003 Year Ended June 30, 2003 Year Ended (Unaudited) December 31, 2002 (Unaudited) December 31, 2002 --------------- ----------------- --------------- ----------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net investment income ............ $ 13,579,077 $ 30,232,332 $ 857,860 $ 1,621,846 Net realized gain (loss) ......... 4,970,859 9,762,741 (4,040,985) (7,408,057) Net change in unrealized appreciation (depreciation) ..... 6,057,227 16,148,940 25,616,673 (24,550,999) --------------- ----------------- --------------- ----------------- Net increase (decrease) in net assets resulting from operations ....................... 24,607,163 56,144,013 22,433,548 (30,337,210) --------------- ----------------- --------------- ----------------- Interestholder transactions:

Contributions .................... 94,255,831 235,474,677 14,413,850 30,975,705 Withdrawals ...................... (93,409,081) (204,797,701) (9,039,604) (32,385,207) --------------- ----------------- --------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions ...... 846,750 30,676,976 5,374,246 (1,409,502) --------------- ----------------- --------------- ----------------- Increase (decrease) in net assets ........................... 25,453,913 86,820,989 27,807,794 (31,746,712) NET ASSETS: Beginning of period ............... 630,484,575 543,663,586 131,191,806 162,938,518 --------------- ----------------- --------------- ----------------- End of period ..................... $ 655,938,488 $ 630,484,575 $ 158,999,600 $ 131,191,806 =============== ================= =============== ================= International Index Master Portfolio ----------------------------------- For the Six Months Ended For the June 30, 2003 Year Ended (Unaudited) December 31, 2002 --------------- ----------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net investment income ............ $ 1,657,108 $ 1,759,925 Net realized gain (loss) ......... (2,131,087) (6,912,895) Net change in unrealized appreciation (depreciation) ..... 10,281,329 (10,611,535) --------------- ----------------- Net increase (decrease) in net assets resulting from operations ....................... 9,807,350 (15,764,505) --------------- ----------------- Interestholder transactions: Contributions .................... 17,871,279 48,313,518 Withdrawals ...................... (6,926,447) (34,072,197) --------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions ...... 10,944,832 14,241,321 --------------- ----------------- Increase (decrease) in net assets ........................... 20,752,182 (1,523,184) NET ASSETS: Beginning of period ............... 90,935,449 92,458,633 --------------- ----------------- End of period ..................... $ 111,687,631 $ 90,935,449 =============== ================= The accompanying notes are an integral part of these financial statements. 122 MASTER INVESTMENT PORTFOLIO Statements of Changes in Net Assets (Continued)

S&P 500 Index Master Portfolio U.S. Equity Index Master Portfolio ----------------------------------- ----------------------------------- For the Six For the Six Months Ended For the Months Ended For the June 30, 2003 Year Ended June 30, 2003 Year Ended (Unaudited) December 31, 2002 (Unaudited) December 31, 2002 --------------- ----------------- --------------- ----------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net investment income ........................ $ 21,418,873 $ 40,577,166 $ 3,179,964 $ 6,268,921 Net realized loss ............................ (44,027,658) (255,819,289) (8,248,097) (42,334,208) Net change in unrealized appreciation (depreciation) .............................. 311,524,786 (457,092,164) 55,128,258 (69,941,398) --------------- ----------------- --------------- ----------------- Net increase (decrease) in net assets resulting from operations .............................. 288,916,001 (672,334,287) 50,060,125 (106,006,685) --------------- ----------------- --------------- ----------------- Interestholder transactions: Contributions ................................ 680,765,775 1,124,925,648 30,983,068 51,638,612 Withdrawals .................................. (458,632,915) (904,586,226) (16,064,818) (67,100,403) --------------- ----------------- --------------- ----------------- Net increase (decrease) in net assets resulting from interestholder transactions ............. 222,132,860 220,339,422 14,918,250 (15,461,791) --------------- ----------------- --------------- ----------------- Increase (decrease) in net assets ............. 511,048,861 (451,994,865) 64,978,375 (121,468,476) NET ASSETS: Beginning of period ........................... 2,339,919,085 2,791,913,950 379,572,954 501,041,430 --------------- ----------------- --------------- ----------------- End of period ................................. $ 2,850,967,946 $ 2,339,919,085 $ 444,551,329 $ 379,572,954 =============== ================= =============== =================

The accompanying notes are an integral part of these financial statements. 123 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) 1. Significant Accounting Policies Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Delaware business trust. MIP currently consists of the following separate portfolios: Asset Allocation, Bond Index, Extended Index, International Index, LifePath Retirement (formerly LifePath Income), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, Russell 2000 Index, S&P 500 Index and U.S. Equity Index Master Portfolios. These financial statements relate only to the Bond Index, Extended Index, International Index, S&P 500 Index and U.S. Equity Index Master Portfolios (each, a "Master Portfolio", collectively the "Master Portfolios"). The following is a summary of significant accounting policies which are consistently followed by MIP in the preparation of its financial statements. Such policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. Security Valuation The equity securities of each Master Portfolio are valued at the last reported sales price on the primary securities exchange or national securities market on which such securities are traded. Beginning April 14, 2003, securities for which the primary market is the National Association of Securities Dealers Automated Quotations National Market System ("NASDAQ") are valued at the NASDAQ Official Closing Price. Securities not listed on an exchange or national securities market, or securities for which there was no last reported sales price, are valued at the most recent bid prices. Debt securities are generally traded in the over-the-counter market and are valued at a price deemed best to reflect fair value as quoted by dealers who make markets in those securities or by an independent pricing source. U.S. Government obligations are valued at the last reported bid price. Debt securities maturing in 60 days or less are valued at amortized cost, which approximates market value. Mutual fund shares are valued at net asset value. Any securities, restricted securities or other assets for which market quotations are not readily available, or for which a significant event has occurred since the time of the most recent market quotation, are valued in accordance with fair value pricing policies approved by MIP's Board of Trustees. The U.S. Equity Index Master Portfolio seeks to achieve its investment objective by investing all of its assets in the Extended Index and S&P 500 Index Master Portfolios. The value of the U.S. Equity Index Master Portfolio's investment in the Extended Index and S&P 500 Index Master Portfolios reflects the U.S. Equity Index Master Portfolio's interest in the net assets of these Master Portfolios (59.32% and 12.29%, respectively, as of June 30, 2003). Security Transactions and Income Recognition Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method. The U.S. Equity Index Master Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of the Extended Index and S&P 500 Index Master Portfolios. The expenses allocated from Master Portfolios on the Statement 124 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued) of Operations include Advisory and Administration fees of $108,028 and $8,129, respectively, allocated from the Extended Index and S&P 500 Index Master Portfolios. In addition, the U.S. Equity Index Master Portfolio accrues its own expenses. Foreign Currency Translation The accounting records of each Master Portfolio are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the prevailing rates of exchange at the end of each day. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective date of such transactions. Each Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities. Such fluctuations are reflected by the Master Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes. Federal Income Taxes MIP believes that each Master Portfolio has and will continue to be operated in a manner so as to qualify it as a partnership for federal income tax purposes. Provided that each Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gain (if any). However, each investor in a Master Portfolio will be taxed on its distributive share of the Master Portfolio's taxable income in determining its federal income tax liability. As a partnership for federal income tax purposes, each Master Portfolio will be deemed to have "passed through" to interestholders any interest, dividends, gains or losses for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the "Code"), and regulations promulgated thereunder. It is intended that each Master Portfolio's assets, income and distributions will be managed in such a way that an entity electing and qualifying as a "regulated investment company" under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g. distributing at least 90% of the regulated investment company's "investment company taxable income" annually). Futures Contracts The Master Portfolios may purchase futures contracts to gain exposure to market changes as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange traded. Upon entering into a futures contract, the Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt securities equal to the minimum "initial margin" requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Master Portfolio as unrealized gains or losses. When the contract is closed, the Master Portfolio records a 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. Pursuant to regulations and/or published positions of the Securities and Exchange Commission, the Master Portfolio is required to segregate cash, U.S. Government securities or high quality, liquid debt instruments in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. 125 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued) At June 30, 2003, the open futures contracts outstanding were as follows:

Net Unrealized Number of Futures Expiration Notional Appreciation Master Portfolio Contracts Index Date Contract Value (Depreciation) --------------------------- ----------- -------------- ---------- -------------- --------------- Extended Index Master Portfolio ......... 9 S&P MidCap 400 09/19/03 $ 2,181,770 $ (21,465) =============== International Index Master Portfolio ......... 10 Euro 50 09/19/03 $ 294,607 $ (6,618) 4 FTSE 100 07/19/03 279,013 (9,030) 13 Nikkei 300 09/11/03 183,427 6,970 --------------- $ (8,678) ===============

S&P 500 Index Master Portfolio ......... 421 S&P 500 09/19/03 $ 103,833,680 $ (1,393,955) =============== The Extended Index and S&P 500 Index Master Portfolios have pledged to brokers U.S. Treasury Bills for initial margin requirements with face amounts of $100,000 and $9,450,000, respectively. The International Index Master Portfolio has pledged to a broker a cash balance in the amount of $1,206,335 for initial margin requirements. Repurchase Agreements Each Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as a loan by the Master Portfolio to the seller, collateralized by securities, which are delivered to the Master Portfolio's custodian, or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest. None of the Master Portfolios entered into any repurchase agreements at June 30, 2003. Repurchase agreements held by the Master Portfolios at June 30, 2003 represent collateral from securities on loan. Forward Currency Exchange Contracts A foreign currency or cross currency exchange contract is an agreement to pay or receive specific amounts of a currency at a future date in exchange for another currency at an agreed upon exchange rate. The International Index Master Portfolio may use foreign currency or cross currency exchange contracts to hedge certain foreign currency assets and liabilities. Contracts are recorded at market value and marked-to-market daily. The International Index Master Portfolio could be exposed to risk if the counterparties to the contracts were unable to meet the terms of the contract, or if there were unanticipated movements in the value of a foreign currency relative to the U.S. dollar and other foreign currencies. The amount at risk for such foreign currency or cross currency exchange contracts may exceed the amount reflected in the financial statements. 126 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued) As of June 30, 2003, the International Index Master Portfolio held the following forward foreign currency exchange contracts: Forward Foreign Currency Contracts

Foreign Foreign Net Currency Exchange Currency U.S. Dollar Unrealized Currency Purchased/Sold Date Cost/Proceeds Value Gain (Loss) -------------------------------- -------------- -------- ------------- ----------- -----------

Purchase Contracts British Pound Sterling ......... 270,900 08/08/03 $ 427,997 $ 445,885 $ 17,888 Euro ........................... 770,449 08/08/03 844,235 883,801 39,566 Japanese Yen ................... 19,206,744 08/08/03 160,220 160,164 (56) ----------- Total $ 57,398 =========== Sale Contracts British Pound Sterling ......... 270,900 08/08/03 $ 450,036 $ 445,885 $ 4,151 Euro ........................... 770,449 08/08/03 884,233 883,801 432 Japanese Yen ................... 19,206,744 08/08/03 162,422 160,164 2,258 ----------- Total $ 6,841 =========== 2. Agreements and Other Transactions with Affiliates Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy direction in connection with the management of each Master Portfolio's assets. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive 0.15% of the first $1 billion, and 0.10% thereafter of the average daily net assets of the International Index Master Portfolio and 0.08%, 0.08%, 0.05%, and 0.01% of the average daily net assets of the Bond Index, Extended Index, S&P 500 Index, and U.S. Equity Index Master Portfolios, respectively, as compensation for advisory services. Investors Bank & Trust Company ("IBT") serves as the custodian to each Master Portfolio. IBT will not be entitled to receive fees for its custodial services so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. ("BGI") for its services as sub-administrator of each Master Portfolio. Prior to February 24, 2003, IBT served as securities lending agent for MIP. Effective February 24, 2003, BGI began serving as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios' investment advisor. The Board of Trustees has approved the selection of BGI as securities lending agent subject to the conditions of the exemptive order that was issued by the Securities and Exchange Commission ("SEC"). As securities lending agent, BGI receives a fee based on a share of the income earned on investment of the cash collateral received for the loan of securities. For the period from February 24, 2003 through June 30, 2003, BGI earned securities lending agent fees as follows: Securities Lending Master Portfolio Agent Fees ---------------------------------------------- ------------------ Bond Index Master Portfolio .................. $ 11,717 Extended Index Master Portfolio .............. 10,602 International Index Master Portfolio ......... 29,649 S&P 500 Index Master Portfolio ............... 20,982 SEI Investment Distribution Company is the sponsor and placement agent for the Master Portfolios. Prior to April 1, 2003, Stephens Inc. served as sponsor and placement agent for the Master Portfolios. MIP has entered into administrative services arrangements with BGI who has agreed to provide general administrative services to the Master Portfolios, such as managing and 127 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued) coordinating third-party service relationships. BGI is entitled to receive a fee at an annual rate of 0.02% and 0.01% of the average daily net assets of the Extended Index and U.S. Equity Index Master Portfolios, respectively, and 0.10% of the first $1 billion, and 0.07% thereafter, of the average daily net assets of the International Index Master Portfolio. BGI is not entitled to compensation for providing administration services to the S&P 500 Index and the Bond Index Master Portfolios for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BGI (or an affiliate) receives advisory fees from the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators. Prior to April 1, 2003, BGI and Stephens Inc. jointly served as co-administrators for the Master Portfolios. Barclays Global Investors Services ("BGIS"), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the six months ended June 30, 2003, BGIS did not receive any brokerage commissions from the Master Portfolios. As a result of using an index approach to investing, the International Index Master Portfolio held shares of Barclays PLC, with a current market value of $907,113, as of June 30, 2003. Barclays PLC is an affiliate of BGFA, the Master Portfolios' investment advisor. Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Institutional Money Market Fund ("IMMF") and Prime Money Market Fund ("PMMF") of Barclays Global Investors Funds. The IMMF and PMMF are feeder funds in a master/feeder fund structure that invests substantially all of its assets in the Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios' investment advisor. The IMMF and PMMF are open-end money market funds available only to institutional investors, including other investment companies managed by BGFA. The IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the IMMF and PMMF do not directly charge an advisory fee, the master portfolios in which they invest do charge an advisory fee. Income distributions from the IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest income or securities lending income, respectively, in the accompanying Statements of Operations. The Master Portfolios may invest in the shares of Exchange Traded Funds ("ETFs"), including shares of ETFs that are affiliated with MIP, to obtain exposure to the stock market while maintaining flexibility to meet the liquidity needs of the Master Portfolio. As of June 30, 2003, the International Index Master Portfolio held shares of the iShares MSCI EAFE Index Fund, an investment portfolio of iShares Trust. iShares Trust is an open-end management investment company managed by BGFA, the investment advisor for MIP. Transactions in shares of affiliated ETFs for the International Index Master Portfolio, including dividend income and net realized capital gains (losses) during the six months ended June 30, 2003 were as follows:

Number of Number of Shares Held Shares Held Net Beginning Gross Gross End of Dividend Realized Affiliated ETF of Period Additions Reductions Period Income Loss ---------------------------- ----------- --------- ---------- ----------- -------- --------- iShares MSCI EAFE Index Fund 12,469 7,439 9,376 10,532 $ -- $ (53,718)

Pursuant to Rule 17a-7 of the 1940 Act, the S&P 500 Index Master Portfolio executed cross trades for the six months ended June 30, 2003. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment advisor. The Board has concluded that all transactions executed during the first quarter of 2003 were in compliance with the requirements and restrictions set forth by Rule 17a-7, and has not yet reviewed those transactions executed during the second quarter of 2003. 128 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued) Certain officers and trustees of MIP are also officers or employees of BGI. As of June 30, 2003 these officers or employees of BGI collectively owned less than 1% of MIP's outstanding beneficial interests. 3. Investment Portfolio Transactions Investment transactions (exclusive of short-term investments) for the six months ended June 30, 2003 were as follows:

U.S. Government Obligations Other Securities ----------------------------------- --------------------------------- Master Portfolio Purchases Sales Purchases Sales ------------------------------------- ---------------- ---------------- --------------- --------------- Bond Index Master Portfolio ......... $ 214,374,697 $ 211,907,747 $ 34,138,702 $ 18,894,459 Extended Index Master Portfolio ..... -- -- 11,190,797 5,578,815 International Index Master Portfolio .......................... -- -- 16,575,574 4,095,772 S&P 500 Index Master Portfolio ...... -- -- 330,630,186 85,664,742

At June 30, 2003, the Master Portfolios' aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Net Unrealized Unrealized Unrealized Appreciation Master Portfolio Tax Cost Appreciation Depreciation (Depreciation) ------------------------------------- ---------------- -------------- -------------- -------------- Bond Index Master Portfolio ......... $ 766,545,318 $ 32,611,534 $ (505,984) $ 32,105,550 Extended Index Master Portfolio ..... 215,102,618 34,560,304 (70,900,473) (36,340,169) International Index Master Portfolio .......................... 151,856,651 1,207,108 (28,134,844) (26,927,736) S&P 500 Index Master Portfolio ...... 3,225,296,197 189,022,448 (423,828,102) (234,805,654)

4. Portfolio Securities Loaned Each Master Portfolio may lend its investment securities to approved borrowers such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received is required to have a value of at least 102% of the market value of the loaned securities for securities denominated in U.S. dollars and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required, or return the securities when due. As of June 30, 2003, certain of the Master Portfolios had loaned securities which were collateralized by cash. The cash collateral received was invested in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds. The market value of the securities on loan at June 30, 2003 and the value of the related collateral are disclosed in the Statements of Assets and Liabilities. 129 MASTER INVESTMENT PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued) 5. Financial Highlights Financial highlights for each of the Master Portfolios were as follows:

Six Months Ended Year Ended Year Ended June 30, 2003 December 31, December 31, (Unaudited) 2002 2001 ------------- ------------ ------------

Bond Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.08% 0.08% 0.08% Ratio of net investment income to average net assets(4) ......... 4.33% 5.27% 5.98%(7) Portfolio turnover rate ........... 37% 118% 53% Total return ...................... 4.00%(5) 10.05% 8.94% Extended Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.10% 0.10% 0.10% Ratio of net investment income to average net assets(4) ......... 1.27% 1.11% 1.08% Portfolio turnover rate ........... 4% 14% 17% Total return ...................... 18.38%(5) (18.01)% (9.44)% International Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.25% 0.25% 0.25% Ratio of net investment income to average net assets(4) ......... 3.49% 1.92% 1.50% Portfolio turnover rate ........... 4% 20% 7% Total return ...................... 11.26%(5) (16.36)%(9) (21.35)% S&P 500 Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.05% 0.05% 0.05% Ratio of net investment income to average net assets(4) ......... 1.73% 1.57% 1.31% Portfolio turnover rate ........... 4% 12% 9% Total return ...................... 11.68%(5) (22.05)% (11.96)% U.S. Equity Index Master Portfolio Ratio of expenses to average net assets(4 6) .................. 0.08% 0.08% 0.09% Ratio of net investment income to average net assets(4 6) ....... 1.61% 1.45% 1.37% Portfolio turnover rate(8) ........ 4% 12% 11% Total return ...................... 14.27%(5) (20.50)% (11.51)%

Year Ended Period Ended Year Ended Year Ended December 31, December 31, February 28, February 28, 2000 1999 1999 1998 ------------ ------------ ------------ ------------

