interest on the securities loaned. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.
The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2010. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
The Series engages in various portfolio investment strategies using derivative contracts both to increase the return of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchanges on which these contracts trade.
| |
|
|
Notes to Financial Statements (continued) | Master S&P 500 Index Series |
For the year ended December 31, 2010, the average quarterly balances of outstanding derivative financial instruments were as follows:
| | | | |
|
Financial futures contracts: | | | | |
Average number of contracts purchased | | | 280 | |
Average notional value of contracts purchased | | $ | 18,105,990 | |
|
3. Investment Management Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Series for 1940 Act purposes, but BAC and Barclays are not.
The Master LLC, on behalf of the Series, entered into an Investment Management Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services.
The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the average daily value of the Series’ net assets.
Effective June 1, 2010, the Manager contractually agreed to waive its investment advisory fee by 0.005% of the average daily value of the Series’ net assets. The Manager has agreed not to reduce or discontinue this contractual waiver until May 1, 2011 unless approved by the Board, including a majority of the non-interested Directors. Prior to June 1, 2010, the Manager had entered into an agreement which provided that the investment advisory fee for the Series, when combined with the administrative fee of BlackRock S&P 500 Index Fund would not exceed 0.25% of average daily net assets. As a result, the Series paid a monthly fee at an annual rate of 0.005% of the average daily value of the Series’ net assets. For the year ended December 31, 2010, the Manager waived $113,292, which is included in fees waived by advisor in the Statement of Operations.
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds, however the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through the Series’ investment in other affiliated investment companies, if any. For the year ended December 31, 2010, the Series waived $10,021, which is or included in fees waived by advisor in the Statement of Operations.
The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager.The Manager pays BIM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.
For the year ended December 31, 2010, the Series reimbursed the Manager $42,260 for certain accounting services, which are included in accounting services in the Statement of Operations.
The Master LLC, on behalf of the Series, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. The market value of securities on loan and the value of the related collateral, if applicable are shown in the Statement of Assets and Liabilities as securities loaned and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments. The share of income earned by the Series on such investments is shown as securities lending — affiliated in the Statement of Operations. For the year ended December 31, 2010, BIM received $50,457 in securities lending agent fees related to securities lending activities for the Series.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
4. Investments:
Purchases and sales of investments, excluding short-term securities for the year ended December 31, 2010, were $104,823,718 and $280,419,809, respectively.
5. Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2010. The Series may borrow under the credit agreement to fund investor withdrawals. Effective November 2009, the credit agreement had the following terms: 0.02% upfront fee on the aggregate commitment amount which was allocated to the Series based on its net assets as of October 31, 2009, a commitment fee of 0.10% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. In addition, the Series paid administration and
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28 | BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 |
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|
|
Notes to Financial Statements (concluded) | Master S&P 500 Index Series |
arrangement fees which were allocated to the Series based on its net assets as of October 31, 2009. Effective November 2010, the credit agreement was renewed until November 2011 with the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. The Series did not borrow under the credit agreement during the year ended December 31, 2010.
6. Market and Credit Risk:
In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.
7. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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|
Report of Independent Registered Public Accounting Firm | Master S&P 500 Index Series |
To the Investors and Board of Directors of Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master S&P 500 Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master S&P 500 Index Series of Quantitative Master Series LLC as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 28, 2011
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BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 | 29 |
| | | | | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Corporation/
Master LLC | | Length
of Time
Served as
a Director2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
|
|
|
|
|
|
|
|
|
|
|
Non-Interested Directors1 |
|
|
|
|
|
|
|
|
|
|
|
Ronald W. Forbes
55 East 52nd Street
New York, NY 10055
1940 | | Co-Chair of the Board and Director | | Since
2007 | | Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000. | | 36 RICs consisting of 95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Rodney D. Johnson
55 East 52nd Street
New York, NY 10055
1941 | | Co-Chair of the Board and Director | | Since
2007 | | President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006. | | 36 RICs consisting of 95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
David O. Beim
55 East 52nd Street
New York, NY 10055
1940 | | Director | | Since
2007 | | Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006. | | 36 RICs consisting of 95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Dr. Matina S. Horner
55 East 52nd Street
New York, NY 10055
1939 | | Director | | Since
2007 | | Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003. | | 36 RICs consisting of 95 Portfolios | | NSTAR (electric and gas utility) |
|
|
|
|
|
|
|
|
|
|
|
Herbert I. London
55 East 52nd Street
New York, NY 10055
1939 | | Director and Member of the Audit Committee | | Since
2007 | | Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005. | | 36 RICs consisting of 95 Portfolios | | AIMS Worldwide, Inc. (marketing) |
|
|
|
|
|
|
|
|
|
|
|
Cynthia A. Montgomery
55 East 52nd Street
New York, NY 10055
1952 | | Director | | Since
2007 | | Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005. | | 36 RICs consisting of 95 Portfolios | | Newell Rubbermaid, Inc. (manufacturing) |
|
|
|
|
|
|
|
|
|
|
|
Joseph P. Platt
55 East 52nd Street
New York, NY 10055
1947 | | Director | | Since
2007 | | Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008. | | 36 RICs consisting of 95 Portfolios | | Greenlight Capital Re, Ltd. (reinsurance company); WQED Multi-Media (public broadcasting not-for-profit) |
|
|
|
|
|
|
|
|
|
|
|
Robert C. Robb, Jr.
