HS125 FLT CREW IS QUESTIONED BY ATC REGARDING INTERCEPT ALT ON ILS FOR MDW.

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DURING VECTORS TO ILS RWY 4R APCH AT MDW; I RECEIVED A CLRNC WHICH CONTAINED; 'DSND AND MAINTAIN 2000 FT TILL ESTABLISHED; MAINTAIN 180 KTS OR GREATER TO THE MARKER. CONTACT TWR 118.7. CLRED ILS RWY 4R.' MINS LATER TWR ASKED US TO RETURN TO APCH. THE CTLR ASKED; 'WHAT ARE YOU DOING AT 2000 FT?' I RESPONDED; 'THAT WAS THE ALT WE WERE ASSIGNED AND READ BACK.' THE CTLR RESPONDED; 'THE INTERCEPT ALT IS 2600 FT.' I RPTED LEVEL AT 2600 FT MOMENTS LATER AND CHANGED TO TWR 118.7 AT THE MARKER. NO TCASII OR GPWS ALERTS WERE GENERATED. IN MY JUDGMENT; THIS MISCOM OCCURRED DUE TO MULTIPLE FACTORS. THE SPD OR RAPIDITY OF THE APCH CLRNC AND THE LARGE NUMBER OF ELEMENTS MADE IT DIFFICULT TO RECEIVE. ALSO; I DID NOT CLARIFY EACH ELEMENT OF THE CLRNC; AS THE FREQ WAS CONGESTED AND THE PACE RAPID. MY COPLT AND I STILL BELIEVE WE WERE CLRED TO 2000 FT; BUT THE COMPLEXITY OF THE CLRNC MAY ALSO HAVE CONTRIBUTED TO OUR ACFT BEING 600 FT LOW ON THE LOC TO RWY 4R BEFORE CORRECTING TO 2600 FT FOR GS INTERCEPT.