Bond Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.08% 0.08%(1) 0.08% 0.08% Ratio of net investment income to average net assets(4) ......... 6.73% 6.44%(1) 6.31% 6.73% Portfolio turnover rate ........... 52% 25%(1) 28% 59% Total return ...................... 11.91% (0.67)%(1 5) 6.39% 10.51% Extended Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.10% 0.10%(2) N/A N/A Ratio of net investment income to average net assets(4) ......... 0.93% 1.26%(2) N/A N/A Portfolio turnover rate ........... 38% 17%(2) N/A N/A Total return ...................... (14.53)% 36.30%(2 5) N/A N/A International Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.25% 0.25%(3) N/A N/A Ratio of net investment income to average net assets(4) ......... 1.47% 0.82%(3) N/A N/A Portfolio turnover rate ........... 45% 39%(3) N/A N/A Total return ...................... (14.85)% 20.50%(3 5) N/A N/A S&P 500 Index Master Portfolio Ratio of expenses to average net assets(4) .................... 0.05% 0.05%(1) 0.05% 0.05% Ratio of net investment income to average net assets(4) ......... 1.22% 1.44%(1) 1.61% 1.89% Portfolio turnover rate ........... 10% 7%(1) 11% 6% Total return ...................... (9.19)% 19.82%(1 5) 19.65% 34.77% U.S. Equity Index Master Portfolio Ratio of expenses to average net assets(4 6) .................. 0.08% 0.08%(2) N/A N/A Ratio of net investment income to average net assets(4 6) ....... 1.13% 1.39%(2) N/A N/A Portfolio turnover rate(8) ........ 17% 9%(2) N/A N/A Total return ...................... (10.54)% 21.40%(2 5) N/A N/A ---------- (1) For the ten months ended December 31, 1999. The Bond Index and S&P 500 Index Master Portfolios changed their fiscal year-end from February 28 to December 31. (2) Period from March 1, 1999 (commencement of operations) to December 31, 1999. (3) Period from October 1, 1999 (commencement of operations) to December 31, 1999. (4) Annualized for periods of less than one year. (5) Not annualized. (6) Includes expenses allocated from the underlying Master Portfolios in which this Master Portfolio invests (see Note 1). (7) Effective January 1, 2001, the Bond Index Master Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums on debt securities. The effect of this change for the year ended December 31, 2001 was to decrease the ratio of net investment income to average net assets from 6.37% to 5.98%. Ratios and supplemental data for the periods prior to January 1, 2001 have not been restated to reflect this change in policy. (8) Calculated on a weighted average of the portfolio turnover rates of each of the underlying Master Portfolios in which this Master Portfolio invests (see Note 1). (9) The voluntary reimbursement made by the investment advisor had no material impact on the total return for the year. 130 Schedule of Investments June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--29.11% ------------------------------------------------------------------------------- Aerospace/Defense--0.57% Boeing Co. (The) 6.13%, 02/15/33 $ 200,000 $ 208,838 General Dynamics Corp. 2.13%, 05/15/06 200,000 202,690 Goodrich (B.F.) Co. 6.45%, 12/15/07 100,000 108,747 Lockheed Martin Corp. 8.20%, 12/01/09 1,000,000 1,264,616 Northrop Grumman Corp. 7.75%, 02/15/31 250,000 320,690 Raytheon Co. 7.38%, 07/15/25 1,000,000 1,107,964 United Technologies Corp. 6.10%, 05/15/12 150,000 172,933 6.63%, 11/15/04 150,000 160,120 6.70%, 08/01/28 150,000 176,821 -------------- 3,723,419 -------------- Airlines--0.23% American Airlines Inc. 7.02%, 10/15/09 157,000 149,879 Continental Airlines Inc. 6.65%, 09/15/17 871,481 840,588 Delta Air Lines Inc. 7.57%, 11/18/10 500,000 514,281 -------------- 1,504,748 -------------- Auto Manufacturers--0.36% DaimlerChrysler NA Holding Corp. 7.20%, 09/01/09 500,000 568,342 8.50%, 01/18/31 500,000 597,500 Ford Motor Company 6.63%, 10/01/28 1,125,000 936,115 General Motors Corp. 6.25%, 05/01/05 75,000 78,115 7.20%, 01/15/11 150,000 151,189 -------------- 2,331,261 -------------- Banks--7.14% Abbey National PLC 7.95%, 10/26/29 100,000 133,384 ABN Amro Bank NV 7.13%, 06/18/07 250,000 291,267 Anthem Inc. 6.80%, 08/01/12 250,000 291,864 Banco Santander Central Hispano Issuances 7.63%, 09/14/10 500,000 619,923 Bank of America Corp. 6.25%, 04/01/08 1,000,000 1,141,393 Bank of New York Co. Inc. (The) 5.50%, 12/01/17 250,000 276,936 Bank of Tokyo--Mitsubishi Ltd. 8.40%, 04/15/10 250,000 310,061 Bank One Corp. 3.70%, 01/15/08 500,000 519,899 5.90%, 11/15/11 1,000,000 1,130,108 BankBoston Corp. 6.50%, 12/19/07 500,000 572,026 Bankers Trust Corp. 7.25%, 10/15/11 250,000 295,674 Corp. Andina de Fomento 6.88%, 03/15/12 150,000 170,766 Credit Suisse First Boston 5.75%, 04/15/07 500,000 555,487 6.38%, 12/16/35 1,000,000 1,155,235 6.50%, 01/15/12 500,000 573,778 European Investment Bank 4.00%, 03/15/05 500,000 522,307 4.00%, 08/30/05 500,000 526,194 4.63%, 03/01/07 1,000,000 1,085,777 First Union Capital Corp. 8.04%, 12/01/26 1,000,000 1,161,489 First Union Corp. 6.63%, 07/15/05 500,000 547,736 First Union National Bank 7.74%, 05/17/32 1,493,196 1,703,006 Fleet Credit Card Master Trust II 3.86%, 03/15/07 6,870,000 7,078,989 GE Global Insurance Holdings 7.50%, 06/15/10 150,000 178,173 HSBC Holdings PLC 5.25% 12/12/12 250,000 266,629 HSBC USA Inc. 7.00%, 11/01/06 250,000 284,839 International Bank for Reconstruction & Development 3.63%, 05/21/13 150,000 151,133 4.13%, 08/12/09 500,000 539,791 6.38%, 07/21/05 1,000,000 1,099,048 7.00%, 01/27/05 1,500,000 1,632,438 John Deere Capital Corp. 7.00%, 03/15/12 500,000 593,599 KeyCorp 6.75%, 03/15/06 1,500,000 1,675,560 KFW International Finance Inc. 2.50%, 10/17/05 500,000 509,773 4.25%, 04/18/05 500,000 524,172 4.75%, 01/24/07 500,000 542,694 8.00%, 02/15/10 250,000 304,690 Korea Development Bank 5.25%, 11/16/06 500,000 535,282 Landwirtschaftliche Rentenbank 3.25%, 06/19/08 400,000 408,732 LB Commercial Conduit Mortgage Trust 6.78%, 06/15/31 6,000,000 7,023,043 Mellon Funding Corp. 6.38%, 02/15/10 500,000 584,673 National City Bank of Ohio 3.30%, 05/15/08 500,000 508,561 NationsBank Corp. 7.75%, 08/15/15 1,000,000 1,277,764 NiSource Finance Corp. 7.88%, 11/15/10 150,000 177,105 Oesterreichische Kontrollbank AG 5.50%, 01/20/06 500,000 546,901 PNC Funding Corp. 5.75%, 08/01/06 250,000 275,836 Popular North America Inc. 4.25%, 04/01/08 100,000 104,067 Royal Bank of Scotland Group PLC 5.00%, 10/01/14 250,000 262,323 Sanwa Bank Ltd. 7.40%, 06/15/11 250,000 280,317 SLM Corp. 5.13%, 08/27/12 250,000 265,647 Sprint Capital Corp. 8.38%, 03/15/12 500,000 598,658 SunTrust Banks Inc. 5.05%, 07/01/07 500,000 545,987 131 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--(Continued) ------------------------------------------------------------------------------- Swiss Bank Corp. 7.38%, 06/15/17 $ 100,000 $ 127,402 Tyco Capital Corp. 7.63%, 08/16/05 1,045,000 1,150,748 Union Bank of Switzerland 7.25%, 07/15/06 250,000 287,402 US Bank NA Minnesota 6.38%, 08/01/11 1,000,000 1,167,362 Wells Fargo & Company 6.63%, 07/15/04 500,000 526,805 Wells Fargo Bank NA 7.55%, 06/21/10 1,000,000 1,232,726 -------------- 46,853,179 -------------- Beverages--0.51% Anheuser-Busch Companies Inc. 6.80%, 01/15/31 500,000 606,312 Bottling Group LLC 4.63%, 11/15/12 1 100,000 104,520 Brown-Forman Corp. 2.13%, 03/15/06 250,000 250,930 Coca-Cola Enterprises Inc. 5.25%, 05/15/07 500,000 545,553 6.13%, 08/15/11 250,000 286,871 8.50%, 02/01/22 250,000 339,444 Diageo Capital PLC 6.13%, 08/15/05 1,000,000 1,092,776 PepsiAmericas Inc. 3.88%, 09/12/07 100,000 103,435 -------------- 3,329,841 -------------- Building Materials--0.06% Hanson Australia Funding Ltd. 5.25%, 03/15/13 100,000 102,436 Masco Corp. 5.88%, 07/15/12 250,000 277,632 -------------- 380,068 -------------- Chemicals--0.27% Chevron Phillips Chemical Co. 5.38%, 06/15/07 500,000 539,327 Dow Chemical Co. (The) 6.00%, 10/01/12 250,000 271,970 8.63%, 04/01/06 500,000 573,865 Du Pont (E.I.) de Nemours 6.75%, 10/15/04 250,000 266,675 Praxair Inc. 3.95%, 06/01/13 150,000 148,058 -------------- 1,799,895 -------------- Commercial Services--0.10% Cendant Corp. 6.25%, 03/15/10 250,000 278,022 Hertz Corp. 8.25%, 06/01/05 250,000 263,913 PHH Corp. 7.13%, 03/01/13 100,000 113,488 -------------- 655,423 -------------- Computer Systems--0.02% Computer Sciences Corp. 7.38%, 06/15/11 100,000 121,602 -------------- 121,602 -------------- Computers--0.33% Hewlett-Packard Co. 5.50%, 07/01/07 500,000 552,675 International Business Machines Corp. 4.75%, 11/29/12 500,000 525,533 4.88%, 10/01/06 1,000,000 1,086,753 -------------- 2,164,961 -------------- Cosmetics/Personal Care--0.19% Procter & Gamble Co. 6.88%, 09/15/09 1,000,000 1,212,699 -------------- 1,212,699 -------------- Distribution/Wholesale--0.04% Costco Wholesale Corp. 5.50%, 03/15/07 250,000 276,006 -------------- 276,006 -------------- Diversified Financial Services--7.52% American Express Co. 3.75%, 11/20/07 250,000 260,514 American Express Credit Corp. 3.00%, 05/16/08 250,000 251,723 American General Finance Corp. 5.38%, 10/01/12 250,000 269,752 5.88%, 07/14/06 1,000,000 1,103,423 American International Group Inc. 4.25%, 05/15/13 1 250,000 249,490 Ameriquest Mortgage Securities Inc. 4.84%, 09/25/25 200,000 207,412 AMVESCAP PLC 5.38%, 02/27/13 100,000 101,637 Associates Corp. NA 6.88%, 11/15/08 410,000 481,861 6.95%, 11/01/18 250,000 306,759 AXA Financial Inc. 7.75%, 08/01/10 250,000 304,540 Bear Stearns Companies Inc. 5.70%, 11/15/14 250,000 277,092 6.63%, 10/01/04 1,000,000 1,065,454 Boeing Capital Corp. 5.65%, 05/15/06 1,500,000 1,621,011 Burlington Resources Finance 7.20%, 08/15/31 250,000 305,469 Capital One Bank 6.88%, 02/01/06 1,000,000 1,073,037 Citigroup Inc. 5.63%, 08/27/12 250,000 275,435 6.00%, 02/21/12 500,000 568,783 6.63%, 06/15/32 250,000 288,887 6.75%, 12/01/05 1,000,000 1,114,949 7.25%, 10/01/10 500,000 605,808 Countrywide Home Loans Inc. 3.50%, 12/19/05 250,000 258,033 5.63%, 05/15/07 500,000 550,688 Ford Credit Auto Owner Trust 3.62%, 01/15/06 967,655 980,862 4.36%, 09/15/36 2,000,000 2,094,542 Ford Motor Credit Co. 6.88%, 02/01/06 850,000 901,510 7.25%, 10/25/11 500,000 514,036 7.50%, 03/15/05 850,000 903,268 7.60%, 08/01/05 300,000 322,106 7.88%, 06/15/10 1,000,000 1,071,608 FPL Group Capital Inc. 7.38%, 06/01/09 100,000 120,301 132 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--(Continued) ------------------------------------------------------------------------------- General Electric Capital Corp. 3.50%, 05/01/08 $ 250,000 $ 255,991 5.38%, 03/15/07 1,100,000 1,210,562 6.50%, 12/10/07 1,000,000 1,151,094 6.75%, 03/15/32 1,000,000 1,169,565 General Motors Acceptance Corp. 5.71%, 10/15/38 1,000,000 1,117,702 6.13%, 09/15/06 500,000 526,401 6.75%, 01/15/06 1,000,000 1,061,642 6.88%, 09/15/11 850,000 852,836 7.25%, 03/02/11 500,000 513,051 7.72%, 12/15/09 1,707,000 2,092,371 8.00%, 11/01/31 250,000 245,291 Goldman Sachs Group Inc. 5.70%, 09/01/12 250,000 274,657 6.13%, 02/15/33 250,000 268,094 6.60%, 01/15/12 250,000 290,495 6.88%, 01/15/11 250,000 294,987 7.63%, 08/17/05 500,000 563,447 Household Finance Corp. 5.75%, 01/30/07 250,000 275,910 6.40%, 06/17/08 250,000 285,379 6.50%, 01/24/06 250,000 277,286 6.50%, 11/15/08 500,000 574,914 8.00%, 07/15/10 1,000,000 1,240,530 JP Morgan Chase & Co. 5.25%, 05/30/07 500,000 548,459 6.75%, 02/01/11 1,000,000 1,173,697 LB-UBS Commercial Mortgage Trust 4.85%, 09/15/31 1,500,000 1,584,332 Lehman Brothers Holdings Inc. 6.63%, 01/18/12 250,000 293,094 Lehman Brothers Inc. 7.63%, 06/01/06 1,000,000 1,151,877 MBNA America Bank NA 5.38%, 01/15/08 500,000 540,579 Merrill Lynch & Co. Inc. 3.70%, 04/21/08 100,000 103,263 6.00%, 02/17/09 1,000,000 1,124,159 Morgan Stanley 6.02%, 02/15/33 518,167 553,505 7.25%, 04/01/32 100,000 122,597 7.69%, 02/15/20 1,000,000 1,152,691 7.75%, 06/15/05 1,000,000 1,114,214 8.00%, 06/15/10 1,000,000 1,246,485 National Rural Utilities 3.88%, 02/15/08 400,000 416,675 7.25%, 03/01/12 350,000 419,081 Pemex Project Funding Master Trust 7.38%, 12/15/14 500,000 547,500 8.63%, 02/01/22 250,000 285,625 Rio Tinto Finance USA Ltd. 2.63%, 09/30/08 100,000 98,167 Saxon Asset Securities Trust 5.53%, 07/25/31 400,000 412,800 Sears Roebuck Acceptance Corp. 7.00%, 06/01/32 500,000 559,273 Textron Finance Corp. 6.00%, 11/20/09 200,000 219,082 Toyota Motor Credit Corp. 2.80%, 01/18/06 100,000 102,543 Unilever Capital Corp. 6.88%, 11/01/05 1,000,000 1,116,223 Verizon Global Funding Corp. 7.75%, 12/01/30 250,000 316,619 Washington Mutual Inc. 7.50%, 08/15/06 1,000,000 1,157,219 -------------- 49,351,954 -------------- Electric--1.72% AEP Texas Central Co. 6.65%, 02/15/33 1 250,000 273,604 Alabama Power Co. Series Q 5.50%, 10/15/17 250,000 273,623 Alabama Power Co. Series X 3.13%, 05/01/08 250,000 252,847 American Electric Power Inc. 6.13%, 05/15/06 100,000 109,615 Arizona Public Service Co. 6.50%, 03/01/12 250,000 285,838 Cincinnati Gas & Electric Co. 5.70%, 09/15/12 250,000 274,666 Columbus Southern Power Co. 5.50%, 03/01/13 1 150,000 161,270 Commonwealth Edison 7.00%, 07/01/05 500,000 548,937 Consolidated Edison Inc. 4.88%, 02/01/13 200,000 210,872 Constellation Energy Group 7.60%, 04/01/32 250,000 300,510 Consumers Energy Co. 6.00%, 03/15/05 500,000 530,988 Dominion Resources Inc. 7.63%, 07/15/05 500,000 556,123 8.13%, 06/15/10 500,000 619,598 DTE Energy Co. 7.05%, 06/01/11 500,000 584,779 Entergy Gulf States Inc. 3.60%, 06/01/08 1 100,000 99,398 FirstEnergy Corp. 5.50%, 11/15/06 500,000 535,995 7.38%, 11/15/31 250,000 280,009 Florida Power & Light Co. 4.85%, 02/01/13 150,000 158,543 5.63%, 04/01/34 150,000 155,770 KN Energy Inc. 7.25%, 03/01/28 250,000 289,454 MidAmerican Energy Co. 6.75%, 12/30/31 250,000 295,927 Niagara Mohawk Power Corp. 7.63%, 10/01/05 529,268 591,487 Northern States Power Co. 8.00%, 08/28/12 250,000 316,529 Oncor Electric Delivery Co. 6.38%, 05/01/12 500,000 570,772 Ontario Hydro Canada 7.45%, 03/31/13 500,000 645,500 PECO Energy Co. 3.50%, 05/01/08 250,000 257,083 Pepco Holdings Inc. 6.45%, 08/15/12 250,000 282,890 Progress Energy Inc. 7.10%, 03/01/11 400,000 465,323 7.75%, 03/01/31 100,000 120,111 PSEG Energy Holdings Inc. 8.50%, 06/15/11 250,000 268,750 Public Service Company of Colorado 4.88%, 03/01/13 1 200,000 207,888 Public Service Electric & Gas Co. 5.13%, 09/01/12 250,000 266,927 South Carolina Electric & Gas Co. 5.30%, 05/15/33 150,000 148,715 133 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--(Continued) ------------------------------------------------------------------------------- Union Electric Co. 5.25%, 09/01/12 $ 100,000 $ 108,624 Wisconsin Energy Corp. 5.88%, 04/01/06 100,000 109,956 6.50%, 04/01/11 100,000 114,495 -------------- 11,273,416 -------------- Electronics--0.02% Avnet Inc. 9.75%, 02/15/08 100,000 113,000 -------------- 113,000 -------------- Energy & Related--0.02% MidAmerican Energy Holdings Co. 3.50%, 05/15/08 1 150,000 150,807 -------------- 150,807 -------------- Environmental Control--0.05% USA Waste Services Inc. 7.00%, 07/15/28 150,000 171,008 Waste Management Inc. 6.50%, 11/15/08 150,000 171,500 -------------- 342,508 -------------- Food--1.18% Albertson's Inc. 7.45%, 08/01/29 100,000 112,948 7.50%, 02/15/11 250,000 292,065 Archer-Daniels-Midland Co. 8.38%, 04/15/17 500,000 679,887 ConAgra Foods Inc. 6.00%, 09/15/06 500,000 553,977 7.40%, 09/15/04 500,000 532,517 General Mills Inc. 5.13%, 02/15/07 1,000,000 1,089,326 Heinz (H.J.) Co. 6.63%, 07/15/11 250,000 294,705 Kellogg Co. 6.60%, 04/01/11 1,000,000 1,172,729 Kraft Foods Inc. 5.63%, 11/01/11 500,000 544,835 6.50%, 11/01/31 500,000 552,076 McDonald's Corp. 3.88%, 08/15/07 250,000 259,020 Safeway Inc. 6.50%, 11/15/08 1,000,000 1,134,001 Sara Lee Corp. 2.75%, 06/15/08 250,000 247,735 Tyson Foods Inc. 8.25%, 10/01/11 250,000 296,005 -------------- 7,761,826 -------------- Forest Products & Paper--0.26% International Paper Co. 6.75%, 09/01/11 500,000 578,312 MeadWestvaco Corp. 6.85%, 04/01/12 250,000 288,590 Weyerhaeuser Co. 6.00%, 08/01/06 250,000 274,238 6.75%, 03/15/12 250,000 283,800 7.38%, 03/15/32 250,000 287,380 -------------- 1,712,320 -------------- Gas--0.11% KeySpan Corp. 7.63%, 11/15/10 500,000 613,553 Southern California Gas Co. 4.80%, 10/01/12 100,000 105,099 -------------- 718,652 -------------- Hand/Machine Tools--0.02% Emerson Electric Co. 5.00%, 12/15/14 150,000 160,675 -------------- 160,675 -------------- Health Care--0.07% Johnson & Johnson 4.95%, 05/15/33 200,000 195,416 Tenet Healthcare Corp. 5.00%, 07/01/07 250,000 233,750 -------------- 429,166 -------------- Home Builders--0.03% Centex Corp. 4.75%, 01/15/08 100,000 105,584 Pulte Homes Inc. 7.88%, 08/01/11 100,000 121,424 -------------- 227,008 -------------- Household Products/Wares--0.02% Newell Rubbermaid Inc. 4.63%, 12/15/09 100,000 105,961 -------------- 105,961 -------------- Insurance--0.37% Allstate Corp. 7.20%, 12/01/09 1,000,000 1,211,632 Chubb Corp. 3.95%, 04/01/08 1 100,000 103,570 CNA Financial Corp. 6.75%, 11/15/06 100,000 104,506 Hartford Life Inc. 7.38%, 03/01/31 250,000 296,096 Lion Connecticut Holdings Inc. 7.63%, 08/15/26 100,000 121,296 MetLife Inc. 6.50%, 12/15/32 100,000 114,116 Prudential Financial Inc. 3.75%, 05/01/08 100,000 102,980 Radian Group Inc. 5.63%, 02/15/13 1 100,000 104,982 SAFECO Corp. 4.88%, 02/01/10 150,000 158,583 Travelers Property Casualty Corp. 6.38%, 03/15/33 100,000 109,295 -------------- 2,427,056 -------------- Machinery--Construction & Mining--0.19% Caterpillar Inc. 7.25%, 09/15/09 1,000,000 1,218,326 -------------- 1,218,326 -------------- Manufacturing--0.19% Cooper Industries Inc. 5.50%, 11/01/09 100,000 111,108 General Electric Co. 5.00%, 02/01/13 400,000 422,503 Norsk Hydro ASA 6.36%, 01/15/09 590,000 679,396 -------------- 1,213,007 -------------- Media--0.98% AOL Time Warner Inc. 6.88%, 05/01/12 500,000 570,808 134 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--(Continued) ------------------------------------------------------------------------------- Clear Channel Communications Inc. 4.25%, 05/15/09 $ 400,000 $ 405,000 Comcast Cable Communications 8.38%, 05/01/07 500,000 590,015 Liberty Media Corp. 7.88%, 07/15/09 500,000 585,724 TCI Communications Inc. 8.75%, 08/01/15 1,000,000 1,296,420 Time Warner Entertainment Co. 8.38%, 03/15/23 1,000,000 1,260,376 Viacom Inc. 5.63%, 08/15/12 250,000 277,741 7.75%, 06/01/05 250,000 278,436 7.88%, 07/30/30 250,000 326,653 Walt Disney Co. (The) 6.38%, 03/01/12 250,000 284,966 6.75%, 03/30/06 500,000 556,796 -------------- 6,432,935 -------------- Mining--0.22% Alcoa Inc. 7.38%, 08/01/10 1,000,000 1,211,559 BHP Finance (USA) Ltd. 4.80%, 04/15/13 250,000 260,659 -------------- 1,472,218 -------------- Multi-National--0.46% Asian Development Bank 6.75%, 06/11/07 1,000,000 1,167,668 Inter-American Development Bank 7.38%, 01/15/10 1,000,000 1,263,031 8.50%, 03/15/11 450,000 604,445 -------------- 3,035,144 -------------- Office/Business Equipment--0.02% Pitney Bowes Inc. 5.95%, 02/01/05 150,000 159,345 -------------- 159,345 -------------- Oil & Gas Producers--1.19% Alberta Energy Co. Ltd. 7.38%, 11/01/31 250,000 316,147 Amerada Hess Corp. 7.30%, 08/15/31 500,000 577,908 Anadarko Petroleum Corp. 7.15%, 05/15/28 500,000 594,201 Apache Finance Canada 7.75%, 12/15/29 250,000 331,340 BP Capital Markets PLC 2.35%, 06/15/06 500,000 505,505 4.00%, 04/29/05 250,000 261,269 Conoco Funding Co. 6.35%, 10/15/11 500,000 584,038 Devon Financing Corp. ULC 6.88%, 09/30/11 1,000,000 1,173,034 Enterprise Products 6.88%, 03/01/33 1 100,000 113,259 Lasmo (USA) Inc. 6.75%, 12/15/07 100,000 116,759 Marathon Oil Corp. 6.13%, 03/15/12 500,000 560,611 Occidental Petroleum Corp. 7.20%, 04/01/28 250,000 305,114 Petroleos Mexicanos 9.38%, 12/02/08 500,000 611,250 Phillips 66 Capital Trust II 8.00%, 01/15/37 1,000,000 1,177,728 Transocean Inc. 6.75%, 04/15/05 250,000 270,002 Union Oil Co. of California 5.05%, 10/01/12 100,000 104,558 Valero Energy Corp. 4.75%, 06/15/13 200,000 195,530 -------------- 7,798,253 -------------- Pharmaceuticals--0.40% Abbott Laboratories 5.13%, 07/01/04 250,000 259,568 American Home Products Corp. 6.25%, 03/15/06 500,000 554,417 Bristol-Myers Squibb Co. 5.75%, 10/01/11 500,000 556,447 Lilly (Eli) & Co. 2.90%, 03/15/08 150,000 151,067 Merck & Co. Inc. 4.38%, 02/15/13 200,000 207,037 Pharmacia Corp. 6.50%, 12/01/18 500,000 622,402 Wyeth 5.25%, 03/15/13 250,000 264,177 -------------- 2,615,115 -------------- Pipelines--0.30% Duke Energy Field Services Corp. 7.50%, 08/16/05 500,000 546,753 7.88%, 08/16/10 500,000 601,788 Kinder Morgan Energy Partners LP 5.35%, 08/15/07 500,000 544,965 TransCanada PipeLines Ltd. 4.00%, 06/15/13 250,000 243,778 -------------- 1,937,284 -------------- Publishing--0.18% News America Holdings Inc. 7.60%, 10/11/15 1,000,000 1,210,104 -------------- 1,210,104 -------------- Real Estate--0.13% EOP Operating LP 7.00%, 07/15/11 500,000 580,285 ERP Operating LP 5.20%, 04/01/13 250,000 261,431 -------------- 841,716 -------------- Real Estate Investment Trusts--0.10% Archstone-Smith Trust 5.00%, 08/15/07 100,000 106,326 Boston Properties Inc. 6.25%, 01/15/13 250,000 273,765 Simon Property Group Inc. 6.35%, 08/28/12 250,000 277,006 -------------- 657,097 -------------- Retail--0.52% Fred Meyer Inc. 7.45%, 03/01/08 1,000,000 1,165,182 May Department Stores Co. 7.90%, 10/15/07 250,000 297,562 Target Corp. 7.00%, 07/15/31 500,000 598,409 Wal-Mart Stores Inc. 7.55%, 02/15/30 1,000,000 1,320,692 -------------- 3,381,845 -------------- 135 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--(Continued) ------------------------------------------------------------------------------- Telecommunication Equipment--0.08% Motorola Inc. 6.75%, 02/01/06 $ 500,000 $ 545,000 -------------- 545,000 -------------- Telecommunications--0.71% Alltel Corp. 7.00%, 07/01/12 250,000 303,450 AT&T Wireless Services Inc. 7.88%, 03/01/11 750,000 885,767 British Telecom PLC 7.88%, 12/15/05 500,000 569,420 8.38%, 12/15/10 500,000 632,340 Citizens Communications 8.50%, 05/15/06 500,000 579,906 Cox Communications Inc. 4.63%, 06/01/13 250,000 250,481 7.50%, 08/15/04 250,000 265,337 Verizon Wireless Inc. 5.38%, 12/15/06 500,000 549,172 Vodafone Group PLC 7.75%, 02/15/10 500,000 615,216 -------------- 4,651,089 -------------- Telephone--1.39% AT&T Corp. 7.00%, 11/15/06 250,000 278,052 8.50%, 11/15/31 500,000 566,945 BellSouth Corp. 6.00%, 10/15/11 250,000 285,700 6.88%, 10/15/31 500,000 588,551 Deutsche Telekom International Finance AG 8.50%, 06/15/10 1,000,000 1,228,379 France Telecom SA 8.70%, 03/01/06 200,000 228,134 9.25%, 03/01/11 250,000 314,641 10.00%, 03/01/31 250,000 345,934 GTE Corp. 7.51%, 04/01/09 500,000 599,507 Koninklijke KPN NV 8.00%, 10/01/10 500,000 618,982 Pacific Bell 7.13%, 03/15/26 250,000 299,682 SBC Communications Inc. 5.75%, 05/02/06 250,000 276,104 6.25%, 03/15/11 250,000 286,766 Sprint Capital Corp. 6.13%, 11/15/08 1,000,000 1,085,327 Telefonica Europe BV 8.25%, 09/15/30 500,000 654,227 Verizon New York Inc. 7.38%, 04/01/32 500,000 620,399 Verizon Pennsylvania Inc. 5.65%, 11/15/11 500,000 551,788 Verizon Virginia Inc. 4.63%, 03/15/13 250,000 256,774 -------------- 9,085,892 -------------- Tobacco--0.04% Philip Morris 7.00%, 07/15/05 250,000 265,158 -------------- 265,158 -------------- Transportation--0.80% Burlington Northern Santa Fe Corp. 7.13%, 12/15/10 1,000,000 1,207,335 Canadian National Railway Co. 6.45%, 07/15/06 800,000 894,982 CSX Corp. 7.95%, 05/01/27 580,000 742,557 Norfolk Southern Corp. 7.70%, 05/15/17 1,000,000 1,278,134 Union Pacific Corp. 6.79%, 11/09/07 1,000,000 1,144,693 -------------- 5,267,701 -------------- TOTAL CORPORATE BONDS & NOTES (Cost: $174,105,095) 190,914,680 -------------- ------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS & NOTES(4)--2.11% ------------------------------------------------------------------------------- British Columbia (Province of) 6.50%, 01/15/26 250,000 299,698 Canada (Government of) 5.25%, 11/05/08 250,000 282,219 Chile (Republic of) 5.50%, 01/15/13 150,000 158,700 Finland (Republic Of) 6.95%, 02/15/26 250,000 318,489 Hydro-Quebec 6.30%, 05/11/11 500,000 588,265 Israel (State of) 4.63%, 06/15/13 100,000 97,391 Italy (Republic of) 4.38%, 10/25/06 1,000,000 1,071,712 6.00%, 02/22/11 1,000,000 1,166,933 6.88%, 09/27/23 250,000 315,636 Korea (Republic of) 8.88%, 04/15/08 250,000 311,775 Lombardy (Region of) 5.80%, 10/25/32 100,000 110,853 Malaysia (Government of) 7.50%, 07/15/11 250,000 304,200 Manitoba (Province of) 4.25%, 11/20/06 1,000,000 1,068,775 Mexico Government International Bond 9.88%, 01/15/07 250,000 307,875 New Brunswick (Province of) 3.50%, 10/23/07 150,000 156,457 Nova Scotia (Province of) 5.75%, 02/27/12 500,000 570,488 Ontario (Province of) 3.28%, 03/28/08 250,000 256,141 7.63%, 06/22/04 1,000,000 1,062,884 Quebec (Province of) 5.75%, 02/15/09 1,000,000 1,135,329 6.13%, 01/22/11 1,000,000 1,163,505 Saskatchewan (Province of) 7.38%, 07/15/13 230,000 296,278 South Africa (Republic of) 7.38%, 04/25/12 250,000 286,875 United Mexican States 6.38%, 01/16/13 500,000 530,000 8.13%, 12/30/19 1,000,000 1,140,000 8.30%, 08/15/31 250,000 287,875 8.50%, 02/01/06 500,000 579,750 -------------- TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $12,756,242) 13,868,103 -------------- 136 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS--66.26% ------------------------------------------------------------------------------- U.S. Government Securities--22.10% U.S. Treasury Bonds 5.25%, 02/15/29 $ 1,700,000 $ 1,851,074 5.38%, 02/15/31 1,500,000 1,689,082 6.00%, 02/15/26 1,800,000 2,151,634 6.13%, 11/15/27 2,600,000 3,164,892 6.25%, 05/15/30 700,000 871,445 6.50%, 11/15/26 1,950,000 2,473,834 7.13%, 02/15/23 2,700,000 3,618,105 7.25%, 05/15/16 1,800,000 2,393,860 7.63%, 02/15/25 3,200,000 4,549,875 8.00%, 11/15/21 4,250,000 6,157,022 8.13%, 08/15/19 1,850,000 2,675,635 8.75%, 11/15/08 500,000 514,160 8.75%, 05/15/17 1,600,000 2,394,938 8.75%, 05/15/20 1,800,000 2,753,789 9.13%, 05/15/18 1,500,000 2,326,230 9.25%, 02/15/16 600,000 918,680 9.38%, 02/15/06 800,000 961,531 9.88%, 11/15/15 400,000 635,656 10.38%, 11/15/09 3,100,000 3,482,779 10.38%, 11/15/12 1,300,000 1,731,691 11.25%, 02/15/15 650,000 1,107,640 11.75%, 11/15/14 500,000 755,820 12.50%, 08/15/14 400,000 617,016 12.75%, 11/15/10 200,000 251,984 13.25%, 05/15/14 850,000 1,330,515 13.88%, 05/15/11 600,000 803,602 U.S. Treasury Notes 1.50%, 02/28/05 6,700,000 6,732,193 1.75%, 12/31/04 750,000 756,504 1.88%, 09/30/04 3,000,000 3,029,532 2.13%, 08/31/04 4,750,000 4,808,078 2.88%, 06/30/04 2,000,000 2,036,406 3.00%, 11/15/07 10,270,000 10,593,341 3.50%, 11/15/06 2,300,000 2,424,435 3.88%, 02/15/13 5,860,000 6,030,075 4.00%, 11/15/12 4,250,000 4,422,490 4.38%, 05/15/07 2,000,000 2,172,812 4.38%, 08/15/12 550,000 589,725 4.63%, 05/15/06 5,550,000 6,016,328 4.75%, 11/15/08 900,000 997,699 4.88%, 02/15/12 2,500,000 2,778,905 5.50%, 05/15/09 800,000 921,438 5.63%, 02/15/06 1,000,000 1,105,664 5.63%, 05/15/08 2,500,000 2,866,015 5.75%, 11/15/05 4,200,000 4,622,461 5.75%, 08/15/10 1,600,000 1,872,813 5.88%, 11/15/04 1,800,000 1,915,664 6.00%, 08/15/04 4,200,000 4,431,328 6.00%, 08/15/09 2,000,000 2,359,140 6.13%, 08/15/07 3,100,000 3,585,950 6.25%, 02/15/07 1,200,000 1,380,000 6.50%, 05/15/05 1,000,000 1,096,719 6.50%, 08/15/05 2,400,000 2,659,313 6.50%, 02/15/10 1,800,000 2,183,695 6.75%, 05/15/05 4,000,000 4,405,156 6.88%, 05/15/06 1,100,000 1,260,575 7.00%, 07/15/06 1,400,000 1,618,093 7.88%, 11/15/04 1,000,000 1,091,367 -------------- 144,946,403 -------------- Mortgage-Backed Securities--32.06% Federal Home Loan Mortgage Corporation 5.00%, 05/01/18 $ 5,977,600 $ 6,179,282 5.50%, 01/01/17 1,340,986 1,391,048 5.50%, 03/01/17 6,184,905 6,414,895 5.50%, 04/01/17 1,443,028 1,496,688 5.50%, 04/01/33 2,996,841 3,095,936 5.50%, 07/01/33 2 10,000,000 10,315,620 6.00%, 11/01/16 508,807 529,168 6.00%, 02/01/17 569,113 591,887 6.00%, 04/01/17 640,179 665,741 6.00%, 05/01/17 514,774 535,328 6.00%, 06/01/17 705,965 734,154 6.00%, 09/01/32 11,097,801 11,506,645 6.00%, 11/01/32 1,801,820 1,868,199 6.50%, 01/01/17 2,532,194 2,659,670 6.50%, 06/01/31 1,248,145 1,298,839 6.50%, 09/01/31 413,473 430,267 6.50%, 11/01/31 625,800 651,217 7.00%, 02/01/16 1,521,924 1,616,709 7.00%, 12/01/31 2,248,550 2,357,349 7.00%, 01/01/32 2,934,354 3,076,338 7.00%, 04/01/32 1,229,091 1,288,841 7.50%, 06/01/27 848,718 904,183 7.50%, 01/01/28 1,462,105 1,557,656 7.50%, 10/01/29 1,299,246 1,387,264 8.00%, 12/01/24 3,547,962 3,850,787 Federal National Mortgage Association 4.50%, 07/01/18 2 4,000,000 4,080,000 5.00%, 05/01/18 11,951,165 12,360,244 5.00%, 07/01/18 2 3,000,000 3,098,436 5.00%, 07/01/33 2 2,000,000 2,031,876 5.50%, 06/01/33 9,990,424 10,343,601 5.50%, 07/01/33 2 11,000,000 11,367,818 6.00%, 06/01/16 431,570 450,444 6.00%, 07/01/16 604,212 630,637 6.00%, 01/01/17 629,514 657,045 6.00%, 07/01/17 6,015,725 6,278,927 6.00%, 12/01/32 9,752,684 10,138,914 6.00%, 01/01/33 10,285,897 10,693,243 6.50%, 02/01/17 1,781,635 1,879,516 6.50%, 01/01/29 12,891,892 13,462,218 6.50%, 08/01/32 13,570,629 14,151,890 6.50%, 09/01/32 2,137,853 2,229,422 7.00%, 03/01/30 2,724,907 2,870,985 7.00%, 08/01/31 1,887,341 1,987,555 7.00%, 02/01/32 2,465,682 2,596,603 7.50%, 06/01/30 265,922 282,534 7.50%, 07/01/31 306,665 325,966 Government National Mortgage Association 5.50%, 06/15/33 4,000,000 4,173,750 6.00%, 02/15/33 6,664,830 6,989,741 6.50%, 09/15/31 362,375 380,527 6.50%, 03/15/32 628,231 659,661 6.50%, 04/15/32 504,262 529,490 6.50%, 05/15/32 7,126,009 7,482,521 6.50%, 10/15/32 810,839 851,405 7.00%, 09/15/31 5,212,654 5,507,998 7.50%, 12/15/23 5,065,709 5,424,670 -------------- 210,321,348 -------------- U.S. Government Agency Obligations--12.10% Federal Home Loan Bank 5.38%, 05/15/06 3,000,000 3,297,963 5.95%, 07/28/08 3,500,000 4,046,556 6.09%, 06/02/06 1,500,000 1,682,664 6.75%, 08/15/07 700,000 819,964 137 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Bond Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS--(Continued) ------------------------------------------------------------------------------- Federal Home Loan Mortgage Corporation 2.88%, 09/15/05 $ 6,460,000 $ 6,650,828 3.50%, 09/15/07 6,400,000 6,690,694 4.75%, 10/11/12 2,000,000 2,065,050 5.50%, 07/15/06 1,600,000 1,770,619 5.75%, 03/15/09 500,000 574,306 5.75%, 01/15/12 2,200,000 2,531,245 6.25%, 07/15/32 1,720,000 2,023,795 6.75%, 09/15/29 70,000 86,731 6.88%, 01/15/05 3,500,000 3,797,206 6.88%, 09/15/10 200,000 244,626 7.00%, 07/15/05 1,000,000 1,111,321 Federal National Mortgage Association 0.00%, 06/01/17 1,000,000 508,545 3.00%, 06/15/04 3,000,000 3,051,852 3.50%, 09/15/04 3,800,000 3,907,312 3.88%, 03/15/05 6,000,000 6,263,748 5.25%, 03/22/07 2,000,000 2,053,490 5.25%, 01/15/09 1,000,000 1,122,821 5.50%, 03/15/11 3,300,000 3,743,965 5.88%, 02/02/06 1,700,000 1,876,151 6.00%, 05/15/11 1,500,000 1,753,650 6.25%, 02/01/11 1,000,000 1,153,224 6.38%, 06/15/09 394,000 466,615 6.50%, 08/15/04 1,500,000 1,589,228 6.63%, 10/15/07 1,000,000 1,172,241 6.63%, 11/15/10 2,000,000 2,417,804 7.00%, 07/15/05 3,500,000 3,889,130 7.25%, 01/15/10 800,000 992,245 Financing Corp. 8.60%, 09/26/19 1,150,000 1,673,726 9.65%, 11/02/18 500,000 781,896 Tennessee Valley Authority 6.25%, 12/15/17 1,600,000 1,912,094 6.88%, 12/15/43 1,000,000 1,056,431 7.13%, 05/01/30 450,000 586,583 ----------- 79,366,319 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $417,266,677) 434,634,070 -------------- ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS--24.08% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 3 114,368,860 114,368,860 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares 3 16,478,851 16,478,851 BlackRock Temp Cash Money Market Fund 3 831,016 831,016 Short Term Investment Co.--Liquid Assets Money Market Portfolio 3 4,321,079 4,321,079 Short Term Investment Co.--Prime Money Market Portfolio, Institutional Shares 3 1,830,983 1,830,983 ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03 3 $ 1,098,590 $ 1,098,590 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04 3 915,354 915,354 1.17%, 08/15/03 3 1,373,314 1,373,314 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03 3 732,393 732,393 CC USA Inc., Floating Rate Note 1.10%, 04/19/04 3 805,592 805,592 1.31%, 05/24/04 3 1,830,800 1,830,800 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04 3 1,830,709 1,830,709 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04 3 915,492 915,492 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04 3 1,830,983 1,830,983 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04 3 366,197 366,197 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04 3 915,446 915,446 1.22%, 04/13/04 3 915,446 915,446 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04 3 915,309 915,309 1.08%, 03/29/04 3 915,492 915,492 1.29%, 05/04/04 3 915,446 915,446 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03 3 1,830,892 1,830,892 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04 3 915,492 915,492 1.14%, 05/17/04 3 1,098,590 1,098,590 -------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $157,952,326) 157,952,326 -------------- ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS--0.20% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%. 3 915,492 915,492 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%. 3 366,197 366,197 -------------- TOTAL REPURCHASE AGREEMENTS (Cost: $1,281,689) 1,281,689 -------------- TOTAL INVESTMENTS IN SECURITIES--121.76% (Cost $763,362,029) 798,650,868 Other Assets, Less Liabilities--(21.76%) (142,712,380) -------------- NET ASSETS--100.00% $ 655,938,488 ============== Notes to the Schedule of Investments: 1 Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. 2 TBA. 3 All or a portion of this security represents investments of securities lending collateral. 4 Investments are denominated in U.S. dollars. 138 The accompanying notes are an integral part of these financial statements. Schedule of Investments June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--98.69% ------------------------------------------------------------------------------- Advertising--0.59% ADVO Inc. 1 1,702 $ 75,569 APAC Customer Services Inc. 1 3,944 10,057 Catalina Marketing Corp. 1 4,263 75,242 Donnelley (R.H.) Corp. 1 2,230 81,328 Getty Images Inc. 1 3,963 163,672 Grey Global Group Inc. 55 42,488 Harte-Hanks Inc. 5,803 110,257 Interep National Radio Sales Inc. Class A 1 3,040 8,482 Lamar Advertising Co. 1 5,672 199,711 MKTG Services Inc. 1 163 245 Modem Media Inc. 1 2,000 7,960 Obie Media Corp. 1 1,917 3,796 SITEL Corp. 1 4,768 7,390 24/7 Real Media Inc. 1 2,732 2,213 ValueVision Media Inc. Class A 1 2,142 29,195 West Corp. 1 4,233 112,809 -------------- 930,414 -------------- Aerospace/Defense--0.57% AAR Corp. 2,040 14,402 Alliant Techsystems Inc. 1 2,389 124,013 BE Aerospace Inc. 1 2,187 7,239 Curtiss-Wright Corp. 1,056 66,739 DRS Technologies Inc. 1 1,200 33,504 Fairchild Corp. (The) Class A 1 6,531 26,320 GenCorp Inc. 2,957 26,288 HEICO Corp. 1,209 14,750 HEICO Corp. Class A 1,469 13,148 Integrated Defense Technologies Inc. 1 910 14,114 Kreisler Manufacturing Corp. 1 2,500 12,000 L-3 Communications Holdings Inc. 1 6,315 274,639 Orbital Sciences Corp. 1 4,247 31,003 Sequa Corp. Class A 1 864 29,635 Teledyne Technologies Inc. 1 1,800 23,580 Titan Corp. (The) 1 4,376 45,029 United Defense Industries Inc. 1 1,873 48,586 Veridian Corp. 1 2,824 98,529 -------------- 903,518 -------------- Agriculture--0.21% Bunge Ltd. 8,044 230,058 Delta & Pine Land Co. 3,114 68,446 DIMON Inc. 4,000 28,640 Northland Cranberries Inc. Class A 1 532 426 Scheid Vineyards Inc. Class A 1 1,000 3,000 -------------- 330,570 -------------- Airlines--0.43% Airtran Holdings Inc. 1 3,693 38,666 Alaska Air Group Inc. 1 1,965 42,149 American West Holdings Corp. Class B 1 2,024 13,763 AMR Corp. 1 7,100 78,100 Atlantic Coast Airlines Holdings Inc. 1 2,718 36,666 Continental Airlines Inc. Class B 1 4,790 71,706 ExpressJet Holdings Inc. 1 4,357 65,791 JetBlue Airways Corp. 1 4,358 184,300 Midwest Express Holdings Inc. 1 1,830 4,795 Northwest Airlines Corp. 1 6,335 71,522 SkyWest Inc. 3,866 73,686 -------------- 681,144 -------------- Apparel--0.33% Cherokee Inc. 1 1,989 39,820 Dickie Walker Marine Inc. 1 1,800 3,366 Gymboree Corp. 1 2,800 46,984 JLM Couture Inc. 1 2,100 10,920 K-Swiss Inc. Class A 860 29,687 Oxford Industries Inc. 1,514 62,861 Phillips-Van Heusen Corp. 2,403 32,753 Quiksilver Inc. 1 3,338 55,044 Stride Rite Corp. 4,777 47,579 Timberland Co. Class A 1 2,513 132,837 Unifi Inc. 1 4,132 25,618 Warnaco Group Inc. (The) 1 2,872 38,628 -------------- 526,097 -------------- Auto Manufacturers--0.23% Aftermarket Technology Corp. 1 1,845 19,391 American Axle & Manufacturing Holdings Inc. 1 3,100 74,090 CLARCOR Inc. 1,991 76,753 Dura Automotive Systems Inc. 1 1,122 11,007 Hastings Manufacturing Co. 1 1,700 9,605 Oshkosh Truck Corp. 1,007 59,735 Smith (A.O.) Corp. 1,742 49,037 Starcraft Corp. 1 1,683 34,720 Titan International Inc. 2,171 2,692 Wabash National Corp. 1 2,527 35,454 -------------- 372,484 -------------- Auto Parts & Equipment--0.43% ArvinMeritor Inc. 4,538 91,577 Bandag Inc. 1,921 71,596 BorgWarner Inc. 2,275 146,510 Collins & Aikman Corp. 1 2,400 7,080 Edelbrock Corp. 1,907 19,737 Lear Corp. 1 4,050 186,381 Modine Manufacturing Co. 1,524 29,520 Strattec Security Corp. 1 247 13,140 Superior Industries International Inc. 2,140 89,238 139 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Tenneco Automotive Inc. 1 6,600 $ 23,760 Tower Automotive Inc. 1 3,068 11,229 -------------- 689,768 -------------- Banks--9.53% AMB Financial Corp. 2,250 32,715 AMCORE Financial Inc. 2,295 53,428 American Pacific Bank Class B 1 4,500 33,525 Anchor BanCorp Wisconsin Inc. 2,823 67,441 Arch Capital Group Ltd. 1 3,575 124,160 Associated Bancorp 4,920 181,450 Astoria Financial Corp. 5,892 164,564 Banc Corp. (The) 1,790 12,011 BancFirst Corp. 642 33,294 BancorpSouth Inc. 5,411 112,819 Bank Mutual Corp. 1,500 48,750 Bank of Hawaii Corp. 4,988 165,352 Banknorth Group Inc. 10,413 265,740 Bay View Capital Corp. 1 3,641 21,045 Blue River Bancshares Inc. 1 2,893 13,597 BOK Financial Corp. 1 4,283 165,195 Boston Private Financial Holdings Inc. 1,600 33,728 BostonFed Bancorp Inc. 1,892 50,914 Brookline Bancorp Inc. 7,531 105,434 Bryn Mawr Bank Corp. 1,058 39,220 Capital Bank Corp. 2,500 37,300 Capital City Bank Group Inc. 1,782 64,508 Capital Crossing Bank 1 2,481 59,742 Cathay Bancorp Inc. 1,802 80,333 CFS Bancorp Inc. 3,746 52,819 Chemical Financial Corp. 2,958 88,148 Chester Bancorp Inc. 1,100 23,100 Chester Valley Bancorp 1,356 25,913 Chittenden Corp. 2,577 70,481 Citizens Banking Corp. 2,645 70,807 Citizens First Financial Corp. 1,522 36,528 City National Corp. 4,398 195,975 CoBiz Inc. 1,419 19,213 Colonial BancGroup Inc. (The) 8,391 116,383 Commerce Bancorp Inc. 4,204 155,968 Commerce Bancshares Inc. 4,756 185,246 Commercial Federal Corp. 3,700 78,440 Community First Bankshares Inc. 2,411 65,820 Community Trust Bancorp Inc. 1,100 28,754 Compass Bancshares Inc. 8,353 291,770 Connecticut Bankshares Inc. 1,088 42,704 Corus Bankshares Inc. 1,651 79,958 Cullen/Frost Bankers Inc. 3,945 126,634 CVB Financial Corp. 4,322 84,365 Dime Community Bancshares 1,833 46,650 Downey Financial Corp. 1,706 70,458 East West Bancorp Inc. 2,200 79,508 Farmers Capital Bank Corp. 1,246 39,822 Fidelity Bankshares Inc. 3,019 67,324 Fidelity Southern Corp. 2,763 31,885 Financial Institutions Inc. 1,499 35,226 First Bancorp 3,199 87,813 First Bancorp North Carolina 858 22,231 First Citizens BancShares Inc. Class A 909 91,664 First Commonwealth Financial Corp. 3,111 40,319 First Community Bancorp 865 26,962 First Federal Financial of Kentucky 607 19,831 First Financial Bancorp 3,790 60,640 First Kansas Financial Corp. 1,900 33,155 First Merchants Corp. 849 20,639 First Midwest Bancorp Inc. 2,848 82,051 First Niagara Financial Group Inc. 7,581 105,831 First Oak Brook Bancshares Class A 713 23,522 First Republic Bank 1 1,165 30,989 First Sentinel Bancorp Inc. 4,730 75,538 1st Source Corp. 2,146 39,830 First Virginia Banks Inc. 4,684 201,974 FIRSTFED AMERICA BANCORP INC. 1,289 44,470 FirstFed Financial Corp. 1 1,845 65,110 FirstMerit Corp. 5,590 127,787 Flagstar Bancorp Inc. 2,852 69,731 FMS Financial Corp. 1,000 16,400 FNB Corp.--Florida Shares 2,664 80,613 Frontier Financial Corp. 2,004 56,934 Fulton Financial Corp. 6,526 129,672 GA Financial Inc. 1,963 49,369 GBC Bancorp 1,033 39,667 Glacier Bancorp Inc. 1,512 37,225 Greater Bay Bancorp 3,163 64,588 GreenPoint Financial Corp. 6,526 332,434 140 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Hancock Holding Co. 1,752 $ 82,449 Harbor Florida Bancshares Inc. 4,183 100,225 Hibernia Corp. Class A 10,096 183,343 Home City Financial Corp. 800 11,280 Home Financial Bancorp 2,015 10,377 Horizon Financial Services Corp. 900 11,700 Hudson City Bancorp Inc. 13,600 347,752 Hudson River Bancorp Inc. 1,500 41,880 Hudson United Bancorp 2,924 99,855 Independence Community Bank Corp. 4,216 118,976 Independent Bank Corp. (Massachusetts) 1,748 39,487 Independent Bank Corp. (Michigan) 3,430 88,117 IndyMac Bancorp Inc. 4,338 110,272 Integra Bank Corp. 1,697 29,205 International Bancshares Corp. 3,044 108,236 Investors Financial Services Corp. 4,200 121,842 Irwin Financial Corp. 2,369 61,357 Local Financial Corp. 1 1,300 18,772 M&T Bank Corp. 7,494 631,145 MAF Bancorp Inc. 2,336 86,596 Main Street Banks Inc. 1,000 25,300 Medallion Financial Corp. 1,916 13,431 Mercantile Bankshares Corp. 4,724 186,031 Merchants Bancshares Inc. 1,143 29,718 MidWestOne Financial Group Inc. 1,062 17,045 National Commerce Financial Corp. 13,426 297,923 National Penn Bancshares Inc. 1,926 54,082 Net.B@nk Inc. 5,701 75,025 New York Community Bancorp Inc. 9,143 265,970 Northwest Bancorp Inc. 5,896 94,336 NSD Bancorp Inc. 1,103 29,340 Ocwen Financial Corp. 1 6,716 30,491 Old National Bancorp 4,977 114,471 Pacific Capital Bancorp 1,973 69,154 Pacific Premier Bancorp Inc. 1 1,953 14,923 Park National Corp. 1,026 117,220 Parkvale Financial Corp. 1,233 30,307 Patriot Bank Corp. 4,540 81,675 Peoples Bancorp Inc. 1,518 38,360 People's Bank 4,591 133,093 Peoples Financial Corp. 700 10,220 Popular Inc. 8,057 310,920 Provident Bankshares Corp. 2,688 68,302 Provident Financial Group Inc. 2,864 73,404 R&G Financial Corp. Class B 2,074 61,598 Republic Bancorp Inc. 5,643 75,729 Republic Bancorp Inc. Class A 2,640 39,151 Republic Bancshares Inc. 1,754 43,868 Riggs National Corp. 2,971 45,219 Roslyn Bancorp Inc. 6,978 149,957 Royal Bancshares of Pennsylvania Class A 1,585 33,840 S&T Bancorp Inc. 3,736 102,478 Santander BanCorp 4,147 67,845 Silicon Valley Bancshares 1 2,626 62,525 Simmons First National Corp. Class A 1,822 36,458 Sky Financial Group Inc. 5,391 117,093 Sobieski Bancorp Inc. 1,600 20,800 SoundView Technology Group Inc. 1 960 9,715 South Financial Group Inc. (The) 4,373 102,022 SouthFirst Bancshares Inc. 800 11,040 Southwest Bancorp of Texas Inc. 1 2,143 69,669 Sovereign Bancorp Inc. 17,225 269,571 Staten Island Bancorp Inc. 4,184 81,504 Sterling Bancorp (New York) 1,716 47,859 Sterling Bancshares Inc. 3,142 41,097 Sterling Financial Corp. (Pennsylvania) 1,995 46,384 Sterling Financial Corp. (Washington) 1 2,744 66,844 Suffolk Bancorp 3,600 115,920 Susquehanna Bancshares Inc. 3,704 86,488 TCF Financial Corp. 4,841 192,865 Texas Regional Bancshares Inc. Class A 2,801 97,195 Tompkins Trustco Inc. 1,000 44,650 Trust Co. of New Jersey (The) 2,085 63,175 TrustCo Bank Corp. NY 5,945 65,871 Trustmark Corp. 3,856 98,212 UCBH Holdings Inc. 2,396 68,717 UMB Financial Corp. 1,991 84,418 Umpqua Holdings Corp. 1,230 23,358 UnionBanCal Corp. 9,695 401,082 United Bancshares Inc. 2,324 66,583 141 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- United National Bancorp 1,684 $ 46,462 United Tennessee Bankshares Inc. 1,100 15,400 Unizan Financial Corp. 3,187 55,996 Valley National Bancorp 6,889 181,525 W Holding Co. Inc. 6,883 116,460 Warwick Community Bancorp 2,643 77,308 Washington Federal Inc. 4,056 93,815 Washington Trust Bancorp Inc. 1,000 22,990 Waypoint Financial Corp. 6,900 124,476 Webster Financial Corp. 3,393 128,255 WesBanco Inc. 3,399 82,596 Westamerica Bancorp 2,503 107,829 Westcorp Inc. 3,031 84,868 Westfield Financial Inc. 600 11,286 Whitney Holding Corp. 2,460 78,646 Wilmington Trust Corp. 5,038 147,865 Wintrust Financial Corp. 1,159 34,306 -------------- 15,157,643 -------------- Beverages--0.28% Chalone Wine Group Ltd. 1 2,320 18,026 Coca-Cola Bottling Co. Consolidated 874 47,720 Constellation Brands Inc. 1 5,196 163,154 Farmer Brothers Co. 186 63,108 PepsiAmericas Inc. 9,213 115,715 Robert Mondavi Corp. (The) Class A 1 762 19,286 Sylvan Inc. 1 1,885 20,000 -------------- 447,009 -------------- Biotechnology--2.28% ACLARA BioSciences Inc. 1 2,840 12,013 Affymetrix Inc. 1 3,815 75,194 Alexion Pharmaceuticals Inc. 1 1,616 27,553 Applera Corp.--Celera Genomics Group 1 4,707 48,576 Arena Pharmaceuticals Inc. 1 1,900 12,616 Ariad Pharmaceuticals Inc. 1 3,100 13,919 Avant Immunotherapeutics Inc. 1 2,900 8,642 Axonyx Inc. 1 5,154 12,473 Cambrex Corp. 1,890 43,508 Cellegy Pharmaceuticals Inc. 1 3,100 15,593 Cephalon Inc. 1 3,459 142,372 Charles River Laboratories International Inc. 1 2,800 90,104 Ciphergen Biosystems Inc. 1 3,000 30,750 CryoLife Inc. 1 1,750 18,112 CuraGen Corp. 1 3,200 17,760 CYTOGEN Corp. 1 450 3,748 Deltagen Inc. 1 3,500 455 Diversa Corp. 1 2,387 23,464 Encysive Pharmaceuticals Inc. 1 4,257 20,434 EntreMed Inc. 1 1,378 5,719 Exact Sciences Corp. 1 2,500 27,400 eXegenics Inc. 1 4,756 2,473 Exelixis Inc. 1 4,520 31,369 Gene Logic Inc. 1 1,900 11,343 Genencor International Inc. 1 4,500 74,115 Genentech Inc. 1 14,430 1,040,692 Genome Therapeutics Corp. 1 3,020 7,701 GTC Biotherapeutics Inc. 1 7,976 27,358 Human Genome Sciences Inc. 1 8,712 110,817 ICOS Corp. 1 4,116 151,263 IDEC Pharmaceuticals Corp. 1 10,041 341,394 Illumina Inc. 1 2,560 7,680 Immunomedics Inc. 1 3,393 21,410 Incyte Corp. 1 4,282 19,868 Integra LifeSciences Holdings Corp. 1 2,000 52,760 Invitrogen Corp. 1 3,692 141,662 Kosan Biosciences Inc. 1 4,000 23,600 Large Scale Biology Corp. 1 1,704 1,704 Maxim Pharmaceuticals Inc. 1 7,365 42,349 Maxygen Inc. 1 2,462 27,008 Millennium Pharmaceuticals Inc. 1 18,695 294,072 Myriad Genetics Inc. 1 1,673 22,770 Nanogen Inc. 1 7,100 20,874 Nektar Therapeutics 1 3,004 27,727 Neurobiological Technologies Inc. 1 7,803 27,232 Ortec International Inc. 1 326 750 Protein Design Labs Inc. 1 5,326 74,457 Regeneron Pharmaceuticals Inc. 1 3,143 49,502 Ribapharm Inc. 1 897 5,786 Savient Pharmaceuticals Inc. 1 2,779 12,895 Sequenom Inc. 1 3,687 10,029 Sirna Therapeutics Inc. 1 5,289 46,596 Targeted Genetics Corp. 1 9,926 18,065 TECHNE Corp. 1 2,489 75,516 Telik Inc. 1 2,324 37,347 Third Wave Technologies Inc. 1 2,454 11,043 Transkaryotic Therapies Inc. 1 2,355 27,177 V.I. Technologies Inc. 1 3,152 7,722 XOMA Ltd. 1 13,683 72,930 -------------- 3,629,461 -------------- 142 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Building Materials--0.66% Advanced Lighting Technologies Inc. 1 1,945 $ 175 Apogee Enterprises Inc. 2,500 22,550 Centex Construction Products Inc. 1,509 60,496 Ceradyne Inc. 1 2,800 52,444 Comfort Systems USA Inc. 1 4,359 11,464 ElkCorp 1,370 30,825 Florida Rock Industries Inc. 1,824 75,295 Genlyte Group Inc. (The) 1 1,102 38,537 Homasote Co. 1 2 900 -- Integrated Electrical Services Inc. 1 3,692 26,767 Lafarge North America Inc. 4,599 142,109 Lennox International Inc. 3,521 45,315 LSI Industries Inc. 1,734 19,247 Martin Marietta Materials Inc. 3,483 117,064 NCI Building Systems Inc. 1 1,307 21,827 Rayonier Inc. 2,665 87,945 Rock of Ages Corp. 2,774 17,865 Simpson Manufacturing Co. Inc. 1 1,834 67,124 Texas Industries Inc. 1,710 40,698 Trex Co. Inc. 1 1,300 51,025 USG Corp. 1 2,423 46,037 Waxman Industries Inc. 1 1,900 7,600 York International Corp. 2,848 66,643 -------------- 1,049,052 -------------- Chemicals--1.30% Airgas Inc. 5,251 87,954 Albemarle Corp. 2,602 72,778 Arch Chemicals Inc. 2,100 40,110 Atlantis Plastics Inc. Class A 1 600 4,230 Cabot Corp. 3,977 114,140 Cabot Microelectronics Corp. 1 1,810 91,351 Crompton Corp. 8,406 59,262 Cytec Industries Inc. 1 2,335 78,923 Detrex Corp. 1 2,000 3,280 Ferro Corp. 2,485 55,987 Flamemaster Corp. (The) 1,600 10,768 Foamex International Inc. 1 2,122 6,493 Fuller (H.B.) Co. 2,050 45,141 General Chemical Group Inc. (The) 1 4,900 1,225 Georgia Gulf Corp. 2,179 43,144 IMC Global Inc. 7,815 52,439 JLM Industries Inc. 1 2,200 2,860 Landec Corp. 1 1,973 7,201 Lubrizol Corp. 3,866 119,807 Lyondell Chemical Co. 8,958 121,202 MacDermid Inc. 1,924 50,601 Millennium Chemicals Inc. 3,774 35,891 Minerals Technologies Inc. 1,419 69,049 Mississippi Chemical Corp. 1 2,577 155 Myers Industries Inc. 3,121 29,650 NL Industries Inc. 3,832 65,144 Olin Corp. 2,793 47,760 OM Group Inc. 1,760 25,925 OMNOVA Solutions Inc. 1 2,357 9,522 Penford Corp. 1,571 17,548 PolyOne Corp. 4,908 21,841 Rogers Corp. 1 1,116 37,163 RPM International Inc. 6,547 90,021 Schulman (A.) Inc. 2,888 46,381 Solutia Inc. 6,927 15,101 Spartech Corp. 2,902 61,551 Stepan Co. 745 16,837 SurModics Inc. 1 1,148 35,014 Symyx Technologies Inc. 1 2,178 35,545 Terra Industries Inc. 1 5,000 5,350 U.S. Plastic Lumber Co. 1 1,954 352 Valhi Inc. 10,022 96,412 Valspar Corp. (The) 3,200 135,104 Vertex Pharmaceuticals Inc. 1 4,698 68,591 Wellman Inc. 2,600 29,120 -------------- 2,063,923 -------------- Coal--0.13% CONSOL Energy Inc. 6,125 139,282 Massey Energy Co. 4,599 60,477 -------------- 199,759 -------------- Commercial Services--5.08% Ablest Inc. 1 1,700 8,789 ABM Industries Inc. 2,912 44,845 Actuant Corp. Class A 1 645 30,521 Administaff Inc. 1 1,570 16,171 Advisory Board Co. (The) 1 1,900 76,988 AHL Services Inc. 1 2,230 3,077 Albany Molecular Research Inc. 1 2,100 31,710 AMN Healthcare Services Inc. 1 3,900 49,530 Answerthink Inc. 1 2,281 4,402 ARAMARK Corp. Class B 1 5,831 130,731 Arbitron Inc. 1 2,400 85,680 Armor Holdings Inc. 1 3,000 40,200 Atrix Laboratories Inc. 1 1,816 39,934 Bankrate Inc. 1 5,171 62,673 Barrett Business Services Inc. 1 5,200 16,588 BearingPoint Inc. 1 11,751 113,397 Blount International Inc. 1 3,065 17,470 Blue Rhino Corp. 1 1,881 22,553 Bowne & Co. Inc. 2,846 37,083 Bright Horizons Family Solutions Inc. 1 1,019 34,198 Brink's Co. (The) 3,410 49,684 143 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Career Education Corp. 1 3,500 $ 239,470 Caremark Rx Inc. 1 16,958 435,481 CDI Corp. 1 2,262 58,722 Central Parking Corp. 2,398 29,639 Charles River Associates Inc. 1 1,972 55,748 Clark Inc. 1 1,605 19,180 Coinstar Inc. 1 1,800 33,948 Corinthian Colleges Inc. 1 2,800 135,996 Corporate Executive Board Co. (The) 1 2,774 112,430 CoStar Group Inc. 1 1,228 36,668 Cross Country Healthcare Inc. 1 1,700 22,423 DeVry Inc. 1 4,854 113,050 DiamondCluster International Inc. Class A 1 2,863 10,622 Dun & Bradstreet Corp. 1 5,100 209,610 Edgewater Technology Inc. 1 3,066 14,717 Edison Schools Inc. 1 3,000 4,500 Education Management Corp. 1 2,288 121,676 Electro Rent Corp. 1 1,901 20,493 Exult Inc. 1 10,700 91,699 First Consulting Group Inc. 1 2,194 10,246 First Health Group Corp. 1 5,842 161,239 FTI Consulting Inc. 1 2,250 56,182 Gartner Inc. Class B 1 5,300 39,750 Gevity HR Inc. 1,928 22,789 Griffin Land & Nurseries Inc. 1 1,300 17,979 GSI Commerce Inc. 1 2,939 19,633 Harris Interactive Inc. 1 5,460 35,981 Healthcare Services Group Inc. 1 2,214 31,284 Heidrick & Struggles International Inc. 1 1,500 18,930 Hewitt Associates Inc. Class A 1 979 23,055 Interactive Data Corp. 1 7,842 132,530 InterActiveCorp 1 33,339 1,319,216 Iron Mountain Inc. 1 5,754 213,416 ITT Educational Services Inc. 1 3,416 99,918 j2 Global Communications Inc. 1 672 30,899 Kelly Services Inc. Class A 1,746 40,944 Korn/Ferry International 1 2,745 22,234 Kroll Inc. 1 3,624 98,065 Labor Ready Inc. 1 4,970 35,635 Landauer Inc. 705 29,490 Learning Tree International Inc. 1 1,311 20,491 LendingTree Inc. 1 4,366 106,880 Mail-Well Inc. 1 5,584 14,072 Management Network Group Inc. (The) 1 3,200 6,240 Manpower Inc. 4,945 183,410 MAXIMUS Inc. 1 2,104 58,134 McGrath Rentcorp 916 24,494 Medical Staffing Network Holdings Inc. 1 1,515 10,605 MedQuist Inc. 1 2,616 52,948 Midas Inc. 1 2,555 30,967 MPS Group Inc. 1 5,602 38,542 MPW Industrial Services Group Inc. 1 1,095 2,190 National Research Corp. 1 2,500 28,150 Navigant Consulting Co. 1 4,627 54,830 Neff Corp. 1 4,392 1,976 NetRatings Inc. 1 2,328 21,278 Neurogen Corp. 1 1,733 7,902 New Horizons Worldwide Inc. 1 1,608 6,882 On Assignment Inc. 1 1,578 6,312 PDI Inc. 1 878 8,920 PFSweb Inc. 1 2,656 1,700 Pharmaceutical Product Development Inc. 1 3,321 95,412 Pharmacopeia Inc. 1 1,300 10,725 Plexus Corp. 1 2,360 27,211 Precis Inc. 1 6,784 31,206 Pre-Paid Legal Services Inc. 1 1,100 26,983 PRG-Schultz International Inc. 1 3,046 17,971 Princeton Review Inc. (The) 1 1,637 9,658 ProsoftTraining 1 2,672 1,149 Quanta Services Inc. 1 6,656 47,258 Rainbow Rentals Inc. 1 1,065 6,017 RCM Technologies Inc. 1 3,186 12,425 Rent-A-Center Inc. 1 2,217 168,071 Rent-Way Inc. 1 1,445 6,719 Resources Connection Inc. 1 1,300 31,018 Rollins Inc. 4,749 89,519 Roper Industries Inc. 2,199 81,803 Roto-Rooter Inc. 1,162 44,319 Saba Software Inc. 1 3,152 14,342 SciQuest Inc. 1 2,389 9,198 Security Associates International Inc. 1 3,200 -- Service Corp. International 1 11,600 44,892 ServiceMaster Co. (The) 18,725 200,358 Sotheby's Holdings Inc. Class A 1 3,645 27,119 SOURCECORP Inc. 1 1,406 30,370 Spherion Corp. 1 3,724 25,882 SPS Technologies Inc. 1 1,178 31,853 Stewart Enterprises Inc. Class A 1 5,516 23,719 Strayer Education Inc. 1,102 87,554 Student Advantage Inc. 1 360 29 Sylvan Learning Systems Inc. 1 2,757 62,970 144 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- TeleTech Holdings Inc. 1 4,895 $ 20,706 Trimeris Inc. 1 1,297 59,247 Tyler Technologies Inc. 1 3,772 16,031 United Rentals Inc. 1 4,435 61,602 Universal Security Instruments Inc. 1 2,100 22,575 URS Corp. 1 1,885 36,682 Valassis Communications Inc. 1 3,427 88,142 Viad Corp. 5,514 123,458 Volt Information Sciences Inc. 1 1,260 17,199 Wackenhut Corrections Corp. 1 1,638 22,457 Watson Wyatt & Co. Holdings 1 3,200 74,176 Weight Watchers International Inc. 1 6,719 305,647 Westaff Inc. 1 1,884 4,201 Wireless Facilities Inc. 1 2,879 34,260 World Fuel Services Corp. 4,155 102,171 -------------- 8,082,938 -------------- Computer Systems--0.00% MetaSolv Inc. 1 2,760 5,410 -------------- 5,410 -------------- Computers--4.95% Accrue Software Inc. 1 2,100 73 ACE*COMM Corp. 1 4,000 4,000 Activision Inc. 1 5,883 76,008 Advanced Digital Information Corp. 1 3,140 31,369 Advent Software Inc. 1 2,194 37,101 Affiliated Computer Services Inc. Class A 1 8,260 377,730 Agile Software Corp. 1 3,100 29,915 American Software Inc. Class A 1 3,900 17,160 Anteon International Corp. 1 3,200 89,312 Applix Inc. 1 1,058 1,693 Art Technology Group Inc. 1 4,400 7,040 Ask Jeeves Inc. 1 3,000 41,250 Aspen Technology Inc. 1 2,506 12,029 Auspex Systems Inc. 1 2,748 99 Avici Systems Inc. 1 734 4,477 BARRA Inc. 1 1,431 51,087 BindView Development Corp. 1 4,020 8,120 BISYS Group Inc. (The) 1 7,801 143,304 Black Box Corp. 1,271 46,010 Blue Coat Systems Inc. 1 584 3,504 Braun Consulting Inc. 1 3,200 5,440 Brio Software Inc. 1 2,347 5,426 Brocade Communications Systems Inc. 1 14,800 87,172 BSQUARE Corp. 1 1,800 1,476 CACI International Inc. Class A 1 1,800 61,740 Calico Commerce Inc. 1 1,824 821 Carreker Corp. 1 1,313 6,014 Catalyst International Inc. 1 2,159 1,727 CCC Information Services Group Inc. 1 3,164 45,878 Ceridian Corp. 1 9,500 161,215 CIBER Inc. 1 3,099 21,755 Ciprico Inc. 1 3,316 20,228 Cogent Communications Group Inc. 1 3,800 8,360 Cognizant Technology Solutions Corp. 1 4,005 97,562 Commerce One Inc. 1 1,244 2,923 Computer Network Technology Corp. 1 1,415 11,461 Concur Technologies Inc. 1 4,166 41,952 Concurrent Computer Corp. 1 3,566 10,413 Covansys Corp. 1 2,955 9,072 Critical Path Inc. 1 4,989 4,939 Crossroads Systems Inc. 1 2,600 4,391 CyberSource Corp. 1 2,300 6,302 Cysive Inc. 1 2,500 8,025 Daleen Technologies Inc. 1 1,700 204 Data Translation Inc. 1 2,700 810 Dataram Corp. 1 2,350 7,172 Datatec Systems Inc. 1 3,783 4,086 Dendrite International Inc. 1 2,959 38,112 Diebold Inc. 4,777 206,605 Digex Inc. 1 2,600 1,196 Digital River Inc. 1 3,738 72,143 Digitas Inc. 1 4,161 20,639 DocuCorp International Inc. 1 898 5,954 Dot Hill Systems Corp. 1 2,640 34,584 DSP Group Inc. 1 1,792 38,582 DST Systems Inc. 1 7,976 303,088 E.piphany Inc. 1 5,150 26,316 Echelon Corp. 1 2,298 31,643 Eclipsys Corp. 1 3,293 34,379 eGain Communications Corp. 1 2,751 1,293 Electronics For Imaging Inc. 1 5,078 103,033 Ener1 Inc. 1 2,600 650 Engage Inc. 1 11,800 189 Enterasys Networks Inc. 1 11,776 35,681 Entrust Inc. 1 4,400 12,936 Equinix Inc. 1 139 1,091 Evolving Systems Inc. 1 17,431 56,999 Exabyte Corp. 1 3,131 282 Extended Systems Inc. 1 1,500 5,850 Extreme Networks Inc. 1 6,900 36,570 FactSet Research Systems Inc. 2,354 103,694 Fair Isaac Corp. 3,307 170,145 145 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Fidelity National Information Solutions Inc. 1 2,748 $ 71,668 First Virtual Communications Inc. 1 920 4,086 Forgent Networks Inc. 1 2,700 7,317 Foundry Networks Inc. 1 7,300 105,120 Hall Kinion & Associates Inc. 1 1,325 3,630 Henry (Jack) & Associates Inc. 6,112 108,732 Hypercom Corp. 1 3,574 14,832 Hyperion Solutions Corp. 1 2,443 82,476 IDX Systems Corp. 1 2,485 38,567 iGATE Corp. 1 2,794 9,695 iManage Inc. 1 2,500 12,500 InFocus Corp. 1 2,918 13,773 Inforte Corp. 1 3,794 29,897 infoUSA Inc. 1 3,416 27,670 Integral Systems Inc. 1 1,262 25,089 InterCept Inc. 1 1,200 10,032 Intergraph Corp. 1 3,688 79,292 Interliant Inc. 1 4,100 25 Internap Network Services Corp. 1 10,300 10,506 Internet Security Systems Inc. 1 3,224 46,716 Interwoven Inc. 1 6,200 13,764 Intraware Inc. 1 2,300 2,875 Intrusion.com Inc. 1 2,128 1,596 Iomega Corp. 1 2,444 25,906 ION Networks Inc. 1 800 68 ITXC Corp. 1 3,600 9,396 Juniper Networks Inc. 1 24,097 298,080 Jupiter Media Metrix Inc. 2 7,751 1,705 Keynote Systems Inc. 1 2,800 29,344 Kronos Inc. 1 1,282 65,138 Larscom Inc. 1 698 3,545 Lexar Media Inc. 1 4,300 41,022 LookSmart Ltd. 1 5,000 14,150 Manhattan Associates Inc. 1 1,961 50,927 MAPICS Inc. 1 102 836 MapInfo Corp. 1 922 6,574 Marimba Inc. 1 2,100 6,111 Maxtor Corp. 1 14,233 106,890 McDATA Corp. Class A 1 6,934 101,722 Media 100 Inc. 1 1,360 1,618 Mentor Graphics Corp. 1 3,883 56,226 MICROS Systems Inc. 1 1,421 46,865 Micros-To-Mainframes Inc. 1 1,000 870 Mindspeed Technologies Inc. 1 5,240 14,149 Mitek Systems Inc. 1 3,300 4,191 Mobius Management Systems Inc. 1 1,756 13,117 MTI Technology Corp. 1 3,350 3,313 MTS Systems Corp. 4,285 63,161 National Instruments Corp. 1 4,164 157,316 Neoware Systems Inc. 1 1,800 27,612 Net Perceptions Inc. 1 3,000 4,800 NetScout Systems Inc. 1 2,500 13,425 Netsmart Technologies Inc. 1 4,200 23,142 Novadigm Inc. 1 1,945 5,038 Nuance Communications Inc. 1 2,329 12,577 NYFIX Inc. 1 1,983 12,592 Odetics Inc. Class A 1 1,335 906 On2 Technologies Inc. 1 2,100 2,625 OneSource Information Services Inc. 1 2,900 21,634 ONYX Software Corp. 1 2,900 2,813 Packeteer Inc. 1 3,800 59,166 Palm Inc. 1 3,161 51,429 PEC Solutions Inc. 1 2,400 38,640 Pegasus Solutions Inc. 1 2,005 32,581 Performance Technologies Inc. 1 1,587 11,585 Perot Systems Corp. Class A 1 6,811 77,373 Phoenix Technologies Ltd. 1 1,569 8,865 Primus Knowledge Solutions Inc. 1 2,500 3,275 ProcureNet Inc. 2 1,791 -- Progress Software Corp. 1 1,928 39,967 Quantum Corp. 1 9,760 39,528 Quest Software Inc. 1 5,800 69,020 Radiant Systems Inc. 1 2,038 13,736 RadiSys Corp. 1 1,563 20,632 Radview Software Ltd. 1 2,092 774 Rainbow Technologies Inc. 1 2,864 24,086 Red Hat Inc. 1 10,000 75,700 Redback Networks Inc. 1 9,200 8,280 Retek Inc. 1 3,155 20,192 Riverstone Networks Inc. 1 7,510 8,862 RSA Security Inc. 1 3,275 35,206 RWD Technologies Inc. 1 2,923 6,021 Safeguard Scientifics Inc. 1 7,939 21,435 SafeNet Inc. 1 212 5,932 Sagent Technology Inc. 1 2,400 384 Sanchez Computer Associates Inc. 1 2,362 12,282 SanDisk Corp. 1 4,219 170,237 ScanSoft Inc. 1 3,583 19,456 ScanSource Inc. 1 680 18,190 Scientific Learning Corp. 1 4,397 19,786 SCM Microsystems Inc. 1 2,988 16,314 Seagate Technology 7,848 138,517 Secure Computing Corp. 1 2,230 19,468 146 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- SEEC Inc. 1 2,300 $ 3,174 SEI Investment Co. 6,888 220,416 Silicon Storage Technology Inc. 1 5,987 25,086 SmartDisk Corp. 1 1,900 114 SmartServ Online Inc. 1 3,200 1,632 Socket Communications Inc. 1 2,600 4,056 Sonic Foundry Inc. 1 2,400 2,352 SonicWALL Inc. 1 4,200 20,160 Speedus Corp. 1 3,600 4,248 SportsLine.com Inc. 1 3,955 8,286 SRA International Inc. Class A 1 1,184 37,888 SS&C Technologies Inc. 1 3,939 62,827 Storage Technology Corp. 1 8,066 207,619 StorageNetworks Inc. 1 2,316 3,219 Stratasys Inc. 1 2,400 84,408 Stratos Lightwave Inc. 1 700 3,479 Sykes Enterprises Inc. 1 2,159 10,558 Synaptics Inc. 1 600 8,076 Synopsys Inc. 1 4,976 307,766 Syntel Inc. 1 3,108 48,889 T/R Systems Inc. 1 3,632 3,232 Take-Two Interactive Software Inc. 1 2,620 74,251 Technology Solutions Co. 1 3,925 3,925 Teknowledge Corp. 1 700 1,456 Tellium Inc. 1 6,019 5,297 TenFold Corp. 1 7,295 16,778 THQ Inc. 1 3,886 69,948 3Com Corp. 1 22,888 107,116 3D Systems Corp. 1 2,317 16,289 Tier Technologies Inc. Class B 1 1,884 14,601 TransAct Technologies Inc. 1 3,700 44,881 Tumbleweed Communications Corp. 1 2,204 5,686 Turnstone Systems Inc. 1 7,062 17,726 Ultimate Software Group Inc. 1 2,485 12,452 USDATA Corp. 1 660 198 VeriSign Inc. 1 15,231 210,645 Verity Inc. 1 2,268 28,713 Versant Corp. 1 3,800 2,314 Verso Technologies Inc. 1 2,283 3,950 Vertel Corp. 1 2,100 191 Vialink Co. (The) 1 2,188 298 WatchGuard Technologies Inc. 1 2,200 10,120 Wave Systems Corp. Class A 1 3,069 2,701 Webb Interactive Services 1 1,672 1,371 Western Digital Corp. 1 11,703 120,541 Xanser Corp. 1 2,200 4,730 Xybernaut Corp. 1 5,065 2,938 Zamba Corp. 1 2,800 476 -------------- 7,862,757 -------------- Cosmetics/Personal Care--0.16% Estee Lauder Companies Inc. Class A 7,442 249,530 -------------- 249,530 -------------- Distribution/Wholesale--0.81 Advanced Energy Industries Inc. 1 1,793 25,550 Advanced Marketing Services Inc. 1,449 18,837 Bell Microproducts Inc. 1 2,292 9,787 Brightpoint Inc. 1 777 9,557 CDW Corp. 1 5,244 240,175 CellStar Corp. 1 2,739 10,764 Chindex International Inc. 1 2,000 40,800 Fastenal Co. 4,812 163,319 First Aviation Services Inc. 2,400 9,144 Handleman Co. 1 3,314 53,024 Hughes Supply Inc. 1,672 58,018 Ingram Micro Inc. Class A 1 10,364 114,004 Keystone Automotive Industries Inc. 1 3,486 63,654 Margo Caribe Inc. 1 2,116 15,256 Nitches Inc. 1,900 11,438 NuCo2 Inc. 1 2,522 23,732 Owens & Minor Inc. 2,557 57,149 SCP Pool Corp. 1 2,165 74,476 Tech Data Corp. 1 4,959 132,455 TIMCO Aviation Services Inc. 1 215 82 United Stationers Inc. 1 2,246 81,238 Watsco Inc. 3,306 54,747 WESCO International Inc. 1 3,100 18,600 -------------- 1,285,806 -------------- Diversified Financial Services--2.85% Advanta Corp. Class A 2,893 28,467 Affiliated Managers Group Inc. 1 1,284 78,260 Alleghany Corp. 1 486 92,826 Allied Capital Corp. 7,819 180,619 American Capital Strategies Ltd. 4,107 102,429 AmeriCredit Corp. 1 8,742 74,744 Ameritrade Holding Corp. 1 25,030 185,472 Ampal-American Israel Corp. Class A 1 2,783 7,904 Avalon Capital Inc. 2 900 11,970 BlackRock Inc. 1 1,300 58,552 Capitol Federal Financial 4,700 132,117 Chicago Mercantile Exchange 1,974 137,450 CIT Group Inc. 14,198 349,981 CompuCredit Corp. 1 2,500 30,375 Diamond Hill Investment Group 1 2,052 8,208 Digital Insight Corp. 1 2,589 49,320 Doral Financial Corp. 4,663 208,203 DVI Inc. 1 1,919 8,962 E*TRADE Group Inc. 1 22,308 189,618 Eaton Vance Corp. 5,090 160,844 Edwards (A.G.) Inc. 4,812 164,570 147 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- E-LOAN Inc. 1 4,300 $ 25,069 Empire Financial Holding Co. 1 3,100 5,115 Equitex Inc. 1 6,339 6,656 Factual Data Corp. 1 4,138 71,918 Financial Federal Corp. 1 1,741 42,480 Forrester Research Inc. 1 1,166 19,076 Gabelli Asset Management Inc. Class A 1 800 28,880 Greg Manning Auctions Inc. 1 1,400 3,150 HPSC Inc. 1 2,200 21,406 Instinet Group Inc. 2,582 12,032 Investment Technology Group Inc. 1 3,231 60,097 Jeffries Group Inc. 1,440 71,698 Kent Financial Services Inc. 1 2,200 7,810 Kirlin Holding Corp. 1 500 2,550 Knight Trading Group Inc. 1 7,490 46,588 LaBranche & Co. Inc. 4,000 82,760 Legg Mason Inc. 3,976 258,241 M.H. Meyerson & Co. Inc. 1 3,900 10,214 Matrix Bancorp Inc. 1 1,947 19,937 MCG Capital Corp. 4,000 58,000 MemberWorks Inc. 1 1,498 29,585 Metris Companies Inc. 3,983 22,106 National Processing Inc. 1 4,265 68,581 NCO Group Inc. 1 2,060 36,895 Neuberger Berman Inc. 6,031 240,697 New Century Equity Holdings Corp. 1 3,028 999 New Century Financial Corp. 1,388 60,586 Nuveen Investments Inc. Class A 6,706 182,671 Online Resources Corp. 1 1,400 8,918 Phoenix Companies Inc. 6,993 63,147 Rampart Capital Corp. 1 2,300 6,946 Raymond James Financial Inc. 2,566 84,806 Resource America Inc. Class A 2,574 26,641 S1 Corp. 1 4,503 18,192 Sagemark Companies Ltd. (The) 1 2,176 5,549 Saxon Capital Inc. 1 668 11,610 Siebert Financial Corp. 1 2,939 14,110 StarTek Inc. 1 1,989 52,311 Student Loan Corp. 1,390 175,140 Sutter Holding Co. Inc. 1 1,700 20,315 SWS Group Inc. 1,601 32,260 Waddell & Reed Financial Inc. Class A 5,897 151,376 Westwood Holdings Group Inc. 1,000 19,020 WFS Financial Inc. 1 2,425 81,262 -------------- 4,528,291 -------------- Electric--2.20% ALLETE Inc. 4,782 126,962 Alliant Energy Corp. 5,851 111,345 Avista Corp. 3,199 45,266 Black Hills Corp. 2,435 74,754 CH Energy Group Inc. 1,356 61,020 Cleco Corp. 3,212 55,632 DPL Inc. 8,404 133,960 DQE Inc. 3,346 50,424 El Paso Electric Co. 1 3,496 43,106 Empire District Electric Co. (The) 1,961 42,652 Energy East Corp. 11,385 236,353 Great Plains Energy Inc. 4,733 136,689 Green Mountain Power Corp. 2,136 42,720 Hawaiian Electric Industries Inc. 2,785 127,692 IDACORP Inc. 1,982 52,027 MDU Resources Group Inc. 4,977 166,680 MGE Energy Inc. 3,119 97,874 Northeast Utilities 10,402 174,129 NorthWestern Corp. 2,128 4,256 NSTAR 4,230 192,677 OGE Energy Corp. 5,413 115,676 Otter Tail Corp. 1,960 52,881 Pepco Holdings Inc. 10,206 195,547 Plug Power Inc. 1 3,254 15,196 PNM Resources Inc. 2,469 66,046 Puget Energy Inc. 6,183 147,588 Reliant Resources Inc. 1 17,149 105,123 SCANA Corp. 6,893 236,292 Sierra Pacific Resources 1 5,187 30,811 Texas Genco Holdings Inc. 1,154 26,830 UIL Holdings Corp. 1,796 72,828 UniSource Energy Corp. 3,142 59,070 Westar Energy Inc. 4,046 65,667 Wisconsin Energy Corp. 7,457 216,253 WPS Resources Corp. 2,863 115,093 -------------- 3,497,119 -------------- Electrical Components & Equipment--0.27% Active Power Inc. 1 2,186 3,672 C&D Technologies Inc. 1,414 20,305 Capstone Turbine Corp. 1 4,900 5,341 Energizer Holdings Inc. 1 6,061 190,315 GrafTech International Ltd. 1 2,812 15,325 Hubbell Inc. Class B 3,842 127,170 ISCO International Inc. 1 4,000 960 Medis Technologies Ltd. 1 1,067 7,608 Proton Energy Systems Inc. 2,100 4,494 Superconductor Technologies Inc. 1 3,200 7,360 148 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Wilson Greatbatch Technologies Inc. 1 1,300 $ 46,930 -------------- 429,480 -------------- Electronics--2.66% Actel Corp. 1 2,137 43,808 ADE Corp. 1 1,586 13,608 Aeroflex Inc. 1 3,466 26,827 Alpha Technologies Group Inc. 1 2,496 4,368 Alpine Group Inc. (The) 1 1,396 1,110 American Building Control Inc. 1 542 623 American Superconductor Corp. 1 1,366 8,182 American Technology Corp. 1 4,745 30,131 AMETEK Inc. 2,034 74,546 Amphenol Corp. Class A 1 2,898 135,684 Analogic Corp. 966 47,102 Andrea Electronics Corp. 1 2,596 805 Arrow Electronics Inc. 1 6,367 97,033 Artesyn Technologies Inc. 1 2,290 12,847 Artisan Components Inc. 1 1,153 26,069 AstroPower Inc. 1 2,400 7,896 ATMI Inc. 1 3,118 77,856 Ault Inc. 1 2,400 5,112 Avnet Inc. 1 7,724 97,940 AVX Corp. 11,542 126,847 Barnes Group Inc. 1,790 38,950 Bel Fuse Inc. Class A 1 1,091 22,365 Belden Inc. 1,681 26,711 Benchmark Electronics Inc. 1 1,419 43,648 Blonder Tongue Laboratories Inc. 1 4,570 10,465 Brady Corp. Class A 1,406 46,890 Cable Design Technologies Corp. 1 2,643 18,897 California Amplifier Inc. 1 1,100 3,927 Caliper Technologies Corp. 1 1,734 7,890 Catalyst Semiconductor Inc. 1 3,300 12,708 Checkpoint Systems Inc. 1 2,497 35,333 Coherent Inc. 1 2,160 51,689 Concord Camera Corp. 1 6,302 44,681 CTS Corp. 1,216 12,707 Cubic Corp. 3,384 75,192 Cymer Inc. 1 2,692 84,960 Daktronics Inc. 1 3,600 58,860 Dionex Corp. 1 2,700 107,325 DuPont Photomasks Inc. 1 1,284 24,178 EDO Corp. 2,396 42,409 Electric Fuel Corp. 1 2,539 2,031 Electro Scientific Industries Inc. 1 1,275 19,329 Electro-Sensors Inc. 4,000 12,440 Energy Conversion Devices Inc. 1 1,563 14,223 ESS Technology Inc. 1 3,518 34,300 Evans & Sutherland Computer Corp. 1 3,765 21,385 Exar Corp. 1 2,028 32,103 Excel Technology Inc. 1 1,006 22,967 Fairchild Semiconductor International Inc. Class A 1 7,000 89,530 FEI Co. 1 1,869 35,062 Fisher Scientific International Inc. 1 2,767 96,568 Frequency Electronics Inc. 1,643 14,951 FSI International Inc. 1 2,428 9,469 FuelCell Energy Inc. 1 2,800 22,932 General Cable Corp. 2,647 14,294 Gentex Corp. 1 4,560 139,582 Genus Inc. 1 1,400 3,780 HEI Inc. 1 2,100 6,321 Helix Technology Corp. 1,597 21,128 Hickok Inc. Class A 1 2,300 9,439 Hifn Inc. 1 1,039 9,257 Hutchinson Technology Inc. 1 2,299 75,614 Innovex Inc. 1 3,844 38,824 Interlink Electronics Inc. 1 3,850 23,523 International Electronics Inc. 1 2,300 6,233 inTEST Corp. 1 1,900 8,531 InVision Technologies Inc. 1 1,539 38,244 JMAR Technologies Inc. 1 2,400 3,000 JNI Corp. 1 3,600 17,748 KEMET Corp. 1 5,608 56,641 Lifeline Systems Inc. 1 1,214 34,478 Littelfuse Inc. 1 1,208 27,011 Lowrance Electronics Inc. 1 2,700 23,058 Mattson Technology Inc. 1 1,653 5,108 Maxwell Technologies Inc. 1 613 3,531 Meade Instruments Corp. 1 3,280 10,496 Mechanical Technology Inc. 1 1,914 5,933 Mercury Computer Systems Inc. 1 1,744 31,671 Mesa Laboratories Inc. 1 2,400 16,824 Methode Electronics Inc. Class A 2,190 23,542 Micrel Inc. 1 5,568 57,852 Micro Linear Corp. 1 2,880 8,381 Microsemi Corp. 1 2,034 32,544 MIPS Technologies Inc. Class A 1 2,467 6,316 MKS Instruments Inc. 1 4,910 88,724 Molecular Devices Corp. 1 1,818 28,924 Nu Horizons Electronics Corp. 1 2,415 14,490 149 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- O.I. Corp. 1 3,200 $ 16,768 Oak Technology Inc. 1 4,600 28,566 Oilgear Co. (The) 1 2,600 5,850 Optelecom Inc. 1 4,057 42,396 OPTi Inc. 1 2,083 3,541 Orbit International Corp. 1 3,600 20,736 OSI Systems Inc. 1 1,734 27,848 OYO Geospace Corp. 1 1,100 15,125 PCD Inc. 1 3,210 19 Photon Dynamics Inc. 1 1,200 33,156 Photronics Inc. 1 2,147 37,465 Pioneer-Standard Electronics Inc. 2,671 22,650 PLX Technology Inc. 1 2,100 8,274 Power Integrations Inc. 1 1,812 44,068 QuickLogic Corp. 1 2,100 6,762 Ramtron International Corp. 1 3,840 8,717 Rayovac Corp. 1 2,929 37,931 Recoton Corp. 1 1,631 7 REMEC Inc. 1 3,501 24,367 Reptron Electronics Inc. 1 3,600 1,368 Research Frontiers Inc. 1 1,504 21,056 Robotic Vision Systems Inc. 1 2,513 930 Rudolph Technologies Inc. 1 1,317 21,019 SBS Technologies Inc. 1 1,930 18,974 Semtech Corp. 1 4,436 63,169 Silicon Image Inc. 1 5,000 27,900 Siliconix Inc. 1 1,812 65,413 Sipex Corp. 1 2,060 10,094 Spectrum Control Inc. 1 2,390 13,432 Spire Corp. 1 5,000 14,445 Taser International Inc. 1 4,367 56,771 Tech/Ops Sevcon Inc. 1,439 7,555 Technitrol Inc. 1 1,846 27,782 Therma-Wave Inc. 1 1,515 3,151 Three-Five Systems Inc. 1 1,445 9,970 Trans-Lux Corp. 1,400 8,680 Trimble Navigation Ltd. 1 1,915 43,911 Triumph Group Inc. 1 1,015 28,593 Tvia Inc. 1 2,220 2,287 Universal Display Corp. 1 2,700 24,084 Universal Electronics Inc. 1 1,278 16,205 Valence Technology Inc. 1 8,715 26,058 Varian Inc. 1 1,930 66,913 Vicor Corp. 1 2,475 23,760 Vishay Intertechnology Inc. 1 9,564 126,245 Watts Industries Inc. Class A 2,401 42,858 Woodhead Industries Inc. 1,806 22,611 Woodward Governor Co. 816 35,088 X-Rite Inc. 3,781 37,470 Zoran Corp. 1 2,058 39,534 Zygo Corp. 1 911 7,288 -------------- 4,225,371 -------------- Energy & Related--0.01% Millennium Cell Inc. 1 3,400 6,188 Syntroleum Corp. 1 2,492 6,629 -------------- 12,817 -------------- Engineering & Construction--0.15% EMCOR Group Inc. 1 973 48,027 Granite Construction Inc. 2,378 45,562 Jacobs Engineering Group Inc. 1 3,438 144,912 UNIFAB International Inc. 1 3,300 1,155 -------------- 239,656 -------------- Entertainment--1.03% Alliance Gaming Corp. 1 3,300 62,403 AMC Entertainment Inc. 1 3,050 34,892 Ameristar Casinos Inc. 1 2,700 57,645 Argosy Gaming Co. 1 1,703 35,610 barnesandnoble.com Inc. 1 2,900 6,757 Championship Auto Racing Teams Inc. 1 1,178 2,945 Churchill Downs Inc. 1,277 48,922 Dover Downs Gaming & Entertainment Inc. 2,303 21,303 Dover Motorsports Inc. 3,290 13,489 Expedia Inc. 1 2,636 201,338 Gaylord Entertainment Co. 1 1,443 28,240 GTECH Holdings Corp. 1 3,692 139,004 Hollywood Entertainment Corp. 1 3,393 58,360 Image Entertainment Inc. 1 599 1,366 International Speedway Corp. Class A 3,538 139,786 Isle of Capri Casinos Inc. 1 1,700 28,101 Macrovision Corp. 1 3,060 60,955 Metro-Goldwyn-Mayer Inc. 1 15,040 186,797 NetFlix Inc. 1 3,295 84,187 Penn National Gaming Inc. 1 3,986 81,912 Pinnacle Entertainment Inc. 1 1,651 11,227 Regal Entertainment Group Class A 3,965 93,495 Six Flags Inc. 1 6,474 43,894 Speedway Motorsports Inc. 2,731 73,191 Steinway Musical Instruments Inc. 1 1,325 20,405 Vail Resorts Inc. 1 2,910 39,198 World Wrestling Entertainment Inc. 1,900 19,551 Wynn Resorts Ltd. 1 2,095 37,061 Zomax Inc. 1 2,356 7,704 -------------- 1,639,738 -------------- 150 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Environmental Control--0.43% Catalytica Energy Systems Inc. 1 1,705 $ 4,603 Crown Andersen Inc. 1 3,900 9,360 Duratek Inc. 1 2,430 19,027 IMCO Recycling Inc. 1 5,713 37,934 Ionics Inc. 1 920 20,580 Layne Christensen Co. 1 6,420 51,809 Mine Safety Appliances Co. 963 42,006 MPM Technologies Inc. 1 1,900 684 Republic Services Inc. 1 11,167 253,156 Stericycle Inc. 1 2,800 107,744 Tetra Tech Inc. 1 2,746 47,039 U.S. Liquids Inc. 1 5,654 1,470 Waste Connections Inc. 1 2,100 73,605 Waste Holdings Inc. 1 2,593 18,462 -------------- 687,479 -------------- Food--2.55% American Italian Pasta Co. Class A 1 1,309 54,520 Andersons Inc. 2,101 25,737 Applebee's International Inc. 3,921 123,237 Arden Group Inc. Class A 1 520 30,680 Bridgeford Food Corp. 1,119 8,460 CEC Entertainment Inc. 1 1,809 66,806 Cheesecake Factory (The) 1 3,172 113,843 Chiquita Brands International Inc. 1 4,300 62,350 Corn Products International Inc. 2,003 60,150 Dean Foods Co. 1 8,115 255,622 Del Monte Foods Co. 1 12,913 114,151 Dreyer's Grand Ice Cream Holdings Inc. 1,840 144,698 Flowers Foods Inc. 2,691 53,174 Fresh Brands Inc. 3,742 52,051 Fresh Del Monte Produce Inc. 5,903 151,648 Gardenburger Inc. 1 3,019 1,208 Green Mountain Coffee Roasters Inc. 1 1,000 19,000 Hain Celestial Group Inc. 1 2,289 36,601 Hormel Foods Corp. 8,986 212,968 IHOP Corp. 1,282 40,473 Interstate Bakeries Corp. 2,520 32,004 Jack in the Box Inc. 1 2,052 45,760 Kraft Foods Inc. 17,587 572,457 Lance Inc. 2,741 25,025 Landry's Restaurants Inc. 1,434 33,842 M&F Worldwide Corp. 1 1,561 11,239 P.F. Chang's China Bistro Inc. 1 1,906 93,794 Panera Bread Co. Class A 1 2,500 100,000 Papa John's International Inc. 1 1,521 42,664 Paradise Inc. 400 8,000 Pathmark Stores Inc. 1 1,900 14,535 Performance Food Group Co. 1 2,523 93,351 Ralcorp Holdings Inc. 1 2,028 50,619 Rare Hospitality International Inc. 1 1,967 64,282 Ruddick Corp. 2,487 39,096 Schlotzsky's Inc. 1 4,337 11,016 Seaboard Corp. 166 34,362 Sensient Technologies Corp. 2,590 59,544 Smithfield Foods Inc. 1 6,648 152,372 Smucker (J.M.) Co. (The) 2,974 118,633 Sonic Corp. 1 2,739 69,653 SonomaWest Holdings Inc. 1 3,400 16,320 Tejon Ranch Co. 1 1,368 41,177 Tootsie Roll Industries Inc. 3,546 108,118 Tyson Foods Inc. Class A 22,989 244,143 United Heritage Corp. 1 6,360 3,562 United Natural Foods Inc. 1 1,913 53,832 Weis Markets Inc. 2,768 85,863 Whole Foods Market Inc. 1 3,889 184,844 Wild Oats Markets Inc. 1 1,876 20,448 -------------- 4,057,932 -------------- Forest Products & Paper--0.29% American Woodmark Corp. 800 37,248 Bowater Inc. 3,415 127,892 Buckeye Technologies Inc. 1 2,502 17,014 Caraustar Industries Inc. 1 3,220 25,792 Chesapeake Corp. 1,159 25,324 Fibermark Inc. 1 1,686 7,890 Glatfelter Co. 3,481 51,345 Pope & Talbot Inc. 1,397 15,437 Potlatch Corp. 2,704 69,628 Rock-Tenn Co. Class A 2,900 49,155 Wausau-Mosinee Paper Corp. 3,433 38,450 -------------- 465,175 -------------- Gas--0.29% AGL Resources Inc. 4,033 102,600 NUI Corp. 1,525 23,668 ONEOK Inc. 3,720 73,024 UGI Corp. 2,720 86,224 Vectren Corp. 4,577 114,654 WGL Holdings Inc. 2,487 66,403 -------------- 466,573 -------------- Hand/Machine Tools--0.29% Axsys Technologies Inc. 1 1,179 11,366 Baldor Electric Co. 1,856 38,234 Franklin Electric Co. Inc. 902 50,196 Kennametal Inc. 2,041 69,067 Powell Industries Inc. 1 2,091 30,612 Regal-Beloit Corp. 1,935 36,958 151 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- SPX Corp. 1 5,082 $ 223,913 -------------- 460,346 -------------- Health Care--5.15% ABIOMED Inc. 1 1,772 9,693 Accredo Health Inc. 1 2,911 63,460 Advanced Neuromodulation Systems Inc. 1 748 38,724 Alaris Medical Inc. 1 2,329 30,161 Alliance Imaging Inc. 1 2,859 12,580 Alliance Pharmaceutical Corp. 1 640 166 American Healthways Inc. 1 869 31,388 American Medical Systems Holdings Inc. 1 3,000 50,610 AMERIGROUP Corp. 1 1,651 61,417 AmSurg Corp. 1 1,289 39,314 Apogent Technologies Inc. 1 6,318 126,360 Apria Healthcare Group Inc. 1 3,516 87,478 Aradigm Corp. 1 2,248 4,046 Arrow International Inc. 1,139 50,287 ArthroCare Corp. 1 1,560 26,146 AVAX Technologies Inc. 1 2,900 696 Avigen Inc. 1 1,500 5,190 Beckman Coulter Inc. 3,981 161,788 Bei Technologies Inc. 900 10,800 BioMarin Pharmaceutical Inc. 1 4,800 46,848 Bio-Rad Laboratories Inc. Class A 1 1,816 100,516 Bioreliance Corp. 1 2,049 43,439 Biosite Inc. 1 977 46,994 BriteSmile Inc. 1 1,706 43,947 Bruker Daltonics Inc. 1 3,335 17,776 CardioDynamics International Corp. 1 2,800 9,548 CardioGenesis Corp. 1 2,404 1,779 Cerner Corp. 1 3,045 69,883 Cerus Corp. 1 1,347 10,143 ChromaVision Medical Systems Inc. 1 3,736 5,903 Closure Medical Corp. 1 1,294 24,431 Cobalt Corp. 1 2,971 61,054 Colorado Medtech Inc. 1 1,974 9,278 Community Health Systems Inc. 1 6,383 123,128 Computer Motion Inc. 1 17,951 69,650 Conceptus Inc. 1 783 11,001 CONMED Corp. 1 2,515 45,924 Cooper Companies Inc. 2,334 81,153 Covance Inc. 1 3,805 68,870 Coventry Health Care Inc. 1 4,132 190,733 CTI Molecular Imaging Inc. 1 3,390 64,105 Cyber-Care Inc. 1 5,200 5 Cyberonics Inc. 1 1,143 24,586 Cygnus Inc. 1 2,359 1,439 Cytyc Corp. 1 7,458 78,458 Datascope Corp. 978 28,880 DaVita Inc. 1 5,721 153,208 Diagnostic Products Corp. 2,117 86,903 Diametrics Medical Inc. 1 3,462 4,016 Dynacq International Inc. 1 2,800 47,040 Edwards Lifesciences Corp. 1 3,766 121,039 Enzo Biochem Inc. 1 1,976 42,526 Enzon Pharmaceuticals Inc. 1 3,284 41,116 Epimmune Inc. 1 2,000 2,820 Express Scripts Inc. 1 4,991 340,985 Flir Systems Inc. 1 2,000 60,300 Genesis Health Ventures Inc. 1 3,900 68,835 Gen-Probe Inc. 1 1,484 60,651 Haemonetics Corp. 1 1,692 31,640 Hanger Orthopedic Group Inc. 1 1,442 16,511 Health Net Inc. 1 7,729 254,671 HealthTronics Surgical Services Inc. 1 2,400 21,600 Hillenbrand Industries Inc. 4,274 215,623 Hologic Inc. 1 2,693 35,494 Hooper Holmes Inc. 3,918 25,232 IDEXX Laboratories Inc. 1 2,329 78,115 IGEN International Inc. 1 1,785 56,049 I-many Inc. 1 1,903 1,922 Immtech International Inc. 1 5,317 32,168 Impath Inc. 1 1,124 15,893 INAMED Corp. 1 1,257 67,488 Intermagnetics General Corp. 1 1,020 20,237 Interpore International 1 2,927 37,261 Invacare Corp. 1,828 60,324 Inveresk Research Group Inc. 1 1,653 29,737 i-STAT Corp. 1 1,362 12,244 Kensey Nash Corp. 1 1,733 45,058 Kindred Healthcare Inc. 1 1,800 32,112 Kyphon Inc. 1 1,516 22,922 LabOne Inc. 1 651 14,036 Laboratory Corp. of America Holdings 1 9,190 277,078 Lasersight Inc. 1 1,588 445 LifeCell Corp. 1 600 3,060 LifePoint Hospitals Inc. 1 2,300 48,162 Lincare Holdings Inc. 1 6,608 208,218 Luminex Corp. 1 2,140 11,042 Matria Healthcare Inc. 1 1,160 20,474 Med-Design Corp. (The) 1 2,100 10,332 Medwave Inc. 1 1,841 6,628 Mentor Corp. 2,968 57,520 Meridian Bioscience Inc. 4,830 44,001 Merit Medical Systems Inc. 1 3,125 62,438 152 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Micro Therapeutics Inc. 1 3,300 $ 13,992 Microtek Medical Holdings Inc. 1 2,500 5,250 Mid Atlantic Medical Services Inc. 1 3,220 168,406 Novamed Eyecare Inc. 1 2,500 3,275 Novavax Inc. 1 3,100 17,267 Novitron International Inc. 2,000 12,100 Novoste Corp. 1 1,694 10,164 Oakley Inc. 1 4,562 53,695 Ocular Sciences Inc. 1 2,303 45,715 Odyssey Healthcare Inc. 1 1,288 47,656 OraSure Technologies Inc. 1 2,701 20,149 Orthodontic Centers of America Inc. 1 3,298 26,417 Orthologic Corp. 1 3,033 13,921 Osteotech Inc. 1 2,997 40,729 Oxford Health Plans Inc. 1 5,596 235,200 PacifiCare Health Systems Inc. 1 2,339 115,383 Palatin Technologies Inc. 1 1,800 5,742 Pediatrix Medical Group Inc. 1 1,483 52,869 PharmaNetics Inc. 1 2,400 13,920 PolyMedica Corp. 800 36,632 Possis Medical Inc. 1 2,556 35,068 Prime Medical Service Inc. 1 2,659 12,497 Province Healthcare Co. 1 3,552 39,321 PSS World Medical Inc. 1 7,148 41,101 Psychemedics Corp. 604 4,923 RehabCare Group Inc. 1 1,278 18,723 Renal Care Group Inc. 1 3,510 123,587 Res-Care Inc. 1 2,444 11,169 ResMed Inc. 1 2,412 94,550 Respironics Inc. 1 2,313 86,784 Select Medical Corp. 1 3,117 77,395 Sierra Health Services Inc. 1 1,701 34,020 Sola International Inc. 1 2,813 48,946 Specialty Laboratories Inc. 1 1,300 13,325 Spectranetics Corp. 1 11,691 35,658 Staar Surgical Co. 1 1,696 19,674 Steris Corp. 1 4,554 105,152 Sunrise Senior Living Inc. 1 1,950 43,641 Theragenics Corp. 1 2,984 12,831 Therasense Inc. 1 4,600 46,000 Thoratec Corp. 1 3,876 57,752 Triad Hospitals Inc. 1 4,974 123,455 TriPath Imaging Inc. 1 3,479 23,762 U.S. Physical Therapy Inc. 1 2,600 33,228 Universal Health Services Inc. Class B 1 3,732 147,862 Urologix Inc. 1 2,100 5,397 US Oncology Inc. 1 4,023 29,730 Varian Medical Systems Inc. 1 4,424 254,690 VCA Antech Inc. 1 2,214 43,328 Ventana Medical Systems Inc. 1 1,393 37,862 VistaCare Inc. Class A 1 2,805 68,190 VISX Inc. 1 4,020 69,747 Vital Sign Inc. 1,269 32,943 WebMD Corp. 1 23,096 250,130 WellChoice Inc. 1 1,240 36,307 West Pharmaceutical Services Inc. 1,171 28,689 Wright Medical Group Inc. 1 2,000 38,000 Young Innovations Inc. 1 1,354 38,589 ZEVEX International Inc. 1 1,200 3,840 Zoll Medical Corp. 1 677 22,720 -------------- 8,184,017 -------------- Holding Companies--Diversified--3.71 Berkshire Hathaway Inc. Class A 1 80 5,800,000 Triarc Companies Inc. 1 1,708 51,223 Walter Industries Inc. 3,486 40,960 -------------- 5,892,183 -------------- Home Builders--1.27% Beazer Homes USA Inc. 1 731 61,038 Champion Enterprises Inc. 1 4,252 22,025 Clayton Homes Inc. 8,598 107,905 D.R. Horton Inc. 9,217 258,998 Dominion Homes Inc. 1 1,300 31,005 Fleetwood Enterprises Inc. 1 3,500 25,900 Hovnanian Enterprises Inc. Class A 1 1,443 85,065 KIT Manufacturing Co. 1 2 1,000 250 Lennar Corp. Class A 4,628 330,902 M.D.C. Holdings Inc. 2,272 109,692 Meritage Corp. 1 1,300 64,038 Monaco Coach Corp. 1 2,752 42,188 NVR Inc. 1 451 185,361 Palm Harbor Homes Inc. 1 2,363 44,755 Ryland Group Inc. 1,514 105,072 Skyline Corp. 1,441 43,230 Standard-Pacific Corp. 2,326 77,130 Technical Olympic USA Inc. 1 1,914 45,228 Thor Industries Inc. 2,592 105,805 Toll Brothers Inc. 1 4,508 127,621 WCI Communities Inc. 1 2,677 51,479 William Lyon Homes Inc. 1 705 22,454 Winnebago Industries Inc. 1,733 65,681 -------------- 2,012,822 -------------- Home Furnishings--0.46% Applica Inc. 1 3,014 25,619 Bassett Furniture Industries Inc. 2,279 30,265 Ethan Allen Interiors Inc. 2,449 86,107 Fedders Corp. 3,656 11,224 153 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Furniture Brands International Inc. 1 4,043 $ 105,522 Harman International Industries Inc. 2,192 173,475 Kimball International Inc. Class B 1,920 29,952 Lazare Kaplan International Inc. 1 2,279 13,446 La-Z-Boy Inc. 3,606 80,702 Libbey Inc. 1,196 27,149 Movado Group Inc. 1,678 36,496 Oneida Ltd. 1,947 13,142 ParkerVision Inc. 1 1,320 8,646 Polycom Inc. 1 5,848 81,053 Rowe Furniture Corp. 1 499 958 Salton Inc. 1 1,283 11,573 -------------- 735,329 -------------- Household Products/Wares--0.68% Blyth Inc. 3,000 81,600 Church & Dwight Co. Inc. 2,224 72,792 Dial Corp. (The) 6,317 122,866 Enesco Group Inc. 1 7,002 51,815 Ennis Business Forms Inc. 980 14,259 Fossil Inc. 1 4,206 99,093 Harland (John H.) Co. 1,887 49,364 Helen of Troy Ltd. 1 4,479 67,902 Jarden Corp. 1 1,266 35,030 Nashua Corp. 1 3,083 27,439 National Presto Industries Inc. 1,071 33,844 Playtex Products Inc. 1 4,899 31,452 Russ Berrie & Co. Inc. 1,794 65,499 Scotts Co. (The) Class A 1 2,091 103,504 Standard Register Co. (The) 2,728 44,957 Toro Co. 2,550 101,362 Yankee Candle Co. Inc. (The) 1 3,500 81,270 -------------- 1,084,048 -------------- Insurance--3.88% Acceptance Insurance Companies Inc. 1 3,741 34 Alfa Corp. 3,856 49,010 Allmerica Financial Corp. 1 3,995 71,870 American Financial Group Inc. 4,368 99,590 American Independence Corp. 1 860 9,176 American Medical Security Group Inc. 1 840 16,044 American National Insurance Co. 1,451 125,356 American Physicians Capital Inc. 1 286 6,935 AmerUs Group Co. 2,105 59,340 Argonaut Group Inc. 2,775 34,216 Baldwin & Lyons Inc. Class B 1,891 44,911 Berkley (W.R.) Corp. 3,610 190,247 Brown & Brown Inc. 4,890 158,925 CNA Financial Corp. 1 14,127 347,524 CNA Surety Corp. 2,972 29,274 Commerce Group Inc. 2,012 72,834 Crawford & Co. Class B 3,782 18,570 Danielson Holding Corp. 1 980 1,568 Delphi Financial Group Inc. Class A 1,248 58,406 Donegal Group Inc. Class B 855 10,722 EMC Insurance Group Inc. 682 12,651 Erie Indemnity Co. Class A 4,774 196,927 FBL Financial Group Inc. Class A 2,105 42,416 Fidelity National Financial Inc. 8,127 249,987 Financial Industries Corp. 1,320 19,457 First American Corp. 4,918 129,589 Fremont General Corp. 4,078 55,869 Gainsco Inc. 1 770 216 Gallagher (Arthur J.) & Co. 5,923 161,106 Great American Financial Resources Inc. 2,609 34,204 Harleysville Group Inc. 2,703 62,223 HCC Insurance Holdings Inc. 4,166 123,189 HealthExtras Inc. 1 3,729 29,161 Hilb, Rogal & Hamilton Co. 2,472 84,147 Horace Mann Educators Corp. 2,702 43,583 Independence Holding Co. 1,069 22,567 Kansas City Life Insurance Co. 1,472 63,060 LandAmerica Financial Group Inc. 1,690 80,275 Leucadia National Corp. 4,101 152,229 Markel Corp. 1 646 165,376 Mercury General Corp. 4,536 207,068 MONY Group Inc. (The) 3,493 94,136 Nationwide Financial Services Inc. 3,389 110,142 Navigators Group Inc. 1 1,877 55,972 Odyssey Re Holdings Corp. 3,926 82,839 Ohio Casualty Corp. 1 4,478 59,020 Old Republic International Corp. 7,363 252,330 Philadelphia Consolidated Holding Corp. 1 1,645 66,458 PICO Holdings Inc. 1 2,300 29,900 PMA Capital Corp. Class A 2,309 29,024 PMI Group Inc. (The) 5,470 146,815 Presidential Life Corp. 2,120 29,913 ProAssurance Corp. 1 3,295 88,932 Protective Life Corp. 3,782 101,168 154 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Radian Group Inc. 6,299 $ 230,858 Reinsurance Group of America Inc. 2,879 92,416 RLI Corp. 2,328 76,591 Selective Insurance Group Inc. 1,963 49,173 Southern Security Life Insurance Co. 1 2,361 8,051 StanCorp Financial Group Inc. 1,892 98,800 State Auto Financial Corp. 3,976 89,261 Stewart Information Services Corp. 1 2,478 69,012 Transatlantic Holdings Inc. 3,231 223,424 Triad Guaranty Inc. 1 1,298 49,259 21st Century Insurance Group 4,619 66,052 UICI 1 4,968 74,868 United Fire & Casualty Co. 1,251 40,645 Unitrin Inc. 4,544 123,233 Universal American Financial Corp. 1 3,000 19,110 Wesco Financial Corp. 332 103,584 White Mountains Insurance Group Ltd. 568 224,360 Zenith National Insurance Corp. 1,762 50,217 -------------- 6,175,415 -------------- Iron/Steel--0.15% AK Steel Holding Corp. 1 8,844 32,015 Carpenter Technology Corp. 1,948 30,389 Gibraltar Steel Corp. 1,160 23,757 National Steel Corp. Class B 1 4,836 111 Reliance Steel & Aluminum Co. 2,195 45,436 Ryerson Tull Inc. 2,942 25,831 Shiloh Industries Inc. 1 2,882 9,309 Steel Dynamics Inc. 1 4,841 66,322 Weirton Steel Corp. 1 2,700 154 WHX Corp. 1 585 1,228 -------------- 234,552 -------------- Leisure Time--0.42% Ambassadors International Inc. 1 965 11,590 Bally Total Fitness Holding Corp. 1 1,835 16,570 Callaway Golf Co. 4,560 60,283 K2 Inc. 1 4,427 54,231 Nautilus Group Inc. (The) 2,400 29,760 Polaris Industries Inc. 1,447 88,846 ResortQuest International Inc. 1 3,354 14,791 Royal Caribbean Cruises Ltd. 14,892 344,899 WMS Industries Inc. 1 2,502 39,006 -------------- 659,976 -------------- Lodging--0.72% Aztar Corp. 1 2,668 42,981 Boca Resorts Inc. Class A 1 2,661 34,593 Boyd Gaming Corp. 1 4,980 85,955 Choice Hotels International Inc. 1 2,889 78,899 Extended Stay America Inc. 1 5,792 78,134 International Leisure Hosts Ltd. 1 2 2,400 12,000 John Q Hammons Hotels Inc. 1 2,600 15,808 Mandalay Resort Group 4,156 132,369 Marcus Corp. 2,495 37,300 MGM Grand Inc. 1 9,382 320,677 Park Place Entertainment Corp. 1 19,847 180,409 Prime Hospitality Corp. 1 3,038 20,385 ShoLodge Inc. 1 1,700 6,443 Station Casinos Inc. 1 4,168 105,242 Suburban Lodges of America Liquidating Trust 2 3,969 -- -------------- 1,151,195 -------------- Machinery--1.27% AGCO Corp. 1 3,886 66,373 Albany International Corp. Class A 2,391 65,513 Applied Industrial Technologies Inc. 1,369 28,886 Astec Industries Inc. 1 1,643 14,327 Asyst Technologies Inc. 1 2,036 13,621 Benthos Inc. 1 3,900 20,592 Briggs & Stratton Corp. 1,620 81,810 Cognex Corp. 1 2,846 63,608 Donaldson Co. Inc. 3,068 136,373 DT Industries Inc. 1 2,068 4,777 Dycom Industries Inc. 1 3,314 54,018 Electroglas Inc. 1 10,046 13,160 Engineered Support Systems Inc. 592 24,775 Esterline Technologies Corp. 1 1,575 27,421 Flowserve Corp. 1 3,518 69,199 Gardner Denver Inc. 1 1,793 36,685 Gerber Scientific Inc. 1 3,216 21,419 Global Payment Technologies Inc. 1 2,540 11,201 Graco Inc. 3,595 115,040 Hurco Companies Inc. 1 600 1,410 Idex Corp. 2,680 97,123 Imation Corp. 2,718 102,795 Insituform Technologies Inc. Class A 1 1,780 31,470 JLG Industries Inc. 2,372 16,130 Kadant Inc. 1 830 15,562 Knight Transportation Inc. 1 1,617 40,263 Kulicke & Soffa Industries Inc. 1 3,584 22,902 Lincoln Electric Holding Inc. 3,754 76,619 155 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Magnetek Inc. 1 2,812 $ 7,142 Manitowoc Co. Inc. (The) 2,254 50,264 NACCO Industries Inc. 560 33,006 Nordson Corp. 2,262 53,949 Paragon Technologies Inc. 1 3,600 36,000 Paxar Corp. 1 3,943 43,373 PPT Vision Inc. 1 1,600 1,200 Presstek Inc. 1 1,890 11,775 Robbins & Myers Inc. 1,306 24,161 Semitool Inc. 1 1,816 8,953 Stewart & Stevenson Services Inc. 2,732 43,029 SureBeam Corporation Class A 1 3,057 8,101 Tecumseh Products Co. Class A 739 28,311 Tegal Corp. 1 4,300 2,365 Tennant Co. 1,215 44,651 Terex Corp. 1 2,592 50,596 Thomas Industries Inc. 1,910 51,665 Ultratech Inc. 1 1,943 35,926 Unova Inc. 1 4,748 52,703 Zebra Technologies Corp. Class A 1 2,098 157,749 -------------- 2,017,991 -------------- Machinery--Construction & Mining--0.02% Joy Global Inc. 1 1,889 27,901 -------------- 27,901 -------------- Manufacturers--0.61% AZZ Incorporated 1 2,063 22,714 Carlisle Companies Inc. 2,050 86,428 CUNO Inc. 1 1,796 64,872 Federal Signal Corp. 3,348 58,824 FMC Corp. 1 3,336 75,494 Harsco Corp. 3,009 108,474 Jacuzzi Brands Inc. 1 5,310 28,090 Lancaster Colony Corp. 2,693 104,111 Pentair Inc. 3,546 138,507 Samsonite Corp. 1 2,267 1,700 Sturm Ruger & Co. Inc. 2,392 23,920 Teleflex Inc. 2,914 123,991 Tredegar Corp. 2,217 33,233 Trinity Industries Inc. 2,837 52,513 Wabtec Corp. 3,405 47,364 -------------- 970,235 -------------- Manufacturing--0.05% ESCO Technologies Inc. 1 664 29,216 International Smart Sourcing Inc. 1 3,590 11,308 Kaydon Corp. 1,638 34,070 Polymer Group Escrow 2 3,131 -- Polymer Group Inc. Class B 1 39 293 Polymer Group Inc. Class D Warrants (Expires 03/04/10) 1 2 49 -- Polymer Group Inc. Class E Warrants (Expires 03/04/10) 1 2 51 -- Servotronics Inc. 1 1,410 3,187 -------------- 78,074 -------------- Media--4.33% Acme Communications Inc. 1 2,400 18,240 Andersen Group Inc. 1 3,800 15,010 Banta Corp. 1,882 60,920 Beasley Broadcast Group Inc. Class A 1 2,300 31,464 Belo (A.H.) Corp. 7,894 176,510 Big City Radio Inc. 1 2,600 2,522 Cablevision Systems Corp. 1 14,610 303,304 Courier Corp. 349 17,973 Cox Radio Inc. Class A 1 2,465 56,966 Crown Media Holdings Inc. 1 11,798 48,726 Cumulus Media Inc. Class A 1 3,327 62,980 Emmis Communications Corp. 1 4,016 92,167 Entercom Communications Corp. 1 3,856 188,983 Entravision Communications Corp. 1 4,039 45,843 Fox Entertainment Group Inc. Class A 1 22,068 635,117 Gemstar-TV Guide International Inc. 1 24,500 124,705 Granite Broadcasting Corp. 1 2,740 8,384 Gray Television Inc. 2,271 28,160 Hearst-Argyle Television Inc. 1 6,173 159,881 Hispanic Broadcasting Corp. 1 6,746 171,686 Hollinger International Inc. 5,722 61,626 Hollywood Media Corp. 1 2,989 3,886 HyperFeed Technologies Inc. 1 997 479 Information Holdings Inc. 1 1,958 35,733 Insight Communications Co. Inc. 1 2,900 38,222 Journal Register Co. 1 2,867 51,864 Lee Enterprises Inc. 3,402 127,677 Liberty Corp. 1,871 79,517 Liberty Media Corp. Class A 1 158,162 1,828,353 Lin TV Corp. Class A 1 2,838 66,835 LodgeNet Entertainment Corp. 1 2,500 27,375 McClatchy Co. (The) Class A 2,671 153,903 Media General Inc. Class A 1,620 92,664 156 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Mediacom Communications Corp. 1 4,950 $ 48,856 Metromedia International Group Inc. 1 4,997 575 National Lampoon Inc. 1 3,300 14,850 New Frontier Media Inc. 1 1,500 2,400 On Command Corp. 1 3,249 3,574 Paxson Communications Corp. 1 4,748 28,441 Pegasus Communications Corp. 1 694 20,529 Playboy Enterprises Inc. Class B 1 2,398 32,613 Primedia Inc. 1 10,516 32,074 Pulitzer Inc. 1,506 74,427 Radio One Inc. 1 7,095 126,717 Radio Unica Communications Corp. 1 3,800 3,040 Readers Digest Association Inc. (The) 6,294 84,843 Regent Communications Inc. 1 3,200 18,880 Salem Communications Corp. Class A 1 1,700 34,019 Scholastic Corp. 1 2,660 79,215 Scripps (E.W.) Co. Class A 5,063 449,189 Sinclair Broadcast Group Inc. Class A 1 4,099 47,589 Spanish Broadcasting System Inc. Class A 1 2,600 21,190 TiVo Inc. 1 3,800 46,284 UnitedGlobalCom Inc. Class A 1 5,046 26,088 Value Line Inc. 1,146 56,280 Washington Post Company (The) Class B 519 380,375 Westwood One Inc. 1 7,233 245,416 Wiley (John) & Sons Inc. Class A 3,234 84,731 XM Satellite Radio Holdings Inc. Class A 1 6,675 73,759 Young Broadcasting Inc. Class A 1 1,662 35,118 Youthstream Media Networks Inc. 1 2,318 216 -------------- 6,888,963 -------------- Metal Fabricate/Hardware--0.18% Amcast Industrial Corp. 1 1,839 1,600 Penn Engineering & Manufacturing Corp. 1,834 25,034 Precision Castparts Corp. 2,929 91,092 Shaw Group Inc. (The) 1 2,670 32,174 Timken Co. (The) 4,180 73,192 TransTechnology Corp. 1 2,532 13,774 Valmont Industries Inc. 2,324 45,225 -------------- 282,091 -------------- Metals--Diversified--0.26% Ameron International Corp. 1,000 34,770 AptarGroup Inc. 2,543 91,548 Atchison Casting Corp. 1 457 105 Commercial Metals Co. 3,540 62,977 Matthews International Corp. Class A 1,974 48,876 Maverick Tube Corp. 1 2,142 41,019 Mueller Industries Inc. 1 2,301 62,380 Niagara Corp. 1 600 1,735 NS Group Inc. 1 1,534 14,957 Quanex Corp. 1,052 31,265 TransPro Inc. 1 3,911 17,521 -------------- 407,153 -------------- Mining--0.38% Arch Coal Inc. 3,365 77,328 Brush Engineered Materials Inc. 1 1,404 11,723 Century Aluminum Co. 1,637 11,508 Charles & Colvard Ltd. 1 2,811 11,244 Glamis Gold Ltd. 1 8,367 95,969 Golden Cycle Gold Corp. 1 1,800 27,000 Liquidmetal Technologies 1 672 3,447 MAXXAM Inc. 1 1,713 24,839 Meridian Gold Inc. 1 8,994 103,341 Peabody Energy Corp. 4,162 139,802 Royal Gold Inc. 1,530 32,880 Stillwater Mining Co. 1 2,620 13,467 Titanium Metals Corp. 1 613 19,677 USEC Inc. 5,274 37,023 -------------- 609,248 -------------- Office/Business Equipment--0.26% General Binding Corp. 1 3,195 38,340 Global Imaging Systems Inc. 1 686 15,888 Herman Miller Inc. 4,846 97,938 HON Industries Inc. 4,562 139,141 Imagistics International Inc. 1 1,925 49,665 Insight Enterprises Inc. 1 2,872 28,892 Steelcase Inc. Class A 2,407 28,306 Virco Manufacturing Corp. 1,598 10,163 -------------- 408,333 -------------- Oil & Gas Producers--3.48% Adams Resources & Energy Inc. 1,600 14,368 Apco Argentina Inc. 971 21,585 157 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Atmos Energy Corp. 3,304 $ 81,939 ATP Oil & Gas Corp. 1 1,370 8,631 Atwood Oceanics Inc. 1 1,402 38,064 Berry Petroleum Co. Class A 2,178 39,095 Blue Dolphin Energy Co. 1 7,300 5,840 