55 East 52nd Street
New York, NY 10055
1945 | | Director | | Since
2007 | | Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981. | | 36 RICs consisting of 95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Toby Rosenblatt
55 East 52nd Street
New York, NY 10055
1938 | | Director | | Since
2007 | | President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) since from 1998 to 2008. | | 36 RICs consisting of 95 Portfolios | | A.P. Pharma, Inc. (specialty pharmaceuticals) |
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| | |
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|
30 | BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
|
Officers and Directors (continued) | |
| | | | | | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Corporation/
Master LLC | | Length
of Time
Served as
a Director2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
|
|
|
|
|
|
|
|
|
|
|
|
Non-Interested Directors1 (concluded) |
|
|
|
|
|
|
|
|
|
|
|
|
Kenneth L. Urish
55 East 52nd Street
New York, NY 10055
1951 | | Chair of the Audit Committee and Director | | Since
2007 | | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2009; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007. | | 36 RICs consisting of 95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
|
Frederick W. Winter
55 East 52nd Street
New York, NY 10055
1945 | | Director and Member of the Audit Committee | | Since
2007 | | Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008. | | 36 RICs consisting of 95 Portfolios | | None |
| |
|
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|
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|
|
|
|
| | 1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31, 2013. |
| | | | | | | | | | | |
| | 2 | Date shown is the earliest date a person has served as a director for the Corporation/Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows directors as joining the Corporation/Master LLC board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. |
| | | | | | | | | | | |
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|
|
|
|
|
Interested Directors3 |
|
|
|
|
|
|
|
|
|
|
|
|
Richard S. Davis
55 East 52nd Street
New York, NY 10055
1945 | | Director | | Since
2007 | | Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005. | | 169 RICs consisting of 289 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
|
Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947 | | Director | | Since
2007 | | Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | | 169 RICs consisting of 289 Portfolios | | None |
| |
|
|
|
|
|
|
|
|
|
|
| | 3 | Mr. Davis is an “interested person” as defined in the 1940 Act, of the Corporation/Master LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Corporation/Master LLC based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
| | | |
|
|
|
|
| BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 | 31 |
|
|
|
Officers and Directors (concluded) |
| | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Corporation/
Master LLC | | Length
of Time
Served | | Principal Occupation(s) During Past Five Years |
|
|
|
|
|
|
|
Officers1 | | | | | | |
|
|
|
|
|
|
|
John M. Perlowski
55 East 52nd Street
New York, NY 10055
1964 | | President and
Chief Executive
Officer | | Since
2010 | | Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009. |
|
|
|
|
|
|
|
Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977 | | Vice
President | | Since
2009 | | Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008. |
|
|
|
|
|
|
|
Brian Schmidt
55 East 52nd Street
New York, NY 10055
1958 | | Vice
President | | Since
2009 | | Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003. |
|
|
|
|
|
|
|
Neal Andrews
55 East 52nd Street
New York, NY 10055
1966 | | Chief
Financial
Officer | | Since
2007 | | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. |
|
|
|
|
|
|
|
Jay Fife
55 East 52nd Street
New York, NY 10055
1970 | | Treasurer | | Since
2007 | | Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. |
|
|
|
|
|
|
|
Brian Kindelan
55 East 52nd Street
New York, NY 10055
1959 | | Chief
Compliance
Officer | | Since
2007 | | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005. |
|
|
|
|
|
|
|
Ira Shapiro
55 East 52nd Street
New York, NY 10055
1963 | | Secretary | | Since
2010 | | Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008. |
| |
|
|
|
|
|
| | 1 | Officers of the Corporation/Master LLC serve at the pleasure of the Board of Directors. |
| |
|
|
|
|
|
|
| | Further information about the Corporation/Master LLC’s Officers and Directors is available in the Corporation/Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762. |
|
|
Investment Advisor |
|
BlackRock Advisors, LLC |
Wilmington, DE 19809 |
|
Sub-Advisor |
|
BlackRock Investment |
Management, LLC |
Plainsboro, NJ 08536 |
|
Custodian |
|
State Street Bank and Trust Company
Boston, MA 02111 |
|
Transfer Agent |
|
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809 |
|
Distributor |
|
BlackRock Investments, LLC
New York, NY 10022 |
|
Legal Counsel |
|
Sidley Austin LLP
New York, NY 10019 |
|
Accounting Agent |
|
State Street Bank and |
Trust Company |
Princeton, NJ 08540 |
|
Independent Registered Public Accounting Firm |
|
Deloitte & Touche LLP |
Princeton, NJ 08540 |
|
Address of the Fund |
|
100 Bellevue Parkway |
Wilmington, DE 19809 |
|
|
Effective September 24, 2010, John M. Perlowski became President and Chief Executive Officer of the Corporation and the Master LLC. |
|
Effective November 16, 2010, Ira Shapiro became Secretary of the Corporation and the Master LLC. |
|
| | |
|
32 | BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 |
|
|
|
Additional Information |
|
|
General Information |
|
Electronic Delivery
Electronic copies of most financial reports and prospectuses are available on the Fund’s website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospectuses by enrolling in the Fund’s electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
| |
1) | Access the BlackRock website at http://www.blackrock.com/edelivery |
|
2) | Select “eDelivery” under the “More Information” section |
|
3) | Log into your account |
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call (800) 441-7762.
Availability of Quarterly Portfolio Schedule of Investments
The Fund/Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Series’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Fund’s/Series’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund/Series uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Fund/Series voted proxies relating to securities held in the Fund’s/Series’ portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
| | | |
|
| BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 | 33 |
|
|
|
|
Additional Information (concluded) |
|
|
BlackRock Privacy Principles |
|
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
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34 | BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 |
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A World-Class Mutual Fund Family |
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing.
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Equity Funds |
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BlackRock All-Cap Energy & Resources Portfolio |
BlackRock Asset Allocation Portfolio† |
BlackRock Balanced Capital Fund† |
BlackRock Basic Value Fund |
BlackRock Capital Appreciation Fund |
BlackRock Energy & Resources Portfolio |
BlackRock Equity Dividend Fund |
BlackRock EuroFund |
BlackRock Focus Growth Fund |
BlackRock Focus Value Fund |
BlackRock Global Allocation Fund† |
BlackRock Global Dynamic Equity Fund |
BlackRock Global Emerging Markets Fund |
BlackRock Global Financial Services Fund |
BlackRock Global Growth Fund |
BlackRock Global Opportunities Portfolio |
BlackRock Global SmallCap Fund |
BlackRock Health Sciences Opportunities Portfolio |
BlackRock Healthcare Fund |
BlackRock Index Equity Portfolio* |
BlackRock International Fund |
BlackRock International Index Fund |
BlackRock International Opportunities Portfolio |
BlackRock International Value Fund |
BlackRock Large Cap Core Fund |
BlackRock Large Cap Core Plus Fund |
BlackRock Large Cap Growth Fund |
BlackRock Large Cap Value Fund |
BlackRock Latin America Fund |
BlackRock Mid-Cap Growth Equity Portfolio |
BlackRock Mid-Cap Value Equity Portfolio |
BlackRock Mid Cap Value Opportunities Fund |
BlackRock Natural Resources Trust |
BlackRock Pacific Fund |
BlackRock Science & Technology Opportunities Portfolio |
BlackRock Small Cap Core Equity Portfolio |
BlackRock Small Cap Growth Equity Portfolio |
BlackRock Small Cap Growth Fund II |
BlackRock Small Cap Index Fund |
BlackRock Small/Mid-Cap Growth Portfolio |
BlackRock S&P 500 Index Fund |
BlackRock S&P 500 Stock Fund |
BlackRock U.S. Opportunities Portfolio |
BlackRock Utilities and Telecommunications Fund |
BlackRock Value Opportunities Fund |
BlackRock World Gold Fund |
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Fixed Income Funds |
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BlackRock Bond Index Fund |
BlackRock Bond Portfolio |
BlackRock Emerging Market Debt Portfolio |
BlackRock Floating Rate Income Portfolio |
BlackRock GNMA Portfolio |
BlackRock Global Dividend Income Portfolio† |
BlackRock Government Income Portfolio |
BlackRock High Income Fund |
BlackRock High Yield Bond Portfolio |
BlackRock Income Portfolio† |
BlackRock Inflation Protected Bond Portfolio |
BlackRock Intermediate Government Bond Portfolio |
BlackRock International Bond Portfolio |
BlackRock Long Duration Bond Portfolio |
BlackRock Low Duration Bond Portfolio |
BlackRock Managed Income Portfolio |
BlackRock Multi-Sector Bond Portfolio |
BlackRock Short-Term Bond Fund |
BlackRock Strategic Income |
Opportunities Portfolio |
BlackRock Total Return Fund |
BlackRock Total Return Portfolio II |
BlackRock World Income Fund |
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Municipal Bond Funds |
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BlackRock AMT-Free Municipal Bond Portfolio |
BlackRock California Municipal Bond Fund |
BlackRock High Yield Municipal Fund |
BlackRock Intermediate Municipal Fund |
BlackRock Kentucky Municipal Bond Portfolio |
BlackRock Municipal Fund |
BlackRock National Municipal Fund |
BlackRock New Jersey Municipal Bond Fund |
BlackRock New York Municipal Bond Fund |
BlackRock Ohio Municipal Bond Portfolio |
BlackRock Pennsylvania Municipal Bond Fund |
BlackRock Short-Term Municipal Fund |
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Target Risk & Target Date Funds† |
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BlackRock Prepared Portfolios |
Conservative Prepared Portfolio |
Moderate Prepared Portfolio |
Growth Prepared Portfolio |
Aggressive Growth Prepared Portfolio |
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BlackRock Lifecycle Prepared Portfolios |