BP Prudhoe Bay Royalty Trust 1,489 28,127 Cabot Oil & Gas Corp. 2,315 63,917 CAL Dive International Inc. 1 2,727 59,449 Callon Petroleum Co. 1 1,559 11,100 Cascade Natural Gas Corp. 1,007 19,234 Chesapeake Energy Corp. 12,386 125,099 Cimarex Energy Co. 1 3,034 72,058 Clayton Williams Energy Inc. 1 1,100 20,306 Dawson Geophysical Co. 1 2,400 19,442 Denbury Resources Inc. 1 4,397 59,052 Diamond Offshore Drilling Inc. 8,790 184,502 Encore Acquisition Co. 1 1,937 37,094 Energen Corp. 2,199 73,227 Energy Partners Ltd. 1 2,000 23,100 ENSCO International Inc. 9,215 247,884 Equitable Resources Inc. 4,022 163,856 Evergreen Resources Inc. 1 1,793 97,378 Exploration Company of Delaware (The) 1 12,933 54,965 Forest Oil Corp. 1 3,002 75,410 Giant Industries Inc. 1 2,584 15,401 Grey Wolf Inc. 1 9,565 38,643 Hanover Compressor Co. 1 4,052 45,788 Helmerich & Payne Inc. 3,200 93,440 Houston Exploration Co. 1 1,984 68,845 Key Energy Services Inc. 1 5,818 62,369 Magnum Hunter Resources Inc. 1 2,900 23,171 MarkWest Hydrocarbon Inc. 1 1,779 13,538 McMoRan Exploration Co. 2,119 23,606 Meridian Resource Corp. (The) 1 5,900 27,907 Mission Resources Corp. 1 1,833 3,208 Murphy Oil Corp. 5,820 306,132 National-Oilwell Inc. 1 5,282 116,204 New Jersey Resources Corp. 2,242 79,591 Newfield Exploration Co. 1 3,912 146,896 Noble Energy Inc. 3,685 139,293 Northwest Natural Gas Co. 1,066 29,049 Nuevo Energy Co. 1 1,327 23,156 Parker Drilling Co. 1 6,495 18,900 Patina Oil & Gas Corp. 2,413 77,578 Penn Virginia Corp. 1,500 64,500 Petroleum Development Corp. 1 2,500 22,975 Piedmont Natural Gas Co. 2,538 98,500 Pioneer Natural Resources Co. 1 8,251 215,351 Plains Exploration & Production Co. 1 4,745 51,293 Plains Resource Inc. 1 3,300 46,695 Pogo Producing Co. 4,272 182,628 Premcor Inc. 1 4,747 102,298 Pride International Inc. 1 8,295 156,112 Prima Energy Corp. 1 1,030 21,506 Quicksilver Resources Inc. 1 1,500 35,925 Remington Oil & Gas Corp. 1 2,200 40,436 SEACOR SMIT Inc. 1 1,347 49,152 SEMCO Energy Inc. 1,700 9,894 Southern Union Co. 1 4,417 74,824 Southwest Gas Corp. 1,974 41,809 Spinnaker Exploration Co. 1 2,700 70,740 St. Mary Land & Exploration Co. 1,993 54,409 Stone Energy Corp. 1 2,417 101,321 Superior Energy Services Inc. 1 5,800 54,984 Swift Energy Co. 1 1,917 21,087 Tesoro Petroleum Corp. 1 3,192 21,961 Tom Brown Inc. 1 2,647 73,560 Ultra Petroleum Corp. 1 4,186 54,041 Unit Corp. 1 2,349 49,118 Valero Energy Corp. 7,267 264,010 Vintage Petroleum Inc. 3,458 39,006 WD-40 Co. 1,899 54,216 Western Gas Resources Inc. 2,585 102,366 Westport Resources Corp. 1 4,576 104,104 W-H Energy Services Inc. 1 1,400 27,272 XTO Energy Inc. 11,154 224,307 -------------- 5,527,837 -------------- Oil & Gas Services--1.37% CARBO Ceramics Inc. 983 36,617 Cooper Cameron Corp. 1 3,502 176,431 Dril-Quip Inc. 1 1,536 27,955 FMC Technologies Inc. 1 3,426 72,117 Global Industries Ltd. 1 5,078 24,476 GlobalSantaFe Corp. 17,701 413,141 Grant Prideco Inc. 1 7,960 93,530 Hydril Co. 1 2,000 54,500 Input/Output Inc. 1 4,854 26,115 Lone Star Technologies Inc. 1 1,884 39,903 Mitcham Industries Inc. 1 2,200 3,366 158 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Newpark Resources Inc. 1 6,968 $ 38,185 Oceaneering International Inc. 1 2,232 57,028 Oil States International Inc. 1 2,906 35,163 Patterson-UTI Energy Inc. 1 4,975 161,190 Smith International Inc. 1 6,376 234,254 Tidewater Inc. 3,838 112,722 Universal Compression Holdings Inc. 1 2,500 52,150 Varco International Inc. 1 5,849 114,640 Veritas DGC Inc. 1 1,922 22,103 Weatherford International Ltd 1 9,248 387,491 -------------- 2,183,077 -------------- Packaging & Containers--0.50% AEP Industries Inc. 1 745 5,386 Crown Holdings Inc. 1 8,239 58,826 Greif Inc. Class A 1,870 43,010 Longview Fibre Co. 3,612 29,618 Owens-Illinois Inc. 1 9,028 124,316 Packaging Corporation of America 1 6,850 126,246 Silgan Holdings Inc. 1 2,054 64,249 Smurfit-Stone Container Corp. 1 15,116 196,961 Sonoco Products Co. 6,346 152,431 -------------- 801,043 -------------- Pharmaceuticals--4.33% aaiPharma Inc. 1 2,598 51,648 Abgenix Inc. 1 5,032 52,786 Able Laboratories Inc. 1 1,640 32,308 Adolor Corp. 1 1,700 20,859 Advanced Medical Optics Inc. 1 1,085 18,499 AdvancePCS 1 6,000 229,380 Align Technology Inc. 1 2,948 36,997 Alkermes Inc. 1 3,692 39,689 Allou Health Care Inc. 1 2 2,961 3,168 Allscripts Healthcare Solutions Inc. 1 4,600 16,882 Alpharma Inc. Class A 3,095 66,852 Amylin Pharmaceuticals Inc. 1 5,691 124,576 Andrx Group 1 4,822 95,958 Antigenics Inc. 1 2,844 32,763 Aphton Corp. 1 2,832 23,336 ArQule Inc. 1 1,444 6,065 AtheroGenics Inc. 1 2,602 38,848 AVANIR Pharmaceuticals Class A 1 4,000 7,000 AVI BioPharma Inc. 1 4,800 29,424 Barr Laboratories Inc. 1 4,454 291,737 Biopure Corp. 1 2,300 14,053 Bone Care International Inc. 1 1,973 27,425 Boston Life Sciences Inc. 1 7,244 13,401 Celgene Corp. 1 5,126 155,830 Cell Genesys Inc. 1 2,359 20,382 Cell Therapeutics Inc. 1 2,590 25,201 CIMA Labs Inc. 1 1,000 26,890 CollaGenex Pharmaceuticals Inc. 1 3,116 41,848 Connetics Corp. 1 3,237 48,458 Corixa Corp. 1 3,112 24,056 Corvas International Inc. 1 2,500 6,750 Cubist Pharmaceuticals Inc. 1 2,144 22,855 CV Therapeutics Inc. 1 2,848 84,472 D&K Healthcare Resources Inc. 2,276 36,735 DENTSPLY International Inc. 4,672 191,085 Digene Corp. 1 1,428 38,884 Discovery Laboratories Inc. 1 6,132 39,367 Durect Corp. 1 3,800 9,158 Emisphere Technologies Inc. 1 1,405 5,058 Endo Pharmaceuticals Holdings Inc. 1 7,853 132,873 Eon Labs Inc. 1 2,784 97,858 Epix Medical Inc. 1 1,921 27,182 First Horizon Pharmaceutical Corp. 1 1,800 7,110 Genta Inc. 1 4,000 53,280 Geron Corp. 1 2,194 16,148 Gilead Sciences Inc. 1 12,794 711,091 Guilford Pharmaceuticals Inc. 1 1,220 5,539 Hemispherx Biopharma Inc. 1 1,841 3,461 Henry Schein Inc. 1 2,720 142,365 Hi-Tech Pharmacal Co. 1 2,647 107,653 ICN Pharmaceuticals Inc. 6,623 111,001 ILEX Oncology Inc. 1 3,766 73,098 ImClone Systems Inc. 1 4,865 153,831 Immune Response Corp. (The) 1 7,307 23,163 Immunogen Inc. 1 2,500 10,675 Impax Laboratories Inc. 1 4,000 47,960 InKine Pharmaceutical Co. Inc. 1 7,610 25,646 Inspire Pharmaceuticals Inc. 1 1,660 17,928 InterMune Inc. 1 3,000 48,330 Intuitive Surgical Inc. 1 2,200 16,676 Isis Pharmaceuticals Inc. 1 3,408 18,062 IVAX Corp. 1 13,480 240,618 Kos Pharmaceuticals Inc. 1 1,853 43,490 KV Pharmaceuticals Co. 1 2,449 68,082 Ligand Pharmaceuticals Inc. Class B 1 3,959 53,803 Martek Biosciences Corp. 1 1,748 75,059 Medarex Inc. 1 4,728 31,158 Medicines Co. (The) 1 3,828 75,373 159 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Medicis Pharmaceutical Corp. Class A 1,843 $ 104,498 MGI Pharma Inc. 1 1,326 33,985 MIM Corp. 1 386 2,521 Miravant Medical Technologies 1 1,991 2,230 Mylan Laboratories Inc. 11,869 412,685 Nabi Biopharmaceuticals 1 3,300 22,638 NaPro BioTherapeutics Inc. 1 10,443 15,769 Nastech Pharmaceutical Co. Inc. 1 3,000 30,000 Natrol Inc. 1 2,290 5,313 NBTY Inc. 1 3,730 78,554 Neose Technologies Inc. 1 953 9,540 Neurocrine Biosciences Inc. 1 2,371 118,408 Noven Pharmaceuticals Inc. 1 2,700 27,648 NPS Pharmaceuticals Inc. 1 2,546 61,970 Nu Skin Enterprises Inc. Class A 3,109 32,489 Nuvelo Inc. 1 6,903 13,737 Omnicare Inc. 6,250 211,188 OSI Pharmaceuticals Inc. 1 2,498 80,461 Patterson Dental Co. 1 4,195 190,369 Perrigo Co. 5,276 82,517 Pharmaceutical Resources Inc. 1 2,400 116,784 Pharmacyclics Inc. 1 1,356 6,427 Praecis Pharmaceuticals Inc. 1 3,000 14,700 Priority Healthcare Corp. Class B 1 3,376 62,625 SangStat Medical Corp. 1 1,921 25,146 SciClone Pharmaceuticals Inc. 1 3,400 29,104 Sepracor Inc. 1 5,946 107,206 Serologicals Corp. 1 2,187 29,809 SICOR Inc. 1 7,663 155,865 SuperGen Inc. 1 2,151 11,615 Sybron Dental Specialties Inc. 1 2,287 53,973 Tanox Inc. 1 2,500 40,125 Titan Pharmaceuticals Inc. 1 1,487 3,509 Tularik Inc. 1 3,410 33,895 Twinlab Corp. 1 2,806 645 United Surgical Partners International Inc. 1 1,661 37,522 United Therapeutics Inc. 1 1,400 30,492 VaxGen Inc. 1 1,500 7,770 Vicuron Pharmaceuticals Inc. 1 3,600 51,048 Vion Pharmaceuticals Inc. 1 8,717 14,383 ViroPharma Inc. 1 1,323 3,440 VIVUS Inc. 1 2,800 14,392 Zonagen Inc. 1 1,801 2,954 -------------- 6,879,145 -------------- Pipelines--0.23% Aquila Inc. 11,616 29,969 National Fuel Gas Co. 5,684 148,068 Questar Corp. 5,390 180,403 -------------- 358,440 -------------- Real Estate--2.32% American Residential Investment Trust Inc. 1 560 5,130 AMLI Residential Properties Trust 1,844 43,426 Anthracite Capital Inc. 2,200 26,532 Arizona Land Income Corp. Class A 2,100 9,870 Bedford Property Investors Inc. 3,013 85,569 Brandywine Realty Trust 2,800 68,936 BRE Properties Inc. Class A 2,363 78,452 California Coastal Communities Inc. 1 535 3,531 Catellus Development Corp. 1 6,076 133,672 CenterPoint Properties Corp. 1,420 86,975 Chateau Communities Inc. 1,926 56,990 Colonial Properties Trust 1,165 40,996 Commercial Net Lease Realty Inc. 4,713 81,252 Cornerstone Realty Income Trust Inc. 4,949 36,177 Corrections Corp. of America 1 3,800 96,254 Cousins Properties Inc. 2,927 81,663 Developers Diversified Realty Corp. 5,393 153,377 EastGroup Properties Inc. 1,814 48,978 Equity Inns Inc. 6,529 45,050 First Industrial Realty Trust Inc. 2,697 85,225 Forest City Enterprises Inc. Class A 3,211 133,096 Gables Residential Trust 2,606 78,779 Glenborough Realty Trust Inc. 2,040 39,066 Glimcher Realty Trust 2,660 59,584 Grubb & Ellis Company 1 1,305 1,533 Healthcare Realty Trust Inc. 2,155 62,818 HMG/Courtland Properties Inc. 2,900 26,100 Home Properties of New York Inc. 1,754 61,811 Innkeepers USA Trust 4,029 27,397 Insignia Financial Group Inc. 1 3,857 42,851 160 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Jones Lang LaSalle Inc. 1 3,226 $ 50,971 Kilroy Realty Corp. 1,936 53,240 LNR Property Corp. 1,720 64,328 Macerich Co. (The) 2,894 101,666 Manufactured Home Communities Inc. 1,868 65,585 Meristar Hospitality Corp. 2,369 12,177 Mills Corp. 3,650 122,458 Monmouth Capital Corp. 2,949 14,211 Monmouth Real Estate Investment Corp. Class A 2,500 17,550 National Health Investors Inc. 4,195 77,356 Nationwide Health Properties Inc. 2,267 36,113 Novastar Financial Inc. 648 38,718 Pan Pacific Retail Properties Inc. 2,689 105,812 Prentiss Properties Trust 1,341 40,217 Prime Group Realty Trust 1 4,457 25,851 PS Business Parks Inc. 2,646 93,404 Realty Income Corp. 2,099 79,930 Reckson Associates Realty Corp. 2,791 58,220 Redwood Trust Inc. 2,017 80,498 RFS Hotel Investors Inc. 4,113 50,672 Shurgard Storage Centers Inc. Class A 2,965 98,082 Sovran Self Storage Inc. 1,808 56,952 St. Joe Company (The) 5,824 181,709 Summit Properties Inc. 1,437 29,674 Sun Communities Inc. 1,563 61,426 Taubman Centers Inc. 4,167 79,840 Town & Country Trust (The) 2,581 60,008 Trammell Crow Co. 1 4,232 44,902 United Capital Corp. 690 24,012 W.P. Carey & Co. LLC 2,232 66,826 -------------- 3,693,498 -------------- Real Estate Investment Trusts--4.51% Acadia Realty Trust 2,637 24,129 Alexander's Inc. 1 723 60,363 Alexandria Real Estate Equities Inc. 2,805 126,225 AMB Property Corp. 5,742 161,752 American Financial Realty Trust 1 1,972 29,403 American Land Lease Inc. 2,916 48,989 American Mortgage Acceptance Corp. 3,300 57,288 Annaly Mortgage Management Inc. 4,400 87,604 Archstone-Smith Trust 10,647 255,528 Arden Realty Inc. 4,368 113,350 AvalonBay Communities Inc. 6,232 265,732 Boston Properties Inc. 6,081 266,348 Camden Property Trust 3,234 113,028 Capital Alliance Income Trust Ltd. 1,300 24,960 Capital Automotive 1,653 46,267 Capstead Mortgage Corp. 4,800 54,096 CarrAmerica Realty Corp. 6,510 181,043 CBL & Associates Properties Inc. 2,548 109,564 Cedar Income Fund Ltd. 1 3,500 18,354 Chelsea Property Group Inc. 3,156 127,218 Crescent Real Estate Equities Co. 6,613 109,842 Crown American Realty Trust 2,566 27,559 Duke Realty Corp. 8,408 231,640 Essex Property Trust Inc. 1,249 71,505 Federal Realty Investment Trust 3,557 113,824 FelCor Lodging Trust Inc. 3,037 23,840 Friedman, Billings, Ramsey Group, Inc. Class A 6,429 86,149 General Growth Properties Inc. 3,914 244,390 Getty Realty Corp. 2,600 58,032 Great Lakes REIT Inc. 3,419 54,704 Health Care Property Investors Inc. 4,057 171,814 Health Care REIT Inc. 2,118 64,599 Heritage Property Investment Trust Inc. 2,741 74,226 Highwoods Properties Inc. 2,659 59,296 Hospitality Properties Trust 4,735 147,969 Host Marriott Corp. 1 14,160 129,564 HRPT Properties Trust 8,685 79,902 iStar Financial Inc. 7,616 277,984 Kimco Realty Corp. 6,283 238,126 Koger Equity Inc. 2,791 48,089 Kramont Realty Trust 1,700 28,050 Liberty Property Trust 4,578 158,399 Mack-Cali Realty Corp. 4,569 166,220 Maguire Properties Inc. 1 1,432 27,566 Mid-America Apartment Communities Inc. 1,642 44,350 Mission West Properties Inc. 2,400 27,288 New Plan Excel Realty Trust 6,847 146,183 Parkway Properties Inc. 1,950 81,998 Post Properties Inc. 1,583 41,950 ProLogis 11,256 307,289 Public Storage Inc. 7,838 265,473 161 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Regency Centers Corp. 4,395 $ 153,737 Rouse Co. (The) 5,899 224,752 Senior Housing Properties Trust 4,318 58,552 SL Green Realty Corp. 3,471 121,103 Thornburg Mortgage Inc. 2,392 59,082 Trizec Properties Inc. 9,820 111,653 United Dominion Realty Trust Inc. 7,634 131,457 Vornado Realty Trust 7,445 324,602 Washington Real Estate Investment Trust 2,578 70,122 Weingarten Realty Investors 3,300 138,270 -------------- 7,172,391 -------------- Retail--5.53% Abercrombie & Fitch Co. Class A 1 6,320 179,551 AC Moore Arts & Crafts Inc. 1 895 17,927 Advance Auto Parts Inc. 1 2,752 167,597 Aeropostale Inc. 1 2,630 56,492 AFC Enterprises Inc. 1 1,869 30,353 AG Services of America Inc. 1 4,120 24,473 Amazon.com Inc. 1 25,390 926,481 American Eagle Outfitters Inc. 1 4,555 83,539 Angelo and Maxie's Inc. 1 5,088 15,010 AnnTaylor Stores Corp. 1 2,620 75,849 Barnes & Noble Inc. 1 4,268 98,377 Bebe Stores Inc. 1 2,424 46,371 Big 5 Sporting Goods Corp. 1 700 8,771 Big Dog Holdings Inc. 1 3,241 10,047 BJ's Wholesale Club Inc. 1 4,572 68,854 Blockbuster Inc. 2,500 42,125 Bob Evans Farms Inc. 2,133 58,935 Borders Group Inc. 1 5,035 88,666 Brinker International Inc. 1 6,199 223,288 Brown Shoe Co. Inc. 1,408 41,958 Buckle Inc. (The) 1 1,782 34,268 Burlington Coat Factory Warehouse Corp. 3,019 54,040 CarMax Inc. 1 6,777 204,327 Casey's General Store Inc. 2,654 37,528 Cash America International Inc. 4,822 63,747 Cato Corp. Class A 2,013 42,434 CBRL Group Inc. 3,436 133,523 Charlotte Russe Holding Inc. 1 2,200 22,704 Charming Shoppes Inc. 1 6,277 31,197 Chico's FAS Inc. 1 5,022 105,713 Children's Place Retail Stores Inc. (The) 1 1,911 37,952 Christopher & Banks Corp. 1 1,968 72,796 Claire's Stores Inc. 3,172 80,442 Coach Inc. 1 6,204 308,587 Coldwater Creek Inc. 1 1,612 19,876 Cole National Corp. 1 2,758 34,530 Copart Inc. 1 4,773 45,105 Cost Plus Inc. 1 1,283 45,752 CSK Auto Corp. 1 2,765 39,954 Dollar Tree Stores Inc. 1 7,364 233,660 Dress Barn Inc. 1 1,901 24,086 Drugstore.com Inc. 1 7,600 44,384 Duane Reade Inc. 1 2,400 35,400 Elder-Beerman Stores Corp. 1 6,193 36,229 Electronics Boutique Holdings Corp. 1 1,597 36,907 Factory 2-U Stores Inc. 1 1,223 6,091 FAO Inc. 1 9,531 22,207 Foot Locker Inc. 7,763 102,860 Footstar Inc. 1 2,797 36,361 Fred's Inc. 2,375 88,303 FreeMarkets Inc. 1 3,271 22,766 Galyan's Trading Co. 1 1,026 14,713 GameStop Corp. 1 2,221 28,695 Genesco Inc. 1 1,499 26,532 Goody's Family Clothing Inc. 1 3,491 30,197 Group 1 Automotive Inc. 1 1,347 43,656 Guitar Center Inc. 1 1,598 46,342 Haverty Furniture Companies Inc. 2,222 38,885 Hot Topic Inc. 1 2,046 55,058 IKON Office Solutions Inc. 6,505 57,895 Jewett-Cameron Trading Co. Ltd. 1 2,100 11,130 Jill (J.) Group Inc. (The) 1 2,031 34,202 Jo-Ann Stores Inc. 1 2,202 55,711 Kenneth Cole Productions Class A 1 1,374 26,779 Kirkland's Inc. 1 520 8,398 Kmart Holding Corp. 1 1,293 34,976 Krispy Kreme Doughnuts Inc. 1 4,710 193,958 Linens 'N Things Inc. 1 2,442 57,656 Lithia Motors Inc. Class A 1 1,725 27,893 Lone Star Steakhouse & Saloon Inc. 2,249 48,961 Longs Drug Stores Corp. 3,000 49,800 MarineMax Inc. 1 919 12,866 Men's Wearhouse Inc. (The) 1 2,896 63,278 Michaels Stores Inc. 1 4,300 163,658 Mothers Work Inc. 1 1,200 32,124 Movie Gallery Inc. 1 1,631 30,092 MSC Industrial Direct Co. Inc. Class A 1 2,211 39,577 Neiman-Marcus Group Inc. Class A 1 2,992 109,507 99 Cents Only Stores 1 5,017 172,183 Nyer Medical Group Inc. 1 1,220 1,513 O'Charley's Inc. 1 1,668 35,912 162 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Odd Job Stores Inc. 1 1,887 $ 5,397 OfficeMax Inc. 1 7,191 47,101 1-800 CONTACTS INC. 1 774 18,945 O'Reilly Automotive Inc. 1 3,404 113,660 Outback Steakhouse Inc. 4,694 183,066 Overstock.com Inc. 1 700 10,157 Pacific Sunwear of California Inc. 1 3,616 87,109 Pantry Inc. (The) 1 2,400 18,936 Payless ShoeSource Inc. 1 4,212 52,650 PC Connection Inc. 1 1,709 11,621 Pep Boys-Manny, Moe & Jack Inc. 2,486 33,586 PETCO Animal Supplies Inc. 1 737 16,022 PETsMART Inc. 1 8,771 146,213 Pier 1 Imports Inc. 6,351 129,560 Priceline.com Inc. 1 1,954 43,743 Regis Corp. 3,308 96,097 Rite Aid Corp. 1 27,018 120,230 Ross Stores Inc. 4,900 209,426 Ruby Tuesday Inc. 3,710 91,748 Ryan's Family Steak Houses Inc. 1 5,636 78,904 Saks Inc. 1 9,662 93,721 School Specialty Inc. 1 1,452 41,324 7-Eleven Inc. 1 5,909 62,340 Sharper Image Corp. 1 671 18,298 ShopKo Stores Inc. 1 3,700 48,100 Smart & Final Inc. 1 3,830 17,733 Sonic Automotive Inc. 1 3,298 72,259 Sports Resorts International Inc. 1 7,773 37,777 Stage Stores Inc. 1 1,988 46,718 Stamps.com Inc. 1 4,200 20,160 Steak n Shake Company (The) 1 2,389 36,432 Stein Mart Inc. 1 2,429 14,550 Systemax Inc. 1 2,716 9,234 Talbots Inc. (The) 3,808 112,146 Too Inc. 1 2,200 44,550 Tractor Supply Co. 1 1,500 71,625 Trans World Entertainment Corp. 1 3,864 19,784 Tuesday Morning Corp. 1 3,000 78,900 Tweeter Home Entertainment Group Inc. 1 1,364 11,840 Ultimate Electronics Inc. 1 661 8,474 United Auto Group Inc. 1 2,700 58,806 Urban Outfitters Inc. 1 1,853 66,523 Value City Department Stores Inc. 1 2,744 6,064 Wet Seal Inc. Class A 1 2,493 26,625 Whitehall Jewellers Inc. 1 1,337 12,127 Williams-Sonoma Inc. 1 7,376 215,379 Wilsons The Leather Experts Inc. 1 1,298 9,359 Zale Corp. 1 2,383 95,320 -------------- 8,790,879 -------------- Semiconductors--1.90% Aetrium Inc. 1 1,228 1,805 Agere Systems Inc. Class A 1 36,200 84,346 Agere Systems Inc. Class B 1 65,300 150,190 Alliance Semiconductor Corp. 1 2,230 10,793 Amkor Technology Inc. 1 11,173 146,813 ANADIGICS Inc. 1 1,914 6,297 Atmel Corp. 1 28,920 73,168 Axcelis Technologies Inc. 1 5,870 35,924 AXT Inc. 1 1,892 2,214 Brooks Automation Inc. 1 3,274 37,127 ChipPAC Inc. Class A 1 4,400 33,748 Cirrus Logic Inc. 1 5,157 20,731 Cohu Inc. 1,718 26,801 Conexant Systems Inc. 1 15,721 64,456 Credence Systems Corp. 1 4,230 35,828 Cree Inc. 1 4,772 77,688 Cypress Semiconductor Corp. 1 7,447 89,364 EMCORE Corp. 1 2,438 7,997 Entegris Inc. 1 6,390 85,882 GlobeSpanVirata Inc. 1 8,988 74,151 Integrated Circuit Systems Inc. 1 4,400 138,292 Integrated Device Technology Inc. 1 6,781 74,930 Integrated Silicon Solution Inc. 1 1,368 9,494 International Rectifier Corp. 1 4,266 114,414 Intersil Corp. Class A 1 8,953 238,239 IXYS Corp. 1 1,720 13,708 Kopin Corp. 1 4,600 28,152 Lam Research Corp. 1 8,399 152,946 Lattice Semiconductor Corp. 1 6,092 50,137 LTX Corp. 1 3,108 26,791 MEMC Electronics Materials Inc. 1 13,186 129,223 Microchip Technology Inc. 12,387 305,092 Microtune Inc. 1 3,186 10,195 Monolithic System Technology Inc. 1 1,875 16,988 Multilink Technology Corp. 1 4,087 10,994 OmniVision Technologies Inc. 1 3,101 96,751 ON Semiconductor Corp. 1 16,574 44,750 ParthusCeva Inc. 1 597 4,866 Pericom Semiconductor Corp. 1 1,688 15,698 Pixelworks Inc. 1 2,494 14,814 Rambus Inc. 1 6,907 114,449 Silicon Laboratories Inc. 1 3,300 87,912 Skyworks Solutions Inc. 1 8,232 55,731 163 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Transmeta Corp. 1 7,945 $ 12,712 TranSwitch Corp. 1 4,966 6,754 Tripath Technology Inc. 1 347 267 TriQuint Semiconductor Inc. 1 7,729 32,153 Varian Semiconductor Equipment Associates Inc. 1 2,130 63,389 Veeco Instruments Inc. 1 1,811 30,841 Virage Logic Corp. 1 1,566 11,338 Vitesse Semiconductor Corp. 1 9,921 48,811 -------------- 3,026,154 -------------- Software--3.26% Actuate Corp. 1 3,664 10,149 Acxiom Corp. 1 5,172 78,045 Akamai Technologies Inc. 1 22,869 109,314 Alloy Inc. 1 3,700 23,865 American Management Systems Inc. 1 2,578 36,814 Applied Graphics Technologies Inc. 1 1,090 894 Apropos Technology Inc. 1 1,800 4,610 Ariba Inc. 1 15,700 46,629 Artemis International Solutions Corp. 1 1,111 2,222 Ascential Software Corp. 1 4,381 72,024 Avid Technology Inc. 1 2,096 73,507 Axeda Systems Inc. 1 2,600 3,692 BEA Systems Inc. 1 26,058 282,990 Blue Martini Software Inc. 1 629 2,277 Borland Software Corp. 1 5,168 50,491 Cadence Design Systems Inc. 1 17,694 213,390 Captaris Inc. 1 1,718 5,876 CareCentric Inc. 1 56 38 Centillium Communications Inc. 1 1,976 19,582 Certegy Inc. 1 4,905 136,114 CheckFree Corp. 1 5,381 149,807 ChoicePoint Inc. 1 5,558 191,862 Chordiant Software Inc. 1 9,297 17,292 CMGI Inc. 1 20,155 30,434 CNET Networks Inc. 1 7,635 47,566 Computer Horizons Corp. 1 2,694 12,231 Concero Inc. 1 600 240 Concerto Software Inc. 1 1,762 16,193 Corillian Corp. 1 2,647 4,500 Corio Inc. 1 3,664 5,862 CSG Systems International Inc. 1 3,298 46,601 DataTRAK International Inc. 1 1,587 6,173 Datawatch Corp. 1 3,500 9,639 Digi International Inc. 1 3,953 22,730 Digital Impact Inc. 1 3,503 6,481 DigitalThink Inc. 1 2,890 9,104 Docent Inc. 1 866 2,944 Documentum Inc. 1 3,404 66,957 DoubleClick Inc. 1 8,778 81,197 DSL.net Inc. 1 3,700 1,924 EarthLink Inc. 1 8,398 66,260 EasyLink Services Corp. Class A 1 466 326 ebix.com Inc. 1 1,591 10,803 eBT International Inc. 53 272 Edwards (J.D.) & Co. 1 7,363 105,512 eFunds Corp. 1 4,500 51,885 Elevon Inc. 1 1,028 1,316 Embarcadero Technologies Inc. 1 2,200 15,400 eMerge Interactive Inc. Class A 1 2,362 1,819 ePresence Inc. 1 2,346 5,701 eSpeed Inc. 1 1,530 30,233 EXE Technologies Inc. 1 614 3,088 F5 Networks Inc. 1 2,400 40,440 FileNET Corp. 1 2,364 42,647 FirePond Inc. 1 275 886 Geoworks Corp. 1 1,820 237 Global Payments Inc. 2,429 86,230 GraphOn Corp. 1 2,600 520 Identix Inc. 1 3,541 22,485 Informatica Corp. 1 4,600 31,786 Information Architects Corp. 1 162 91 Information Resources Inc. 1 6,741 26,627 InfoSpace Inc. 1 1,856 25,186 InteliData Technologies Corp. 1 3,100 9,486 Interactive Intelligence Inc. 1 1,900 7,163 Interland Inc. 1 8,267 8,102 Internet Capital Group Inc. 1 1,984 952 Internet Pictures Corp. 1 4,691 19,937 Inter-Tel Inc. 2,668 56,615 iVillage Inc. 1 4,553 6,738 JDA Software Group Inc. 1 2,263 25,323 Jupitermedia Corp. 1 2,900 11,600 Kana Software Inc. 1 1,753 5,312 Keane Inc. 1 4,547 61,976 Legato Systems Inc. 1 6,209 52,094 Lightspan Inc. 1 4,460 3,024 Liquid Audio Inc. 2,300 817 Loudeye Technologies Inc. 1 3,412 2,730 Macromedia Inc. 1 4,209 88,557 Magma Design Automation Inc. 1 2,341 40,148 Manugistics Group Inc. 1 4,258 17,500 Mercator Software Inc. 1 1,682 2,506 Micromuse Inc. 1 4,592 36,690 MicroStrategy Inc. Class A 1 583 21,239 Navidec Inc. 1 239 693 NaviSite Inc. 1 1,932 5,313 NDCHealth Corp. 2,281 41,856 Neoforma Inc. 1 1,383 15,102 164 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Net2Phone Inc. 1 2,300 $ 9,959 Netegrity Inc. 1 2,180 12,731 netGuru Inc. 1 1,600 2,021 NetIQ Corp. 1 4,043 62,505 Network Associates Inc. 1 9,888 125,380 Network Commerce Inc. 1 446 3 NexPrise Inc. 1 1,572 4,952 NIC Inc. 1 4,900 14,308 Niku Corp. 1 7,527 34,248 Openwave Systems Inc. 1 10,192 19,874 Opsware Inc. 1 4,347 17,475 Optika Inc. 1 2,200 3,300 Overture Services Inc. 1 3,700 67,081 Pegasystems Inc. 1 4,283 31,566 Per-Se Technologies Inc. 1 1,301 14,610 Pinnacle Systems Inc. 1 3,968 42,458 Pinnacor Inc. 1 3,770 7,238 Pixar Inc. 1 3,575 217,503 PLATO Learning Inc. 1 2,666 15,330 Plumtree Software Inc. 1 4,929 20,209 Portal Software Inc. 1 11,200 22,400 PracticeWorks Inc. 1 2,223 42,904 Printcafe Software Inc. 1 1,900 4,902 ProQuest Co. 1 2,665 68,757 Pumatech Inc. 1 3,134 10,656 RealNetworks Inc. 1 11,688 79,245 Renaissance Learning Inc. 1 2,612 57,203 Reynolds & Reynolds Co. (The) Class A 4,827 137,859 Roxio Inc. 1 1,004 6,717 SAFLINK Corp. 1 5,282 33,488 SCO Group Inc. (The) 1 2,466 23,600 SeaChange International Inc. 1 1,609 15,350 SeeBeyond Technology Corp. 1 5,000 11,550 SERENA Software Inc. 1 3,000 62,640 SpeechWorks International Inc. 1 2,100 9,870 SPSS Inc. 1 1,333 22,314 Stellent Inc. 1 1,622 8,759 SupportSoft Inc. 1 2,388 15,498 SVI Solutions Inc. 1 3,111 7,435 Sybase Inc. 1 6,604 91,862 Synplicity Inc. 1 2,100 10,983 Tarantella Inc. 1 6,762 14,200 TeleCommunication Systems Inc. 1 2,400 4,968 3DO Co. (The) 1 457 165 TIBCO Software Inc. 1 12,741 64,852 Total System Services Inc. 12,760 284,548 TradeStation Group Inc. 1 1,894 19,432 Trident Microsystems Inc. 1 3,746 34,089 TriZetto Group Inc. (The) 1 3,100 18,724 Ulticom Inc. 1 2,644 25,118 United Leisure Corp. 1 1,400 280 VA Software Corp. 1 3,372 7,284 ValueClick Inc. 1 8,117 48,946 Verint Systems Inc. 1 1,522 38,674 Verticalnet Inc. 1 540 842 VIA NET.WORKS Inc. 1 5,295 5,189 Vie Financial Group Inc. 1 3,000 210 Viewlocity Inc. 1 247 89 Viewpoint Corp. 1 2,281 2,578 Vignette Corp. 1 14,744 30,668 VitalStream Holdings Inc. 1 2,000 500 VitalWorks Inc. 1 3,692 14,583 Vitria Technology Inc. 1 2,300 13,018 V-One Corp. 1 2,900 377 webMethods Inc. 1 3,956 32,162 Websense Inc. 1 1,849 28,955 Wind River Systems Inc. 1 4,198 15,994 -------------- 5,186,671 -------------- Telecommunication Equipment--0.61% ADTRAN Inc. 1 2,418 124,019 Advanced Fibre Communications Inc. 1 5,508 89,615 AltiGen Communications Inc. 1 4,300 6,278 American Tower Corp. Class A 1 11,822 104,625 Arris Group Inc. 1 2,793 13,853 Avanex Corp. 1 4,246 16,984 Carrier Access Corp. 1 2,356 5,136 CommScope Inc. 1 3,405 32,348 Copper Mountain Networks Inc. 1 310 3,348 Corvis Corp. 1 22,585 32,748 CoSine Communications Inc. 1 689 4,188 Digital Lightwave Inc. 1 1,877 2,027 8X8 Inc. 1 2,583 1,292 Endwave Corp. 1 1,466 3,870 Glenayre Technologies Inc. 1 4,286 5,872 Handspring Inc. 1 8,220 9,289 Harmonic Inc. 1 4,053 16,496 Harris Corp. 4,335 130,267 Integrated Telecom Express Inc. 2 2,206 -- Ixia 1 2,956 19,007 Loral Space & Communications Ltd. 1 1,770 5,399 Network Engines Inc. 1 2,444 9,287 New Focus Inc. 1 4,270 15,970 NMS Communications Corp. 1 1,980 3,903 NumereX Corp. Class A 1 3,600 10,224 Oplink Communications Inc. 1 10,617 19,854 Optical Cable Corp. 1 481 3,362 P-Com Inc. 1 821 78 Peco II Inc. 1 1,314 825 165 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Proxim Corp. Class A 1 4,338 $ 6,333 RF Micro Devices Inc. 1 10,452 62,921 SBA Communications Corp. 1 2,700 8,208 Sonus Networks Inc. 1 13,009 65,435 Stratex Networks Inc. 1 5,360 17,152 Sycamore Networks Inc. 1 17,300 66,259 Telaxis Communications Corp. 1 1,737 1,598 Terayon Communication Systems Inc. 1 5,168 14,109 Tollgrade Communications Inc. 1 928 17,307 Viasat Inc. 1 1,314 18,843 -------------- 968,329 -------------- Telecommunications--3.53% ACTV Inc. 1 3,667 3,594 Adaptec Inc. 1 6,100 47,458 Aether Systems Inc. 1 2,500 12,250 Airnet Communications Corp. 1 2,639 2,850 Alaska Communications Systems Group Inc. 1 5,700 20,064 Allen Telecom Inc. 1 2,811 46,438 American Access Technologies Inc. 1 2,800 2,940 Anaren Inc. 1 1,506 14,111 Anixter International Inc. 1 3,047 71,391 Applied Digital Solutions Inc. 1 3,900 2,340 Applied Innovation Inc. 1 1,000 3,460 Applied Signal Technology Inc. 2,475 42,075 Aspect Communications Corp. 1 3,988 15,434 Audiovox Corp. Class A 1 2,436 27,259 Avocent Corp. 1 3,047 91,197 Catapult Communications Corp. 1 1,500 15,930 C-COR.net Corp. 1 2,770 13,573 Celeritek Inc. 1 1,200 8,784 Cellular Technical Services Co. Inc. 1 1,000 760 Centennial Communications Corp. 1 6,072 24,288 Charter Communications Inc. Class A 1 18,900 75,033 Choice One Communications Inc. 1 3,557 1,138 Com21 Inc. 1 5,130 693 Commonwealth Telephone Enterprises Inc. 1 1,623 71,363 Comtech Telecommunications Corp. 1 1,200 33,888 Cox Communications Inc. Class A 1 38,128 1,216,283 Crown Castle International Corp. 1 13,997 108,757 D&E Communications Inc. 3,424 39,205 Deltathree Inc. 1 2,063 1,341 Ditech Communications Corp. 1 1,800 8,964 Dobson Communications Corp. Class A 1 5,771 30,413 EchoStar Communications Corp. 1 15,856 548,935 EMS Technologies Inc. 1 1,920 25,478 Emulex Corp. 1 5,308 120,863 Finisar Corp. 1 11,000 17,050 General Communication Inc. Class A 1 5,033 43,586 General Motors Corp. Class H 1 69,288 887,579 GoAmerica Inc. 1 3,846 1,346 Hickory Tech Corp. 1,303 14,594 High Speed Access Corp. 8,400 1,260 Hungarian Telephone and Cable Corp. 1 1,300 11,895 IDT Corp. 1 1,739 31,128 IDT Corp. Class B 1 2,339 41,166 I-Link Inc. 1 2,839 809 Inet Technologies Inc. 1 3,100 30,907 Infonet Services Corp. Class B 1 19,395 30,838 InterDigital Communications Corp. 1 5,749 134,354 InterVoice-Brite Inc. 1 2,790 13,783 Intrado Inc. 1 3,100 48,949 Itron Inc. 1 1,079 23,263 LCC International Inc. Class A 1 2,000 5,480 Leap Wireless International Inc. 1 3,255 163 Level 3 Communications Inc. 1 26,961 179,021 Lexent Inc. 1 2,535 3,549 Liberty Satellite & Technology Inc. Class A 1 2,060 5,356 Lightbridge Inc. 1 2,241 19,631 LightPath Technologies Inc. Class A 1 868 2,613 MarketWatch.com Inc. 1 2,525 21,109 MasTec Inc. 1 3,042 17,522 MCK Communications Inc. 1 1,300 3,354 166 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Metro One Telecommunications Inc. 1 1,915 $ 9,881 MRV Communications Inc. 1 9,135 18,361 Netro Corp. 1 3,300 9,504 Newport Corp. 1 2,305 34,114 Nextel Partners Inc. Class A 1 11,000 80,300 Nucentrix Broadband Networks Inc. 1 2,700 2,376 Pac-West Telecomm Inc. 1 2,800 2,072 PanAmSat Corp. 1 9,654 177,923 Plantronics Inc. 1 2,620 56,775 Powerwave Technologies Inc. 1 3,813 23,908 Price Communications Corp. 1 3,564 46,011 Primus Telecommunications Group Inc. 1 2,354 12,100 PTEK Holdings Inc. 1 4,348 21,088 RCN Corp. 1 13,410 26,552 Rural Cellular Corp. Class A 1 3,717 15,611 Savvis Communications Corp. 1 6,224 5,602 Sirius Satellite Radio Inc. 1 58,859 99,472 Somera Communications Inc. 1 5,500 8,030 Sorrento Networks Corp. 1 1,494 3,959 SpectraLink Corp. 1 2,266 22,388 Superior Telecom Inc. 1 4,027 161 Tekelec 1 3,821 43,177 Time Warner Telecom Inc. Class A 1 2,500 15,925 Triton PCS Holdings Inc. Class A 1 3,700 18,685 Tut Systems Inc. 1 2,700 10,638 United Online Inc. 1 2,800 70,952 United States Cellular Corp. 1 5,909 150,384 UTStarcom Inc. 1 1,600 56,912 Vixel Corp. 1 11,584 74,138 WebEx Communications Inc. 1 3,000 41,850 Westell Technologies Inc. Class A 1 3,058 26,452 Western Wireless Corp. Class A 1 4,526 52,185 WorldGate Communications Inc. 1 2,600 884 XETA Technologies Inc. 1 3,893 14,871 Zoom Telephonics Inc. 1 2,200 2,332 Z-Tel Technologies Inc. 1 6,302 16,133 -------------- 5,610,561 -------------- Telephone--0.28% Cincinnati Bell Inc. 1 13,326 89,284 Covista Communications Inc. 1 1,984 6,210 Focal Communications Corp. 1 120 2 Focal Communications Corp. Warrants (Expires 12/14/07) 1 2 661 -- NTL Inc. 1 2,145 73,187 TALK America Holdings Inc. 1 2,796 30,504 Telephone & Data Systems Inc. 5,036 250,289 -------------- 449,476 -------------- Textiles--0.51% Columbia Sportswear Co. 1 2,723 139,989 Cone Mills Corp. 1 3,737 5,942 Culp Inc. 1 581 4,009 Dan River Inc. Class A 1 5,319 14,308 G&K Services Inc. Class A 2,016 59,674 Guess ? Inc. 1 2,319 13,914 Hallwood Group Inc. 1 2,000 29,200 Kellwood Co. 2,341 74,046 Mohawk Industries Inc. 1 4,607 255,827 Nautica Enterprises Inc. 1 2,466 31,639 Polo Ralph Lauren Corp. 2,662 68,653 Quaker Fabric Corp. 5,100 33,660 Sport-Haley Inc. 1 1,232 5,039 Tag-It Pacific Inc. 1 2,669 15,293 Tarrant Apparel Group 1 2,213 6,462 Wolverine World Wide Inc. 3,059 58,916 -------------- 816,571 -------------- Tobacco--0.06% Universal Corp. 1,381 58,416 Vector Group Ltd. 2,530 44,275 -------------- 102,691 -------------- Toys/Games/Hobbies--0.16% Action Performance Companies Inc. 1,445 27,455 Boyds Collection Ltd. (The) 1 5,400 25,434 Fotoball USA Inc. 1 2,400 7,560 Jakks Pacific Inc. 1 1,528 20,307 LeapFrog Enterprises Inc. 1 840 26,720 Marvel Enterprises Inc. 1 3,936 75,178 Media Arts Group Inc. 1 2,281 5,862 Multimedia Games Inc. 1 800 20,400 Topps Co. (The) 1 4,511 38,749 -------------- 247,665 -------------- 167 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Transportation--1.16% Air T Inc. 1 1,000 $ 2,450 Airborne Inc. 2,660 55,594 Airnet Systems Inc. 1 5,219 21,137 Alexander & Baldwin Inc. 1,900 50,407 Allied Holdings Inc. 1 490 1,622 Arkansas Best Corp. 1,023 24,337 Atlas Air Worldwide Holdings Inc. 1 2,404 3,534 Boyd Brothers Transportation Inc. 1 2,400 9,840 CH Robinson Worldwide Inc. 5,686 202,194 CNF Inc. 3,138 79,642 Dollar Thrifty Automotive Group Inc. 1 1,879 34,855 EGL Inc. 1 3,073 46,710 Expeditors International Washington Inc. 6,808 235,829 Florida East Coast Industries Inc. 3,095 79,077 Forward Air Corp. 1 1,393 35,340 General Maritime Corp. 1 7,846 79,637 GulfMark Offshore Inc. 1 2,000 33,760 Heartland Express Inc. 1 4,221 93,917 Hunt (J.B.) Transport Services Inc. 1 2,146 81,012 Kansas City Southern Industries Inc. 1 2,519 30,304 Kirby Corp. 1 1,735 48,927 Landstar System Inc. 1 1,128 70,895 Offshore Logistics Inc. 1 1,491 32,429 OMI Corp. 1 4,903 30,202 Overseas Shipholding Group Inc. 2,129 46,859 P.A.M. Transportation Services Inc. 1 513 12,887 Pacer International Inc. 1 2,195 41,398 Petroleum Helicopters NV 1 1,220 36,783 Roadway Corp. 1,765 50,355 SCS Transportation Inc. 1 724 9,144 Swift Transportation Co. Inc. 1 5,822 108,406 USF Corp. 1,375 37,084 Velocity Express Corp. 1 200 175 Werner Enterprises Inc. 4,029 85,415 Yellow Corp. 1 1,448 33,521 -------------- 1,845,678 -------------- Trucking & Leasing--0.05% AMERCO 1 1,611 11,470 GATX Corp. 3,600 58,860 Willis Lease Finance Corp. 1 2,468 11,501 -------------- 81,831 -------------- Water--0.11% California Water Service Group 1,464 41,168 Connecticut Water Service Inc. 1,000 25,550 Philadelphia Suburban Corp. 4,339 105,785 -------------- 172,503 -------------- TOTAL COMMON STOCKS (Cost: $192,177,712) 156,911,226 -------------- ------------------------------------------------------------------------------- Shares or Security Principal Value ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS--13.58% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 3 12,580,083 12,580,083 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares 3 3,368,610 3,368,610 BlackRock Temp Cash Money Market Fund 3 169,876 169,876 Short Term Investment Co.--Liquid Assets Money Market Portfolio 3 883,316 883,316 Short Term Investment Co.--Prime Money Market Portfolio, Institutional Shares 3 374,290 374,290 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03 3 $ 224,574 224,574 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04 3 187,117 187,117 1.17%, 08/15/03 3 280,733 280,733 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03 3 149,716 149,716 CC USA Inc., Floating Rate Note 1.10%, 04/19/04 3 164,679 164,679 1.31%, 05/24/04 3 374,253 374,253 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04 3 374,234 374,234 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04 3 187,145 187,145 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04 3 374,290 374,290 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04 3 74,858 74,858 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04 3 187,136 187,136 1.22%, 04/13/04 3 187,136 187,136 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04 3 187,108 187,108 1.08%, 03/29/04 3 187,145 187,145 1.29%, 05/04/04 3 187,136 187,136 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03 3 374,271 374,271 U.S. Treasury Bill 0.85%, 09/25/03 4 5 100,000 99,795 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04 3 187,145 187,145 1.14%, 05/17/04 3 224,574 224,574 -------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $21,589,238) 21,589,220 -------------- 168 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- Extended Index Master Portfolio ------------------------------------------------------------------------------- Security Principal Value ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS--0.16% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%. 3 $ 187,145 $ 187,145 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%. 3 74,858 74,858 -------------- TOTAL REPURCHASE AGREEMENTS (Cost: $262,003) 262,003 -------------- TOTAL INVESTMENTS IN SECURITIES--112.43% (Cost $214,028,953) 178,762,449 Other Assets, Less Liabilities--(12.43%) (19,762,849) -------------- NET ASSSETS--100.00% $ 158,999,600 ============== Notes to the Schedule of Investments: 1 Non-income earning securities. 2 Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. 3 All or a portion of this security represents investments of securities lending collateral. 4 Yield to Maturity. 5 This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio's holdings of index futures contracts. See Note 1. The accompanying notes are an integral part of these financial statements. 169 Schedule of Investments June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--97.36% ------------------------------------------------------------------------------- Australia--4.83% Alumina Ltd. 23,078 $ 62,992 Amcor Ltd. 16,544 90,093 AMP Ltd. 26,150 87,161 Australia and New Zealand Banking Group Ltd. 27,874 347,890 Australian Gas & Light Co. Ltd. 8,818 64,756 BHP Steel 18,682 46,608 Boral Ltd. 14,687 49,840 Brambles Industries Ltd. 20,573 63,054 Broken Hill Proprietary Co. Ltd. 70,330 407,521 Coca-Cola Amatil Ltd. 9,429 36,108 Cochlear Ltd. 1,365 29,569 Coles Myer Ltd. 22,151 103,989 Commonwealth Bank of Australia 23,080 457,393 Commonwealth Property Office Fund 76,841 61,840 CSL Ltd. 4,107 32,915 CSR Ltd. 28,582 37,187 Foster's Group Ltd. 40,049 113,076 Gandel Retail Trust 63,673 56,794 General Property Trust 39,894 78,124 Insurance Australia Group Ltd. 34,206 77,997 James Hardie Industries NV 9,568 45,174 John Fairfax Holdings Ltd. 22,819 44,074 Lend Lease Corp. Ltd. 7,461 41,781 Macquarie Bank Ltd. 4,319 83,420 Macquarie Infrastructure Group 35,504 85,481 Mayne Nickless Ltd. 17,615 32,369 Mirvac Group 22,744 67,725 National Australia Bank Ltd. 28,172 632,934 Newcrest Mining Ltd. 7,097 36,411 News Corp. Ltd. 27,159 203,999 Orica Ltd. 6,721 48,816 Origin Energy Ltd. 16,929 45,981 Patrick Corp. Ltd. 4,614 38,834 QBE Insurance Group Ltd. 11,480 71,755 Rinker Group Ltd. 19,958 70,137 Rio Tinto Ltd. 5,897 115,520 Santos Ltd. 16,612 65,731 Southcorp Ltd. 15,121 28,597 Stockland Trust Group 23,384 78,569 Suncorp-Metway Ltd. 10,142 78,900 TABCORP Holdings Ltd. 9,579 69,188 Telstra Corp. Ltd. 41,030 121,074 Transurban Group 10,502 33,596 Wesfarmers Ltd. 7,147 121,266 Westfield Holdings Ltd. 8,786 86,028 Westfield Trust 40,869 94,560 Westpac Banking Corp. Ltd. 31,494 343,224 WMC Resources Ltd. 1 23,719 55,834 Woodside Petroleum Ltd. 10,323 85,708 Woolworths Ltd. 19,082 160,223 -------------- 5,391,816 -------------- Austria--0.17% Erste Bank der Oesterreichischen Sparkassen AG 627 55,405 Immofinanz Immobillien Anlagen AG 1 5,100 36,721 OMV AG 406 48,777 Telekom Austria AG 1 4,492 50,965 -------------- 191,868 -------------- Belgium--1.00% AGFA Gevaert NV 2,333 49,537 Colruyt NV 536 37,054 Delhaize-Le Lion SA 1,824 55,507 Dexia Group 11,712 148,079 Electrabel SA 564 143,718 Fortis Group 19,367 336,270 Groupe Bruxelles Lambert SA 1,413 63,931 Interbrew SA 3,070 68,217 KBC Bankverzekerings Holding NV 1,801 70,711 Solvay SA 1,222 84,197 UCB SA 2,010 55,073 -------------- 1,112,294 -------------- Denmark--0.73% AP Moller--Maersk A/S 24 129,828 Danisco A/S 1,188 46,546 Danske Bank A/S 9,894 192,678 Group 4 Falck A/S 1,800 29,907 H. Lundbeck A/S 1,494 30,249 ISS A/S 1,038 37,059 Novo Nordisk A/S Class B 4,895 171,360 Novozymes A/S Class B 1,723 47,934 TDC A/S 2,439 72,943 Topdanmark A/S 1 765 27,963 Vestas Wind Systems A/S 2,382 27,244 -------------- 813,711 -------------- Finland--1.85% Fortum OYJ 8,554 68,564 Instrumentarium Corp. 1,071 40,709 Kone Corp. Class B 1,058 44,346 Metso Corp. 2,294 20,416 Nokia OYJ 90,385 1,488,401 Outokumpu OYJ 3,091 27,154 Sampo OYJ Class A 5,653 41,482 Stora Enso OYJ Class R 12,206 136,383 TietoEnator OYJ 2,065 34,764 UPM-Kymmene OYJ 9,571 139,694 Uponor OYJ 1,139 26,421 -------------- 2,068,334 -------------- France--9.47% Accor SA 3,834 138,687 Alcatel SA Class A 1 23,175 208,912 Alstom 1 5,971 20,570 Autoroutes du Sud de la France SA 1,586 46,352 Aventis SA 12,725 700,097 AXA AG 25,939 402,423 BIC SA 943 36,710 BNP Paribas SA 14,866 755,408 Bouygues SA 3,823 105,539 Business Objects SA 1 1,362 30,374 Cap Gemini SA 1 1,982 70,375 170 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Carrefour SA 10,822 $ 530,403 CNP Assurances 649 27,426 Compagnie de Saint-Gobain SA 5,697 224,200 Compagnie Generale des Etablissements Michelin Class B 2,665 104,052 Credit Agricole SA 5,897 112,074 Dassault Systemes SA 842 27,654 Essilor International SA 2,004 80,729 Etablissements Economiques du Casino Guichard-Perrachon SA 725 56,614 European Aeronautic Defence and Space Co. 5,182 63,554 France Telecom SA 1 14,420 353,705 Gecina SA 487 56,484 Groupe Danone 2,274 314,667 Groupe Wanadoo SA 1 7,041 47,139 Hermes International 150 21,135 Imerys SA 145 21,114 Lafarge SA 3,093 181,154 Lagardere S.C.A. 2,464 107,098 L'Air Liquide SA 1,882 279,010 L'Oreal SA 6,415 452,313 LVMH Moet Hennessy Louis Vuitton SA 4,128 204,737 Pechiney SA Class A 1,422 51,046 Pernod-Ricard SA 1,071 95,562 Pinault-Printemps-Redoute SA 1,294 97,479 PSA Peugeot Citroen 3,538 171,859 Publicis Groupe 1,884 50,561 Renault SA 2,900 153,323 Sagem SA 392 31,511 Sanofi-Synthelabo SA 6,824 399,653 Schneider Electric SA 3,857 181,331 Societe Generale Class A 5,977 378,876 Societe Television Francaise 1 2,389 73,523 Sodexho Alliance SA 1,860 50,194 STMicroelectronics NV 10,754 225,499 Suez SA 14,819 235,861 Technip-Coflexip SA 455 39,814 Thales/Ex Thomson CSF 1,535 45,566 Thomson SA 3,548 54,718 Total SA 12,228 1,847,930 Union du Credit Bail Immobilier 914 67,699 Valeo SA 1,606 55,696 Veolia Environment 4,419 90,835 Vinci SA 1,339 90,336 Vivendi Universal SA 1 16,747 304,818 -------------- 10,574,399 -------------- Germany--6.06% Adidas-Salomon AG 888 75,940 Allianz AG 4,989 414,674 Altana AG 1,432 90,345 BASF AG 10,287 439,446 Bayer AG 12,452 288,559 Bayerische Hypo-Und Vereinsbank AG 1 6,571 108,584 Beiersdorf AG 543 72,582 Celesio AG 722 28,372 Commerzbank AG 8,117 113,532 Continental AG 2,474 51,934 DaimlerChrysler AG 16,140 563,445 Deutsche Bank AG 9,675 627,509 Deutsche Boerse AG 1,871 99,113 Deutsche Lufthansa AG 4,137 48,457 Deutsche Post AG 7,817 114,811 Deutsche Telekom AG 1 39,391 601,169 E.ON AG 10,894 560,078 Fresenius Medical Care AG 705 34,893 Heidelberger Zement AG 1 980 21,637 Infineon Technologies AG 1 7,888 76,270 Karstadtquelle AG 1,325 28,362 Linde AG 1,734 64,198 MAN AG 2,250 38,033 Marschollek, Lautenschlaeger und Partner AG 1 1,661 24,796 Merck KGaA 1,198 34,806 Metro AG 2,806 90,707 Muenchener Rueckversicherungs- Gesellschaft AG 2,116 215,727 RWE AG 6,675 201,519 SAP AG 3,824 450,986 Schering AG 3,349 163,755 Siemens AG 14,861 729,044 ThyssenKrupp AG 6,499 74,930 TUI AG 3,016 44,851 Volkswagen AG 4,262 180,158 -------------- 6,773,222 -------------- Greece--0.36% Alpha Bank AE 4,100 71,471 Coca-Cola Hellenic Bottling Co. SA 2,640 44,080 Commercial Bank of Greece 2,100 36,800 EFG Eurobank Ergasias 4,460 67,298 Hellenic Telecommunications Organization SA 6,060 71,678 National Bank of Greece SA 4,961 83,973 Public Power Corp. 1,654 29,820 -------------- 405,120 -------------- Hong Kong--1.48% Bank of East Asia Ltd. 30,600 60,430 BOC Hong Kong Holdings Ltd. 56,500 56,876 Cathay Pacific Airways Ltd. 21,000 28,276 Cheung Kong (Holdings) Ltd. 31,000 186,442 CLP Holdings Ltd. 37,700 164,856 Esprit Holdings Ltd. 14,500 35,422 Hang Seng Bank Ltd. 13,700 144,938 Henderson Land Development Co. Ltd. 13,000 37,342 Hong Kong & China Gas Co. Ltd. 73,672 93,057 Hong Kong Exchanges & Clearing Ltd. 24,000 34,470 Hongkong Electric Holdings Ltd. 27,500 107,910 Hutchison Whampoa Ltd. 38,700 235,729 171 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Johnson Electric Holdings Ltd. 35,000 $ 43,312 Li & Fung Ltd. 40,000 51,551 MTR Corp. Ltd. 32,500 37,301 New World Development Co. Ltd. 36,000 13,965 PCCW Ltd. 1 41,118 25,441 Shangri-La Asia Ltd. 30,000 19,043 Sun Hung Kai Properties Ltd. 25,000 126,312 Swire Pacific Ltd. Class A 18,500 80,897 Television Broadcasts Ltd. 8,000 28,673 Wharf Holdings Ltd. 24,000 46,165 -------------- 1,658,408 -------------- Ireland--0.77% Allied Irish Banks PLC 16,738 251,604 Bank of Ireland 18,631 225,716 CRH PLC 9,838 154,210 DCC PLC 1,955 26,267 Elan Corporation PLC 1 6,400 33,073 Irish Life & Permanent PLC 5,332 57,556 Kerry Group PLC Class A 1 4,003 61,874 Ryanair Holdings PLC 1 6,364 45,822 -------------- 856,122 -------------- Italy--3.79% Alleanza Assicurazioni SpA 8,727 82,979 Arnoldo Mondadori Editore SpA 3,573 25,931 Assicurazioni Generali SpA 17,356 402,203 Autogrill SpA 1 3,616 39,448 Banca Fideuram SpA 6,542 35,684 Banca Intesa SpA 66,270 211,942 Banca Monte dei Paschi di Siena SpA 20,185 55,051 Banca Nazionale del Lavoro SpA 1 34,342 57,578 Banca Popolare di Milano SCRL 9,594 41,976 Banca Popolare di Verona e Novara SCRL 6,893 94,195 Benetton Group SpA 1,637 16,975 Bulgari SpA 3,676 20,473 Capitalia SpA 1 23,732 41,833 Enel SpA 39,130 243,997 Eni SpA 48,040 726,546 Fiat SpA 1 4,995 36,366 Fineco SpA 1 32,974 17,721 Finmeccanica SpA 117,916 75,558 Gruppo Editoriale L'Espresso SpA 4,516 17,892 Luxottica Group SpA 3,167 43,242 Mediaset SpA 11,539 97,658 Mediobanca SpA 8,480 84,623 Parmalat Finanziaria SpA 11,566 36,392 Pirelli SpA 1 23,821 24,127 Riunione Adriatica di Sicurta SpA 5,886 89,289 Sanpaolo IMI SpA 19,421 180,424 Seat-Pagine Gialle SpA 1 95,859 66,598 Snam Rete Gas SpA 16,243 63,792 Telecom Italia Mobile SpA 70,943 349,495 Telecom Italia SpA 37,327 204,463 Telecom Italia SpA Class A 44,026 398,391 Tiscali SpA 1 3,079 15,734 Unicredito Italiano SpA 69,070 329,164 -------------- 4,227,740 -------------- Japan--20.02% Acom Co. Ltd. 1,500 54,216 Advantest Corp. 1,300 57,597 AEON Co. Ltd. 4,500 103,061 AIFUL Corp. 900 38,376 Ajinomoto Co. Inc. 11,000 105,351 Alps Electric Co. Ltd. 3,000 38,426 Amada Co. Ltd. 5,000 16,073 Aoyama Trading Co. Ltd. 1,400 18,655 Asahi Breweries Ltd. 8,000 48,303 Asahi Glass Co. Ltd. 14,000 86,862 Asahi Kasei Corp. 24,000 68,557 Bandai Co. Ltd. 700 26,700 Bank of Fukuoka Ltd. 11,000 42,232 Bank of Yokohama Ltd. 18,000 58,763 Benesse Corp. 1,500 25,859 Bridgestone Corp. 12,000 162,898 Canon Inc. 16,000 734,208 Casio Computer Co. Ltd. 5,000 31,938 Central Glass Co. Ltd. 4,000 23,519 Central Japan Railway Co. 15 107,433 Chiba Bank Ltd. (The) 15,000 53,217 Chubu Electric Power Co. Inc. 11,400 207,920 Chugai Pharmaceutical Co. Ltd. 5,200 59,070 Citizen Watch Co. Ltd. 7,000 37,602 Credit Saison Co. Ltd. 2,500 40,995 CSK Corp. 1,400 38,126 Dai Nippon Printing Co. Ltd. 12,000 126,921 Daido Life Insurance Co. Ltd. 23 49,802 Daiichi Pharmaceutical Co. Ltd. 5,500 71,639 Daikin Industries Ltd. 4,000 73,454 Dainippon Ink & Chemical Inc. 14,000 28,332 Daito Trust Construction Co. Ltd. 1,600 33,646 Daiwa House Industry Co. Ltd. 9,000 61,911 Daiwa Securities Group Inc. 22,000 126,421 Denki Kagaku Kogyo Kabushiki Kaisha 10,000 27,733 Denso Corp. 8,800 139,466 Dowa Mining Co. Ltd. 5,000 19,196 East Japan Railway Co. 63 280,175 Ebara Corporation 7,000 24,601 Eisai Co. Ltd. 4,400 90,510 FamilyMart Co. Ltd. 1,400 25,009 Fanuc Ltd. 2,200 109,015 Fast Retailing Co. Ltd. 1,100 33,987 Fuji Electric Co. Ltd. 10,000 21,903 Fuji Photo Film Co. Ltd. 9,000 260,088 Fujisawa Pharmaceutical Co. Ltd. 5,000 93,691 Fujitsu Ltd. 32,000 131,118 Furukawa Electric Co. Ltd. 13,000 42,440 172 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Gunma Bank Ltd. 9,000 $ 40,924 Heavy Industries Co. Ltd. 24,000 26,983 Hirose Electric Co. Ltd. 600 49,619 Hitachi Ltd. 53,000 224,668 Honda Motor Co. Ltd. 14,500 549,448 Hoya Corp. 2,100 144,635 Isetan Co. Ltd. 3,700 24,929 Itochu Corp. 26,000 65,392 Ito-Yokado Co. Ltd. 7,000 167,604 JAFCO Co. Ltd. 500 28,316 Japan Airlines System Corp. 15,000 32,730 Japan Tobacco Inc. 14 75,669 JFE Holdings Inc. 9,100 136,415 JGC Corp. 4,000 26,917 Joyo Bank Ltd. 16,000 44,639 JSR Corp. 4,000 48,603 Kajima Corp. 14,000 33,229 Kaneka Corp. 7,000 43,140 Kansai Electric Power Co. Inc. 12,300 194,014 Kao Corp. 10,000 186,134 Kawasaki Heavy Industries Ltd. 24,000 24,585 Kawasaki Kisen Kaisha Ltd. 12,000 28,982 Keihin Electric Express Railway Co. Ltd. 10,000 48,886 Keio Electric Railway Co. Ltd. 11,000 50,202 Keyence Corp. 650 119,092 Kinden Corp. 5,000 16,781 Kinki Nippon Railway Co. Ltd. 1 27,000 70,156 Kirin Brewery Co. Ltd. 13,000 91,376 Komatsu Ltd. 20,000 76,619 Konami Company Ltd. 1,600 28,649 Konica Corp. 6,000 68,307 Kubota Corp. 21,000 57,014 Kuraray Co. Ltd. 8,000 52,501 Kurita Water Industries Ltd. 3,100 34,311 Kyocera Corp. 3,000 171,643 Kyowa Hakko Kogyo Co. Ltd. 7,000 37,776 Kyushu Electric Power Co. Inc. 7,700 119,853 Lawson Inc. 1,300 35,728 Mabuchi Motor Co. Ltd. 600 45,871 Makita Corp. 3,000 24,360 Marubeni Corp. 27,000 35,078 Marui Co. Ltd. 7,200 63,980 Matsushita Electric Industrial Co. Ltd. 39,000 386,184 Matsushita Electric Works Ltd. 8,000 47,370 Meiji Dairies Corp. 6,000 22,236 Meiji Seika Kaisha Ltd. 8,000 26,184 Meitec Corp. 800 24,318 Millea Holdings Inc. 28 214,066 Minebea Co. Ltd. 11,000 43,606 Mitsubishi Chemical Corp. 33,000 67,333 Mitsubishi Corp. 19,000 131,809 Mitsubishi Electric Corp. 32,000 103,935 Mitsubishi Estate Co. Ltd. 18,000 121,874 Mitsubishi Heavy Industries Ltd. 55,000 142,453 Mitsubishi Materials Corp. 1 18,000 23,086 Mitsubishi Rayon Co. 11,000 29,315 Mitsubishi Tokyo Financial Group Inc. 74 334,641 Mitsui & Co. Ltd. 22,000 110,298 Mitsui Chemicals Inc. 11,000 50,843 Mitsui Engineering & Shipbuilding Co. Ltd. 17,000 21,378 Mitsui Fudosan Co. Ltd. 13,000 83,040 Mitsui Mining & Smelting Co. Ltd. 11,000 32,521 Mitsui O.S.K. Lines Ltd. 18,000 54,716 Mitsui Sumitomo Insurance Co. Ltd. 24,000 111,330 Mitsui Trust Holdings Inc. 1 12,000 26,384 Mitsukoshi Ltd. 8,000 21,054 Mizuho Financial Group Inc. 1 110 86,937 Murata Manufacturing Co. Ltd. 4,400 172,959 NEC Corp. 1 28,000 139,913 Net One Systems Co. Ltd. 3 14,716 NGK Insulators Ltd. 6,000 33,279 NGK Spark Plug Co. Ltd. 4,000 28,049 Nichii Gakkan Co. 400 19,988 Nidec Corp. 700 46,229 Nikko Cordial Corp. 25,000 100,354 Nikon Corp. 1 5,000 41,183 Nintendo Co. Ltd. 1,900 138,139 Nippon Express Co. Ltd. 15,000 58,214 Nippon Meat Packers Inc. 4,000 37,776 Nippon Mining Holdings Inc. 13,000 28,149 Nippon Oil Corp. 26,000 112,813 Nippon Sheet Glass Co. Ltd. 10,000 29,981 Nippon Steel Corp. 101,000 138,788 Nippon Telegraph & Telephone Corp. 101 396,177 Nippon Unipac Holding 18 70,306 Nippon Yusen Kabushiki Kaisha 18,000 70,156 Nissan Motor Co. Ltd. 46,700 446,484 Nisshin Seifun Group Inc. 5,000 35,519 Nissin Food Products Co. Ltd. 2,000 41,724 Nitto Denko Corp. 2,400 78,551 Nomura Holdings Inc. 33,000 418,838 NSK Ltd. 12,000 38,176 NTN Corp. 9,000 33,279 NTT Data Corp. 24 73,954 NTT DoCoMo Inc. 336 727,545 Obayashi Corp. 13,000 39,842 OBIC Co. Ltd. 200 35,744 Oji Paper Co. Ltd. 16,000 69,956 Oki Electric Industry Co. Ltd. 1 11,000 31,514 Olympus Optical Co. Ltd. 4,000 82,782 Omron Corp. 4,000 67,458 Oracle Corp. Japan 700 25,184 Oriental Land Co. Ltd. 1,000 43,806 ORIX Corp. 1,500 82,948 Osaka Gas Co. Ltd. 38,000 93,991 173 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Pioneer Corp. 3,100 $ 69,706 Promise Co. Ltd. 1,650 61,699 Resona Holdings Inc. 1 84,000 58,064 Ricoh Co. Ltd. 12,000 196,077 Rohm Co. Ltd. 2,000 218,030 Sankyo Co. Ltd. 1,100 27,437 Sankyo Co. Ltd. 7,700 91,958 Sanyo Electric Co. Ltd. 28,000 95,840 Secom Co. Ltd. 4,000 117,260 Sekisui Chemical Co. Ltd. 9,000 30,431 Sekisui House Ltd. 10,000 75,786 Seven-Eleven Japan Co. Ltd. 8,000 199,209 77 Bank Ltd. (The) 9,000 40,849 Sharp Corp. 17,000 218,172 Shimachu Company Ltd. 1,200 18,888 Shimamura Co. Ltd. 400 22,086 Shimano Inc. 1,900 29,875 Shimizu Corp. 10,000 27,733 Shin-Etsu Chemical Co. Ltd. 6,700 228,774 Shionogi & Co. Ltd. 6,000 81,299 Shiseido Co. Ltd. 7,000 68,033 Shizuoka Bank Ltd. 12,000 80,450 Showa Denko K.K. 1 20,000 34,812 Showa Shell Sekiyu K.K. 4,000 28,715 Skylark Co. 1,900 22,548 SMC Corp. 1,000 84,197 Softbank Corp. 3,700 70,102 Sompo Japan Insurance Inc. 14,000 76,369 Sony Corp. 16,500 464,460 Stanley Electric Co. Ltd. 3,000 42,748 Sumitomo Chemical Co. Ltd. 21,000 65,934 Sumitomo Corp. 14,000 64,593 Sumitomo Electric Industries Ltd. 11,000 80,341 Sumitomo Metal Industries Ltd. 72,000 49,769 Sumitomo Metal Mining Co. Ltd. 11,000 42,140 Sumitomo Mitsui Financial Group Inc. 69 150,556 Sumitomo Realty & Development Co. Ltd. 6,000 26,683 Sumitomo Trust & Banking Co. Ltd. (The) 18,000 62,211 Suruga Bank Ltd. (The) 4,000 23,019 Suzuken Co. Ltd. 800 18,988 Taiheiyo Cement Corp. 15,000 25,734 Taisei Corp. 18,000 35,378 Taisho Pharmaceutical Co. Ltd. 4,000 57,764 Taiyo Yuden Co. Ltd. 3,000 29,232 Takara Holdings Inc. 4,000 21,587 Takashimaya Co. Ltd. 6,000 29,831 Takeda Chemical Industries Ltd. 15,900 586,608 Takefuji Corp. 1,290 66,931 TDK Corp. 2,100 103,710 Teijin Ltd. 18,000 44,972 Terumo Corp. 3,600 59,813 THK Co. Ltd. 2,200 29,608 TIS Inc. 1,100 21,070 Tobu Railway Co. Ltd. 18,000 51,118 Toho Co. Ltd. 4,100 35,989 Tohoku Electric Power Co. Inc. 8,200 121,284 Tokyo Broadcasting System 1,000 12,184 Tokyo Electric Power Co. Inc. (The) 21,400 409,019 Tokyo Electron Ltd. 2,900 137,422 Tokyo Gas Co. Ltd. 47,000 135,041 Tokyu Corp. 18,000 58,014 TonenGeneral Sekiyu K.K. 6,000 42,174 Toppan Printing Co. Ltd. 12,000 85,946 Toray Industries Inc. 25,000 58,089 Toshiba Corp. 50,000 171,976 Tosoh Corporation 11,000 24,551 Tostem Inax Holding Corp. 5,000 72,038 Toto Ltd. 8,000 47,504 Toyo Seikan Kaisha Ltd. 3,000 28,057 Toyo Suisan Kaisha Ltd. 3,000 30,456 Toyoda Gosei Co. Ltd. 1,000 19,696 Toyota Industries Corporation 3,600 58,583 Toyota Motor Corp. 50,600 1,310,564 Trend Micro Inc. 1 2,000 31,064 Ube Industries Ltd. 17,000 25,059 UFJ Holdings Inc. 1 71 104,068 Uni-Charm Corp. 900 38,901 Uny Co. Ltd. 3,000 25,834 Ushio Inc. 3,000 34,728 USS Co. Ltd. 410 20,760 Wacoal Corp. 4,000 31,147 West Japan Railway Company 20 75,786 World Co. Ltd. 1,000 18,947 Yakult Honsha Co. Ltd. 3,000 40,225 Yamada Denki Co. Ltd. 1,600 35,311 Yamaha Corp. 3,000 41,124 Yamanouchi Pharmaceutical Co. Ltd. 5,900 153,796 Yamato Transport Co. Ltd. 8,000 88,545 Yokogawa Electric Corp. 5,000 38,601 -------------- 22,355,828 -------------- Luxembourg--0.07% Arcelor 6,507 75,769 -------------- 75,769 -------------- Netherlands--5.14% ABN AMRO Holding NV 28,093 537,139 Aegon NV 25,564 255,988 Akzo Nobel NV 5,485 145,374 ASML Holding NV 1 8,373 79,517 Corio NV 1,019 32,788 DSM NV 1,559 65,739 Euronext NV 2,148 53,255 Hagemeyer NV 5,613 21,593 Heineken NV 3,729 132,320 IHC Caland NV 745 38,036 ING Groep NV 31,507 547,420 Koninklijke Ahold NV 13,748 114,144 Koninklijke KPN NV 1 33,553 237,734 Koninklijke Numico NV 2,800 43,086 Koninklijke Philips Electronics NV 24,896 473,439 174 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Koninklijke Vendex KBB NV 1,852 $ 21,438 QIAGEN NV 1 3,199 27,001 Reed Elsevier NV 11,931 140,709 Rodamco Europe NV 1,227 64,209 Royal Dutch Petroleum Co. 39,299 1,824,114 TNT Post Group NV 6,340 110,082 Unilever NV CVA 10,708 574,494 VNU NV 4,445 136,951 Wolters Kluwer NV CVA 5,607 67,607 -------------- 5,744,177 -------------- New Zealand--0.21% Carter Holt Harvey Ltd. 27,340 28,651 Contact Energy Ltd. 12,981 38,379 Sky City Entertainment Group Ltd. 9,307 51,382 Telecom Corp. of New Zealand Ltd. 37,638 115,464 -------------- 233,876 -------------- Norway--0.44% DNB Holding ASA 9,504 46,872 Gjensidige NOR ASA 1,329 46,489 Norsk Hydro ASA 2,829 139,130 Norske Skogindustrier ASA 2,820 42,192 Orkla ASA 4,519 78,255 Statoil ASA 8,479 72,240 Tandberg ASA 1 2,262 11,720 Telenor ASA 8,100 33,664 Tomra Systems ASA 3,804 16,337 -------------- 486,899 -------------- Portugal--0.36% Banco Comercial Portugues SA Class R 39,547 69,483 Banco Espirito Santo e Comercial de Lisboa SA 2,554 37,834 BPI-SPGS SA--Registered 12,731 35,964 Brisa-Auto Estradas de Portugal SA 6,580 37,025 CIMPOR-Cimentos de Portugal SGPS SA 3,965 15,071 Electricidade de Portugal SA 36,742 78,478 Portugal Telecom SGPS SA 16,435 117,768 Sonae SGPS SA 1 26,102 14,687 -------------- 406,310 -------------- Singapore--0.80% Capitaland Ltd. 32,000 22,533 Chartered Semiconductor Manufacturing Ltd. 1 18,000 9,302 ComfortDelGro Corp. Ltd. 1 40,000 18,285 DBS Group Holdings Ltd. 19,652 114,944 Fraser & Neave Ltd. 7,400 36,139 Haw Par Corp. Ltd. 13,792 33,991 Keppel Corp. Ltd. 13,000 36,173 Oversea-Chinese Banking Corp. Ltd.--Ordinary Shares 19,350 109,881 Singapore Airlines Ltd. 13,000 76,775 Singapore Press Holdings Ltd. 8,000 83,135 Singapore Technologies Engineering Ltd. 37,000 36,559 Singapore Telecommunications Ltd. 121,000 103,754 United Overseas Bank Ltd. 23,392 164,714 Venture Corp. Ltd. 5,000 45,713 -------------- 891,898 -------------- Spain--3.75% Abertis Infraestructuras SA 5,004 69,933 Acciona SA 640 30,500 Acerinox SA 1,304 49,835 Actividades de Construccion y Servicios SA 882 37,627 Altadis SA 5,728 146,815 Amadeus Global Travel Distribution SA Class A 4,604 26,382 Banco Bilbao Vizcaya Argentaria SA 55,609 584,306 Banco Popular Espanol SA 2,933 148,197 Banco Santander Central Hispano SA 78,296 686,023 Corporacion Mapfre SA 1,984 21,188 Endesa SA 16,736 280,210 Fomento de Construcciones y Contratas SA 1,111 31,041 Gas Natural SDG SA 3,991 80,204 Grupo Dragados SA 2,602 52,380 Grupo Ferrovial SA 1,209 32,835 Iberdrola SA 14,353 248,553 Indra Sistemas SA 2,620 26,627 Industria de Diseno Textil SA 4,219 106,103 Repsol YPF SA 17,378 281,779 Sacyr Vallehermoso SA 3,335 36,995 Sociedad General de Aguas de Barcelona SA 2,517 34,396 Telefonica SA 89,506 1,039,148 Terra Networks SA 1 7,886 47,725 Union Fenosa SA 4,070 68,938 Zeltia SA Rights 3,537 23,883 -------------- 4,191,623 -------------- Sweden--2.03% ASSA Abloy AB Class B 5,751 55,678 Atlas Copco AB Class A 2,360 59,701 Atlas Copco AB Class B 1,384 32,504 Drott AB Class B 2,450 30,912 Electrolux AB Class B 5,910 116,650 Eniro AB 4,022 34,653 Gambro AB Class A 3,797 25,140 Hennes & Mauritz AB Class B 8,871 203,907 Holmen AB Class B 962 26,258 Modern Times Group AB Class B 1 1,762 27,074 Nordea AB 45,757 220,641 175 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- OM AB 1,684 $ 11,991 Sandvik AB 4,143 108,428 Securitas AB Class B 5,726 58,655 Skandia Forsakrings AB 17,334 46,123 Skandinaviska Enskilda Banken AB Class A 9,096 92,608 Skanska AB Class B 8,257 47,139 SKF AB Class B 1,807 52,145 Svenska Cellulosa AB Class B 3,508 119,856 Svenska Handelsbanken AB Class A 10,688 174,908 Swedish Match AB 8,278 62,564 Tele2 AB Class B 1 1,860 69,126 Telefonaktiebolaget LM Ericsson AB Class B 1 282,288 303,272 Telia AB 30,809 127,778 Trelleborg AB Class B 2,686 28,689 Volvo AB Class A 1,873 39,309 Volvo AB Class B 4,334 95,289 -------------- 2,270,998 -------------- Switzerland--7.40% ABB Ltd. 1 18,583 61,049 Adecco SA 2,565 105,664 Centerpulse AG--Registered 1 198 53,280 Ciba Specialty Chemicals AG 1 1,437 86,991 Clariant AG--Registered 1 3,015 27,600 Compagnie Financiere Richemont AG 10,792 174,482 Credit Suisse Group 22,309 587,144 Givaudan SA--Registered 188 79,111 Holcim Ltd. 3,009 111,181 Logitech International SA--Registered 1 907 34,015 Lonza Group AG--Registered 1,094 50,074 Nestle SA 7,518 1,551,276 Nobel Biocare Holding AG 451 29,860 Novartis AG 45,003 1,780,784 Roche Holding AG--Genusschein 13,077 1,025,751 Roche Holding AG Bearer 586 72,031 Serono SA 130 76,394 Societe Generale de Surveillance Holding SA 95 37,101 Swatch Group (The) AG--Registered 1,482 26,969 Swatch Group (The) AG Class B 722 65,428 Swiss Re 6,017 333,377 Swisscom AG 496 140,977 Syngenta AG 2,134 106,972 Synthes-Stratec Inc. 94 67,522 UBS AG--Registered 22,277 1,239,210 Unaxis Holding AG Class R 230 18,720 Zurich Financial Services AG 1 2,713 323,465 -------------- 8,266,428 -------------- United Kingdom--26.63% Aegis Group PLC 23,222 30,368 Alliance Unichem PLC 4,968 40,600 AMEC PLC 5,249 22,520 Amersham PLC 13,424 100,734 AMVESCAP PLC 12,589 86,834 ARM Holdings PLC 1 21,406 23,667 Associated British Ports Holdings PLC 7,715 50,542 AstraZeneca PLC 32,306 1,295,427 Aviva PLC 41,869 290,697 BAA PLC 19,822 160,439 BAE Systems PLC 57,527 135,273 Balfour Beatty PLC 7,911 25,195 Barclays PLC 2 122,159 907,113 Barratt Developments PLC 4,556 32,478 BBA Group PLC 11,951 41,020 Berkeley Group (The) PLC 2,351 28,961 BG Group PLC 64,800 287,106 BHP Billiton PLC 46,962 247,207 BOC Group PLC 9,100 116,752 Boots Group PLC 15,751 168,555 BP PLC 417,632 2,896,176 BPB PLC 9,923 50,270 Brambles Industries PLC 15,117 40,910 British Airways PLC 1 9,883 24,707 British American Tobacco PLC 30,699 348,273 British Land Co. PLC 9,831 77,990 British Sky Broadcasting Group PLC 1 23,198 257,051 BT Group PLC 161,510 543,026 Bunzl PLC 9,965 69,845 Cable & Wireless PLC 44,479 82,939 Cadbury Schweppes PLC 39,062 230,760 Canary Wharf Finance PLC 1 8,565 36,182 Capita Group PLC 13,511 50,387 Carlton Communications PLC 16,253 40,632 Carnival PLC 3,196 97,092 Cattles PLC 8,130 43,534 Celltech Group PLC 1 5,440 30,790 Centrica PLC 77,968 226,118 Chubb PLC 21,846 27,217 Close Brothers Group PLC 3,009 32,150 Cobham PLC 1,849 35,317 Compass Group PLC 42,500 229,154 Daily Mail and General Trust PLC Class A 6,350 59,727 De La Rue PLC 4,444 17,343 Diageo PLC 58,895 628,791 Dixons Group PLC 37,399 81,462 Electrocomponents PLC 9,172 49,114 EMAP PLC 4,683 66,110 EMI Group PLC 18,821 37,890 Enterprise Inns PLC 3,234 43,146 Exel PLC 5,770 59,223 FirstGroup PLC 7,937 35,363 FKI PLC 11,736 15,445 Friends Provident PLC 30,124 56,420 George Wimpey PLC 7,918 38,544 GKN PLC 15,495 56,891 GlaxoSmithKline PLC 112,472 2,269,835 Granada PLC 54,675 82,102 176 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- GUS PLC 18,783 $ 210,454 Hammerson PLC 5,164 42,223 Hanson PLC 13,936 77,671 Hays PLC 33,912 53,722 HBOS PLC 70,721 915,514 Hilton Group PLC 32,034 97,264 HSBC Holdings PLC 200,192 2,365,283 IMI PLC 7,298 36,128 Imperial Chemical Industries PLC 26,303 53,278 Imperial Tobacco Group PLC 13,529 241,778 InterContinental Hotels Group PLC 1 13,822 98,076 International Power PLC 1 22,347 47,662 Invensys PLC 67,972 22,994 J Sainsbury PLC 27,304 114,442 Johnson Matthey PLC 4,507 65,671 Kelda Group PLC 8,716 61,486 Kidde PLC 16,008 22,453 Kingfisher PLC 48,145 220,265 Land Securities Group PLC 8,528 109,976 Legal & General Group PLC 120,495 167,021 Liberty International PLC 6,557 67,030 Lloyds TSB Group PLC 103,475 734,649 LogicaCMG PLC 14,704 34,758 Man Group PLC 5,155 101,738 Marks & Spencer Group PLC 42,194 219,845 MFI Furniture Group PLC 11,511 31,816 Misys PLC 10,969 46,518 Mitchells & Butlers PLC 1 13,822 53,315 National Grid Transco PLC 57,605 390,684 Next PLC 5,395 91,385 Novar PLC 12,999 26,277 Pearson PLC 15,547 145,207 Peninsular & Oriental Steam Navigation Co. PLC 14,889 57,737 Persimmon PLC 5,306 41,765 Provident Financial PLC 4,961 52,188 Prudential Corp. PLC 37,951 229,833 Rank Group PLC 12,411 50,995 Reckitt Benckiser PLC 11,025 202,305 Reed International PLC 23,713 197,313 Rentokil Initial PLC 36,957 115,413 Reuters Group PLC 27,483 79,705 Rexam PLC 9,165 57,621 Rio Tinto PLC 19,568 368,108 RMC Group PLC 5,513 42,007 Rolls-Royce Group PLC 28,381 60,063 Royal Bank of Scotland Group PLC 51,236 1,437,300 Royal Sun Alliance Industries Group PLC 27,051 61,936 SABMiller PLC 16,201 108,474 Safeway PLC 19,289 81,962 Sage Group PLC 24,222 64,751 Schroders PLC 2,680 27,850 Scottish & Newcastle PLC 14,363 86,865 Scottish & Southern Energy PLC 15,845 163,155 Scottish Power PLC 34,000 204,223 Securicor PLC 16,231 19,954 Serco Group PLC 9,643 25,460 Severn Trent PLC 6,701 75,634 Shell Transport & Trading Co. PLC 178,799 1,180,181 Signet Group PLC 34,494 51,371 Slough Estates PLC 8,271 46,643 Smith & Nephew PLC 17,657 101,469 Smiths Group PLC 10,650 123,546 Stagecoach Group PLC 22,950 23,480 Tate & Lyle PLC 7,802 44,095 Taylor Woodrow PLC 11,498 38,137 Tesco PLC 134,386 486,202 3i Group PLC 11,750 109,550 TI Automotive Ltd. 1 3 7,024 -- Tomkins PLC 14,962 56,045 Unilever PLC 51,560 410,519 United Business Media PLC 8,146 40,730 United Utilities PLC 10,722 104,211 Vodafone Group PLC 1,276,771 2,496,633 Whitebread PLC 6,083 68,057 William Hill PLC 6,385 30,081 Wolseley PLC 11,127 123,066 WPP Group PLC 21,652 169,713 -------------- 29,742,343 -------------- TOTAL COMMON STOCKS (Cost: $130,892,848) 108,739,183 -------------- ------------------------------------------------------------------------------- PREFERRED STOCKS--0.49% ------------------------------------------------------------------------------- Australia--0.22% News Corporation Ltd. (The) 39,713 244,762 -------------- 244,762 -------------- Germany--0.23% Henkel KGaA 1,185 73,360 Porsche AG 160 67,799 Prosieben Satellite Media AG 2,990 19,915 Volkswagen AG 2,091 62,695 Wella AG 505 36,825 -------------- 260,594 -------------- Italy--0.04% IntesaBci SpA 18,548 42,599 -------------- 42,599 -------------- TOTAL PREFERRED STOCKS (Cost: $625,022) 547,955 -------------- ------------------------------------------------------------------------------- EXCHANGE-TRADED FUNDS--1.02% ------------------------------------------------------------------------------- iShares MSCI EAFE Index Fund 4 10,532 1,140,721 -------------- 1,140,721 -------------- TOTAL EXCHANGE-TRADED FUNDS (Cost: $1,030,497) 1,140,721 -------------- 177 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- International Index Master Portfolio ------------------------------------------------------------------------------- Shares or Security Principal Value ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS--12.82% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5 7,998,519 $ 7,998,519 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares 5 2,388,365 2,388,365 BlackRock Temp Cash Money Market Fund 5 120,443 120,443 Short Term Investment Co.--Liquid Assets Money Market Portfolio 5 626,276 626,276 Short Term Investment Co.--Prime Money Market Portfolio, Institutional Shares 5 265,374 265,374 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03 5 $ 159,224 159,224 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04 5 132,667 132,667 1.17%, 08/15/03 5 199,042 199,042 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03 5 106,149 106,149 CC USA Inc., Floating Rate Note 1.10%, 04/19/04 5 116,759 116,759 1.31%, 05/24/04 5 265,347 265,347 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04 5 265,334 265,334 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04 5 132,687 132,687 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04 5 265,374 265,374 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04 5 53,075 53,075 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04 5 132,680 132,680 1.22%, 04/13/04 5 132,680 132,680 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04 5 132,660 132,660 1.08%, 03/29/04 5 132,687 132,687 1.29%, 05/04/04 5 132,680 132,680 Sigma Finance Inc., Floating Rate Note 1.13%,, 10/15/03 5 265,361 265,361 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04 5 132,687 132,687 1.14%, 05/17/04 5 159,224 159,224 -------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $14,315,294) 14,315,294 -------------- Security Principal Value ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS--0.17% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%. 5 $ 132,687 $ 132,687 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%. 5 53,075 53,075 -------------- TOTAL REPURCHASE AGREEMENTS (Cost: $185,762) 185,762 -------------- TOTAL INVESTMENTS IN SECURITIES--111.86% (Cost $147,049,423) 124,928,915 Other Assets, Less Liabilities--(11.86%) (13,241,284) -------------- NET ASSETS--100.00% $ 111,687,631 ============== Notes to the Schedule of Investments: 1 Non-income earning securities. 2 Issuer is an affiliate of the Master Portfolio's investment advisor. See Note 2. 3 Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. 4 Non-controlled affiliated issuer. See Note 2. 5 All or a portion of this security represents investments of securities lending collateral. 178 The accompanying notes are an integral part of these financial statements. Schedule of Investments June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- S&P 500 Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--96.41% ------------------------------------------------------------------------------- Advertising--0.20% Interpublic Group of Companies Inc. 119,121 $ 1,593,839 Omnicom Group Inc. 57,658 4,134,079 -------------- 5,727,918 -------------- Aerospace/Defense--1.44% Boeing Co. (The) 257,180 8,826,418 General Dynamics Corp. 60,415 4,380,087 Goodrich (B.F.) Co. 35,903 753,963 Lockheed Martin Corp. 137,751 6,552,815 Northrop Grumman Corp. 55,943 4,827,321 Raytheon Co. 125,564 4,123,522 Rockwell Collins Inc. 54,585 1,344,429 United Technologies Corp. 143,177 10,141,227 -------------- 40,949,782 -------------- Airlines--0.16% Delta Air Lines Inc. 37,668 552,966 Southwest Airlines Co. 238,215 4,097,298 -------------- 4,650,264 -------------- Apparel--0.29% Jones Apparel Group Inc. 1 39,228 1,147,811 Liz Claiborne Inc. 32,812 1,156,623 Nike Inc. Class B 80,805 4,322,259 Reebok International Ltd. 1 18,116 609,241 VF Corp. 33,123 1,125,188 -------------- 8,361,122 -------------- Auto Manufacturers--0.54% Ford Motor Company 560,186 6,156,444 General Motors Corp. 171,480 6,173,280 Navistar International Corp. 1 20,842 680,074 PACCAR Inc. 35,546 2,401,488 -------------- 15,411,286 -------------- Auto Parts & Equipment--0.10% Cooper Tire & Rubber Co. 22,440 394,720 Dana Corp. 45,369 524,466 Delphi Corp. 171,277 1,478,121 Goodyear Tire & Rubber Co. (The) 53,469 280,712 Visteon Corp. 39,824 273,591 -------------- 2,951,610 -------------- Banks--7.23% AmSouth Bancorp 107,533 2,348,521 Bank of America Corp. 458,317 36,220,793 Bank of New York Co. Inc. (The) 235,841 6,780,429 Bank One Corp. 349,545 12,996,083 BB&T Corp. 144,145 4,944,173 Charter One Financial Inc. 68,798 2,145,122 Comerica Inc. 53,563 2,490,679 Fifth Third Bancorp 175,722 10,075,899 First Tennessee National Corp. 38,613 1,695,497 FleetBoston Financial Corp. 321,648 9,556,162 Golden West Financial Corp. 46,728 3,738,707 Huntington Bancshares Inc. 70,082 1,368,001 KeyCorp 129,451 3,271,227 Marshall & Ilsley Corp. 69,309 2,119,469 Mellon Financial Corp. 131,958 3,661,834 National City Corp. 187,092 6,119,779 North Fork Bancorp Inc. 48,011 1,635,255 Northern Trust Corp. 67,500 2,820,825 PNC Financial Services Group 86,580 4,225,970 Regions Financial Corp. 67,915 2,294,169 SouthTrust Corp. 104,179 2,833,669 State Street Corp. 101,659 4,005,365 SunTrust Banks Inc. 85,733 5,087,396 Synovus Financial Corp. 92,832 1,995,888 U.S. Bancorp 587,241 14,387,404 Union Planters Corp. 60,698 1,883,459 Wachovia Corp. 411,585 16,446,937 Washington Mutual Inc. 284,721 11,758,977 Wells Fargo & Company 512,506 25,830,302 Zions Bancorporation 27,629 1,398,304 -------------- 206,136,295 -------------- Beverages--2.72% Anheuser-Busch Companies Inc. 255,299 13,033,014 Brown-Forman Corp. Class B 18,421 1,448,259 Coca-Cola Co. (The) 753,625 34,975,736 Coca-Cola Enterprises Inc. 138,255 2,509,328 Coors (Adolf) Company Class B 11,097 543,531 Pepsi Bottling Group Inc. 84,011 1,681,900 PepsiCo Inc. 525,669 23,392,270 -------------- 77,584,038 -------------- Biotechnology--1.14% Amgen Inc. 1 385,356 25,603,053 Biogen Inc. 1 45,379 1,724,402 Chiron Corp. 1 57,091 2,496,019 Genzyme Corp.--General Division 1 65,990 2,758,382 -------------- 32,581,856 -------------- Building Materials--0.22% American Standard Companies Inc. 1 22,008 1,627,051 Masco Corp. 145,917 3,480,120 Vulcan Materials Co. 31,075 1,151,950 -------------- 6,259,121 -------------- Chemicals--1.37% Air Products & Chemicals Inc. 69,498 2,891,117 Ashland Inc. 20,843 639,463 Dow Chemical Co. (The) 280,049 8,670,317 Du Pont (E.I.) de Nemours and Co. 304,667 12,686,334 Eastman Chemical Co. 23,638 748,615 Engelhard Corp. 38,636 957,014 Great Lakes Chemical Corp. 15,312 312,365 Hercules Inc. 1 33,515 331,798 Monsanto Co. 79,924 1,729,555 PPG Industries Inc. 51,899 2,633,355 Praxair Inc. 49,683 2,985,948 179 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- S&P 500 Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Rohm & Haas Co. 67,889 $ 2,106,596 Sherwin-Williams Co. (The) 45,019 1,210,111 Sigma-Aldrich Corp. 21,732 1,177,440 -------------- 39,080,028 -------------- Commercial Services--1.06% Apollo Group Inc. Class A 1 53,585 3,309,410 Block (H & R) Inc. 54,768 2,368,716 Cendant Corp. 1 311,741 5,711,095 Concord EFS Inc. 1 149,041 2,193,884 Convergys Corp. 1 45,418 726,688 Deluxe Corp. 16,972 760,346 Donnelley (R.R.) & Sons Co. 34,616 904,862 Ecolab Inc. 80,351 2,056,986 Equifax Inc. 43,238 1,124,188 McKesson Corp. 88,651 3,168,387 Monster Worldwide Inc. 1 34,149 673,760 Moody's Corp. 45,420 2,394,088 Paychex Inc. 115,121 3,374,197 Quintiles Transnational Corp. 1 36,106 512,344 Robert Half International Inc. 1 52,196 988,592 -------------- 30,267,543 -------------- Computers--5.48% Apple Computer Inc. 1 111,789 2,137,406 Cisco Systems Inc. 1 2,147,336 35,839,038 Computer Sciences Corp. 1 57,249 2,182,332 Dell Computer Corp. 1 785,781 25,113,561 Electronic Data Systems Corp. 146,300 3,138,135 EMC Corp. 1 669,325 7,007,833 Gateway Inc. 1 98,834 360,744 Hewlett-Packard Co. 933,764 19,889,173 International Business Machines Corp. 528,619 43,611,067 Lexmark International Inc. 1 38,989 2,759,252 NCR Corp. 1 29,289 750,384 Network Appliance Inc. 1 103,803 1,682,647 Sun Microsystems Inc. 1 987,804 4,543,898 SunGard Data Systems Inc. 1 86,960 2,253,134 Unisys Corp. 1 100,177 1,230,174 Veritas Software Corp. 1 126,855 3,636,933 -------------- 156,135,711 -------------- Cosmetics/Personal Care--2.43% Alberto-Culver Co. Class B 17,924 915,916 Avon Products Inc. 71,882 4,471,060 Colgate-Palmolive Co. 164,578 9,537,295 Gillette Co. (The) 312,483 9,955,708 International Flavors & Fragrances Inc. 28,796 919,456 Kimberly-Clark Corp. 155,683 8,117,312 Procter & Gamble Co. 396,066 35,321,166 -------------- 69,237,913 -------------- Distribution/Wholesale--0.28% Costco Wholesale Corp. 1 139,512 5,106,139 Genuine Parts Co. 53,156 1,701,524 Grainger (W.W.) Inc. 28,008 1,309,654 -------------- 8,117,317 -------------- Diversified Financial Services--9.05% American Express Co. 396,832 16,591,546 American International Group Inc. 797,946 44,030,660 Bear Stearns Companies Inc. (The) 30,292 2,193,747 Capital One Financial Corp. 69,252 3,405,813 Citigroup Inc. 1,574,871 67,404,479 Countrywide Financial Corp. 39,943 2,778,835 Fannie Mae 299,788 20,217,703 Federated Investors Inc. Class B 33,460 917,473 Franklin Resources Inc. 77,612 3,032,301 Freddie Mac 210,337 10,678,809 Goldman Sachs Group Inc. (The) 143,688 12,033,870 Janus Capital Group Inc. 73,136 1,199,430 JP Morgan Chase & Co. 621,367 21,238,324 Lehman Brothers Holdings Inc. 74,189 4,932,085 MBNA Corp. 390,814 8,144,564 Merrill Lynch & Co. Inc. 284,582 13,284,288 Morgan Stanley 332,601 14,218,693 Providian Financial Corp. 1 88,549 819,964 Schwab (Charles) Corp. (The) 413,017 4,167,342 SLM Corp. 138,411 5,421,559 T. Rowe Price Group Inc. 37,403 1,411,963 -------------- 258,123,448 -------------- Electric--2.58% AES Corp. (The) 1 187,264 1,189,126 Allegheny Energy Inc. 38,333 323,914 Ameren Corp. 49,296 2,173,954 American Electric Power Co. Inc. 120,800 3,603,464 Calpine Corp. 1 116,439 768,497 CenterPoint Energy Inc. 93,327 760,615 Cinergy Corp. 53,840 1,980,774 CMS Energy Corp. 43,904 355,622 Consolidated Edison Inc. 68,279 2,955,115 Constellation Energy Group Inc. 50,546 1,733,728 Dominion Resources Inc. 95,064 6,109,763 DTE Energy Co. 51,359 1,984,512 Duke Energy Corp. 275,625 5,498,719 Edison International 1 99,603 1,636,477 Entergy Corp. 69,052 3,644,565 Exelon Corp. 99,172 5,931,477 FirstEnergy Corp. 91,023 3,499,834 FPL Group Inc. 56,055 3,747,277 Mirant Corp. 1 123,218 357,332 NiSource Inc. 80,268 1,525,092 PG&E Corp. 1 125,120 2,646,288 Pinnacle West Capital Corp. 27,887 1,044,368 PPL Corp. 51,541 2,216,263 Progress Energy Inc. 73,642 3,232,884 180 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- S&P 500 Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Public Service Enterprise Group Inc. 69,077 $ 2,918,503 Southern Company 220,759 6,878,850 TECO Energy Inc. 53,912 646,405 TXU Corp. 98,535 2,212,111 Xcel Energy Inc. 121,901 1,833,391 -------------- 73,408,920 -------------- Electrical Components & Equipment--0.09% American Power Conversion Corp. 1 60,049 936,164 Molex Inc. 58,568 1,580,750 Power-One Inc. 1 25,176 180,008 -------------- 2,696,922 -------------- Electronics--0.57% Agilent Technologies Inc. 1 144,124 2,817,624 Applera Corp.--Applied Biosystems Group 64,061 1,219,081 Jabil Circuit Inc. 1 60,719 1,341,890 Johnson Controls Inc. 27,264 2,333,798 Millipore Corp. 1 14,806 656,942 Parker Hannifin Corp. 36,113 1,516,385 PerkinElmer Inc. 38,499 531,671 Sanmina-SCI Corp. 1 155,853 983,432 Solectron Corp. 1 253,584 948,404 Symbol Technologies Inc. 70,457 916,646 Tektronix Inc. 1 26,077 563,263 Thermo Electron Corp. 1 49,610 1,042,802 Thomas & Betts Corp. 1 17,814 257,412 Waters Corp. 1 38,107 1,110,057 -------------- 16,239,407 -------------- Engineering & Construction--0.03% Fluor Corp. 24,906 837,838 -------------- 837,838 -------------- Entertainment--0.09% International Game Technology Inc. 1 26,117 2,672,553 -------------- 2,672,553 -------------- Environmental Control--0.18% Allied Waste Industries Inc. 1 64,160 644,808 Waste Management Inc. 181,029 4,360,989 -------------- 5,005,797 -------------- Food--1.79% Albertson's Inc. 112,357 2,157,254 Archer-Daniels-Midland Co. 197,291 2,539,135 Campbell Soup Co. 125,543 3,075,803 ConAgra Foods Inc. 164,242 3,876,111 General Mills Inc. 113,034 5,358,942 Heinz (H.J.) Co. 107,469 3,544,328 Hershey Foods Corp. 40,168 2,798,103 Kellogg Co. 124,449 4,277,312 Kroger Co. 1 230,989 3,852,897 McCormick & Co. Inc. 42,682 1,160,950 Safeway Inc. 1 134,977 2,761,629 Sara Lee Corp. 237,891 4,474,730 SUPERVALU Inc. 40,877 871,498 Sysco Corp. 198,828 5,972,793 Winn-Dixie Stores Inc. 42,992 529,232 Wrigley (William Jr.) Co. 68,831 3,870,367 -------------- 51,121,084 -------------- Forest Products & Paper--0.52% Boise Cascade Corp. 17,787 425,109 Georgia-Pacific Corp. 76,521 1,450,073 International Paper Co. 146,487 5,233,980 Louisiana-Pacific Corp. 1 31,891 345,698 MeadWestvaco Corp. 61,258 1,513,073 Plum Creek Timber Co. Inc. 56,078 1,455,224 Temple-Inland Inc. 16,508 708,358 Weyerhaeuser Co. 66,984 3,617,136 -------------- 14,748,651 -------------- Gas--0.16% KeySpan Corp. 48,096 1,705,003 Nicor Inc. 13,438 498,684 Peoples Energy Corp. 11,003 471,919 Sempra Energy 63,423 1,809,458 -------------- 4,485,064 -------------- Hand/Machine Tools--0.31% Black & Decker Corp. 23,805 1,034,327 Emerson Electric Co. 128,757 6,579,483 Snap-On Inc. 17,766 515,747 Stanley Works (The) 26,225 723,810 -------------- 8,853,367 -------------- Health Care--4.53% Aetna Inc. 46,440 2,795,688 Anthem Inc. 1 42,332 3,265,914 Bard (C.R.) Inc. 15,906 1,134,257 Bausch & Lomb Inc. 16,251 609,412 Baxter International Inc. 182,747 4,751,422 Becton, Dickinson & Co. 77,894 3,026,182 Biomet Inc. 79,022 2,264,771 Boston Scientific Corp. 1 125,461 7,665,667 Guidant Corp. 94,594 4,199,028 HCA Inc. 156,593 5,017,240 Health Management Associates Inc. Class A 72,958 1,346,075 Humana Inc. 1 49,345 745,109 Johnson & Johnson 908,205 46,954,199 Manor Care Inc. 1 27,645 691,401 Medtronic Inc. 373,056 17,895,496 Quest Diagnostics Inc. 1 32,206 2,054,743 St. Jude Medical Inc. 1 55,027 3,164,053 Stryker Corp. 60,719 4,212,077 Tenet Healthcare Corp. 1 142,922 1,665,041 UnitedHealth Group Inc. 181,342 9,112,436 WellPoint Health Networks Inc. 1 44,539 3,754,638 Zimmer Holdings Inc. 1 60,076 2,706,424 -------------- 129,031,273 -------------- Home Builders--0.12% Centex Corp. 19,030 1,480,344 KB Home 14,533 900,755 Pulte Homes Inc. 18,720 1,154,275 -------------- 3,535,374 -------------- Home Furnishings--0.11% Leggett & Platt Inc. 59,145 1,212,473 Maytag Corp. 23,920 584,126 Whirlpool Corp. 20,968 1,335,662 -------------- 3,132,261 -------------- 181 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- S&P 500 Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Household Products/Wares--0.35% American Greetings Corp. Class A 1 20,099 $ 394,744 Avery Dennison Corp. 33,775 1,695,505 Clorox Co. 66,370 2,830,681 Fortune Brands Inc. 44,509 2,323,370 Newell Rubbermaid Inc. 83,845 2,347,660 Tupperware Corp. 17,778 255,292 -------------- 9,847,252 -------------- Insurance--3.07% ACE Ltd. 80,946 2,775,638 AFLAC Inc. 157,141 4,832,086 Allstate Corp. (The) 215,318 7,676,087 Ambac Financial Group Inc. 32,492 2,152,595 AON Corp. 95,459 2,298,653 Chubb Corp. 56,611 3,396,660 CIGNA Corp. 42,866 2,012,130 Cincinnati Financial Corp. 49,146 1,822,825 Hancock (John) Financial Services Inc. 88,371 2,715,641 Hartford Financial Services Group Inc. 85,583 4,309,960 Jefferson-Pilot Corp. 43,539 1,805,127 Lincoln National Corp. 54,268 1,933,569 Loews Corp. 56,690 2,680,870 Marsh & McLennan Companies Inc. 163,846 8,367,615 MBIA Inc. 44,067 2,148,266 MetLife Inc. 232,514 6,584,796 MGIC Investment Corp. 30,249 1,410,813 Principal Financial Group Inc. 100,096 3,228,096 Progressive Corp. (The) 66,572 4,866,413 Prudential Financial Inc. 168,246 5,661,478 SAFECO Corp. 42,303 1,492,450 St. Paul Companies Inc. 69,592 2,540,804 Torchmark Corp. 35,586 1,325,579 Travelers Property Casualty Corp. Class B 307,822 4,854,353 UNUMProvident Corp. 87,937 1,179,235 XL Capital Ltd. Class A 41,775 3,467,325 -------------- 87,539,064 -------------- Iron/Steel--0.06% Allegheny Technologies Inc. 24,504 161,726 Nucor Corp. 23,929 1,168,932 United States Steel Corp. 31,489 515,475 -------------- 1,846,133 -------------- Leisure Time--0.41% Brunswick Corp. 27,575 689,927 Carnival Corp. 192,264 6,250,503 Harley-Davidson Inc. 92,485 3,686,452 Sabre Holdings Corp. 43,788 1,079,374 -------------- 11,706,256 -------------- Lodging--0.26% Harrah's Entertainment Inc. 1 33,620 1,352,869 Hilton Hotels Corp. 115,183 1,473,191 Marriott International Inc. Class A 71,007 2,728,089 Starwood Hotels & Resorts Worldwide Inc. 61,339 1,753,682 -------------- 7,307,831 -------------- Machinery--0.54% Caterpillar Inc. 105,356 5,864,115 Cummins Inc. 12,668 454,655 Deere & Co. 73,208 3,345,606 Dover Corp. 61,922 1,855,183 Ingersoll-Rand Co. Class A 51,795 2,450,939 McDermott International Inc. 1 19,820 125,461 Rockwell Automation Inc. 56,807 1,354,279 -------------- 15,450,238 -------------- Manufacturers--4.95% Cooper Industries Ltd. 28,539 1,178,661 Crane Co. 18,084 409,241 Danaher Corp. 46,736 3,180,385 Eastman Kodak Co. 87,741 2,399,716 Eaton Corp. 22,808 1,792,937 General Electric Co. 3,057,452 87,687,723 Honeywell International Inc. 262,411 7,045,735 Illinois Tool Works Inc. 94,073 6,194,707 ITT Industries Inc. 28,090 1,838,771 Pall Corp. 37,664 847,440 Textron Inc. 41,402 1,615,506 3M Co. 119,556 15,420,334 Tyco International Ltd. 610,833 11,593,610 -------------- 141,204,766 -------------- Media--3.82% AOL Time Warner Inc. 1 1,375,695 22,134,933 Clear Channel Communications Inc. 1 187,851 7,963,004 Comcast Corp. Class A 1 688,068 20,765,892 Dow Jones & Co. Inc. 24,955 1,073,814 Gannett Co. Inc. 82,157 6,310,479 Knight Ridder Inc. 24,978 1,721,734 McGraw-Hill Companies Inc. (The) 58,383 3,619,746 Meredith Corp. 15,189 668,316 New York Times Co. Class A 46,187 2,101,509 Tribune Co. 94,503 4,564,495 Univision Communications Inc. Class A 1 70,087 2,130,645 Viacom Inc. Class B 1 537,241 23,455,942 Walt Disney Co. (The) 625,007 12,343,888 -------------- 108,854,397 -------------- Metal Fabricate/Hardware--0.01% Worthington Industries Inc. 26,211 351,227 -------------- 351,227 -------------- Mining--0.45% Alcoa Inc. 258,536 6,592,668 Freeport-McMoRan Copper & Gold Inc. 44,434 1,088,633 Newmont Mining Corp. 123,008 3,992,840 Phelps Dodge Corp. 1 27,218 1,043,538 -------------- 12,717,679 -------------- 182 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- S&P 500 Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Office/Business Equipment--0.19% Pitney Bowes Inc. 71,726 $ 2,754,996 Xerox Corp. 1 239,090 2,531,963 -------------- 5,286,959 -------------- Oil & Gas Producers--5.04% Amerada Hess Corp. 27,488 1,351,860 Anadarko Petroleum Corp. 76,292 3,392,705 Apache Corp. 49,420 3,215,265 Burlington Resources Inc. 61,478 3,324,115 ChevronTexaco Corp. 326,811 23,595,754 ConocoPhillips 207,620 11,377,576 Devon Energy Corp. 70,581 3,769,025 EOG Resources Inc. 35,121 1,469,463 Exxon Mobil Corp. 2,043,444 73,380,074 Kerr-McGee Corp. 30,828 1,381,094 Kinder Morgan Inc. 37,325 2,039,811 Marathon Oil Corp. 94,903 2,500,694 Nabors Industries Ltd. 1 44,528 1,761,082 Noble Corp. 1 40,946 1,404,448 Occidental Petroleum Corp. 115,990 3,891,465 Rowan Companies Inc. 1 28,598 640,595 Sunoco Inc. 23,419 883,833 Transocean Inc. 1 97,775 2,148,117 Unocal Corp. 78,897 2,263,555 -------------- 143,790,531 -------------- Oil & Gas Services--0.59% Baker Hughes Inc. 102,960 3,456,367 BJ Services Co. 1 48,324 1,805,385 Halliburton Co. 133,688 3,074,824 Schlumberger Ltd. 178,107 8,472,550 -------------- 16,809,126 -------------- Packaging & Containers--0.13% Ball Corp. 17,419 792,739 Bemis Co. 16,219 759,049 Pactiv Corp. 1 48,725 960,370 Sealed Air Corp. 1 25,795 1,229,390 -------------- 3,741,548 -------------- Pharmaceuticals--8.32% Abbott Laboratories 477,500 20,895,400 Allergan Inc. 39,827 3,070,662 AmerisourceBergen Corp. 33,753 2,340,771 Bristol-Myers Squibb Co. 592,937 16,098,240 Cardinal Health Inc. 136,621 8,784,730 Forest Laboratories Inc. 1 111,032 6,079,002 King Pharmaceuticals Inc. 1 73,725 1,088,181 Lilly (Eli) & Co. 343,692 23,704,437 MedImmune Inc. 1 77,084 2,803,545 Merck & Co. Inc. 685,958 41,534,757 Pfizer Inc. 2,415,319 82,483,144 Schering-Plough Corp. 449,311 8,357,185 Watson Pharmaceuticals Inc. 1 32,737 1,321,593 Wyeth 406,230 18,503,777 -------------- 237,065,424 -------------- Pipelines--0.11% Dynegy Inc. Class A 113,732 477,674 El Paso Corp. 183,276 1,480,870 Williams Companies Inc. 158,234 1,250,049 -------------- 3,208,593 -------------- Real Estate Investment Trusts--0.31% Apartment Investment & Management Co. Class A 28,708 993,297 Equity Office Properties Trust 123,302 3,330,387 Equity Residential 83,332 2,162,465 Simon Property Group Inc. 57,790 2,255,544 -------------- 8,741,693 -------------- Retail--7.18% AutoNation Inc. 1 86,248 1,355,819 AutoZone Inc. 1 27,412 2,082,490 Bed Bath & Beyond Inc. 1 90,305 3,504,737 Best Buy Co. Inc. 1 98,555 4,328,536 Big Lots Inc. 1 35,635 535,950 Circuit City Stores Inc. 63,614 559,803 CVS Corp. 120,494 3,377,447 Darden Restaurants Inc. 51,640 980,127 Dillards Inc. Class A 25,845 348,132 Dollar General Corp. 101,955 1,861,698 eBay Inc. 1 97,118 10,117,753 Family Dollar Stores Inc. 52,597 2,006,576 Federated Department Stores Inc. 57,385 2,114,637 Gap Inc. (The) 272,389 5,110,018 Home Depot Inc. 702,973 23,282,466 Kohls Corp. 1 103,632 5,324,612 Limited Brands Inc. 159,860 2,477,830 Lowe's Companies Inc. 238,541 10,245,336 May Department Stores Co. (The) 88,197 1,963,265 McDonald's Corp. 389,177 8,585,245 Nordstrom Inc. 41,495 809,982 Office Depot Inc. 1 94,427 1,370,136 Penney (J.C.) Co. Inc. (Holding Co.) 82,228 1,385,542 RadioShack Corp. 51,537 1,355,938 Sears, Roebuck and Co. 94,046 3,163,707 Staples Inc. 1 148,902 2,732,352 Starbucks Corp. 1 119,425 2,928,301 Target Corp. 278,589 10,541,808 Tiffany & Co. 44,412 1,451,384 TJX Companies Inc. 156,322 2,945,106 Toys R Us Inc. 1 65,090 788,891 Walgreen Co. 313,507 9,436,561 Wal-Mart Stores Inc. 1,339,656 71,899,338 Wendy's International Inc. 34,804 1,008,272 Yum! Brands Inc. 1 89,575 2,647,837 -------------- 204,627,632 -------------- Semiconductors--3.15% Advanced Micro Devices Inc. 1 105,623 677,043 Altera Corp. 1 117,071 1,919,964 Analog Devices Inc. 1 111,726 3,890,299 Applied Materials Inc. 1 506,961 8,040,401 Applied Micro Circuits Corp. 1 92,844 561,706 Broadcom Corp. Class A 1 85,644 2,133,392 Intel Corp. 1,999,021 41,547,652 KLA-Tencor Corp. 1 58,197 2,705,579 Linear Technology Corp. 95,716 3,083,012 LSI Logic Corp. 1 114,644 811,680 Maxim Integrated Products Inc. 99,292 3,394,793 183 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- S&P 500 Index Master Portfolio ------------------------------------------------------------------------------- Security Shares Value ------------------------------------------------------------------------------- COMMON STOCKS--(Continued) ------------------------------------------------------------------------------- Micron Technology Inc. 1 186,110 $ 2,164,459 National Semiconductor Corp. 1 55,765 1,099,686 Novellus Systems Inc. 1 45,831 1,678,377 NVIDIA Corp. 1 48,617 1,118,677 PMC-Sierra Inc. 1 51,603 605,303 QLogic Corp. 1 28,713 1,387,699 Teradyne Inc. 1 56,517 978,309 Texas Instruments Inc. 528,964 9,309,766 Xilinx Inc. 1 103,178 2,611,435 -------------- 89,719,232 -------------- Software--5.30% Adobe Systems Inc. 70,893 2,273,539 Autodesk Inc. 34,262 553,674 Automatic Data Processing Inc. 183,030 6,197,396 BMC Software Inc. 1 71,398 1,165,929 Citrix Systems Inc. 1 50,701 1,032,272 Computer Associates International Inc. 176,798 3,939,059 Compuware Corp. 1 115,478 666,308 Electronic Arts Inc. 1 44,530 3,294,775 First Data Corp. 228,881 9,484,829 Fiserv Inc. 1 59,072 2,103,554 IMS Health Inc. 74,512 1,340,471 Intuit Inc. 1 62,843 2,798,399 Mercury Interactive Corp. 1 26,090 1,007,335 Microsoft Corp. 3,284,408 84,113,689 Novell Inc. 1 112,371 346,103 Oracle Corp. 1 1,604,156 19,281,955 Parametric Technology Corp. 1 80,582 245,775 PeopleSoft Inc. 1 96,786 1,702,466 Siebel Systems Inc. 1 149,663 1,427,785 Symantec Corp. 1 45,164 1,980,893 Yahoo! Inc. 1 184,503 6,044,318 -------------- 151,000,524 -------------- Telecommunication Equipment--0.86% ADC Telecommunications Inc. 1 244,884 570,090 Andrew Corp. 1 29,996 275,963 Avaya Inc. 1 116,495 752,558 CIENA Corp. 1 143,902 746,851 Comverse Technology Inc. 1 57,503 864,270 JDS Uniphase Corp. 1 437,232 1,534,684 Lucent Technologies Inc. 1 1,265,077 2,568,106 Motorola Inc. 708,304 6,679,307 QUALCOMM Inc. 241,465 8,632,374 Scientific-Atlanta Inc. 45,695 1,089,369 Tellabs Inc. 1 126,198 829,121 -------------- 24,542,693 -------------- Telecommunications--1.89% AT&T Wireless Services Inc. 1 829,479 6,810,023 Citizens Communications Co. 1 86,627 1,116,622 Corning Inc. 1 387,106 2,860,713 Nextel Communications Inc. Class A 1 314,443 5,685,129 Qwest Communications International Inc. 1 518,419 2,478,043 Sprint Corp. (PCS Group) 1 312,903 1,799,192 Verizon Communications Inc. 841,332 33,190,547 -------------- 53,940,269 -------------- Telephone--1.95% Alltel Corp. 95,202 4,590,640 AT&T Corp. 240,476 4,629,163 BellSouth Corp. 565,095 15,048,480 CenturyTel Inc. 43,751 1,524,722 SBC Communications Inc. 1,016,351 25,967,768 Sprint Corp. (FON Group) 274,967 3,959,525 -------------- 55,720,298 -------------- Textiles--0.07% Cintas Corp. 52,119 1,847,097 -------------- 1,847,097 -------------- Tobacco--1.08% Altria Group Inc. 619,507 28,150,398 R.J. Reynolds Tobacco Holdings Inc. 25,871 962,660 UST Inc. 51,124 1,790,874 -------------- 30,903,932 -------------- Toys/Games/Hobbies--0.12% Hasbro Inc. 53,038 927,635 Mattel Inc. 134,459 2,543,964 -------------- 3,471,599 -------------- Transportation--1.39% Burlington Northern Santa Fe Corp. 114,098 3,244,947 CSX Corp. 65,329 1,965,750 FedEx Corp. 91,251 5,660,300 Norfolk Southern Corp. 119,193 2,288,506 Union Pacific Corp. 77,708 4,508,618 United Parcel Service Inc. Class B 344,231 21,927,515 -------------- 39,595,636 -------------- Trucking & Leasing--0.02% Ryder System Inc. 19,154 490,725 -------------- 490,725 -------------- TOTAL COMMON STOCKS (Cost: $2,840,355,304) 2,748,672,117 -------------- 184 Schedule of Investments--(Continued) June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- S&P 500 Index Master Portfolio ------------------------------------------------------------------------------- Shares or Security Principal Value ------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS--8.41% ------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 2 166,375,722 $ 166,375,722 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares 2 24,246,059 24,246,059 BlackRock Temp Cash Money Market Fund 2 1,222,710 1,222,710 Short Term Investment Co.-- Liquid Assets Money Market Portfolio 2 6,357,794 6,357,794 Short Term Investment Co.-- Prime Money Market Portfolio, Institutional Shares 2 2,694,007 2,694,007 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03 2 $ 1,616,404 1,616,404 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04 2 1,346,801 1,346,801 1.17%, 08/15/03 2 2,020,618 2,020,618 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03 2 1,077,602 1,077,602 CC USA Inc., Floating Rate Note 1.10%, 04/19/04 2 1,185,304 1,185,304 1.31%, 05/24/04 2 2,693,737 2,693,737 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04 2 2,693,602 2,693,602 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04 2 1,347,003 1,347,003 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04 2 2,694,007 2,694,007 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04 2 538,801 538,801 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04 2 1,346,936 1,346,936 1.22%, 04/13/04 2 1,346,936 1,346,936 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04 2 1,346,734 1,346,734 1.08%, 03/29/04 2 1,347,003 1,347,003 1.29%, 05/04/04 2 1,346,936 1,346,936 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03 2 2,693,872 2,693,872 U.S. Treasury Bill 0.85%, 09/25/03 3 4 9,450,000 9,430,627 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04 2 1,347,003 1,347,003 1.14%, 05/17/04 2 1,616,404 1,616,404 -------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $239,934,156) 239,932,622 -------------- Security Principal Value ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS--0.07% ------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30%. 2 $ 1,347,003 $ 1,347,003 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38%. 2 538,801 538,801 -------------- TOTAL REPURCHASE AGREEMENTS (Cost: $1,885,804) 1,885,804 -------------- TOTAL INVESTMENTS IN SECURITIES--104.89% (Cost $3,082,175,264) 2,990,490,543 Other Assets, Less Liabilities--(4.89%) (139,522,597) -------------- NET ASSETS--100.00% $2,850,967,946 ============== Notes to the Schedule of Investments: 1 Non-income earning securities. 2 All or a portion of this security represents investments of securities lending collateral. 3 Yield to Maturity. 4 This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio's holdings of index futures contracts. See Note 1. The accompanying notes are an integral part of these financial statements. 185 Schedule of Investments June 30, 2003 (Unaudited) ------------------------------------------------------------------------------- U.S. Equity Index Master Portfolio Value ------------------------------------------------------------------------------- MASTER PORTFOLIOS--100.00% ------------------------------------------------------------------------------- Extended Index Master Portfolio $ 94,317,780 S&P 500 Index Master Portfolio 350,247,667 -------------- TOTAL MASTER PORTFOLIOS 444,565,447 -------------- TOTAL INVESTMENTS--100.00% 444,565,447 Other Assets Less Liabilities--0.00% (14,118) -------------- NET ASSETS--100.00% $ 444,551,329 ============== The accompanying notes are an integral part of these financial statements. 