2015 |
2020 |
2025 |
2030 |
2035 |
2040 |
2045 |
2050 |
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BlackRock LifePath Portfolios
Retirement |
2020 |
2025 |
2030 |
2035 |
2040 |
2045 |
2050 |
2055 |
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* | See the prospectus for information on specific limitations on investments in the fund. |
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† | Mixed asset fund. |
BlackRock mutual funds are currently distributed by BlackRock Investments, LLC. You should consider the investment objectives, risks, charges and expenses of the funds under consideration carefully before investing. Each fund’s prospectus contains this and other information and is available at www.blackrock.com or by calling (800) 441-7762 or from your financial advisor. The prospectus should be read carefully before investing.
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| BLACKROCK S&P 500 INDEX FUND | DECEMBER 31, 2010 | 35 |
This report is transmitted to shareholders only. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
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#Index 4-12/10 | 
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| December 31, 2010 |
Annual Report
BlackRock Small Cap Index Fund | of BlackRock Index Funds, Inc.
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Not FDIC Insured § No Bank Guarantee § May Lose Value |
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2 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
Economic data fluctuated widely throughout 2010 as the global economy continued to emerge from the “Great Recession.” As the year drew to a close, it became clear that cyclical stimulus had beaten out structural problems as economic data releases generally became more positive and financial markets showed signs of continuing improvement.
Debt and deflationary risks remained present throughout 2010, causing central banks worldwide to respond with unprecedented actions, most notably a second round of quantitative easing (informally known as “QE2”) from the US Federal Reserve Board (the “Fed”). Inflation remained a non-issue in the developed world, but continued to rear its ugly head in some emerging economies, most evidently in China. Global and US gross domestic product (“GDP”) growth both continued in a positive direction but remained subpar compared to most historical economic recoveries. In the United States, the corporate sector has been an important area of strength and consumer spending has shown improvement, although weakness in the housing and labor markets continues to burden the economy.
Stocks moved higher in the early months of 2010 on the continuation of the 2009 asset recovery story. The mid-year months saw a double-digit percentage correction on the back of the Greek sovereign debt crisis and a stalling in jobs growth, leading to fears of a double-dip recession. After touching a late summer low, equity markets rallied through year end as these concerns receded. The announcement of QE2 and extension of the Bush-era tax cuts further boosted equities as the year came to a close. Although the course was uneven and high volatility remained a constant for stocks, equity markets globally ended the year strong. Emerging markets outpaced the developed world in terms of economic growth and posted respectable gains for the year despite sovereign debt problems and heightening inflationary pressures. US stocks recorded double-digit percentage gains for the second consecutive year. Small cap stocks outperformed large caps as investors began to move into higher-risk assets.
In fixed income markets, yields trended lower over most of the year as investors continued to favor safer assets. That trend reversed abruptly in the fourth quarter when market fears abated and investors began seeking higher-risk assets, driving yields sharply upward through year end. However, yields were lower overall for the year and fixed income markets finished 2010 in positive territory. Although fixed income securities generally underperformed equities, high yield bonds only marginally trailed large cap stocks. Conversely, the tax-exempt municipal market was dealt an additional blow as it became apparent that an extension of the Build America Bond program was unlikely. In addition, the fourth quarter brought an increase in negative headlines regarding fiscal challenges faced by state and local governments, sparking additional volatility in the municipal market.
Cash investments, as represented by the 3-month Treasury bill, returned only a fraction over 0% for the year as short-term interest rates remained low. Yields on money market securities remain near all-time lows.