186 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Security Shares Value -------------------------------------------------------------------------------- COMMON STOCKS--92.68% ADVERTISING--0.46% -------------------------------------------------------------------------------- ADVO Inc. //(1)// 3,139 139,372 APAC Customer Services Inc. //(1)// 3,100 7,905 aQuantive, Inc. //(1)// 6,158 64,659 Catalina Marketing Corp. //(1)// 5,570 98,310 Donnelley (R.H.) Corp. //(1)// 3,278 119,549 Grey Global Group Inc. 100 77,251 ValueVision Media Inc. Class A //(1)// 3,082 42,008 -------------------------------------------------------------------------------- 549,054 -------------------------------------------------------------------------------- AEROSPACE / DEFENSE--0.65% -------------------------------------------------------------------------------- AAR Corp. 4,463 31,509 Curtiss-Wright Corp. 1,329 83,993 DRS Technologies Inc. //(1)// 3,413 95,291 Ducommun Inc. //(1)// 1,360 19,176 GenCorp. Inc. 5,225 46,450 HEICO Corp. 2,225 27,145 Integrated Defense Technologies Inc. //(1)// 1,885 29,236 MTC Technologies Inc. //(1)// 946 22,193 Orbital Sciences Corp. //(1)// 6,936 50,633 Sequa Corp. Class A //(1)// 957 32,825 Teledyne Technologies Inc. //(1)// 4,472 58,583 Titan Corp. (The) //(1)// 12,037 123,861 United Industrial Corp. 1,686 27,482 Veridian Corp. //(1)// 3,527 123,057 -------------------------------------------------------------------------------- 771,434 -------------------------------------------------------------------------------- AGRICULTURE--0.15% -------------------------------------------------------------------------------- Delta & Pine Land Co. 5,679 124,824 DIMON Inc. 4,995 35,764 Maui Land & Pineapple Co. Inc. //(1)// 400 8,992 Seminis Inc. Class A //(1)// 1,900 6,992 -------------------------------------------------------------------------------- 176,572 -------------------------------------------------------------------------------- AIRLINES--0.96% -------------------------------------------------------------------------------- Airtran Holdings Inc. //(1)// 9,845 103,077 Alaska Air Group Inc. //(1)// 3,505 75,182 American West Holdings Corp. Class B //(1)// 4,881 33,191 AMR Corp. //(1)// 24,129 265,419 Atlantic Coast Airlines Holdings Inc. //(1)// 6,368 85,904 Continental Airlines Inc. Class B //(1)// 10,132 151,676 ExpressJet Holdings Inc. //(1)// 4,970 75,047 Frontier Airlines Inc. //(1)// 4,285 38,908 Mesa Air Group Inc. //(1)// 4,335 34,680 Mesaba Holdings Inc. //(1)// 1,200 7,404 Northwest Airlines Corp. //(1)// 9,254 104,478 SkyWest Inc. 8,505 162,105 -------------------------------------------------------------------------------- 1,137,071 -------------------------------------------------------------------------------- APPAREL--0.60% -------------------------------------------------------------------------------- Cherokee Inc. //(1)// 842 16,857 Gymboree Corp. //(1)// 4,240 71,147 K-Swiss Inc. Class A 1,931 66,658 OshKosh B'Gosh Inc. Class A 1,381 37,287 Oxford Industries Inc. 1,310 54,391 1 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Phillips-Van Heusen Corp. 3,859 52,598 Quiksilver Inc. //(1)// 7,951 131,112 Russell Corp. 4,338 82,422 Skechers U.S.A. Inc. Class A //(1)// 2,780 20,572 Stride Rite Corp. 5,883 58,595 Unifi Inc. //(1)// 8,618 53,432 Warnaco Group Inc. (The) //(1)// 4,963 66,752 -------------------------------------------------------------------------------- 711,823 -------------------------------------------------------------------------------- AUTO MANUFACTURERS--0.42% -------------------------------------------------------------------------------- A.S.V. Inc. //(1)// 649 9,398 Aftermarket Technology Corp. //(1)// 2,080 21,861 CLARCOR Inc. 3,658 141,016 Dura Automotive Systems Inc. //(1)// 2,372 23,269 Oshkosh Truck Corp. 2,088 123,860 Raytech Corp. //(1)// 5,975 25,394 Smith (A.O.) Corp. 2,807 79,017 Wabash National Corp. //(1)// 4,831 67,779 -------------------------------------------------------------------------------- 491,594 -------------------------------------------------------------------------------- AUTO PARTS & EQUIPMENT--0.66% -------------------------------------------------------------------------------- Bandag Inc. 1,953 72,788 Collins & Aikman Corp. //(1)// 2,548 7,517 Cooper Tire & Rubber Co. 9,456 166,331 Goodyear Tire & Rubber Co. (The) 21,972 115,353 Modine Manufacturing Co. 4,665 90,361 Standard Motor Products Inc. 600 6,660 Strattec Security Corp. //(1)// 400 21,280 Superior Industries International Inc. 3,148 131,272 Tenneco Automotive Inc. //(1)// 3,900 14,040 Tower Automotive Inc. //(1)// 7,100 25,986 Visteon Corp. 19,713 135,428 -------------------------------------------------------------------------------- 787,016 -------------------------------------------------------------------------------- BANKS--10.92% -------------------------------------------------------------------------------- ABC Bancorp 1,100 15,763 Alabama National Bancorp 1,561 75,677 Allegiant Bancorp Inc. 2,191 44,368 AMCORE Financial Inc. 3,391 78,942 American National Bankshares Inc. 1,097 29,498 Anchor BanCorp Wisconsin Inc. 2,727 65,148 Arrow Financial Corp. 1,265 42,213 BancFirst Corp. 514 26,656 BancTrust Financial Group Inc. 1,716 27,559 Bank Mutual Corp. 1,977 64,252 Bank of Granite Corp. 1,614 27,519 Bank of the Ozarks Inc. 766 29,690 BankAtlantic Bancorp Inc. Class A 6,313 75,062 BankUnited Financial Corp. Class A //(1)// 4,319 87,028 Banner Corp. 2,164 44,340 Bay View Capital Corp. //(1)// 10,760 62,193 Berkshire Hills Bancorp Inc. 1,293 36,721 Boston Private Financial Holdings Inc. 3,512 74,033 Brookline Bancorp Inc. 8,453 118,342 Bryn Mawr Bank Corp. 400 14,828 BSB Bancorp Inc. 2,036 50,534 C&F Financial Corp. 249 9,773 Camco Financial Corp. 806 12,566 Camden National Corp. 1,177 32,367 2 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Capital City Bank Group Inc. 1,308 47,350 Capital Corporation of the West //(1)// 451 11,437 Capitol Bancorp Ltd. 1,389 37,642 Cascade Bancorp 3,701 64,138 Cathay Bancorp Inc. 2,579 114,972 CB Bancshares Inc. 1,060 65,872 CCBT Financial Companies Inc. 2,177 52,009 Central Coast Bancorp //(1)// 687 11,521 Central Pacific Financial Corp. 2,539 70,330 Century Bancorp Inc. Class A 370 11,019 CFS Bancorp Inc. 2,297 32,388 Charter Financial Corp. 400 11,300 Chemical Financial Corp. 3,032 90,354 Chittenden Corp. 5,616 153,598 Citizens Banking Corp. 6,073 162,574 Citizens First Bancorp Inc. 1,579 34,485 Citizens South Banking Corp. 1,282 16,974 City Bank 2,273 61,507 City Holding Co. 2,708 79,263 CNB Financial Corp. 318 14,304 Coastal Bancorp Inc. 994 28,249 Coastal Financial Corp. 2,992 38,537 CoBiz Inc. 1,537 20,811 Columbia Bancorp 818 19,632 Columbia Banking System Inc. 2,220 39,760 Commercial Capital Bancorp Inc. //(1)// 716 10,991 Commercial Federal Corp. 7,762 164,554 Community Bank System Inc. 2,116 80,408 Community Banks Inc. 1,535 45,651 Community First Bankshares Inc. 5,735 156,565 Community Trust Bancorp Inc. 1,681 43,941 Connecticut Bankshares Inc. 1,902 74,653 Corus Bankshares Inc. 1,563 75,696 CVB Financial Corp. 4,541 88,640 Dime Community Bancshares 3,166 80,575 East West Bancorp Inc. 3,412 123,310 Eastern Virginia Bankshares 977 22,422 ESB Financial Corp. 702 9,477 EverTrust Financial Group Inc. 636 14,622 F&M Bancorp 2,188 107,912 Farmers Capital Bank Corp. 1,356 43,338 FFLC Bancorp Inc. 570 14,797 Fidelity Bankshares Inc. 2,912 64,938 Financial Institutions Inc. 1,343 31,560 First Bancorp North Carolina 944 24,459 First Bell Bancorp Inc. 556 14,267 First Busey Corp. Class A 1,211 29,355 First Charter Corp. 4,749 82,633 First Citizens Banc Corp. 1,076 27,922 First Citizens BancShares Inc. Class A 920 92,773 First Commonwealth Financial Corp. 9,245 119,815 First Community Bancorp 1,935 60,314 First Community Bancshares Inc. 1,562 54,842 First Defiance Financial Corp. 1,277 25,336 First Essex Bancorp Inc. 1,191 56,144 First Federal Capital Corp. 2,453 48,692 First Financial Bancorp 3,990 63,840 First Financial Bankshares Inc. 1,854 62,035 First Financial Corp. 798 42,214 3 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) First Financial Holdings Inc. 1,961 53,025 First Indiana Corp. 1,331 22,787 First M&F Corp. 614 20,090 First Merchants Corp. 1,841 44,755 First National Corp. 880 21,701 First Niagara Financial Group Inc. 10,184 142,169 First Oak Brook Bancshares Class A 839 27,679 First of Long Island Corp. 1,231 49,314 First Place Financial Corp. 1,991 34,484 First Republic Bank //(1)// 2,437 64,824 First Sentinel Bancorp Inc. 3,608 57,620 1st Source Corp. 2,220 41,203 First State Bancorp 1,283 35,295 FIRSTFED AMERICA BANCORP INC 1,344 46,368 FirstFed Financial Corp. //(1)// 2,495 88,049 Flagstar Bancorp Inc. 4,318 105,575 FloridaFirst Bancorp Inc. 537 12,813 Flushing Financial Corp. 1,618 35,871 FNB Corp. 410 10,176 FNB Corp. - Virginia Shares 810 21,927 Franklin Financial Corp. 439 13,192 Frontier Financial Corp. 2,225 63,212 GA Financial Inc. 1,086 27,313 GB&T Bancshares Inc. 631 15,333 GBC Bancorp 1,807 69,389 German American Bancorp 1,101 19,212 Glacier Bancorp Inc. 2,772 68,247 Gold Bancorp Inc. 5,239 55,062 Great Southern Bancorp Inc. 769 29,637 Greater Bay Bancorp 7,897 161,257 Greene County Bancshares Inc. 432 9,137 Hancock Holding Co. 2,062 97,038 Hanmi Financial Corp. 900 15,723 Harbor Florida Bancshares Inc. 2,870 68,765 Harleysville National Corp. 2,650 71,709 Hawthorne Financial Corp. //(1)// 1,389 48,143 Heartland Financial USA Inc. 1,221 39,316 Heritage Commerce Corp. //(1)// 939 11,446 Heritage Financial Corp. 910 19,492 Hudson River Bancorp Inc. 2,613 72,955 Humboldt Bancorp 1,696 25,372 IBERIABANK Corp. 1,060 51,728 IBT Bancorp Inc. 431 21,546 Independent Bank Corp. (Massachusetts) 1,600 36,144 Independent Bank Corp. (Michigan) 2,688 69,055 Integra Bank Corp. 2,291 39,428 Interchange Financial Services Corp. 1,296 25,428 International Bancshares Corp. 1 27 Irwin Financial Corp. 2,899 75,084 ITLA Capital Corp. //(1)// 500 20,215 Klamath First Bancorp Inc. 1,034 17,392 Lakeland Bancorp Inc. 1,610 25,728 Lakeland Financial Corp. 600 18,228 Local Financial Corp. //(1)// 2,360 34,078 LSB Bancshares Inc. 900 15,579 Macatawa Bank Corp. 1,179 28,402 MAF Bancorp Inc. 2,691 99,755 Main Street Banks Inc. 1,817 45,970 MainSource Financial Group Inc. 859 20,934 4 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Massbank Corp. 1,023 37,002 MB Financial Inc. 1,713 68,589 MBT Financial Corp. 1,478 25,865 Medallion Financial Corp. 1,381 9,681 Mercantile Bank Corp. 773 22,077 Merchants Bancshares Inc. 700 18,200 Mid-State Bancshares 3,036 59,961 Midwest Banc Holdings Inc. 1,900 36,898 MutualFirst Financial Inc. 624 14,570 Nara Bancorp Inc. 1,285 24,415 NASB Financial Inc. 464 13,456 National Bankshares Inc. 713 28,199 National Penn Bancshares Inc. 2,901 81,460 NBC Capital Corp. 1,178 29,803 NBT Bancorp Inc. 4,714 91,216 Net.B@nk Inc. 7,907 104,056 Northern States Financial Corp. 639 18,346 Northwest Bancorp Inc. 1,511 24,176 OceanFirst Financial Corp. 2,196 53,648 Ocwen Financial Corp. //(1)// 5,681 25,792 Old Point Financial Corp. 581 17,029 Old Second Bancorp Inc. 1,109 47,521 Omega Financial Corp. 1,051 35,944 Oneida Financial Corp. 539 12,354 Oriental Financial Group Inc. 2,870 73,730 PAB Bankshares Inc. 1,359 17,653 Pacific Capital Bancorp 5,108 179,035 Pacific Northwest Bancorp 2,870 99,761 Pacific Union Bank 1,200 16,068 Parkvale Financial Corp. 728 17,894 Patriot Bank Corp. 1,054 18,961 Peapack-Gladstone Financial Corp. 819 26,233 PennFed Financial Services Inc. 971 26,945 PennRock Financial Services Corp. 1,021 27,577 Penns Woods Bancorp Inc. 288 12,128 Peoples Bancorp Inc. 1,604 40,533 Peoples Holding Co. 936 41,418 PFF Bancorp Inc. 2,106 81,397 Port Financial Corp. 1,016 54,742 PrivateBancorp Inc. 1,048 28,579 Prosperity Bancshares Inc. 1,493 28,740 Provident Bancorp Inc. 300 9,630 Provident Bankshares Corp. 3,922 99,658 Provident Financial Holdings Inc. 352 10,328 Provident Financial Services Inc. 6,957 132,531 Quaker City Bancorp Inc. //(1)// 884 36,288 R&G Financial Corp. Class B 2,810 83,457 Republic Bancorp Inc. 7,383 99,080 Republic Bancorp Inc. Class A 1,000 14,830 Republic Bancshares Inc. 1,546 38,665 Resource Bankshares Corp. 497 17,017 Riggs National Corp. 2,448 37,259 Royal Bancshares of Pennsylvania Class A 636 13,579 S&T Bancorp Inc. 3,714 101,875 Sandy Spring Bancorp Inc. 2,419 76,440 Santander BanCorp 1,618 26,470 Seacoast Banking Corp. of Florida 1,200 20,448 Second Bancorp Inc. 1,100 28,380 Shore Bancshares Inc. 1,015 31,211 5 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Silicon Valley Bancshares //(1)// 4,891 116,455 Simmons First National Corp. Class A 1,740 34,817 Sound Federal Bancorp Inc. 1,579 21,617 SoundView Technology Group Inc. //(1)// 1,168 11,820 South Financial Group Inc. (The) 7,173 167,346 Southern Financial Bancorp Inc. 535 16,350 Southside Bancshares Inc. 845 15,159 Southwest Bancorp Inc. 961 26,341 Southwest Bancorp of Texas Inc. //(1)// 4,759 154,715 St. Francis Capital Corp. 860 25,000 State Bancorp Inc. 1,241 24,288 State Financial Services Corp. Class A 725 16,051 Staten Island Bancorp Inc. 8,203 159,794 Sterling Bancorp (New York) 2,192 61,135 Sterling Bancshares Inc. 5,895 77,107 Sterling Financial Corp. (Pennsylvania) 2,592 60,264 Sterling Financial Corp. (Washington) //(1)// 2,023 49,280 Suffolk Bancorp 1,359 43,760 Summit Bancshares Inc. 1,078 25,311 Sun Bancorp Inc. (New Jersey) //(1)// 615 12,238 Sun Bancorp Inc. (Pennsylvania) 949 19,151 Superior Financial Corp. 1,417 34,008 Susquehanna Bancshares Inc. 6,057 141,431 SY Bancorp Inc. 1,043 36,891 Texas Regional Bancshares Inc. Class A 3,598 124,851 TierOne Corp. //(1)// 3,093 60,221 Tompkins Trustco Inc. 1,211 54,071 TriCo Bancshares 936 23,802 Troy Financial Corp. 1,094 29,702 Trust Co. of New Jersey (The) 2,938 89,021 TrustCo Bank Corp. NY 10,228 113,326 UCBH Holdings Inc. 5,521 158,342 UMB Financial Corp. 2,398 101,675 Umpqua Holdings Corp. 4,724 89,709 Union Bankshares Corp. 988 27,931 United Community Banks Inc. 2,762 68,995 United Community Financial Corp. 3,859 35,657 United National Bancorp 2,822 77,859 United Security Bancshares 891 19,370 United Security Bancshares Inc. 620 27,999 Unizan Financial Corp. 2,955 51,919 USB Holding Co. Inc. 2,010 35,677 Virginia Financial Group Inc. 800 22,400 W Holding Co. Inc. 6,642 112,383 Warwick Community Bancorp 701 20,504 Washington Trust Bancorp Inc. 1,936 44,509 Wayne Bancorp Inc. 1,180 35,978 Waypoint Financial Corp. 4,692 84,644 WesBanco Inc. 2,640 64,152 West Bancorporation 1,549 27,619 West Coast Bancorp 2,031 36,964 Westcorp Inc. 2,539 71,092 Western Sierra Bancorp //(1)// 336 11,179 Westfield Financial Inc. 1,265 23,795 Willow Grove Bancorp Inc. 1,451 24,623 Wintrust Financial Corp. 2,654 78,558 WSFS Financial Corp. 1,154 44,314 Yardville National Bancorp 1,724 33,618 -------------------------------------------------------------------------------- 12,920,771 -------------------------------------------------------------------------------- 6 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) -------------------------------------------------------------------------------- BEVERAGES--0.13% -------------------------------------------------------------------------------- Boston Beer Co. Inc. Class A //(1)// 900 12,960 Coca-Cola Bottling Co. Consolidated 200 10,920 Farmer Brothers Co. 100 33,929 Peet's Coffee & Tea Inc. //(1)// 1,395 24,357 Robert Mondavi Corp. (The) Class A //(1)// 1,265 32,017 Standard Commercial Corp. 2,394 40,698 -------------------------------------------------------------------------------- 154,881 -------------------------------------------------------------------------------- BIOTECHNOLOGY--1.37% -------------------------------------------------------------------------------- ACLARA BioSciences Inc. //(1)// 1,711 7,238 Alexion Pharmaceuticals Inc. //(1)// 3,628 61,857 Applera Corp. - Celera Genomics Group //(1)// 12,036 124,212 Arena Pharmaceuticals Inc. //(1)// 3,140 20,850 Ariad Pharmaceuticals Inc. //(1)// 5,247 23,559 Cambrex Corp. 3,550 81,721 Ciphergen Biosystems Inc. //(1)// 3,171 32,503 CryoLife Inc. //(1)// 2,699 27,935 CuraGen Corp. //(1)// 6,877 38,167 deCODE genetics Inc. //(1)// 5,854 18,264 Diversa Corp. //(1)// 4,661 45,818 Encysive Pharmaceuticals Inc. //(1)// 5,883 28,238 Exact Sciences Corp. //(1)// 2,283 25,022 Exelixis Inc. //(1)// 7,180 49,829 Gene Logic Inc. //(1)// 5,345 31,910 Genencor International Inc. //(1)// 1,373 22,613 Immunomedics Inc. //(1)// 7,308 46,113 Incyte Corp. //(1)// 11,372 52,766 Integra LifeSciences Holdings Corp. //(1)// 3,323 87,661 Kosan Biosciences Inc. //(1)// 2,427 14,319 Lexicon Genetics Inc. //(1)// 5,155 34,590 Maxygen Inc. //(1)// 4,470 49,036 Myriad Genetics Inc. //(1)// 4,419 60,143 Nektar Therapeutics //(1)// 8,888 82,036 Regeneration Technologies Inc. //(1)// 2,835 37,677 Regeneron Pharmaceuticals Inc. //(1)// 6,172 97,209 Repligen Corp. //(1)// 2,828 14,649 Ribapharm Inc. //(1)// 3,820 24,639 Savient Pharmaceuticals Inc. //(1)// 7,813 36,252 Seattle Genetics Inc. //(1)// 1,800 9,270 Sirna Therapeutics Inc. //(1)// 999 8,801 TECHNE Corp. //(1)// 6,397 194,085 Telik Inc. //(1)// 5,005 80,430 Third Wave Technologies Inc. //(1)// 1,446 6,507 Transkaryotic Therapies Inc. //(1)// 4,340 50,084 -------------------------------------------------------------------------------- 1,626,003 -------------------------------------------------------------------------------- BUILDING MATERIALS--0.82% -------------------------------------------------------------------------------- Aaon Inc. //(1)// 1,578 29,223 Apogee Enterprises Inc. 3,110 28,052 Centex Construction Products Inc. 1,271 50,954 Ceradyne Inc. //(1)// 1,119 20,959 Drew Industries Inc. //(1)// 727 13,231 ElkCorp 3,652 82,170 Genlyte Group Inc. (The) //(1)// 2,090 73,087 Integrated Electrical Services Inc. //(1)// 4,816 34,916 Lennox International Inc. 6,706 86,306 LSI Industries Inc. 1,420 15,762 7 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Lydall Inc. //(1)// 2,328 24,910 Mestek Inc. //(1)// 400 7,200 NCI Building Systems Inc. //(1)// 2,875 48,012 Simpson Manufacturing Co. Inc. //(1)// 2,385 87,291 Texas Industries Inc. 3,909 93,034 Trex Co. Inc. //(1)// 1,145 44,941 USG Corp. //(1)// 5,453 103,607 York International Corp. 5,525 129,285 -------------------------------------------------------------------------------- 972,940 -------------------------------------------------------------------------------- CHEMICALS--2.17% -------------------------------------------------------------------------------- Aceto Corp. 1,308 24,329 Albemarle Corp. 4,576 127,991 Arch Chemicals Inc. 3,407 65,074 Cabot Microelectronics Corp. //(1)// 2,952 148,987 Calgon Carbon Corp. 3,800 21,850 Crompton Corp. 16,885 119,039 Ethyl Corp. //(1)// 2,270 22,586 Ferro Corp. 4,961 111,771 Fuller (H.B.) Co. 4,299 94,664 Georgia Gulf Corp. 3,996 79,121 Grace (W.R.) & Co. //(1)// 8,343 36,793 Great Lakes Chemical Corp. 6,002 122,441 Gundle/Slt Environmental Inc. //(1)// 1,011 13,770 Hercules Inc. //(1)// 12,999 128,690 IMC Global Inc. 14,935 100,214 MacDermid Inc. 4,266 112,196 Millennium Chemicals Inc. 9,679 92,047 Minerals Technologies Inc. 2,805 136,491 Myers Industries Inc. 1,900 18,050 NL Industries Inc. 1,021 17,357 Octel Corp. 1,180 16,402 Olin Corp. 7,895 135,004 OM Group Inc. 4,395 64,738 OMNOVA Solutions Inc. //(1)// 4,540 18,342 PolyOne Corp. 11,691 52,025 Quaker Chemical Corp. 1,170 29,308 Raven Industries Inc. 579 11,534 Rogers Corp. //(1)// 2,574 85,714 Schulman (A.) Inc. 3,900 62,634 Solutia Inc. 11,900 25,942 Spartech Corp. 3,520 74,659 Stepan Co. 980 22,148 SurModics Inc. //(1)// 1,931 58,895 Symyx Technologies Inc. //(1)// 4,670 76,214 Valhi Inc. 2,738 26,340 Vertex Pharmaceuticals Inc. //(1)// 11,244 164,162 Wellman Inc. 4,692 52,550 -------------------------------------------------------------------------------- 2,570,072 -------------------------------------------------------------------------------- COAL--0.13% -------------------------------------------------------------------------------- Massey Energy Co. 10,571 139,009 Westmoreland Coal Co. //(1)// 789 14,352 -------------------------------------------------------------------------------- 153,361 -------------------------------------------------------------------------------- COMMERCIAL SERVICES--4.29% -------------------------------------------------------------------------------- Aaron Rents Inc. 2,176 56,141 ABM Industries Inc. 5,793 89,212 Actuant Corp. Class A //(1)// 1,496 70,791 8 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Administaff Inc. //(1)// 3,006 30,962 Advisory Board Co. (The) //(1)// 1,337 54,175 Albany Molecular Research Inc. //(1)// 3,490 52,699 Alderwoods Group Inc. //(1)// 5,000 27,300 AMN Healthcare Services Inc. //(1)// 2,570 32,639 Arbitron Inc. //(1)// 4,462 159,293 Armor Holdings Inc. //(1)// 4,136 55,422 Atrix Laboratories Inc. //(1)// 3,978 87,476 Bankrate Inc. //(1)// 1,694 20,531 Blue Rhino Corp. //(1)// 1,605 19,244 Bowne & Co. Inc. 5,204 67,808 Bright Horizons Family Solutions Inc. //(1)// 1,437 48,226 Brink's Co. (The) 8,008 116,677 CDI Corp. //(1)// 2,211 57,398 Central Parking Corp. 3,979 49,180 Charles River Associates Inc. //(1)// 800 22,616 Clark Inc. //(1)// 2,738 32,719 Clean Harbors Inc. //(1)// 938 8,939 Coinstar Inc. //(1)// 3,533 66,632 Consolidated Graphics Inc. //(1)// 2,467 56,445 Cornell Cos Inc. //(1)// 2,148 32,521 CorVel Corp. //(1)// 1,249 44,964 CoStar Group Inc. //(1)// 2,216 66,170 CPI Corp. 1,330 23,474 Cross Country Healthcare Inc. //(1)// 4,135 54,541 Electro Rent Corp. //(1)// 1,700 18,326 Euronet Worldwide Inc. //(1)// 2,828 30,571 Exult Inc. //(1)// 7,455 63,889 First Consulting Group Inc. //(1)// 2,000 9,340 FTI Consulting Inc. //(1)// 6,014 150,170 Gartner Inc. Class A //(1)// 12,405 94,030 Gevity HR Inc. 1,718 20,307 GSI Commerce Inc. //(1)// 3,252 21,723 Harris Interactive Inc. //(1)// 6,308 41,570 Healthcare Services Group Inc. //(1)// 1,000 14,130 Heidrick & Struggles International Inc. //(1)// 3,610 45,558 Horizon Offshore Inc. //(1)// 2,566 12,779 Hudson Highland Group Inc. //(1)// 1,056 20,075 iDine Rewards Network Inc. //(1)// 3,736 51,333 Insurance Auto Auctions Inc. //(1)// 2,227 27,971 iPayment Holdings Inc. //(1)// 908 21,674 j2 Global Communications Inc. //(1)// 1,328 61,061 Kelly Services Inc. Class A 3,016 70,725 Korn/Ferry International //(1)// 7,270 58,887 Kroll Inc. //(1)// 5,289 143,120 Labor Ready Inc. //(1)// 5,795 41,550 Landauer Inc. 1,670 69,856 Learning Tree International Inc. //(1)// 2,185 34,152 LendingTree Inc. //(1)// 2,722 66,635 Mail-Well Inc. //(1)// 2,600 6,552 MAXIMUS Inc. //(1)// 2,725 75,292 McGrath Rentcorp 1,200 32,088 Medical Staffing Network Holdings Inc. //(1)// 800 5,600 MedQuist Inc. //(1)// 2,339 47,341 Midas Inc. //(1)// 2,481 30,070 Mobile Mini Inc. //(1)// 2,277 37,183 Monro Muffler Brake Inc. //(1)// 1,083 30,606 MPS Group Inc. //(1)// 14,302 98,398 Navigant Consulting Co. //(1)// 6,447 76,397 9 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) NetRatings Inc. //(1)// 1,100 10,054 PDI Inc. //(1)// 1,560 15,850 Petroleum Helicopters Inc. //(1)// 1,316 41,520 Pharmacopeia Inc. //(1)// 3,636 29,997 Plexus Corp. //(1)// 7,158 82,532 Pre-Paid Legal Services Inc. //(1)// 2,394 58,725 PRG-Schultz International Inc. //(1)// 4,903 28,928 Princeton Review Inc. (The) //(1)// 1,700 10,030 Quanta Services Inc. //(1)// 11,634 82,601 Rent-Way Inc. //(1)// 2,700 12,555 Resources Connection Inc. //(1)// 3,063 73,083 Right Management Consultants Inc. //(1)// 1,988 25,148 Rollins Inc. 3,696 69,670 Roper Industries Inc. 4,424 164,573 Roto-Rooter Inc. 1,592 60,719 SFBC International Inc. //(1)// 891 16,127 SM&A //(1)// 2,502 28,273 Sotheby's Holdings Inc. Class A //(1)// 7,635 56,804 SOURCECORP Inc. //(1)// 2,270 49,032 Spherion Corp. //(1)// 9,345 64,948 SPS Technologies Inc. //(1)// 1,876 50,727 Stewart Enterprises Inc. Class A //(1)// 13,339 57,358 Strayer Education Inc. 1,498 119,016 Sylvan Learning Systems Inc. //(1)// 5,741 131,124 TeleTech Holdings Inc. //(1)// 4,280 18,104 Trimeris Inc. //(1)// 2,184 99,765 Tyler Technologies Inc. //(1)// 3,400 14,450 United Rentals Inc. //(1)// 7,884 109,509 URS Corp. //(1)// 3,149 61,280 Volt Information Sciences Inc. //(1)// 1,513 20,652 Wackenhut Corrections Corp. //(1)// 2,142 29,367 Watson Wyatt & Co. Holdings //(1)// 4,945 114,625 Whitman Education Group Inc. //(1)// 1,432 21,981 Wireless Facilities Inc. //(1)// 4,967 59,107 World Fuel Services Corp. 2,389 58,746 -------------------------------------------------------------------------------- 5,080,134 -------------------------------------------------------------------------------- COMPUTERS--5.25% -------------------------------------------------------------------------------- ActivCard Corp. //(1)// 4,906 46,116 Activision Inc. //(1)// 12,936 167,133 Advanced Digital Information Corp. //(1)// 9,928 99,181 Advent Software Inc. //(1)// 4,730 79,984 Agile Software Corp. //(1)// 6,561 63,314 ANSYS Inc. //(1)// 2,352 73,147 Anteon International Corp. //(1)// 2,689 75,050 Ask Jeeves Inc. //(1)// 5,543 76,216 Aspen Technology Inc. //(1)// 5,650 27,120 autobytel.com Inc. //(1)// 3,701 23,094 BARRA Inc. //(1)// 2,298 82,039 Black Box Corp. 2,899 104,944 CACI International Inc. Class A //(1)// 4,185 143,545 CCC Information Services Group Inc. //(1)// 2,379 34,495 CIBER Inc. //(1)// 8,477 59,509 Computer Network Technology Corp. //(1)// 3,921 31,760 Concur Technologies Inc. //(1)// 3,792 38,185 Concurrent Computer Corp. //(1)// 6,000 17,520 Cray Inc. //(1)// 9,831 77,665 CyberGuard Corp. //(1)// 1,753 12,446 Datastream Systems Inc. //(1)// 2,000 21,180 10 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Dendrite International Inc. //(1)// 4,945 63,692 Digimarc Corp. //(1)// 1,778 27,915 Digital River Inc. //(1)// 4,571 88,220 Digitas Inc. //(1)// 1,822 9,037 Dot Hill Systems Corp. //(1)// 4,197 54,981 Drexler Technology Corp. //(1)// 1,665 25,807 DSP Group Inc. //(1)// 4,391 94,538 E.piphany Inc. //(1)// 11,261 57,544 Echelon Corp. //(1)// 4,544 62,571 Eclipsys Corp. //(1)// 5,512 57,545 eCollege.com Inc. //(1)// 1,728 19,837 Electronics For Imaging Inc. //(1)// 7,833 158,932 Enterasys Networks Inc. //(1)// 29,543 89,515 Entrust Inc. //(1)// 5,530 16,258 Epicor Software Corp. //(1)// 5,584 33,448 Extreme Networks Inc. //(1)// 15,714 83,284 FalconStor Software Inc. //(1)// 4,120 27,563 Fidelity National Information Solutions Inc. //(1)// 2,567 66,947 Gateway Inc. //(1)// 31,585 115,285 Group 1 Software Inc. //(1)// 1,197 22,109 Hypercom Corp. //(1)// 5,304 22,012 Hyperion Solutions Corp. //(1)// 5,437 183,553 IDX Systems Corp. //(1)// 2,937 45,582 iGATE Corp. //(1)// 2,200 7,634 InFocus Corp. //(1)// 6,267 29,580 infoUSA Inc. //(1)// 3,195 25,879 Integral Systems Inc. //(1)// 1,527 30,357 InterCept Inc. //(1)// 3,023 25,272 Intergraph Corp. //(1)// 7,409 159,293 Internet Security Systems Inc. //(1)// 5,956 86,302 Interwoven Inc. //(1)// 10,500 23,310 Iomega Corp. //(1)// 8,106 85,924 Keynote Systems Inc. //(1)// 3,518 36,869 Komag Inc. //(1)// 3,220 38,093 Kronos Inc. //(1)// 3,141 159,594 Lexar Media Inc. //(1)// 8,350 79,659 Lionbridge Technologies Inc. //(1)// 2,828 14,395 LookSmart Ltd. //(1)// 7,000 19,810 Manhattan Associates Inc. //(1)// 3,550 92,193 MAPICS Inc. //(1)// 1,600 13,120 Mentor Graphics Corp. //(1)// 10,348 149,839 MICROS Systems Inc. //(1)// 2,627 86,638 Midway Games Inc. //(1)// 3,758 13,642 Mobius Management Systems Inc. //(1)// 967 7,223 MSC.Software Corp. //(1)// 5,049 34,030 MTS Systems Corp. 2,550 37,587 Neoware Systems Inc. //(1)// 2,280 34,975 NetScout Systems Inc. //(1)// 1,970 10,579 Network Equipment Technologies Inc. //(1)// 3,510 29,554 Nuance Communications Inc. //(1)// 4,790 25,866 NYFIX Inc. //(1)// 4,151 26,359 Overland Storage Inc. //(1)// 1,134 23,066 Packeteer Inc. //(1)// 4,484 69,816 Palm Inc. //(1)// 5,344 86,947 PC-Tel Inc. //(1)// 3,702 43,906 PEC Solutions Inc. //(1)// 1,743 28,062 Pegasus Solutions Inc. //(1)// 4,837 78,601 Pemstar Inc. //(1)// 3,125 13,094 Perot Systems Corp. Class A //(1)// 10,600 120,416 11 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Planar Systems Inc. //(1)// 2,720 53,203 Progress Software Corp. //(1)// 4,516 93,617 QAD Inc. //(1)// 1,570 11,649 Quantum Corp. //(1)// 20,843 84,414 Quest Software Inc. //(1)// 6,334 75,375 Radiant Systems Inc. //(1)// 2,120 14,289 RadiSys Corp. //(1)// 2,596 34,267 Rainbow Technologies Inc. //(1)// 3,449 29,006 Redback Networks Inc. //(1)// 13,400 12,060 Retek Inc. //(1)// 8,196 52,454 Riverstone Networks Inc. //(1)// 12,100 14,278 RSA Security Inc. //(1)// 8,683 93,342 Safeguard Scientifics Inc. //(1)// 12,260 33,102 SafeNet Inc. //(1)// 1,318 36,878 Sanchez Computer Associates Inc. //(1)// 2,000 10,400 Sapient Corp. //(1)// 8,000 22,160 ScanSoft Inc. //(1)// 8,701 47,246 ScanSource Inc. //(1)// 1,837 49,140 Secure Computing Corp. //(1)// 4,937 43,100 Sigma Designs Inc. //(1)// 2,554 27,736 Silicon Graphics Inc. //(1)// 19,000 21,660 Silicon Storage Technology Inc. //(1)// 11,626 48,713 Sonic Solutions Inc. //(1)// 1,797 15,490 SonicWALL Inc. //(1)// 7,882 37,834 SRA International Inc. Class A //(1)// 1,227 39,264 SS&C Technologies Inc. //(1)// 900 14,355 StorageNetworks Inc. //(1)// 6,700 9,313 Stratasys Inc. //(1)// 727 25,569 Sykes Enterprises Inc. //(1)// 2,200 10,758 Synaptics Inc. //(1)// 2,506 33,731 Syntel Inc. //(1)// 800 12,584 Systems & Computer Technology Corp. //(1)// 4,906 44,154 Take-Two Interactive Software Inc. //(1)// 6,182 175,198 Tellium Inc. //(1)// 8,500 7,480 THQ Inc. //(1)// 6,062 109,116 Tier Technologies Inc. Class B //(1)// 1,800 13,950 Transaction Systems Architects Inc. Class A //(1)// 4,955 44,397 TTM Technologies Inc. //(1)// 1,980 9,286 Turnstone Systems Inc. //(1)// 3,920 9,839 Verity Inc. //(1)// 3,540 44,816 WatchGuard Technologies Inc. //(1)// 3,639 16,739 -------------------------------------------------------------------------------- 6,209,264 -------------------------------------------------------------------------------- COSMETICS / PERSONAL CARE--0.05% -------------------------------------------------------------------------------- Chattem Inc. //(1)// 1,762 33,126 Elizabeth Arden Inc. //(1)// 1,860 24,496 Revlon Inc. Class A //(1)// 1,800 5,400 -------------------------------------------------------------------------------- 63,022 -------------------------------------------------------------------------------- DISTRIBUTION / WHOLESALE--0.68% -------------------------------------------------------------------------------- Advanced Energy Industries Inc. //(1)// 2,827 40,285 Advanced Marketing Services Inc. 2,495 32,435 Aviall Inc. //(1)// 2,862 32,541 Building Materials Holdings Corp. 1,811 26,821 Central European Distribution Corp. //(1)// 762 15,347 Handleman Co. //(1)// 4,141 66,256 Hughes Supply Inc. 3,738 129,709 Keystone Automotive Industries Inc. //(1)// 1,100 20,086 Owens & Minor Inc. 5,295 118,343 12 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) SCP Pool Corp. //(1)// 2,963 101,927 United Stationers Inc. //(1)// 4,623 167,214 Watsco Inc. 2,656 43,983 WESCO International Inc. //(1)// 1,750 10,500 -------------------------------------------------------------------------------- 805,447 -------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--1.62% -------------------------------------------------------------------------------- Accredited Home Lenders Holding Co. //(1)// 1,447 28,390 Advanta Corp. Class B 2,800 28,168 Affiliated Managers Group Inc. //(1)// 3,179 193,760 American Home Mortgage Holdings Inc. 1,712 33,521 Century Business Services Inc. //(1)// 8,130 26,422 Charter Municipal Mortgage Acceptance Co. 5,656 107,521 CompuCredit Corp. //(1)// 2,794 33,947 Credit Acceptance Corp. //(1)// 1,600 16,144 Digital Insight Corp. //(1)// 4,617 87,954 DVI Inc. //(1)// 2,326 10,862 E-LOAN Inc. //(1)// 7,079 41,271 Federal Agricultural Mortgage Corp. //(1)// 1,674 37,414 Financial Federal Corp. //(1)// 2,709 66,100 First Albany Companies Inc. 800 9,944 Forrester Research Inc. //(1)// 2,359 38,593 Gabelli Asset Management Inc. Class A //(1)// 1,062 38,338 Gladstone Capital Corp. 1,508 31,110 Investment Technology Group Inc. //(1)// 7,210 134,106 Knight Trading Group Inc. //(1)// 11,510 71,592 MCG Capital Corp. 3,527 51,141 MemberWorks Inc. //(1)// 1,300 25,675 Metris Companies Inc. 4,782 26,540 National Processing Inc. //(1)// 1,024 16,466 NCO Group Inc. //(1)// 3,398 60,858 New Century Financial Corp. 2,720 118,728 Phoenix Companies Inc. 14,675 132,515 Portfolio Recovery Associates Inc. //(1)// 1,649 51,432 Resource America Inc. Class A 1,820 18,837 S1 Corp. //(1)// 10,113 40,857 Saxon Capital Inc. //(1)// 3,923 68,182 Seacoast Financial Services Corp. 3,287 65,083 StarTek Inc. //(1)// 2,132 56,072 SWS Group Inc. 2,802 56,460 WFS Financial Inc. //(1)// 1,690 56,632 World Acceptance Corp. //(1)// 2,183 35,539 -------------------------------------------------------------------------------- 1,916,174 -------------------------------------------------------------------------------- ELECTRIC--1.65% -------------------------------------------------------------------------------- Allegheny Energy Inc. 17,334 146,472 Avista Corp. 7,844 110,993 Black Hills Corp. 4,773 146,531 Central Vermont Public Service Corp. 1,893 37,008 CH Energy Group Inc. 2,626 118,170 Cleco Corp. 7,801 135,113 CMS Energy Corp. 20,057 162,462 El Paso Electric Co. //(1)// 7,346 90,576 Empire District Electric Co. (The) 3,169 68,926 IDACORP Inc. 5,877 154,271 MGE Energy Inc. 2,052 64,392 Otter Tail Corp. 3,692 99,610 Plug Power Inc. //(1)// 3,974 18,559 PNM Resources Inc. 5,935 158,761 13 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Sierra Pacific Resources //(1)// 18,115 107,603 UIL Holdings Corp. 2,234 90,589 UniSource Energy Corp. 4,170 78,396 Westar Energy Inc. 10,219 165,854 -------------------------------------------------------------------------------- 1,954,286 -------------------------------------------------------------------------------- ELECTRICAL COMPONENTS & EQUIPMENT--0.26% -------------------------------------------------------------------------------- C&D Technologies Inc. 3,814 54,769 Encore Wire Corp. //(1)// 1,400 13,300 GrafTech International Ltd. //(1)// 8,387 45,709 Medis Technologies Ltd. //(1)// 1,791 12,770 Power-One Inc. //(1)// 9,859 70,492 Wilson Greatbatch Technologies Inc. //(1)// 3,047 109,997 -------------------------------------------------------------------------------- 307,037 -------------------------------------------------------------------------------- ELECTRONICS--4.25% -------------------------------------------------------------------------------- Actel Corp. //(1)// 3,844 78,802 Aeroflex Inc. //(1)// 9,753 75,488 Analogic Corp. 980 47,785 Artesyn Technologies Inc. //(1)// 4,625 25,946 Artisan Components Inc. //(1)// 2,853 64,506 ATMI Inc. //(1)// 4,751 118,632 Barnes Group Inc. 1,837 39,973 Bel Fuse Inc. Class B 1,602 36,686 Belden Inc. 4,310 68,486 Benchmark Electronics Inc. //(1)// 3,667 112,797 Brady Corp. Class A 3,365 112,223 Cable Design Technologies Corp. //(1)// 7,006 50,093 Checkpoint Systems Inc. //(1)// 5,304 75,052 Coherent Inc. //(1)// 5,336 127,690 Concord Camera Corp. //(1)// 2,600 18,434 CTS Corp. 5,178 54,110 Cubic Corp. 2,257 50,151 Cymer Inc. //(1)// 5,139 162,187 Daktronics Inc. //(1)// 2,127 34,776 Diodes Inc. //(1)// 424 8,124 Dionex Corp. //(1)// 2,468 98,103 DuPont Photomasks Inc. //(1)// 2,173 40,918 EDO Corp. 2,089 36,975 Electro Scientific Industries Inc. //(1)// 5,007 75,906 Emerson Radio Corp. //(1)// 2,017 13,554 Energy Conversion Devices Inc. //(1)// 2,084 18,964 ESS Technology Inc. //(1)// 4,451 43,397 Exar Corp. //(1)// 5,834 92,352 Excel Technology Inc. //(1)// 1,100 25,113 Fargo Electronics //(1)// 1,634 15,899 FEI Co. //(1)// 4,751 89,129 FuelCell Energy Inc. //(1)// 5,675 46,478 General Cable Corp. 3,730 20,142 Helix Technology Corp. 4,960 65,621 Herley Industries Inc. //(1)// 1,561 26,506 Hutchinson Technology Inc. //(1)// 3,771 124,028 II-VI Inc. //(1)// 1,832 42,283 Innovex Inc. //(1)// 2,226 22,483 InVision Technologies Inc. //(1)// 2,114 52,533 JNI Corp. //(1)// 2,996 14,770 Keithley Instruments Inc. 2,104 30,403 KEMET Corp. //(1)// 13,145 132,764 Lifeline Systems Inc. //(1)// 645 18,318 14 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Littelfuse Inc. //(1)// 3,703 82,799 Manufacturers Services Ltd. //(1)// 4,950 24,007 Mattson Technology Inc. //(1)// 2,400 7,416 Mercury Computer Systems Inc. //(1)// 3,533 64,159 Methode Electronics Inc. Class A 5,873 63,135 Metrologic Instruments Inc. //(1)// 340 11,305 Micrel Inc. //(1)// 8,079 83,941 Microsemi Corp. //(1)// 4,768 76,288 MKS Instruments Inc. //(1)// 4,006 72,388 Molecular Devices Corp. //(1)// 2,495 39,695 Moog Inc. Class A //(1)// 2,320 80,620 Nassda Corp. //(1)// 1,985 15,324 Oak Technology Inc. //(1)// 8,133 50,506 OSI Systems Inc. //(1)// 1,963 31,526 Park Electrochemical Corp. 3,462 69,067 Photon Dynamics Inc. //(1)// 2,453 67,776 Photronics Inc. //(1)// 4,780 83,411 Pioneer-Standard Electronics Inc. 3,945 33,454 Power Integrations Inc. //(1)// 3,857 93,802 Rayovac Corp. //(1)// 5,412 70,085 REMEC Inc. //(1)// 8,815 61,352 Research Frontiers Inc. //(1)// 1,736 24,304 Richardson Electronics Ltd. 770 6,237 Rofin-Sinar Technologies Inc. //(1)// 1,336 18,784 Rudolph Technologies Inc. //(1)// 1,786 28,505 SBS Technologies Inc. //(1)// 2,278 22,395 Semtech Corp. //(1)// 8,571 122,051 Silicon Image Inc. //(1)// 10,546 58,847 Siliconix Inc. //(1)// 1,492 53,861 Sipex Corp. //(1)// 2,500 12,250 Stoneridge Inc. //(1)// 2,142 29,238 Supertex Inc. //(1)// 1,734 31,854 Sypris Solutions Inc. 500 5,165 Technitrol Inc. //(1)// 6,589 99,164 Thomas & Betts Corp. //(1)// 6,999 101,136 Three-Five Systems Inc. //(1)// 3,484 24,040 Trimble Navigation Ltd. //(1)// 4,791 109,858 Triumph Group Inc. //(1)// 2,533 71,355 Universal Display Corp. //(1)// 3,216 28,687 Universal Electronics Inc. //(1)// 2,320 29,418 Varian Inc. //(1)// 4,534 157,194 Vicor Corp. //(1)// 2,300 22,080 Watts Industries Inc. Class A 2,334 41,662 Woodhead Industries Inc. 1,200 15,024 Woodward Governor Co. 1,621 69,703 Xicor Inc. //(1)// 3,684 23,099 X-Rite Inc. 2,385 23,635 Zoran Corp. //(1)// 4,359 83,736 Zygo Corp. //(1)// 2,576 20,608 -------------------------------------------------------------------------------- 5,024,526 -------------------------------------------------------------------------------- ENERGY & RELATED--0.08% -------------------------------------------------------------------------------- Headwaters Inc. //(1)// 4,400 64,636 KCS Energy Inc. //(1)// 5,351 28,842 -------------------------------------------------------------------------------- 93,478 -------------------------------------------------------------------------------- ENERGY - ALTERNATE SOURCES--0.01% -------------------------------------------------------------------------------- KFx Inc. //(1)// 3,030 11,756 -------------------------------------------------------------------------------- 11,756 -------------------------------------------------------------------------------- 15 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) -------------------------------------------------------------------------------- ENGINEERING & CONSTRUCTION--0.25% -------------------------------------------------------------------------------- EMCOR Group Inc. //(1)// 2,100 103,656 Granite Construction Inc. 5,080 97,333 Perini Corp. //(1)// 1,611 12,807 Washington Group International Inc. //(1)// 3,610 79,276 -------------------------------------------------------------------------------- 293,072 -------------------------------------------------------------------------------- ENTERTAINMENT--1.15% -------------------------------------------------------------------------------- Alliance Gaming Corp. //(1)// 7,473 141,314 AMC Entertainment Inc. //(1)// 5,648 64,613 Ameristar Casinos Inc. //(1)// 1,554 33,178 Argosy Gaming Co. //(1)// 3,754 78,496 Churchill Downs Inc. 983 37,659 Dover Downs Gaming & Entertainment Inc. 1,261 11,664 Dover Motorsports Inc. 1,230 5,043 4Kids Entertainment Inc. //(1)// 1,945 36,177 Gaylord Entertainment Co. //(1)// 2,949 57,712 Hollywood Entertainment Corp. //(1)// 7,738 133,094 Isle of Capri Casinos Inc. //(1)// 1,800 29,754 Macrovision Corp. //(1)// 6,701 133,484 Magna Entertainment Corp. Class A //(1)// 5,610 28,050 Martha Stewart Living Omnimedia Inc. Class A //(1)// 2,312 21,710 MTR Gaming Group Inc. //(1)// 2,745 21,191 NetFlix Inc. //(1)// 1,642 41,953 Penn National Gaming Inc. //(1)// 4,382 90,050 Pinnacle Entertainment Inc. //(1)// 3,919 26,649 Scientific Games Corp. Class A //(1)// 7,348 69,071 Shuffle Master Inc. //(1)// 2,449 71,976 Six Flags Inc. //(1)// 13,672 92,696 Speedway Motorsports Inc. 2,627 70,404 Vail Resorts Inc. //(1)// 2,922 39,359 World Wrestling Entertainment Inc. 1,967 20,240 -------------------------------------------------------------------------------- 1,355,537 -------------------------------------------------------------------------------- ENVIRONMENTAL CONTROL--0.37% -------------------------------------------------------------------------------- Casella Waste Systems Inc. Class A //(1)// 2,973 26,846 Ionics Inc. //(1)// 2,630 58,833 Mine Safety Appliances Co. 1,211 52,824 Tetra Tech Inc. //(1)// 7,632 130,736 TRC Companies Inc. //(1)// 1,931 28,502 Waste Connections Inc. //(1)// 3,940 138,097 -------------------------------------------------------------------------------- 435,838 -------------------------------------------------------------------------------- FOOD--2.20% -------------------------------------------------------------------------------- American Italian Pasta Co. Class A //(1)// 2,338 97,378 Arden Group Inc. Class A //(1)// 237 13,983 CEC Entertainment Inc. //(1)// 3,425 126,485 Chiquita Brands International Inc. //(1)// 6,539 94,815 Corn Products International Inc. 5,328 160,000 Flowers Foods Inc. 5,501 108,690 Great Atlantic & Pacific Tea Co. //(1)// 3,140 27,632 Green Mountain Coffee Roasters Inc. //(1)// 640 12,160 Hain Celestial Group Inc. //(1)// 3,634 58,108 Horizon Organic Holding Corp. //(1)// 1,332 31,742 IHOP Corp. 3,200 101,024 Ingles Markets Inc. Class A 2,592 26,179 International Multifoods Corp. //(1)// 2,543 58,260 Interstate Bakeries Corp. 6,907 87,719 16 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) J&J Snack Foods Corp. //(1)// 863 27,297 Jack in the Box Inc. //(1)// 5,496 122,561 Lance Inc. 3,817 34,849 Landry's Restaurants Inc. 3,492 82,411 Nash Finch Co. 1,857 30,919 P.F. Chang's China Bistro Inc. //(1)// 3,726 183,356 Panera Bread Co. Class A //(1)// 4,132 165,280 Papa John's International Inc. //(1)// 1,655 46,423 Pathmark Stores Inc. //(1)// 3,630 27,769 Pilgrim's Pride Corp. Class B 3,057 29,561 Ralcorp Holdings Inc. //(1)// 4,416 110,223 Rare Hospitality International Inc. //(1)// 2,836 92,680 Riviana Foods Inc. 500 13,455 Ruddick Corp. 5,203 81,791 Sanderson Farms Inc. 758 21,300 Sanfilippo (John B.) & Son Inc. //(1)// 759 12,258 Sensient Technologies Corp. 6,388 146,860 Sonic Corp. //(1)// 5,511 140,145 Tejon Ranch Co. //(1)// 1,421 42,772 United Natural Foods Inc. //(1)// 2,733 76,907 Weis Markets Inc. 2,164 67,127 Wild Oats Markets Inc. //(1)// 3,659 39,883 -------------------------------------------------------------------------------- 2,600,002 -------------------------------------------------------------------------------- FOREST PRODUCTS & PAPER--0.68% -------------------------------------------------------------------------------- American Woodmark Corp. 714 33,244 Buckeye Technologies Inc. //(1)// 3,637 24,732 Caraustar Industries Inc. //(1)// 5,030 40,290 Chesapeake Corp. 2,811 61,420 Deltic Timber Corp. 2,168 61,680 Glatfelter Co. 3,992 58,882 Louisiana-Pacific Corp. //(1)// 15,996 173,397 Pope & Talbot Inc. 2,553 28,211 Potlatch Corp. 4,676 120,407 Rock-Tenn Co. Class A 3,370 57,121 Schweitzer-Mauduit International Inc. 2,484 59,964 Universal Forest Products Inc. 1,400 29,316 Wausau-Mosinee Paper Corp. 5,052 56,582 -------------------------------------------------------------------------------- 805,246 -------------------------------------------------------------------------------- GAS--0.19% -------------------------------------------------------------------------------- EnergySouth Inc. 600 19,680 Laclede Group Inc. (The) 2,992 80,186 NUI Corp. 2,850 44,232 Southwestern Energy Co. //(1)// 5,574 83,666 -------------------------------------------------------------------------------- 227,764 -------------------------------------------------------------------------------- HAND / MACHINE TOOLS--0.35% -------------------------------------------------------------------------------- Baldor Electric Co. 4,481 92,309 Franklin Electric Co. Inc. 903 50,252 Kennametal Inc. 5,254 177,795 Milacron Inc. 3,917 19,154 Powell Industries Inc. //(1)// 740 10,834 Regal-Beloit Corp. 3,577 68,321 -------------------------------------------------------------------------------- 418,665 -------------------------------------------------------------------------------- HEALTH CARE--5.57% -------------------------------------------------------------------------------- Accredo Health Inc. //(1)// 7,320 159,576 Advanced Neuromodulation Systems Inc. //(1)// 1,807 93,548 17 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Aksys Ltd. //(1)// 4,638 60,062 Alaris Medical Inc. //(1)// 2,780 36,001 Alliance Imaging Inc. //(1)// 1,200 5,280 American Healthways Inc. //(1)// 2,009 72,565 American Medical Systems Holdings Inc. //(1)// 2,771 46,747 AMERIGROUP Corp. //(1)// 3,065 114,018 AmSurg Corp. //(1)// 2,864 87,352 Arrow International Inc. 1,323 58,410 ArthroCare Corp. //(1)// 3,384 56,716 Aspect Medical Systems Inc. //(1)// 1,001 7,387 Bei Technologies Inc. 1,582 18,984 Beverly Enterprises Inc. //(1)// 12,898 45,143 BioLase Technology Inc. //(1)// 2,882 30,924 BioMarin Pharmaceutical Inc. //(1)// 9,096 88,777 Bioreliance Corp. //(1)// 706 14,967 Biosite Inc. //(1)// 1,642 78,980 Bruker Daltonics Inc. //(1)// 1,970 10,500 Candela Corp. //(1)// 998 11,497 Cantel Medical Corp. //(1)// 1,214 16,292 Cardiac Science Inc. //(1)// 5,600 15,008 CardioDynamics International Corp. //(1)// 3,900 13,299 Centene Corp. //(1)// 1,507 58,622 Cepheid Inc. //(1)// 4,869 24,053 Cerner Corp. //(1)// 4,221 96,872 Cerus Corp. //(1)// 2,810 21,159 Cholestech Corp. //(1)// 1,948 19,227 Chronimed Inc. //(1)// 1,762 17,320 Closure Medical Corp. //(1)// 1,193 22,524 Cobalt Corp. //(1)// 2,624 53,923 Conceptus Inc. //(1)// 3,698 51,957 CONMED Corp. //(1)// 4,264 77,861 Cooper Companies Inc. 4,641 161,368 Covance Inc. //(1)// 9,483 171,642 CTI Molecular Imaging Inc. //(1)// 3,417 64,615 Curative Health Services Inc. //(1)// 1,403 23,851 Cyberonics Inc. //(1)// 3,351 72,080 Cytyc Corp. //(1)// 16,846 177,220 Dade Behring Holdings Inc. //(1)// 5,158 118,479 Datascope Corp. 2,216 65,438 DHB Industries Inc. //(1)// 1,500 6,135 Diagnostic Products Corp. 2,750 112,887 DJ Orthopedics Inc. //(1)// 1,160 12,714 Dynacq International Inc. //(1)// 700 11,760 Enzo Biochem Inc. //(1)// 3,920 84,351 Enzon Pharmaceuticals Inc. //(1)// 6,467 80,967 Exactech Inc. //(1)// 693 9,979 Flir Systems Inc. //(1)// 5,030 151,654 Genesis Health Ventures Inc. //(1)// 4,508 79,566 Gen-Probe Inc. //(1)// 3,501 143,086 Gentiva Health Services Inc. //(1)// 2,630 23,670 Haemonetics Corp. //(1)// 3,014 56,362 Hanger Orthopedic Group Inc. //(1)// 3,751 42,949 Hologic Inc. //(1)// 3,175 41,846 Hooper Holmes Inc. 7,770 50,039 ICU Medical Inc. //(1)// 1,507 46,943 IGEN International Inc. //(1)// 2,693 84,560 Impath Inc. //(1)// 2,366 33,455 INAMED Corp. //(1)// 2,670 143,352 Intermagnetics General Corp. //(1)// 2,716 53,885 18 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Interpore International //(1)// 2,385 30,361 Invacare Corp. 4,172 137,676 Inveresk Research Group Inc. //(1)// 4,123 74,173 Inverness Medical Innovations Inc. //(1)// 1,909 36,844 i-STAT Corp. //(1)// 1,941 17,450 Kensey Nash Corp. //(1)// 1,251 32,526 Kindred Healthcare Inc. //(1)// 2,492 44,457 Kyphon Inc. //(1)// 2,590 39,161 LabOne Inc. //(1)// 1,173 25,290 Laserscope //(1)// 1,882 15,037 LifePoint Hospitals Inc. //(1)// 5,443 113,976 Luminex Corp. //(1)// 2,210 11,404 Matria Healthcare Inc. //(1)// 1,295 22,857 Medical Action Industries Inc. //(1)// 715 11,676 Mentor Corp. 5,814 112,675 Merit Medical Systems Inc. //(1)// 1,437 28,711 National Healthcare Corp. //(1)// 1,363 26,824 Novoste Corp. //(1)// 1,781 10,686 Oakley Inc. //(1)// 5,056 59,509 Ocular Sciences Inc. //(1)// 2,535 50,320 Odyssey Healthcare Inc. //(1)// 3,154 116,698 Option Care Inc. //(1)// 1,959 22,587 OraSure Technologies Inc. //(1)// 4,588 34,226 Orthodontic Centers of America Inc. //(1)// 7,153 57,296 Orthologic Corp. //(1)// 3,300 15,147 Osteotech Inc. //(1)// 2,307 31,352 Palatin Technologies Inc. //(1)// 4,962 15,829 Pediatrix Medical Group Inc. //(1)// 3,382 120,568 PolyMedica Corp. 1,470 67,311 Possis Medical Inc. //(1)// 3,228 44,288 Province Healthcare Co. //(1)// 7,224 79,970 PSS World Medical Inc. //(1)// 9,348 53,751 Quidel Corp. //(1)// 2,600 16,172 RehabCare Group Inc. //(1)// 2,115 30,985 Retractable Technologies Inc. //(1)// 1,268 10,765 Select Medical Corp. //(1)// 3,461 85,937 Sierra Health Services Inc. //(1)// 3,491 69,820 Sola International Inc. //(1)// 3,886 67,616 SonoSite Inc. //(1)// 2,128 42,454 Specialty Laboratories Inc. //(1)// 1,040 10,660 Staar Surgical Co. //(1)// 2,737 31,749 Sunrise Senior Living Inc. //(1)// 2,787 62,373 Synovis Life Technologies Inc. //(1)// 1,222 24,122 Theragenics Corp. //(1)// 4,855 20,876 Therasense Inc. //(1)// 3,850 38,500 Thoratec Corp. //(1)// 7,355 109,589 TriPath Imaging Inc. //(1)// 3,624 24,752 U.S. Physical Therapy Inc. //(1)// 2,012 25,713 US Oncology Inc. //(1)// 9,995 73,863 VCA Antech Inc. //(1)// 3,966 77,615 Ventana Medical Systems Inc. //(1)// 2,054 55,828 Viasys Healthcare Inc. //(1)// 4,541 93,999 VistaCare Inc. Class A //(1)// 1,670 40,598 VISX Inc. //(1)// 6,788 117,772 Vital Images Inc. //(1)// 1,440 26,611 Vital Sign Inc. 600 15,576 West Pharmaceutical Services Inc. 2,400 58,800 Wright Medical Group Inc. //(1)// 2,088 39,672 Young Innovations Inc. //(1)// 435 12,397 19 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Zoll Medical Corp. //(1)// 1,115 37,419 -------------------------------------------------------------------------------- 6,593,273 -------------------------------------------------------------------------------- HOLDING COMPANIES-DIVERSIFIED--0.11% -------------------------------------------------------------------------------- Triarc Companies Inc. //(1)// 2,412 72,336 Walter Industries Inc. 4,543 53,380 -------------------------------------------------------------------------------- 125,716 -------------------------------------------------------------------------------- HOME BUILDERS--0.87% -------------------------------------------------------------------------------- Beazer Homes USA Inc. //(1)// 1,879 156,896 Brookfield Homes Corp. 1,995 30,763 Champion Enterprises Inc. //(1)// 8,487 43,963 Coachmen Industries Inc. 3,078 36,782 Dominion Homes Inc. //(1)// 443 10,566 Fleetwood Enterprises Inc. //(1)// 6,062 44,859 M/I Schottenstein Homes Inc. 1,788 76,312 Meritage Corp. //(1)// 1,504 74,087 Monaco Coach Corp. //(1)// 4,630 70,978 Palm Harbor Homes Inc. //(1)// 2,554 48,373 Skyline Corp. 1,467 44,010 Standard-Pacific Corp. 4,687 155,421 Thor Industries Inc. 2,650 108,173 WCI Communities Inc. //(1)// 2,399 46,133 William Lyon Homes Inc. //(1)// 500 15,925 Winnebago Industries Inc. 1,742 66,022 -------------------------------------------------------------------------------- 1,029,263 -------------------------------------------------------------------------------- HOME FURNISHINGS--0.31% -------------------------------------------------------------------------------- Applica Inc. //(1)// 3,067 26,069 Bassett Furniture Industries Inc. 1,871 24,847 Hooker Furniture Corp. 710 17,558 Kimball International Inc. Class B 3,800 59,280 Libbey Inc. 2,338 53,073 Modtech Holdings Inc. //(1)// 1,000 9,190 Movado Group Inc. 1,837 39,955 Oneida Ltd. 2,686 18,130 Select Comfort Corp. //(1)// 3,090 50,614 Standex International Corp. 2,268 47,628 Stanley Furniture Co. Inc. 762 20,886 -------------------------------------------------------------------------------- 367,230 -------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS / WARES--0.96% -------------------------------------------------------------------------------- American Greetings Corp. Class A //(1)// 8,781 172,459 Central Garden & Pet Co. //(1)// 2,047 48,821 CSS Industries Inc. 771 29,722 Ennis Business Forms Inc. 2,201 32,025 Fossil Inc. //(1)// 3,551 83,662 Harland (John H.) Co. 4,403 115,182 Jarden Corp. //(1)// 2,137 59,131 National Presto Industries Inc. 1,071 33,844 New England Business Service Inc. 1,664 49,920 Playtex Products Inc. //(1)// 4,308 27,657 Russ Berrie & Co. Inc. 1,774 64,769 Standard Register Co. (The) 3,101 51,104 Toro Co. 3,658 145,405 Tupperware Corp. 7,866 112,956 Yankee Candle Co. Inc. (The) //(1)// 4,677 108,600 -------------------------------------------------------------------------------- 1,135,257 -------------------------------------------------------------------------------- 20 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) INSURANCE--2.34% -------------------------------------------------------------------------------- Alfa Corp. 4,600 58,466 Allmerica Financial Corp. //(1)// 8,082 145,395 American Medical Security Group Inc. //(1)// 1,821 34,781 American Physicians Capital Inc. //(1)// 1,524 36,957 AmerUs Group Co. 5,568 156,962 Argonaut Group Inc. 4,262 52,550 Baldwin & Lyons Inc. Class B 1,253 29,759 Citizens Inc. //(1)// 2,570 18,684 CNA Surety Corp. 2,353 23,177 Commerce Group Inc. 3,953 143,099 Crawford & Co. Class B 3,400 16,694 Delphi Financial Group Inc. Class A 2,266 106,049 FBL Financial Group Inc. Class A 1,984 39,978 Financial Industries Corp. 800 11,792 Fremont General Corp. 10,342 141,685 Great American Financial Resources Inc. 700 9,177 Harleysville Group Inc. 3,963 91,228 HealthExtras Inc. //(1)// 1,600 12,512 Hilb, Rogal & Hamilton Co. 4,743 161,452 Horace Mann Educators Corp. 6,053 97,635 Infinity Property & Casualty Corp. 1,601 37,848 Kansas City Life Insurance Co. 1,032 44,211 LandAmerica Financial Group Inc. 2,779 132,002 Midland Co. (The) 800 17,768 National Western Life Insurance Co. Class A //(1)// 234 25,841 NYMAGIC Inc. 600 12,156 Ohio Casualty Corp. //(1)// 7,967 105,005 Penn-America Group Inc. 1,480 16,650 Philadelphia Consolidated Holding Corp. //(1)// 2,573 103,949 PICO Holdings Inc. //(1)// 1,699 22,087 PMA Capital Corp. Class A 4,002 50,305 Presidential Life Corp. 3,575 50,443 ProAssurance Corp. //(1)// 3,904 105,369 RLI Corp. 2,477 81,493 Safety Insurance Group Inc. 968 14,220 Selective Insurance Group Inc. 3,750 93,937 State Auto Financial Corp. 2,739 61,491 Stewart Information Services Corp. //(1)// 2,684 74,749 Triad Guaranty Inc. //(1)// 1,518 57,608 21st Century Insurance Group 2,198 31,431 U.S.I. Holdings Corp. //(1)// 3,136 36,879 UICI //(1)// 6,092 91,806 United Fire & Casualty Co. 932 30,281 Universal American Financial Corp. //(1)// 3,700 23,569 Zenith National Insurance Corp. 2,035 57,997 -------------------------------------------------------------------------------- 2,767,127 -------------------------------------------------------------------------------- IRON / STEEL--0.41% -------------------------------------------------------------------------------- AK Steel Holding Corp. //(1)// 13,911 50,358 Allegheny Technologies Inc. 11,934 78,764 Carpenter Technology Corp. 4,489 70,028 Cleveland-Cliffs Inc. //(1)// 2,155 38,467 Gibraltar Steel Corp. 1,151 23,572 Reliance Steel & Aluminum Co. 4,576 94,723 Ryerson Tull Inc. 3,684 32,346 Schnitzer Steel Industries Inc. Class A 608 26,825 Steel Dynamics Inc. //(1)// 4,975 68,157 -------------------------------------------------------------------------------- 483,240 -------------------------------------------------------------------------------- 21 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) -------------------------------------------------------------------------------- LEISURE TIME--0.30% -------------------------------------------------------------------------------- Bally Total Fitness Holding Corp. //(1)// 4,832 43,633 Callaway Golf Co. 9,467 125,154 K2 Inc. //(1)// 3,684 45,129 Marine Products Corp. 800 8,680 Nautilus Group Inc. (The) 4,273 52,985 Navigant International Inc. //(1)// 1,480 19,092 WMS Industries Inc. //(1)// 3,849 60,006 -------------------------------------------------------------------------------- 354,679 -------------------------------------------------------------------------------- LODGING--0.45% -------------------------------------------------------------------------------- Aztar Corp. //(1)// 4,918 79,229 Boca Resorts Inc. Class A //(1)// 3,739 48,607 Boyd Gaming Corp. //(1)// 5,222 90,132 Choice Hotels International Inc. //(1)// 3,124 85,316 Extended Stay America Inc. //(1)// 9,937 134,050 Marcus Corp. 3,182 47,571 Prime Hospitality Corp. //(1)// 7,157 48,023 -------------------------------------------------------------------------------- 532,928 -------------------------------------------------------------------------------- MACHINERY--2.21% -------------------------------------------------------------------------------- Albany International Corp. Class A 3,917 107,326 Applied Industrial Technologies Inc. 3,428 72,331 Astec Industries Inc. //(1)// 2,132 18,591 Asyst Technologies Inc. //(1)// 6,985 46,730 Briggs & Stratton Corp. 3,036 153,318 Cascade Corp. 2,272 39,533 Cognex Corp. //(1)// 5,543 123,886 Dycom Industries Inc. //(1)// 7,895 128,688 Engineered Support Systems Inc. 1,529 63,989 Esterline Technologies Corp. //(1)// 3,451 60,082 Flowserve Corp. //(1)// 6,842 134,582 Gardner Denver Inc. //(1)// 3,155 64,551 Gerber Scientific Inc. //(1)// 3,288 21,898 Global Power Equipment Group Inc. //(1)// 2,100 9,765 Gorman-Rupp Co. (The) 800 19,200 Idex Corp. 4,297 155,723 Insituform Technologies Inc. Class A //(1)// 3,452 61,031 JLG Industries Inc. 6,091 41,419 Kadant Inc. //(1)// 1,560 29,250 Kaman Corp. Class A 2,500 29,225 Knight Transportation Inc. //(1)// 3,729 92,852 Kulicke & Soffa Industries Inc. //(1)// 8,621 55,088 Lincoln Electric Holding Inc. 4,638 94,662 Lindsay Manufacturing Co. 1,731 40,194 Manitowoc Co. Inc. (The) 4,485 100,015 NACCO Industries Inc. 870 51,278 Nordson Corp. 3,181 75,867 Paxar Corp. //(1)// 4,894 53,834 Presstek Inc. //(1)// 4,108 25,593 Robbins & Myers Inc. 2,418 44,733 Sauer-Danfoss Inc. 1,000 10,750 Semitool Inc. //(1)// 1,600 7,888 Stewart & Stevenson Services Inc. 5,013 78,955 SureBeam Corporation Class A //(1)// 8,261 21,892 Tecumseh Products Co. Class A 2,162 82,826 Tennant Co. 1,444 53,067 Terex Corp. //(1)// 7,026 137,148 22 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Thomas Industries Inc. 2,141 57,914 Ultratech Inc. //(1)// 4,026 74,441 Unova Inc. //(1)// 6,621 73,493 -------------------------------------------------------------------------------- 2,613,608 -------------------------------------------------------------------------------- MACHINERY-CONSTRUCTION & MINING--0.08% -------------------------------------------------------------------------------- Joy Global Inc. //(1)// 6,415 94,750 -------------------------------------------------------------------------------- 94,750 -------------------------------------------------------------------------------- MANUFACTURERS--0.62% -------------------------------------------------------------------------------- CUNO Inc. //(1)// 2,478 89,505 EnPro Industries Inc. //(1)// 3,207 34,283 Federal Signal Corp. 7,202 126,539 FMC Corp. //(1)// 5,419 122,632 Jacuzzi Brands Inc. //(1)// 10,426 55,154 Quixote Corp. 933 23,819 Sturm Ruger & Co. Inc. 2,460 24,600 Tredegar Corp. 4,634 69,464 Trinity Industries Inc. 6,226 115,243 Wabtec Corp. 5,191 72,207 -------------------------------------------------------------------------------- 733,446 -------------------------------------------------------------------------------- MANUFACTURING--0.30% -------------------------------------------------------------------------------- Acuity Brands Inc. 6,395 116,197 Applied Films Corporation //(1)// 2,140 55,383 ESCO Technologies Inc. //(1)// 1,752 77,088 Hexcel Corp. //(1)// 2,800 8,960 Kaydon Corp. 4,723 98,238 -------------------------------------------------------------------------------- 355,866 -------------------------------------------------------------------------------- MEDIA--1.47% -------------------------------------------------------------------------------- Acme Communications Inc. //(1)// 938 7,129 Banta Corp. 3,742 121,129 Beasley Broadcast Group Inc. Class A //(1)// 1,214 16,608 Courier Corp. 400 20,600 Crown Media Holdings Inc. //(1)// 3,400 14,042 Cumulus Media Inc. Class A //(1)// 6,388 120,925 Emmis Communications Corp. //(1)// 6,509 149,382 Fisher Communications Inc. //(1)// 670 32,770 Gray Television Inc. 5,648 70,035 Hollinger International Inc. 7,113 76,607 Information Holdings Inc. //(1)// 2,514 45,880 Insight Communications Co. Inc. //(1)// 6,864 90,468 Journal Register Co. //(1)// 4,755 86,018 Liberty Corp. 2,597 110,372 Lin TV Corp. Class A //(1)// 3,860 90,903 LodgeNet Entertainment Corp. //(1)// 3,114 34,098 Mediacom Communications Corp. //(1)// 8,836 87,211 Nelson (Thomas) Inc. //(1)// 963 12,037 Paxson Communications Corp. //(1)// 4,318 25,865 Pegasus Communications Corp. //(1)// 612 18,103 Playboy Enterprises Inc. Class B //(1)// 2,163 29,417 Primedia Inc. //(1)// 20,557 62,699 Pulitzer Inc. 1,014 50,112 Regent Communications Inc. //(1)// 3,986 23,517 Saga Communications Inc. //(1)// 1,853 36,041 Salem Communications Corp. Class A //(1)// 2,015 40,322 Sinclair Broadcast Group Inc. Class A //(1)// 5,868 68,127 Spanish Broadcasting System Inc. Class A //(1)// 6,780 55,257 23 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) TheStreet.com Inc. //(1)// 1,518 7,135 TiVo Inc. //(1)// 5,011 61,034 Value Line Inc. 200 9,822 Young Broadcasting Inc. Class A //(1)// 3,014 63,686 -------------------------------------------------------------------------------- 1,737,351 -------------------------------------------------------------------------------- METAL FABRICATE / HARDWARE--0.17% -------------------------------------------------------------------------------- CIRCOR International Inc. 2,208 39,369 Lawson Products Inc. 500 13,769 NN Inc. 1,300 16,458 Penn Engineering & Manufacturing Corp. 2,149 29,334 Shaw Group Inc. (The) //(1)// 5,261 63,395 Valmont Industries Inc. 1,835 35,709 -------------------------------------------------------------------------------- 198,034 -------------------------------------------------------------------------------- METALS-DIVERSIFIED--0.60% -------------------------------------------------------------------------------- Ameron International Corp. 1,118 38,873 Commercial Metals Co. 4,444 79,059 Griffon Corp. //(1)// 4,553 72,848 Gulf Island Fabrication Inc. //(1)// 700 11,844 Material Sciences Corp. 1,849 17,935 Matthews International Corp. Class A 3,842 95,128 Maverick Tube Corp. //(1)// 6,353 121,660 Mueller Industries Inc. //(1)// 5,008 135,767 NS Group Inc. //(1)// 2,862 27,905 Quanex Corp. 2,515 74,746 RTI International Metals Inc. //(1)// 2,805 30,378 -------------------------------------------------------------------------------- 706,143 -------------------------------------------------------------------------------- MINING--0.39% -------------------------------------------------------------------------------- AMCOL International Corp. 1,620 12,960 Arch Coal Inc. 6,944 159,573 Brush Engineered Materials Inc. //(1)// 3,659 30,553 Century Aluminum Co. 2,111 14,840 Hecla Mining Co. //(1)// 17,603 74,461 Liquidmetal Technologies //(1)// 1,200 6,156 Royal Gold Inc. 2,849 61,225 Stillwater Mining Co. //(1)// 5,507 28,306 USEC Inc. 10,364 72,755 -------------------------------------------------------------------------------- 460,829 -------------------------------------------------------------------------------- OFFICE / BUSINESS EQUIPMENT--0.18% -------------------------------------------------------------------------------- General Binding Corp. //(1)// 600 7,200 Global Imaging Systems Inc. //(1)// 2,100 48,636 Imagistics International Inc. //(1)// 2,855 73,659 Insight Enterprises Inc. //(1)// 6,984 70,259 Pomeroy Computer Resources //(1)// 1,280 14,157 -------------------------------------------------------------------------------- 213,911 -------------------------------------------------------------------------------- OIL & GAS PRODUCERS--3.58% -------------------------------------------------------------------------------- Atmos Energy Corp. 7,169 177,791 Atwood Oceanics Inc. //(1)// 1,594 43,277 Berry Petroleum Co. Class A 2,492 44,731 Cabot Oil & Gas Corp. 4,123 113,836 CAL Dive International Inc. //(1)// 5,601 122,102 Cascade Natural Gas Corp. 1,300 24,830 Chesapeake Utilities Corp. 1,049 23,707 Cimarex Energy Co. //(1)// 5,997 142,429 Clayton Williams Energy Inc. //(1)// 542 10,005 24 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Denbury Resources Inc. //(1)// 5,037 67,647 Encore Acquisition Co. //(1)// 960 18,384 Energen Corp. 5,066 168,698 Energy Partners Ltd. //(1)// 4,190 48,395 Evergreen Resources Inc. //(1)// 2,777 150,819 EXCO Resources Inc. //(1)// 903 16,173 Forest Oil Corp. //(1)// 6,011 150,996 Frontier Oil Corp. 3,824 58,125 Grey Wolf Inc. //(1)// 22,838 92,266 Hanover Compressor Co. //(1)// 8,116 91,711 Harvest Natural Resources Inc. //(1)// 4,695 29,907 Holly Corp. 1,931 53,296 Houston Exploration Co. //(1)// 1,721 59,719 Magnum Hunter Resources Inc. //(1)// 10,254 81,929 McMoRan Exploration Co. 1,978 22,035 Meridian Resource Corp. (The) //(1)// 5,162 24,416 New Jersey Resources Corp. 4,230 150,165 Northwest Natural Gas Co. 4,012 109,327 Nuevo Energy Co. //(1)// 2,989 52,158 Parker Drilling Co. //(1)// 10,370 30,177 Patina Oil & Gas Corp. 4,438 142,682 Penn Virginia Corp. 1,256 54,008 Petroleum Development Corp. //(1)// 1,246 11,451 Plains Exploration & Production Co. //(1)// 5,251 56,763 Plains Resource Inc. //(1)// 3,753 53,105 Prima Energy Corp. //(1)// 1,463 30,547 Quicksilver Resources Inc. //(1)// 1,825 43,709 Range Resources Corp. //(1)// 9,321 58,443 Remington Oil & Gas Corp. //(1)// 3,261 59,937 RPC Inc. 1,300 14,300 SEACOR SMIT Inc. //(1)// 2,698 98,450 SEMCO Energy Inc. 2,800 16,296 South Jersey Industries Inc. 2,692 99,200 Southern Union Co. //(1)// 8,173 138,451 Southwest Gas Corp. 5,268 111,576 Spinnaker Exploration Co. //(1)// 4,043 105,927 St. Mary Land & Exploration Co. 4,659 127,191 Stone Energy Corp. //(1)// 3,397 142,402 Superior Energy Services Inc. //(1)// 7,028 66,625 Swift Energy Co. //(1)// 4,150 45,650 Tesoro Petroleum Corp. //(1)// 11,066 76,134 Tom Brown Inc. //(1)// 5,222 145,119 Unit Corp. //(1)// 6,261 130,918 Vintage Petroleum Inc. 7,753 87,454 WD-40 Co. 2,284 65,208 W-H Energy Services Inc. //(1)// 3,546 69,076 -------------------------------------------------------------------------------- 4,229,673 -------------------------------------------------------------------------------- OIL & GAS SERVICES--0.69% -------------------------------------------------------------------------------- CARBO Ceramics Inc. 1,878 69,956 Comstock Resources Inc. //(1)// 4,696 64,241 Dril-Quip Inc. //(1)// 1,811 32,960 Global Industries Ltd. //(1)// 9,972 48,065 Hydril Co. //(1)// 1,994 54,337 Input/Output Inc. //(1)// 6,803 36,600 Lone Star Technologies Inc. //(1)// 4,562 96,623 Lufkin Industries Inc. 640 15,584 Matrix Service Co. //(1)// 1,293 22,214 Newpark Resources Inc. //(1)// 11,775 64,527 25 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Oceaneering International Inc. //(1)// 3,422 87,432 Oil States International Inc. //(1)// 3,399 41,128 Tetra Technologies Inc. //(1)// 2,265 67,157 Universal Compression Holdings Inc. //(1)// 2,621 54,674 Veritas DGC Inc. //(1)// 4,973 57,190 -------------------------------------------------------------------------------- 812,688 -------------------------------------------------------------------------------- PACKAGING & CONTAINERS--0.30% -------------------------------------------------------------------------------- Crown Holdings Inc. //(1)// 24,779 176,922 Graphic Packaging International Corp. //(1)// 2,400 10,824 Greif Inc. Class A 2,607 59,961 Longview Fibre Co. 7,077 58,031 Silgan Holdings Inc. //(1)// 1,442 45,106 -------------------------------------------------------------------------------- 350,844 -------------------------------------------------------------------------------- PHARMACEUTICALS--4.40% -------------------------------------------------------------------------------- aaiPharma Inc. //(1)// 2,589 51,469 Abgenix Inc. //(1)// 13,455 141,143 Able Laboratories Inc. //(1)// 2,029 39,971 Adolor Corp. //(1)// 5,391 66,148 Advanced Medical Optics Inc. //(1)// 4,236 72,224 Align Technology Inc. //(1)// 7,320 91,866 Alkermes Inc. //(1)// 8,371 89,988 Allscripts Healthcare Solutions Inc. //(1)// 3,500 12,845 Alpharma Inc. Class A 5,618 121,349 Alteon Inc. //(1)// 4,476 21,709 Antigenics Inc. //(1)// 4,973 57,289 Aphton Corp. //(1)// 2,970 24,473 AtheroGenics Inc. //(1)// 5,424 80,980 AVI BioPharma Inc. //(1)// 2,855 17,501 Bentley Pharmaceuticals Inc. //(1)// 2,406 31,639 Biopure Corp. //(1)// 4,644 28,375 Bone Care International Inc. //(1)// 1,300 18,070 Bradley Pharmaceuticals Inc. //(1)// 1,307 21,566 Cell Genesys Inc. //(1)// 6,497 56,134 Cell Therapeutics Inc. //(1)// 5,823 56,658 CIMA Labs Inc. //(1)// 2,091 56,227 CollaGenex Pharmaceuticals Inc. //(1)// 847 11,375 Columbia Laboratories Inc. //(1)// 4,631 52,099 Connetics Corp. //(1)// 4,316 64,611 Corixa Corp. //(1)// 8,720 67,406 Cubist Pharmaceuticals Inc. //(1)// 4,299 45,827 CV Therapeutics Inc. //(1)// 4,545 134,805 D&K Healthcare Resources Inc. 1,900 30,666 Dendreon Corp. //(1)// 1,072 6,368 Digene Corp. //(1)// 2,229 60,696 Discovery Laboratories Inc. //(1)// 5,820 37,364 DOV Pharmaceutical Inc. //(1)// 1,798 20,677 Durect Corp. //(1)// 2,890 6,965 Epix Medical Inc. //(1)// 2,238 31,668 Esperion Therapeutics Inc. //(1)// 4,574 89,605 First Horizon Pharmaceutical Corp. //(1)// 5,038 19,900 Genta Inc. //(1)// 7,361 98,049 Geron Corp. //(1)// 4,520 33,267 Guilford Pharmaceuticals Inc. //(1)// 5,107 23,186 Hi-Tech Pharmacal Co. //(1)// 593 24,117 Hollis-Eden Pharmaceuticals //(1)// 1,106 13,969 ILEX Oncology Inc. //(1)// 5,785 112,287 Immucor Inc. //(1)// 1,544 33,644 26 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Immunogen Inc. //(1)// 4,130 17,635 Impax Laboratories Inc. //(1)// 4,501 53,967 Indevus Pharmaceuticals Inc. //(1)// 5,194 32,411 Inspire Pharmaceuticals Inc. //(1)// 4,170 45,036 InterMune Inc. //(1)// 3,573 57,561 Intuitive Surgical Inc. //(1)// 4,342 32,522 Isis Pharmaceuticals Inc. //(1)// 7,165 37,975 Kos Pharmaceuticals Inc. //(1)// 1,469 34,477 KV Pharmaceuticals Co. //(1)// 3,885 108,003 La Jolla Pharmaceutical Co. //(1)// 7,502 24,532 Lannett Co. Inc. //(1)// 767 17,978 Ligand Pharmaceuticals Inc. Class B //(1)// 8,978 122,011 Martek Biosciences Corp. //(1)// 3,772 161,970 Medarex Inc. //(1)// 11,880 78,289 Medicines Co. (The) //(1)// 6,108 120,267 MGI Pharma Inc. //(1)// 4,089 104,801 MIM Corp. //(1)// 2,700 17,631 Nabi Biopharmaceuticals //(1)// 4,955 33,991 Nature's Sunshine Products Inc. 1,600 12,816 NBTY Inc. //(1)// 7,604 160,140 NeoPharm Inc. //(1)// 2,317 32,090 Neose Technologies Inc. //(1)// 2,339 23,413 Noven Pharmaceuticals Inc. //(1)// 4,198 42,988 NPS Pharmaceuticals Inc. //(1)// 4,894 119,120 Nu Skin Enterprises Inc. Class A 6,620 69,179 Onyx Pharmaceuticals Inc. //(1)// 3,800 46,854 OSI Pharmaceuticals Inc. //(1)// 6,235 200,829 Pain Therapeutics Inc. //(1)// 1,610 10,401 PAREXEL International Corp. //(1)// 3,685 51,406 Penwest Pharmaceuticals Co. //(1)// 2,946 71,794 Peregrine Pharmaceuticals Inc. //(1)// 9,900 14,355 Perrigo Co. 9,173 143,466 POZEN Inc. //(1)// 3,571 39,210 Praecis Pharmaceuticals Inc. //(1)// 6,332 31,027 Priority Healthcare Corp. Class B //(1)// 4,768 88,446 Progenics Pharmaceuticals Inc. //(1)// 980 14,759 Rigel Pharmaceuticals Inc. //(1)// 0 5 Salix Pharmaceuticals Ltd. //(1)// 4,142 43,450 SangStat Medical Corp. //(1)// 4,605 60,279 SciClone Pharmaceuticals Inc. //(1)// 5,440 46,566 Serologicals Corp. //(1)// 3,044 41,490 SuperGen Inc. //(1)// 4,486 24,224 Sybron Dental Specialties Inc. //(1)// 6,187 146,013 Tanox Inc. //(1)// 3,599 57,764 Tularik Inc. //(1)// 7,035 69,928 United Surgical Partners International Inc. //(1)// 2,663 60,157 United Therapeutics Inc. //(1)// 2,602 56,672 USANA Health Sciences Inc. //(1)// 620 27,410 Vicuron Pharmaceuticals Inc. //(1)// 6,157 87,306 VIVUS Inc. //(1)// 4,646 23,880 Zymogenetics Inc. //(1)// 1,000 11,640 -------------------------------------------------------------------------------- 5,206,309 -------------------------------------------------------------------------------- PIPELINES--0.01% -------------------------------------------------------------------------------- TransMontaigne Inc. //(1)// 1,400 9,072 -------------------------------------------------------------------------------- 9,072 -------------------------------------------------------------------------------- REAL ESTATE--3.52% -------------------------------------------------------------------------------- AMLI Residential Properties Trust 3,361 79,152 27 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Anthracite Capital Inc. 5,754 69,393 Apex Mortgage Capital Inc. 2,900 15,863 Avatar Holdings //(1)// 957 28,901 Bedford Property Investors Inc. 2,329 66,144 Boykin Lodging Co. 2,500 19,500 Brandywine Realty Trust 4,831 118,939 BRT Realty Trust 857 13,626 Chateau Communities Inc. 3,758 111,199 Colonial Properties Trust 2,582 90,861 Commercial Net Lease Realty Inc. 5,506 94,923 Consolidated-Tomoka Land Co. 673 16,906 Cornerstone Realty Income Trust Inc. 7,047 51,514 Corporate Office Properties Trust 3,932 66,569 Corrections Corp. of America //(1)// 5,442 137,846 EastGroup Properties Inc. 2,953 79,731 Entertainment Properties Trust 2,824 81,190 Equity Inns Inc. 3,800 26,220 Equity One Inc. 4,272 70,061 First Industrial Realty Trust Inc. 5,362 169,439 Gables Residential Trust 4,566 138,030 Glenborough Realty Trust Inc. 4,183 80,104 Glimcher Realty Trust 4,921 110,230 Home Properties of New York Inc. 4,126 145,400 Impac Mortgage Holdings Inc. 7,335 122,421 Innkeepers USA Trust 2,600 17,680 Insignia Financial Group Inc. //(1)// 3,000 33,330 Jones Lang LaSalle Inc. //(1)// 5,687 89,855 Kilroy Realty Corp. 4,449 122,348 LaSalle Hotel Properties 2,939 43,438 Lexington Corp. Properties Trust 4,246 75,154 LTC Properties Inc. 2,500 23,875 Manufactured Home Communities Inc. 2,475 86,897 Meristar Hospitality Corp. 6,537 33,600 Mid Atlantic Realty Trust 3,487 73,018 National Health Investors Inc. 4,974 91,721 Nationwide Health Properties Inc. 7,702 122,693 Novastar Financial Inc. 1,368 81,738 Omega Healthcare Investors Inc. //(1)// 1,800 9,450 Pennsylvania Real Estate Investment Trust 2,774 83,081 Prentiss Properties Trust 4,590 137,654 PS Business Parks Inc. 2,386 84,226 Ramco-Gershenson Properties Trust 1,787 41,637 Reckson Associates Realty Corp. 6,659 138,907 Redwood Trust Inc. 2,112 84,290 RFS Hotel Investors Inc. 6,793 83,690 Saul Centers Inc. 1,752 44,851 Sovran Self Storage Inc. 3,200 100,800 Summit Properties Inc. 3,113 64,283 Sun Communities Inc. 2,783 109,372 Tanger Factory Outlet Centers Inc. 1,176 38,902 Taubman Centers Inc. 3,629 69,532 Town & Country Trust (The) 2,853 66,332 Trammell Crow Co. //(1)// 4,611 48,923 United Mobile Homes Inc. 1,015 15,387 Urstadt Biddle Properties Inc. Class A 2,947 37,898 -------------------------------------------------------------------------------- 4,158,724 -------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--2.30% -------------------------------------------------------------------------------- Acadia Realty Trust 1,900 17,385 28 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Alexander's Inc. //(1)// 300 25,047 Alexandria Real Estate Equities Inc. 2,822 126,990 American Land Lease Inc. 1,514 25,435 American Mortgage Acceptance Corp. 1,485 25,780 Anworth Mortgage Asset Corp. 3,621 55,836 Associated Estates Realty Corp. 1,800 11,826 Capital Automotive 4,089 114,451 Capstead Mortgage Corp. 1,611 18,156 Correctional Properties Trust 1,526 42,728 CRIIMI MAE Inc. //(1)// 2,314 25,338 Crown American Realty Trust 3,400 36,516 Essex Property Trust Inc. 2,214 126,752 FelCor Lodging Trust Inc. 10,516 82,551 Getty Realty Corp. 2,653 59,215 Great Lakes REIT Inc. 2,582 41,312 Health Care REIT Inc. 5,712 174,216 Heritage Property Investment Trust Inc. 2,904 78,640 Highwoods Properties Inc. 7,157 159,601 Investors Real Estate Trust 3,407 36,762 Keystone Property Trust 3,233 59,843 Koger Equity Inc. 3,966 68,334 Kramont Realty Trust 3,167 52,256 La Quinta Corp. //(1)// 22,919 98,781 MFA Mortgage Investments Inc. 6,011 60,350 Mid-America Apartment Communities Inc. 2,659 71,820 Mission West Properties Inc. 1,400 15,918 Newcastle Investment Corp. 3,183 62,323 Parkway Properties Inc. 1,846 77,624 Post Properties Inc. 5,405 143,233 RAIT Investment Trust 2,586 68,529 Senior Housing Properties Trust 6,284 85,211 SL Green Realty Corp. 3,686 128,605 U.S. Restaurant Properties Inc. 4,660 73,162 Universal Health Realty Income Trust 1,600 43,200 Ventas Inc. 10,762 163,044 Washington Real Estate Investment Trust 5,713 155,394 Winston Hotels Inc. 1,600 13,072 -------------------------------------------------------------------------------- 2,725,236 -------------------------------------------------------------------------------- RETAIL--5.42% -------------------------------------------------------------------------------- AC Moore Arts & Crafts Inc. //(1)// 2,004 40,140 Aeropostale Inc. //(1)// 2,919 62,700 AFC Enterprises Inc. //(1)// 3,044 49,435 American Eagle Outfitters Inc. //(1)// 7,786 142,795 America's Car-Mart Inc. //(1)// 483 8,829 AnnTaylor Stores Corp. //(1)// 6,509 188,436 Asbury Automotive Group Inc. //(1)// 2,477 33,390 Bebe Stores Inc. //(1)// 1,099 21,024 Big 5 Sporting Goods Corp. //(1)// 1,620 20,299 BJ's Wholesale Club Inc. //(1)// 10,243 154,260 Blair Corp. 1,200 26,640 Bob Evans Farms Inc. 5,256 145,223 Bombay Co. Inc. (The) //(1)// 5,077 53,969 Brookstone Inc. //(1)// 1,227 24,847 Brown Shoe Co. Inc. 3,085 91,933 Buckle Inc. (The) //(1)// 1,499 28,826 Burlington Coat Factory Warehouse Corp. 3,474 62,185 California Pizza Kitchen Inc. //(1)// 2,315 49,773 Casey's General Store Inc. 5,648 79,863 29 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Cash America International Inc. 3,615 47,790 Casual Male Retail Group Inc. //(1)// 4,348 22,566 Cato Corp. Class A 2,420 51,014 Charlotte Russe Holding Inc. //(1)// 1,585 16,357 Charming Shoppes Inc. //(1)// 15,439 76,732 Chicago Pizza & Brewery Inc. //(1)// 1,200 12,000 Children's Place Retail Stores Inc. (The) //(1)// 2,250 44,685 Christopher & Banks Corp. //(1)// 3,723 137,714 CKE Restaurant Inc. //(1)// 7,550 42,205 Coldwater Creek Inc. //(1)// 900 11,097 Cole National Corp. //(1)// 2,050 25,666 Compucom Systems Inc. //(1)// 2,600 11,752 Copart Inc. //(1)// 9,496 89,737 Cost Plus Inc. //(1)// 3,182 113,470 CSK Auto Corp. //(1)// 5,034 72,741 Dave & Buster's Inc. //(1)// 1,200 13,080 Deb Shops Inc. 500 9,400 Dick's Sporting Goods Inc. //(1)// 1,832 67,198 Dillards Inc. Class A 9,113 122,752 Dress Barn Inc. //(1)// 3,100 39,277 Drugstore.com Inc. //(1)// 5,092 29,737 Duane Reade Inc. //(1)// 3,482 51,360 Electronics Boutique Holdings Corp. //(1)// 2,215 51,189 Finish Line Inc. (The) //(1)// 3,309 73,493 Finlay Enterprises Inc. //(1)// 600 9,930 Footstar Inc. //(1)// 3,023 39,299 Fred's Inc. 3,875 144,073 FreeMarkets Inc. //(1)// 6,611 46,013 Friedman's Inc. 2,135 24,275 Galyan's Trading Co. //(1)// 1,437 20,607 GameStop Corp. //(1)// 3,124 40,362 Gart Sports Co. //(1)// 1,337 37,917 Genesco Inc. //(1)// 3,245 57,437 Goody's Family Clothing Inc. //(1)// 2,397 20,734 Group 1 Automotive Inc. //(1)// 2,789 90,391 Guitar Center Inc. //(1)// 2,083 60,407 Hancock Fabrics Inc. 2,245 36,257 Haverty Furniture Companies Inc. 2,907 50,873 Hibbet Sporting Goods Inc. //(1)// 1,291 42,526 Hot Topic Inc. //(1)// 4,590 123,517 Intertan Inc. //(1)// 2,300 18,860 Jill (J.) Group Inc. (The) //(1)// 2,728 45,940 Jo-Ann Stores Inc. //(1)// 2,202 55,711 Joseph A. Bank Clothiers Inc. //(1)// 657 21,964 Kenneth Cole Productions Class A //(1)// 962 18,749 Kirkland's Inc. //(1)// 1,560 25,194 Linens 'N Things Inc. //(1)// 6,515 153,819 Lithia Motors Inc. Class A //(1)// 2,782 44,985 Lone Star Steakhouse & Saloon Inc. 2,100 45,717 Longs Drug Stores Corp. 5,221 86,669 MarineMax Inc. //(1)// 1,472 20,608 Men's Wearhouse Inc. (The) //(1)// 5,271 115,171 Mothers Work Inc. //(1)// 679 18,177 Movie Gallery Inc. //(1)// 3,413 62,970 O'Charley's Inc. //(1)// 2,799 60,262 OfficeMax Inc. //(1)// 18,048 118,214 1-800 CONTACTS INC. //(1)// 1,124 27,516 1-800-FLOWERS.COM Inc. //(1)// 2,601 21,432 Overstock.com Inc. //(1)// 1,787 25,929 30 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Pacific Sunwear of California Inc. //(1)// 6,878 165,691 Party City Corp. //(1)// 1,373 14,101 Payless ShoeSource Inc. //(1)// 9,480 118,500 Pep Boys-Manny, Moe & Jack Inc. 7,400 99,974 PETCO Animal Supplies Inc. //(1)// 5,309 115,418 Priceline.com Inc. //(1)// 3,547 79,417 Red Robin Gourmet Burgers //(1)// 1,307 24,781 Restoration Hardware Inc. //(1)// 1,800 8,100 Rex Stores Corp. //(1)// 1,402 16,978 Ryan's Family Steak Houses Inc. //(1)// 5,992 83,888 School Specialty Inc. //(1)// 2,379 67,706 7-Eleven Inc. //(1)// 3,432 36,208 Sharper Image Corp. //(1)// 1,347 36,733 ShopKo Stores Inc. //(1)// 4,897 63,661 Smart & Final Inc. //(1)// 1,800 8,334 Sonic Automotive Inc. //(1)// 4,109 90,028 Sports Authority Inc. (The) //(1)// 4,850 51,895 Sports Resorts International Inc. //(1)// 3,608 17,535 Stage Stores Inc. //(1)// 2,655 62,393 Stamps.com Inc. //(1)// 4,986 23,933 Steak n Shake Company (The) //(1)// 4,400 67,100 Stein Mart Inc. //(1)// 2,300 13,777 TBC Corp. //(1)// 2,010 38,291 Too Inc. //(1)// 4,980 100,845 Tractor Supply Co. //(1)// 2,130 101,708 Trans World Entertainment Corp. //(1)// 2,100 10,752 Tuesday Morning Corp. //(1)// 2,180 57,334 Tweeter Home Entertainment Group Inc. //(1)// 4,651 40,371 Ultimate Electronics Inc. //(1)// 1,500 19,230 United Auto Group Inc. //(1)// 3,018 65,732 Urban Outfitters Inc. //(1)// 1,834 65,841 West Marine Inc. //(1)// 1,845 32,306 Wet Seal Inc. Class A //(1)// 3,921 41,876 Whitehall Jewellers Inc. //(1)// 2,241 20,326 Wilsons The Leather Experts Inc. //(1)// 2,020 14,564 Zale Corp. //(1)// 4,703 188,120 -------------------------------------------------------------------------------- 6,413,531 -------------------------------------------------------------------------------- SEMICONDUCTORS--1.82% -------------------------------------------------------------------------------- Alliance Semiconductor Corp. //(1)// 3,000 14,520 Axcelis Technologies Inc. //(1)// 15,734 96,292 Brooks Automation Inc. //(1)// 7,314 82,941 ChipPAC Inc. Class A //(1)// 7,625 58,484 Cirrus Logic Inc. //(1)// 9,582 38,520 Cohu Inc. 3,820 59,592 Conexant Systems Inc. //(1)// 40,327 165,341 Credence Systems Corp. //(1)// 9,561 80,982 Entegris Inc. //(1)// 7,717 103,716 Genesis Microchip Inc. //(1)// 4,862 65,831 GlobeSpanVirata Inc. //(1)// 17,845 147,221 Integrated Silicon Solution Inc. //(1)// 4,745 32,930 IXYS Corp. //(1)// 2,173 17,319 Kopin Corp. //(1)// 10,654 65,202 Lattice Semiconductor Corp. //(1)// 14,730 121,228 LTX Corp. //(1)// 7,510 64,736 Microtune Inc. //(1)// 5,010 16,032 Monolithic System Technology Inc. //(1)// 3,124 28,303 Mykrolis Corp. //(1)// 6,788 68,898 OmniVision Technologies Inc. //(1)// 3,285 102,492 31 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) ON Semiconductor Corp. //(1)// 3,780 10,206 ParthusCeva Inc. //(1)// 2,020 16,463 Pericom Semiconductor Corp. //(1)// 3,021 28,095 Pixelworks Inc. //(1)// 5,197 30,870 Skyworks Solutions Inc. //(1)// 20,997 142,150 Transmeta Corp. //(1)// 10,800 17,280 TriQuint Semiconductor Inc. //(1)// 19,772 82,252 Varian Semiconductor Equipment Associates Inc. //(1)// 4,642 138,146 Veeco Instruments Inc. //(1)// 4,082 69,516 Virage Logic Corp. //(1)// 1,190 8,616 Vitesse Semiconductor Corp. //(1)// 31,103 153,027 White Electronic Designs Corp. //(1)// 2,831 29,980 -------------------------------------------------------------------------------- 2,157,181 -------------------------------------------------------------------------------- SOFTWARE--4.53% -------------------------------------------------------------------------------- Akamai Technologies Inc. //(1)// 15,828 75,658 Alico Inc. 608 15,012 Alloy Inc. //(1)// 4,965 32,024 Altiris Inc. //(1)// 1,471 29,494 American Management Systems Inc. //(1)// 6,164 88,022 Ansoft Corp. //(1)// 659 6,999 Ariba Inc. //(1)// 39,363 116,908 Ascential Software Corp. //(1)// 9,153 150,475 AsiaInfo Holdings Inc. //(1)// 4,664 38,245 @Road Inc. //(1)// 4,129 45,089 Atari Inc. //(1)// 1,493 6,644 Avid Technology Inc. //(1)// 4,373 153,361 Borland Software Corp. //(1)// 11,191 109,336 BroadVision Inc. //(1)// 4,068 23,147 Centillium Communications Inc. //(1)// 4,969 49,243 CNET Networks Inc. //(1)// 18,747 116,794 Computer Horizons Corp. //(1)// 4,749 21,560 Computer Programs & Systems Inc. 1,447 28,954 Concord Communications Inc. //(1)// 2,923 40,133 CSG Systems International Inc. //(1)// 7,734 109,281 DigitalThink Inc. //(1)// 3,412 10,748 Documentum Inc. //(1)// 7,309 143,768 EarthLink Inc. //(1)// 19,251 151,890 eFunds Corp. //(1)// 7,653 88,239 Embarcadero Technologies Inc. //(1)// 2,027 14,189 EPIQ Systems Inc. //(1)// 1,824 31,318 eResearch Technology Inc. //(1)// 2,666 59,079 eSpeed, Inc. //(1)// 4,038 79,791 eUniverse Inc. //(1)(2)// 9,962 36,062 F5 Networks Inc. //(1)// 3,624 61,064 FileNET Corp. //(1)// 5,926 106,905 FindWhat.com //(1)// 1,837 35,105 Homestore.com Inc. //(1)// 7,600 13,452 Identix Inc. //(1)// 12,917 82,023 IMPAC Medical Systems Inc. //(1)// 963 20,107 Informatica Corp. //(1)// 10,435 72,106 InfoSpace Inc. //(1)// 4,192 56,885 Interland Inc. //(1)// 12,300 12,054 Inter-Tel Inc. 3,184 67,564 JDA Software Group Inc. //(1)// 4,404 49,281 Kana Software Inc. //(1)// 3,657 11,081 Keane Inc. //(1)// 9,419 128,381 Lawson Software Inc. //(1)// 5,361 41,655 Legato Systems Inc. //(1)// 14,310 120,061 32 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Magma Design Automation Inc. //(1)// 3,940 67,571 ManTech International Corp. Class A //(1)// 1,955 37,497 Manugistics Group Inc. //(1)// 9,708 39,900 MatrixOne Inc. //(1)// 8,561 49,140 Micromuse Inc. //(1)// 10,263 82,001 MicroStrategy Inc. Class A //(1)// 1,482 53,989 MRO Software Inc. //(1)// 2,417 20,859 NDCHealth Corp. 5,846 107,274 Neoforma Inc. //(1)// 2,175 23,751 Net2Phone Inc. //(1)// 4,125 17,861 Netegrity Inc. //(1)// 3,805 22,221 NetIQ Corp. //(1)// 8,322 128,658 Omnicell Inc. //(1)// 2,500 25,600 Openwave Systems Inc. //(1)// 18,300 35,685 OPNET Technologies Inc. //(1)// 1,956 23,844 Opsware Inc. //(1)// 6,983 28,072 Overture Services Inc. //(1)// 9,826 178,145 Parametric Technology Corp. //(1)// 27,500 83,875 PDF Solutions Inc. //(1)// 1,866 21,552 Pegasystems Inc. //(1)// 1,064 7,842 Per-Se Technologies Inc. //(1)// 5,410 60,754 Pinnacle Systems Inc. //(1)// 9,750 104,325 Portal Software Inc. //(1)// 14,680 29,360 PracticeWorks Inc. //(1)// 3,526 68,052 ProQuest Co. //(1)// 3,661 94,454 Pumatech Inc. //(1)// 5,178 17,605 Quality Systems Inc. //(1)// 415 11,408 Raindance Communications Inc. //(1)// 4,400 10,956 Register.com //(1)// 4,471 26,200 Renaissance Learning Inc. //(1)// 1,966 43,055 Roxio Inc. //(1)// 3,109 20,799 SAFLINK Corp. //(1)// 5,316 33,703 Schawk Inc. 1,100 11,528 SeaChange International Inc. //(1)// 3,499 33,380 SeeBeyond Technology Corp. //(1)// 5,300 12,243 SERENA Software Inc. //(1)// 3,529 73,686 Sohu.com Inc. //(1)// 2,709 92,539 SpeechWorks International Inc. //(1)// 4,767 22,405 SPSS Inc. //(1)// 2,106 35,254 Stellent Inc. //(1)// 2,380 12,852 SupportSoft Inc. //(1)// 3,764 24,428 Sybase Inc. //(1)// 12,904 179,495 Synplicity Inc. //(1)// 1,650 8,630 TIBCO Software Inc. //(1)// 13,068 66,516 TradeStation Group Inc. //(1)// 2,836 29,097 TriZetto Group Inc. (The) //(1)// 5,047 30,484 Ulticom Inc. //(1)// 1,640 15,580 ValueClick Inc. //(1)// 9,554 57,611 Vastera Inc. //(1)// 4,769 28,471 Verint Systems Inc. //(1)// 1,027 26,096 Vignette Corp. //(1)// 23,500 48,880 VitalWorks Inc. //(1)// 4,300 16,985 Vitria Technology Inc. //(1)// 7,903 44,731 webMethods Inc. //(1)// 7,985 64,918 Websense Inc. //(1)// 3,827 59,931 Wind River Systems Inc. //(1)// 10,414 39,677 -------------------------------------------------------------------------------- 5,360,612 -------------------------------------------------------------------------------- TELECOMMUNICATION EQUIPMENT--0.89% -------------------------------------------------------------------------------- 33 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) Andrew Corp. //(1)// 14,631 134,605 Arris Group Inc. //(1)// 8,298 41,158 Avanex Corp. //(1)// 8,757 35,028 CommScope Inc. //(1)// 8,225 78,138 Handspring Inc. //(1)// 6,760 7,639 Harmonic Inc. //(1)// 9,030 36,752 Ixia //(1)// 2,900 18,647 KVH Industries Inc. //(1)// 1,536 37,985 New Focus Inc. //(1)// 6,720 25,133 Oplink Communications Inc. //(1)// 9,340 17,466 Proxim Corp. Class A //(1)// 12,067 17,618 RF Micro Devices Inc. //(1)// 25,243 151,963 Sonus Networks Inc. //(1)// 31,033 156,096 Stratex Networks Inc. //(1)// 8,060 25,792 Sycamore Networks Inc. //(1)// 22,952 87,906 Symmetricom Inc. //(1)// 4,431 19,496 Terayon Communication Systems Inc. //(1)// 6,110 16,680 Tollgrade Communications Inc. //(1)// 2,444 45,581 Viasat Inc. //(1)// 3,373 48,369 WilTel Communications Inc. //(1)// 3,531 52,047 -------------------------------------------------------------------------------- 1,054,099 -------------------------------------------------------------------------------- TELECOMMUNICATIONS--2.13% -------------------------------------------------------------------------------- Adaptec Inc. //(1)// 15,586 121,259 Aether Systems Inc. //(1)// 6,432 31,517 Allen Telecom Inc. //(1)// 4,342 71,730 Anaren Inc. //(1)// 3,402 31,877 Anixter International Inc. //(1)// 5,148 120,618 Applied Signal Technology Inc. 1,311 22,287 Aspect Communications Corp. //(1)// 5,170 20,008 Audiovox Corp. Class A //(1)// 2,200 24,618 Boston Communications Group Inc. //(1)// 2,374 40,667 Catapuit Communications Corp. //(1)// 640 6,797 C-COR.net Corp. //(1)// 4,909 24,054 Charter Communications Inc. Class A //(1)// 38,484 152,781 Commonwealth Telephone Enterprises Inc. //(1)// 2,992 131,558 Comtech Telecommunications Corp. //(1)// 1,271 35,893 CT Communications Inc. 2,443 26,262 D&E Communications Inc. 1,443 16,522 Ditech Communications Corp. //(1)// 3,506 17,460 Dobson Communications Corp. Class A //(1)// 4,451 23,457 EMS Technologies Inc. //(1)// 1,656 21,975 Finisar Corp. //(1)// 13,200 20,460 General Communication Inc. Class A //(1)// 6,724 58,230 Golden Telecom Inc. //(1)// 1,915 42,973 Hickory Tech Corp. 1,400 15,680 Hungarian Telephone and Cable Corp. //(1)// 757 6,927 Inet Technologies Inc. //(1)// 2,083 20,768 Infonet Services Corp. Class B //(1)// 6,000 9,540 InterVoice-Brite Inc. //(1)// 4,556 22,507 Intrado Inc. //(1)// 3,058 48,286 Itron Inc. //(1)// 3,794 81,799 Lightbridge Inc. //(1)// 3,893 34,103 MarketWatch.com Inc. //(1)// 868 7,256 MasTec Inc. //(1)// 3,965 22,838 Metro One Telecommunications Inc. //(1)// 2,898 14,954 MRV Communications Inc. //(1)// 6,333 12,729 Newport Corp. //(1)// 6,291 93,107 NII Holdings Inc. Class B //(1)// 1,426 54,573 34 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) North Pittsburgh Systems Inc. 2,208 33,275 Plantronics Inc. //(1)// 6,420 139,121 Powerwave Technologies Inc. //(1)// 9,925 62,230 Price Communications Corp. //(1)// 7,032 90,783 Primus Telecommunications Group Inc. //(1)// 7,916 40,688 PTEK Holdings Inc. //(1)// 6,154 29,847 RCN Corp. //(1)// 6,120 12,118 SpectraLink Corp. //(1)// 2,500 24,700 Standard Microsystems Corp. //(1)// 2,254 34,193 TALX Corp. 2,567 57,989 Tekelec //(1)// 7,437 84,038 Time Warner Telecom Inc. Class A //(1)// 7,337 46,737 Triton PCS Holdings Inc. Class A //(1)// 3,223 16,276 United Online Inc. //(1)// 4,418 111,952 Warwick Valley Telephone Co. 268 21,987 WebEx Communications Inc. //(1)// 4,108 57,307 Westell Technologies Inc. Class A //(1)// 6,933 59,970 Western Wireless Corp. Class A //(1)// 8,070 93,047 -------------------------------------------------------------------------------- 2,524,328 -------------------------------------------------------------------------------- TELEPHONE--0.28% -------------------------------------------------------------------------------- Cincinnati Bell Inc. //(1)// 29,413 197,067 Focal Communications Corp. Warrants (Expires 12/14/07) //(1)(2)// 14 -- Shenandoah Telecommunications Co. 400 19,184 SureWest Communications 2,076 62,799 TALK America Holdings Inc. //(1)// 4,356 47,524 -------------------------------------------------------------------------------- 326,574 -------------------------------------------------------------------------------- TEXTILES--0.51% -------------------------------------------------------------------------------- Angelica Corp. 1,962 33,256 G&K Services Inc. Class A 2,847 84,271 Guess ? Inc. //(1)// 1,500 9,000 Interface Inc. Class A 4,300 19,952 Kellwood Co. 3,888 122,977 Maxwell Shoe Co. Inc. Class A //(1)// 2,061 29,678 Nautica Enterprises Inc. //(1)// 3,449 44,251 Perry Ellis International Inc. //(1)// 463 9,038 Shoe Carnival Inc. //(1)// 1,465 21,623 Steven Madden Ltd. //(1)// 1,550 33,852 UniFirst Corp. 1,644 36,004 Vans Inc. //(1)// 3,135 28,152 Wolverine World Wide Inc. 6,753 130,063 -------------------------------------------------------------------------------- 602,117 -------------------------------------------------------------------------------- TOBACCO--0.19% -------------------------------------------------------------------------------- Universal Corp. 3,429 145,047 Vector Group Ltd. 4,253 74,428 -------------------------------------------------------------------------------- 219,475 -------------------------------------------------------------------------------- TOYS / GAMES / HOBBIES--0.21% -------------------------------------------------------------------------------- Action Performance Companies Inc. 2,529 48,051 Boyds Collection Ltd. (The) //(1)// 2,780 13,094 Department 56 Inc. //(1)// 2,049 31,411 Jakks Pacific Inc. //(1)// 3,727 49,532 Multimedia Games Inc. //(1)// 1,474 37,587 RC2 Corp. //(1)// 1,823 31,009 Topps Co. (The) //(1)// 3,900 33,501 -------------------------------------------------------------------------------- 244,185 -------------------------------------------------------------------------------- 35 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) TRANSPORTATION--1.50% -------------------------------------------------------------------------------- Airborne Inc. 7,492 156,583 Alexander & Baldwin Inc. 5,763 152,892 Arctic Cat Inc. 2,000 38,320 Arkansas Best Corp. 3,033 72,155 Covenant Transport Inc. Class A //(1)// 700 11,900 Dollar Thrifty Automotive Group Inc. //(1)// 3,276 60,770 EGL Inc. //(1)// 5,337 81,122 Florida East Coast Industries Inc. 3,193 81,581 Forward Air Corp. //(1)// 1,938 49,167 Genesee & Wyoming Inc. Class A //(1)// 1,894 38,960 GulfMark Offshore Inc. //(1)// 1,900 32,072 Heartland Express Inc. //(1)// 4,262 94,830 Kansas City Southern Industries Inc. //(1)// 8,904 107,115 Kirby Corp. //(1)// 2,983 84,121 Landstar System Inc. //(1)// 2,103 132,174 Maritrans Inc. 965 14,137 Offshore Logistics Inc. //(1)// 2,753 59,878 Old Dominion Freight Line Inc. //(1)// 1,329 28,733 Overseas Shipholding Group Inc. 3,282 72,237 P.A.M. Transportation Services Inc. //(1)// 444 11,153 Pacer International Inc. //(1)// 2,887 54,449 RailAmerica Inc. //(1)// 5,860 49,517 Roadway Corp. 1,680 47,930 SCS Transportation Inc. //(1)// 2,414 30,489 Seabulk International Inc. //(1)// 814 7,220 USF Corp. 4,072 109,822 Yellow Corp. //(1)// 4,248 98,341 -------------------------------------------------------------------------------- 1,777,668 -------------------------------------------------------------------------------- TRUCKING & LEASING--0.10% -------------------------------------------------------------------------------- GATX Corp. 6,155 100,634 Interpool Inc. 900 14,778 -------------------------------------------------------------------------------- 115,412 -------------------------------------------------------------------------------- WATER--0.19% -------------------------------------------------------------------------------- American States Water Co. 2,070 56,511 California Water Service Group 2,374 66,757 Connecticut Water Service Inc. 950 24,273 Middlesex Water Co. 974 23,999 SJW Corp. 310 26,428 Southwest Water Co. 1,601 22,366 -------------------------------------------------------------------------------- 220,334 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost: $109,746,937) 109,634,553 -------------------------------------------------------------------------------- Security Shares Value -------------------------------------------------------------------------------- EXCHANGE-TRADED FUNDS--4.02% -------------------------------------------------------------------------------- iShares Russell 2000 Index Fund //(3)// 53,510 4,757,039 -------------------------------------------------------------------------------- 4,757,039 -------------------------------------------------------------------------------- TOTAL EXCHANGE-TRADED FUNDS (Cost: $3,800,461) 4,757,039 -------------------------------------------------------------------------------- 36 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited)