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Total Returns as of December 31, 2010 | | 6-month | | 12-month | |
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US large cap equities (S&P 500 Index) | | 23.27 | % | | 15.06 | % | |
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US small cap equities (Russell 2000 Index) | | 29.38 | | | 26.85 | | |
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International equities (MSCI Europe, Australasia, Far East Index) | | 24.18 | | | 7.75 | | |
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3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index) | | 0.08 | | | 0.13 | | |
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US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index) | | (1.33 | ) | | 7.90 | | |
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US investment grade bonds (Barclays Capital US Aggregate Bond Index) | | 1.15 | | | 6.54 | | |
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Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index) | | (0.90 | ) | | 2.38 | | |
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US high yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index) | | 10.04 | | | 14.94 | | |
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Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.
While no one can peer into a crystal ball and eliminate the uncertainties presented by the economic landscape and financial markets, BlackRock can offer investors the next best thing: partnership with the world’s largest asset management firm and a unique global perspective that allows us to identify trends early and capitalize on market opportunities. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine, where you’ll find the most recent issue of our award-winning Shareholder® magazine, as well as its quarterly companion newsletter, Shareholder Perspectives. As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.
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Sincerely, |
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Rob Kapito |
President, BlackRock Advisors, LLC |
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THIS PAGE NOT PART OF YOUR FUND REPORT | 3 |
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Fund Summary as of December 31, 2010 | BlackRock Small Cap Index Fund |
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Portfolio Management Commentary |
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| How did the Fund perform? |
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• | For the 12 months ended December 31,2010, BlackRock Small Cap Index Fund (the “Fund”), through its investment in Master Small Cap Index Series (the “Series”) of Quantitative Master Series LLC (the “Master LLC”), slightly underperformed the benchmark Russell 2000 Index. The Russell 2000 Index is a market-weighted index composed of approximately 2,000 common stocks issued by small-capitalization US companies in a range of businesses. |
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• | Returns for the Fund’s respective share classes differ from the benchmark based on Fund level and individual share-class expenses. |
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| Describe the market environment. |
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• | Over the course of 2010, cyclical stimulus beat out structural problems and stocks continued the choppy advance they began in 2009. The early months of 2010 saw risk assets move higher on the continuation of the 2009 asset recovery story, aided by preliminary signs of improvement in the employment situation and strong corporate earnings reported for fourth quarter 2009 and first quarter 2010. The middle months of 2010 saw a double-digit percentage correction on the back of the Greek sovereign debt crisis and a stalling in jobs growth, leading to fears of a double-dip recession. Investors were also unnerved by the May “flash crash” and the uncertainty surrounding the financial reform bill in the United States. Nevertheless, after touching a late summer low, equity markets experienced a strong finish to the year as double-dip fears receded, jobs growth resumed and the US midterm election results were perceived to be capital markets friendly. Additionally, in the United States, Federal Reserve Chairman Ben Bernanke delivered his famous Jackson Hole speech, leading to a second round of quantitative easing measures (informally known as “QE2”) and, perhaps most importantly, the Bush-era tax cuts were extended. |
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• | In 2010, US stocks posted double-digit percentage gains for the second consecutive year. The Dow Jones Industrial Average gained 14.06%, a level not seen since before the collapse of Lehman Brothers in late 2008. The S&P 500 Index advanced 15.06%, while the NASDAQ Composite Index moved up 18.02%. Small cap stocks experienced even stronger gains for the year as investors began to move into higher risk assets. For the annual period, the Russell 2000 Index climbed 26.85%. |
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• | Within the benchmark, Russell 2000 Index, all sectors posted double-digit positive returns for the period. Information technology (+33.98%), materials (+33.65%), and energy (+33.28%) emerged as the best performing sectors over the period, while telecommunication services (+12.20%), utilities (+15.16%) and health care (+17.10%) experienced less positive returns. |
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| Describe recent portfolio activity. |
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• | During the 12-month period, as changes were made to the composition of the Russell 2000 Index, the Series purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark. |
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| Describe portfolio positioning at period end. |
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• | The Series remains positioned to match the risk characteristics of its benchmark, irrespective of the market’s future direction. |
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| The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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Derivative Financial Instruments |
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The Series may invest in various derivative instruments, including financial futures contracts, as specified in Note 2 of the Series’ Notes to Financial Statements, which may constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or equity risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset or illiquidity of the derivative instrument. The Series’ ability to successfully use a derivative instrument depends on the investment advisor’s ability to accurately predict pertinent market movements, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio securities at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment, may result in lower dividends paid to shareholders or may cause the Series to hold a security that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Series’ Notes to Financial Statements. |
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4 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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Total Return Based on a $10,000 Investment |
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| 1 | Assuming transaction costs and other operating expenses, including investment advisory fees and administration fees, if any. |
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| 2 | The Fund invests all of its assets in Master Small Cap Index Series (the “Series”) of Quantitative Master Series LLC. The Series may invest in a statistically selected sample of the stocks included in the Russell 2000 Index and other types of financial instruments. |
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| 3 | This unmanaged index is comprised of approximately 2,000 smaller-capitalization common stocks from various industrial sectors. |
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Performance Summary for the Period Ended December 31, 2010 |
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| | 6-Month
Total Returns | | Average Annual Total Returns4 | |
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| �� | | 1 Year | | 5 Years | | 10 Years | |
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Institutional | | 29.30 | % | | 26.77 | % | | 4.08 | % | | 5.87 | % | |
Investor A | | 29.15 | | | 26.35 | | | 3.80 | | | 5.59 | | |
Russell 2000 Index | | 29.38 | | | 26.85 | | | 4.47 | | | 6.33 | | |
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| 4 | Average annual total returns reflect reductions for service fees. See “About Fund Performance” on page 6 for a detailed description of share classes, including any related fees. Past performance is not indicative of future results. |
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| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 5 |
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About Fund Performance |
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• | Institutional Shares are not subject to any sales charge. Institutional Shares bear no ongoing distribution or service fees and are available only to eligible investors. |
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• | Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. Investor A Shares are subject to an ongoing service fee of 0.25% per year. |
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| Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance tables on page 5 assume reinvestment of all dividends and capital gain distributions, if any, at net asset value on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Dividends paid to each class of shares will vary because of the different levels of service and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders. |
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Disclosure of Expenses |
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Shareholders of this Fund may incur the following charges: (a) expenses related to transactions, redemption fees and exchange fees; and (b) operating expenses including administration fees, service fees including 12b-1 fees and other Fund expenses. The expense example shown below (which is based on a hypothetical investment of $1,000 invested on July 1, 2010 and held through December 31, 2010) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds. |
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The table provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.” |
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The table also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in this Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds’ shareholder reports. |
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The expenses shown in the table are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher. |
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Expense Example |
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| | Actual | | Hypothetical2 | | | |
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| | Beginning
Account Value
July 1, 2010 | | Ending
Account Value
December 31, 2010 | | Expenses Paid
During the Period1 | | Beginning
Account Value
July 1, 2010 | | Ending
Account Value
December 31, 2010 | | Expenses Paid
During the Period1 | | Annualized
Expense Ratio | |
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Institutional | | | $1,000.00 | | | $1,293.00 | | | $3.01 | | | $1,000.00 | | | $1,022.58 | | | $2.65 | | | 0.52% | |
Investor A | | | $1,000.00 | | | $1,291.50 | | | $4.45 | | | $1,000.00 | | | $1,021.32 | | | $3.92 | | | 0.77% | |
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| 1 | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Because the Fund is a feeder fund, the expense table example reflects the expenses of both the Fund and the Series in which it invests. |
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| 2 | Hypothetical 5% return before expenses is calculated by pro rating the number of days in the most recent fiscal half year divided by 365. |
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6 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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Statement of Assets and Liabilities | BlackRock Small Cap Index Fund |
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December 31, 2010 | | | | |
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Assets | | | | |
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Investments at value — Master Small Cap Index Series (the “Series”) (cost — $92,884,001) | | $ | 118,702,858 | |
Capital shares sold receivable | | | 202,152 | |
Withdrawals receivable from the Series | | | 38,528 | |