Security Shares or Principal Value --------------------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS--16.98% --------------------------------------------------------------------------------------------- Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares //(4)// 12,504,950 12,504,950 Barclays Global Investors Funds Prime Money Market Fund, Institutional Shares //(4)// 2,772,535 2,772,535 BlackRock Temp Cash Money Market Fund //(4)// 139,817 139,817 Short Term Investment Co. - Liquid Assets Money Market Portfolio //(4)// 727,013 727,013 Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares //(4)// 308,059 308,059 Abbey National Treasury Services PLC, Time Deposit 1.38%, 07/01/03 //(4)// 184,836 184,836 Beta Finance Inc., Floating Rate Note 1.06%, 05/20/04 //(4)// 154,007 154,007 1.17%, 08/15/03 //(4)// 231,058 231,058 Canadian Imperial Bank of Commerce, Floating Rate Note 1.07%, 10/30/03 //(4)// 123,224 123,224 CC USA Inc., Floating Rate Note 1.10%, 04/19/04 //(4)// 135,539 135,539 1.31%, 05/24/04 //(4)// 308,029 308,029 Dorada Finance Inc., Floating Rate Note 1.06%, 05/20/04 //(4)// 308,013 308,013 Five Finance Inc., Floating Rate Note 1.15%, 04/15/04 //(4)// 154,030 154,030 HBOS Treasury Services PLC, Floating Rate Note 1.27%, 06/24/04 //(4)// 308,059 308,059 Holmes Financing PLC, Floating Rate Bond 1.14%, 04/15/04 //(4)// 61,612 61,612 K2 USA LLC, Floating Rate Note 1.15%, 05/17/04 //(4)// 154,022 154,022 1.22%, 04/13/04 //(4)// 154,022 154,022 Links Finance LLC, Floating Rate Note 0.98%, 06/28/04 //(4)// 153,999 153,999 1.08%, 03/29/04 //(4)// 154,030 154,030 1.29%, 05/04/04 //(4)// 154,022 154,022 Sigma Finance Inc., Floating Rate Note 1.13%, 10/15/03 //(4)// 308,044 308,044 U.S. Treasury Bill 0.85%, 09/25/03 //(5)(6)// 250,000 249,488 White Pine Finance LLC, Floating Rate Note 1.07%, 04/20/04 //(4)// 154,030 154,030 1.14%, 05/17/04 //(4)// 184,836 184,836 --------------------------------------------------------------------------------------------- TOTAL SHORT TERM INSTRUMENTS (Cost: $20,087,303) 20,087,274 ---------------------------------------------------------------------------------------------