Receivable from administrator | | | 2,315 | |
Prepaid expenses | | | 17,362 | |
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Total assets | | | 118,963,215 | |
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Liabilities | | | | |
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Capital shares redeemed payable | | | 240,678 | |
Service fees payable | | | 10,010 | |
Other affiliates payable | | | 429 | |
Officer’s fees payable | | | 24 | |
Other accrued expenses payable | | | 16,653 | |
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Total liabilities | | | 267,794 | |
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Net Assets | | $ | 118,695,421 | |
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Net Assets Consist of | | | | |
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Paid-in capital | | $ | 117,904,367 | |
Undistributed net investment income | | | 30,409 | |
Accumulated net realized loss allocated from the Series | | | (25,058,212 | ) |
Net unrealized appreciation/depreciation allocated from the Series | | | 25,818,857 | |
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Net Assets | | $ | 118,695,421 | |
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Net Asset Value | | | | |
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Institutional — Based on net assets of $71,443,369 and 5,852,886 shares outstanding, 125 million shares authorized, $0.0001 par value | | $ | 12.21 | |
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Investor A — Based on net assets of $47,252,052 and 3,870,961 shares outstanding, 125 million shares authorized, $0.0001 par value | | $ | 12.21 | |
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See Notes to Financial Statements. | | |
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BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 7 |
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Statement of Operations | BlackRock Small Cap Index Fund |
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Year Ended December 31, 2010 | | | | |
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Investment Income | | | | |
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Net investment income allocated from the Series: | | | | |
Dividends — unaffiliated | | $ | 1,275,407 | |
Foreign taxes withheld | | | (1,272 | ) |
Securities lending — affiliated | | | 54,422 | |
Dividends — affiliated | | | 10,545 | |
Expenses | | | (79,692 | ) |
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Total income | | | 1,259,410 | |
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Expenses | | | | |
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Administration | | | 295,653 | |
Service — Investor A | | | 102,428 | |
Transfer agent — Institutional | | | 34,374 | |
Transfer agent — Investor A | | | 28,315 | |
Printing | | | 73,534 | |
Registration | | | 32,332 | |
Professional | | | 17,741 | |
Officer | | | 48 | |
Miscellaneous | | | 8,671 | |
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Total expenses | | | 593,096 | |
Less fees waived by administrator | | | (25,223 | ) |
Less transfer agent fees waived and/or reimbursed — class specific | | | (9,717 | ) |
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Total expenses after fees waived and/or reimbursed | | | 558,156 | |
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Net investment income | | | 701,254 | |
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Realized and Unrealized Gain Allocated from the Series | | | | |
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Net realized gain from investments and financial futures contracts | | | 1,597,176 | |
Net change in unrealized appreciation/depreciation on investments and financial futures contracts | | | 22,605,830 | |
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Total realized and unrealized gain | | | 24,203,006 | |
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Net Increase in Net Assets Resulting from Operations | | $ | 24,904,260 | |
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See Notes to Financial Statements. | |
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8 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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Statements of Changes in Net Assets | BlackRock Small Cap Index Fund |
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| | Year Ended
December 31, | |
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Increase (Decrease) in Net Assets: | | 2010 | | 2009 | |
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Operations | | | | | | | |
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Net investment income | | $ | 701,254 | | $ | 587,044 | |
Net realized gain (loss) | | | 1,597,176 | | | (8,274,246 | ) |
Net change in unrealized appreciation/depreciation | | | 22,605,830 | | | 27,253,654 | |
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Net increase in net assets resulting from operations | | | 24,904,260 | | | 19,566,452 | |
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Dividends to Shareholders From | | | | | | | |
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Net investment income: | | | | | | | |
Institutional | | | (491,823 | ) | | (376,750 | ) |
Investor A | | | (221,254 | ) | | (174,904 | ) |
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Decrease in net assets resulting from dividends to shareholders | | | (713,077 | ) | | (551,654 | ) |
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Capital Share Transactions | | | | | | | |
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Net increase (decrease) in net assets derived from capital share transactions | | | 418,291 | | | (1,003,872 | ) |
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Redemption Fee | | | | | | | |
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Redemption fee | | | 2,525 | | | 864 | |
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Net Assets | | | | | | | |
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Total increase in net assets | | | 24,611,999 | | | 18,011,790 | |
Beginning of year | | | 94,083,422 | | | 76,071,632 | |
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End of year | | $ | 118,695,421 | | $ | 94,083,422 | |
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Undistributed net investment income | | $ | 30,409 | | $ | 41,874 | |
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See Notes to Financial Statements. | | |