Security Face Amount Value --------------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS--0.18% --------------------------------------------------------------------------------------------- Bank of America NA Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.30% //(4)// 154,030 154,030 Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 06/30/03, due 07/01/03, with an effective yield of 1.38% //(4)// 61,612 161,612 --------------------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost: $215,642) 215,642 ---------------------------------------------------------------------------------------------

37 RUSSELL 2000 INDEX MASTER PORTFOLIO Schedule of Investments June 30, 2003 (Unaudited) TOTAL INVESTMENTS IN SECURITIES -- 113.86% (Cost $133,850,343) 134,694,508 --------------------------------------------------------------------------------------------- Other Assets, Less Liabilities -- (13.86%) (16,396,754) --------------------------------------------------------------------------------------------- NET ASSETS -- 100.00% $118,297,754 ============================================================================================= //(1)// Non-income earning securities. //(2)// Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1. //(3)// Non-controlled affiliated issuer. See Note 2. //(4)// All or a portion of this security represents investments of securities lending collateral. //(5)// Yield to Maturity. //(6)// This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio's holdings of index futures contracts. See Note 1. The accompanying notes are an integral part of these financial statements. 38 See Crosschecks Tab Russell 2000 Index Master Portfolio STATEMENT OF ASSETS AND LIABILITIES June 30, 2003 (Unaudited) -------------------------------------------------------------------------------- ASSETS Investments in securities, at value (including securities on loan //(1)//) (Note 1): Unaffiliated issuers (Cost: $130,049,882) $129,937,469 Non-controlled affiliated issuers (Cost: $3,800,461) 4,757,039 Receivables: Investment securities sold 18,738,603 Dividends and interest 129,667 Due from broker - variation margin 6,976 ------------ Total Assets 153,569,754 ------------ LIABILITIES Payables: Investment securities purchased 18,866,230 Collateral for securities loaned (Note 4) 16,323,406 Due to bank 62,775 Advisory fees (Note 2) 14,584 Administration fees (Note 2) 5,005 ------------ Total Liabilities 35,272,000 ------------ NET ASSETS $118,297,754 ============ -------------------------------------------------------------------------------- //(1)// Securities on loan with market value of $15,695,381. See Note 4. The accompanying notes are an integral part of these financial statements. 1 Russell 2000 Index Master Portfolio STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2003 (Unaudited) -------------------------------------------------------------------------------- NET INVESTMENT INCOME Dividends (Net of foreign withholding tax of $316) $ 641,105 Interest 25,262 Securities lending income 16,477 ----------- Total investment income 682,844 ----------- EXPENSES (Note 2) Advisory fees 35,954 Administration fees 8,989 ----------- Total expenses 44,943 ----------- Net investment income 637,901 ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain on sale of investments 473,343 Net realized gain on futures contracts 435,434 Net change in unrealized appreciation (depreciation) of investments 15,120,521 Net change in unrealized appreciation (depreciation) of futures contracts 3,302 ----------- Net gain on investments 16,032,600 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $16,670,501 =========== -------------------------------------------------------------------------------- The accompanying notes are an integral part of these financial statements. 1 Russell 2000 Index Master Portfolio STATEMENTS OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- For the Six Months Ended June 30, 2003 For the Year Ended (Unaudited) December 31, 2002 ------------------- ------------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net investment income $ 637,901 $ 991,617 Net realized gain (loss) 908,777 (1,063,778) Net change in unrealized appreciation (depreciation) 15,123,823 (16,541,836) ------------ ------------ Net increase (decrease) in net assets resulting from operations 16,670,501 (16,613,997) ------------ ------------ Interestholder transactions: Contributions 28,282,562 36,605,722 Withdrawals (4,112,934) (8,022,226) ------------ ------------ Net increase in net assets resulting from interestholder transactions 24,169,628 28,583,496 ------------ ------------ Increase in net assets 40,840,129 11,969,499 NET ASSETS: Beginning of period 77,457,625 65,488,126 ------------ ------------ End of period $118,297,754 $ 77,457,625 ============ ============ -------------------------------------------------------------------------------- The accompanying notes are an integral part of these financial statements. 1 RUSSELL 2000 INDEX MASTER PORTFOLIO NOTES TO THE FINANCIAL STATEMENTS (Unaudited) 1. SIGNIFICANT ACCOUNTING POLICIES Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Delaware business trust. MIP currently consists of the following separate portfolios: Asset Allocation, Bond Index, Extended Index, International Index, LifePath Retirement (formerly LifePath Income), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, Russell 2000 Index, S&P 500 Index and U.S. Equity Index Master Portfolios. These financial statements relate only to the Russell 2000 Index Master Portfolio (the "Master Portfolio"). The following is a summary of significant accounting policies which are consistently followed by MIP in the preparation of its financial statements. Such policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION The equity securities of the Master Portfolio are valued at the last reported sales price on the primary securities exchange or national securities market on which such securities are traded. Beginning April 14, 2003, securities for which the primary market is the National Association of Securities Dealers Automated Quotations National Market System ("NASDAQ") are valued at the NASDAQ Official Closing Price. Securities not listed on an exchange or national securities market, or securities for which there was no last reported sales price, are valued at the most recent bid prices. U.S. Government obligations are valued at the last reported bid price. Debt securities maturing in 60 days or less are valued at amortized cost, which approximates market value. Mutual fund shares are valued at net asset value. Any securities, restricted securities or other assets for which market quotations are not readily available, or for which a significant event has occurred since the time of the most recent market quotation, are valued in accordance with fair value pricing policies approved by MIP's Board of Trustees. SECURITY TRANSACTIONS AND INCOME RECOGNITION Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolio amortizes premium and accretes discount on debt securities purchased using a constant yield to maturity method. FEDERAL INCOME TAXES MIP believes that the Master Portfolio has and will continue to be operated in a manner so as to qualify it as a partnership for federal income tax purposes. Provided that the Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gain (if any). However, each investor in the Master Portfolio will be taxable on its distributive share of the Master Portfolio's taxable income in determining its federal income tax liability. As a partnership for federal income tax purposes, the Master Portfolio will be deemed to have "passed through" to interestholders any interest, dividends, gains or losses for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the "Code"), and regulations promulgated thereunder. It is intended that the Master Portfolio's assets, income and distributions will be managed in such a way that an entity electing and qualifying as a "regulated investment company" under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company's "investment company taxable income" annually). FUTURES CONTRACTS The Master Portfolios may purchase futures contracts to gain exposure to market changes as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange traded. Upon entering into a futures contract, the Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt securities equal to the minimum "initial margin" requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Master Portfolio as unrealized gains or losses. When the contract is closed, the Master Portfolio records a 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. Pursuant to regulations and/or published positions of the Securities and Exchange Commission, the Master Portfolio is required to segregate cash, U.S. Government securities or high quality, liquid debt instruments in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. As of June 30, 2003, the open futures contracts outstanding were as follows:

---------------------------------------------------------------------------------- Number of Futures Expiration Notional Net Unrealized Contracts Index Date Contract Value Appreciation/Depreciation ---------------------------------------------------------------------------------- 14 Russell 2000 09/18/03 $3,182,449 $(43,649) 10 Russell Mini 09/19/03 444,690 3,710 -------- $(39,939) ----------------------------------------------------------------------------------

The Master Portfolio has pledged to brokers a U.S. Treasury Bill for initial margin requirements with a face amount of $250,000. REPURCHASE AGREEMENTS The Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as a loan by the Master Portfolio to the seller, collateralized by securities, which are delivered to the Master Portfolio's custodian, or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest. The Master Portfolio did not enter into any repurchase agreements at June 30, 2003. Repurchase agreements held by the Master Portfolio at June 30, 2003 represent collateral from securities on loan. 2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy direction in connection with the management of the Master Portfolio's assets. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive 0.08% of the average daily net assets of the Master Portfolio, as compensation for advisory services. Investors Bank & Trust Company ("IBT") serves as the custodian to the Master Portfolio. IBT will not be entitled to receive fees for its custodial services so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. ("BGI") for its services as sub-administrator of the Master Portfolio. Prior to February 24, 2003, IBT served as securities lending agent for MIP. Effective February 24, 2003, BGI began serving as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolio's investment advisor. The Board of Trustees has approved the selection of BGI as securities lending agent subject to the conditions of the exemptive order that was issued by the Securities and Exchange Commission ("SEC"). As securities lending agent, BGI receives a fee based on a share of the income earned on investment of the cash collateral received for the loan of securities. For the period from February 24, 2003 through June 30, 2003, BGI earned $12,518 in securities lending agent fees. SEI Investment Distribution Company is the sponsor and placement agent for the Master Portfolio. Prior to April 1, 2003, Stephens Inc. served as sponsor and placement agent for the Master Portfolio. MIP has entered into administration services arrangements with BGI who has agreed to provide general administration services to the Master Portfolio, such as managing and coordinating third-party service relationships. BGI is not entitled to compensation for providing administration services to the Master Portfolio for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BGI (or an affiliate) receives advisory fees from the Master Portfolio. BGI may delegate certain of its administration duties to sub-administrators. Prior to April 1, 2003, BGI and Stephens Inc. jointly served as co-administrators for the Master Portfolio. Barclays Global Investors Services ("BGIS"), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolio. For the six months ended June 30, 2003, BGIS did not receive any brokerage commissions from the Master Portfolio. Pursuant to an exemptive order issued by the SEC, the Master Portfolio may invest in the Institutional Shares of the Institutional Money Market Fund ("IMMF") and Prime Money Market Fund ("PMMF") of Barclays Global Investors Funds. The IMMF and PMMF are feeder funds in a master/feeder fund structure that invests substantially all of its assets in the Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolio's investment advisor. The IMMF and PMMF are open-end money market funds available only to institutional investors, including other investment companies managed by BGFA. The IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the IMMF and PMMF do not directly charge an advisory fee, the master portfolios in which they invest do charge an advisory fee. Income distributions from the IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolio from temporary cash investments or from investment of securities lending collateral are recorded as either interest income or securities lending income, respectively, in the accompanying Statement of Operations. The Master Portfolio may invest in the shares of Exchange Traded Funds ("ETFs"), including shares of ETFs that are affiliated with MIP, to obtain exposure to the stock market while maintaining flexibility to meet the liquidity needs of the Master Portfolio. As of June 30, 2003, the Master Portfolio held shares of the iShares Russell 2000 Index Fund, an investment portfolio of iShares Trust. iShares Trust is an open-end management investment company managed by BGFA, the investment advisor for MIP. Transactions in shares of affiliated ETFs, including dividend income and net realized capital gains (losses) during the six months ended June 30, 2003 were as follows:

---------------------------------------------------------------------------------------------------------- Number of Number of Shares Held Shares Held Net Beginning Gross Gross End of Dividend Realized Affiliated ETF of Period Additions Reductions Period Income Loss ---------------------------------------------------------------------------------------------------------- iShares Russell 2000 Index Fund -- 60,767 7,257 53,510 $15,726 $(13,054) ----------------------------------------------------------------------------------------------------------

Certain officers and trustees of MIP are also officers or employees of BGI. As of June 30, 2003, these officers or employees of BGI collectively owned less than 1% of MIP's outstanding beneficial interests. 3. INVESTMENT PORTFOLIO TRANSACTIONS Investment transactions (exclusive of short-term investments) for the six months ended June 30, 2003 were as follows: Purchases at cost $43,238,119 Sales proceeds 19,668,455 At June 30, 2003, the cost of investments for federal income tax purposes was $134,008,905. Net unrealized appreciation aggregated $685,603, of which $12,684,741 represented gross unrealized appreciation on securities and $11,999,138 represented gross unrealized depreciation on securities. 4. PORTFOLIO SECURITIES LOANED The Master Portfolio may lend its investment securities to approved borrowers such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued, or guaranteed by the U.S. Government. The initial collateral received is required to have a value of at least 102% of the market value of the loaned securities for securities denominated in U.S. dollars and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The risks to the Master Portfolio of securities lending are that the borrower may not provide additional collateral when required, or return the securities when due. As of June 30, 2003, the Master Portfolio had loaned securities which were collateralized by cash. The cash collateral received was invested in securities with remaining maturity of 397 days or less, repurchase agreements and money market mutual funds. The market value of the securities on loan at June 30, 2003 and the value of the related collateral are disclosed in the Statement of Assets and Liabilities. 5. FINANCIAL HIGHLIGHTS Financial highlights for the Master Portfolio were as follows:

------------------------------------------------------------------------------------------------------- Six Months Ended Year Ended Year Ended Period Ended June 30, 2003 December 31, December 31, December 31, (Unaudited) 2002 2001 2000//(1)// ------------------------------------------------------------------------------------------------------- Ratio of expenses to average net assets //(3)// 0.10% 0.10% 0.10% 0.09% Ratio of net investment income to average net assets //(3)// 1.42% 1.38% 1.45% 3.30% Portfolio turnover rate 22% 28% 46% 0%//(2)// Total return 18.68%//(4)// (20.32)% 2.30% (4.40)%//(4)// --------------------------------------------------------------------------------------------------------

//(1)// Period from December 19, 2000 (commencement of operations) to December 31, 2000 //(2)// Rounds to less than 1%. //(3)// Annualized for periods of less than one year. //(4)// Not annualized. Item 2. Code of Ethics. Not applicable to this filing. Item 3. Audit Committee Financial Expert. Not applicable to this filing. Item 4. Principal Accountant Fees and Services. Not applicable to this filing. Item 5. Listed Company Audit Committees Not applicable to this registrant. Item 6. [Reserved] Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable to this registrant. Item 8. [Reserved] Item 9. Controls and Procedures. (a) The President and Chief Financial Officer have concluded that, based on their evaluation as of a date within 90 days of the filing date of this report, the disclosure controls and procedures of Master Investment Portfolio are reasonably designed to achieve the purposes described in the attached certification, Section 4 (a). (b) There were no significant changes in Master Investment Portfolio's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. Item 10. Exhibits. (a) Not applicable to this filing. (b) Certification letters are attached. (c) Section 906 Certifications are attached. Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Master Investment Portfolio By: /s/ Lee T. Kranefuss ------------------------------------------------------------------------- Lee T. Kranefuss, President Date August 29, 2003 ------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Lee T. Kranefuss ------------------------------------------------------------------------- Lee T. Kranefuss, President Date August 29, 2003 ------------------------------- By: /s/ Michael A. Latham ------------------------------------------------------------------------- Michael A. Latham, Chief Financial Officer Date August 29, 2003 -------------------------------