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BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 9 |
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Financial Highlights | BlackRock Small Cap Index Fund |
| | | | | | | | �� | | | | | | | | | | | | | | | | | | | | | | | |
| | Institutional | | Investor A | |
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| | Year Ended December 31, | | Year Ended December 31, | |
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| | 2010 | | 2009 | | 2008 | | 2007 | | 2006 | | 2010 | | 2009 | | 2008 | | 2007 | | 2006 | |
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Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Net asset value, beginning of year | | $ | 9.70 | | $ | 7.71 | | $ | 13.79 | | $ | 15.48 | | $ | 14.36 | | $ | 9.71 | | $ | 7.72 | | $ | 13.79 | | $ | 15.47 | | $ | 14.36 | |
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Net investment income1 | | | 0.08 | | | 0.07 | | | 0.14 | | | 0.20 | | | 0.17 | | | 0.06 | | | 0.05 | | | 0.11 | | | 0.15 | | | 0.13 | |
Net realized and unrealized gain (loss)2 | | | 2.51 | | | 1.98 | | | (4.86 | ) | | (0.50 | ) | | 2.34 | | | 2.50 | | | 1.98 | | | (4.85 | ) | | (0.48 | ) | | 2.33 | |
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Net increase (decrease) from investment operations | | | 2.59 | | | 2.05 | | | (4.72 | ) | | (0.30 | ) | | 2.51 | | | 2.56 | | | 2.03 | | | (4.74 | ) | | (0.33 | ) | | 2.46 | |
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Dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.08 | ) | | (0.06 | ) | | (0.15 | ) | | (0.20 | ) | | (0.17 | ) | | (0.06 | ) | | (0.04 | ) | | (0.12 | ) | | (0.16 | ) | | (0.13 | ) |
Net realized gain | | | — | | | — | | | (1.09 | ) | | (1.19 | ) | | (1.22 | ) | | — | | | — | | | (1.09 | ) | | (1.19 | ) | | (1.22 | ) |
Tax return of capital | | | — | | | — | | | (0.12 | ) | | — | | | — | | | — | | | — | | | (0.12 | ) | | — | | | — | |
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Total dividends and distributions | | | (0.08 | ) | | (0.06 | ) | | (1.36 | ) | | (1.39 | ) | | (1.39 | ) | | (0.06 | ) | | (0.04 | ) | | (1.33 | ) | | (1.35 | ) | | (1.35 | ) |
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Net asset value, end of year | | $ | 12.21 | | $ | 9.70 | | $ | 7.71 | | $ | 13.79 | | $ | 15.48 | | $ | 12.21 | | $ | 9.71 | | $ | 7.72 | | $ | 13.79 | | $ | 15.47 | |
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Total Investment Return3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Based on net asset value | | | 26.77 | % | | 26.67 | % | | (34.01 | )% | | (1.91 | )% | | 17.49 | % | | 26.35 | % | | 26.36 | % | | (34.19 | )% | | (2.12 | )% | | 17.14 | % |
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Ratios to Average Net Assets4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Total expenses | | | 0.57 | % | | 0.56 | % | | 0.53 | % | | 0.48 | % | | 0.49 | % | | 0.80 | % | | 0.82 | % | | 0.80 | % | | 0.73 | % | | 0.74 | % |
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Total expenses after fees waived and/or reimbursed | | | 0.52 | % | | 0.56 | % | | 0.52 | % | | 0.48 | % | | 0.49 | % | | 0.78 | % | | 0.82 | % | | 0.79 | % | | 0.73 | % | | 0.74 | % |
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Net investment income | | | 0.80 | % | | 0.85 | % | | 1.19 | % | | 1.23 | % | | 1.10 | % | | 0.53 | % | | 0.59 | % | | 0.91 | % | | 0.98 | % | | 0.84 | % |
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Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Net assets, end of year (000) | | $ | 71,443 | | $ | 55,744 | | $ | 46,285 | | $ | 66,085 | | $ | 79,032 | | $ | 47,252 | | $ | 38,340 | | $ | 29,787 | | $ | 47,605 | | $ | 54,083 | |
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Portfolio turnover of the Series | | | 42 | % | | 43 | % | | 42 | % | | 26 | % | | 40 | % | | 42 | % | | 43 | % | | 42 | % | | 26 | % | | 40 | % |
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| 1 | Based on average shares outstanding. |
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| 2 | Includes a redemption fee, which is less than $0.01 per share. |
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| 3 | Where applicable, total investment returns include the reinvestment of dividends and distributions. |
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| 4 | Includes the Fund’s share of the Series’ allocated expenses and/or net investment income. |
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See Notes to Financial Statements. | |
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10 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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Notes to Financial Statements | BlackRock Small Cap Index Fund |
1. Organization and Significant Accounting Policies:
BlackRock Small Cap Index Fund (the “Fund”), a series of BlackRock Index Funds, Inc. (“the Corporation”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, open-end management investment company. The Corporation is organized as a Maryland corporation. The Fund seeks to achieve its investment objective by investing all of its assets in Master Small Cap Index Series (the “Series”), a series of Quantitative Master Series LLC (the “Master LLC”), which has the same investment objective and strategies as the Fund. The value of the Fund’s investment in the Series reflects the Fund’s proportionate interest in the net assets of the Series. The performance of the Fund is directly affected by the performance of the Series. The percentage of the Series owned by the Fund at December 31, 2010 was 35%. The Fund’s financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund offers two classes of shares. Institutional Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold without a front-end sales charge. Both classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Investor A shares bear certain expenses related to the shareholder servicing of such shares.
The following is a summary of significant accounting policies followed by the Fund:
Valuation: The Fund’s policy is to fair value its financial instruments at market value. The Fund records its investment in the Series at fair value based on the Fund’s proportionate interest in the net assets of the Series. Valuation of securities held by the Series, including categorization of fair value measurements, is discussed in Note 1 of the Series’ Notes to Financial Statements, which are included elsewhere in this report.
Investment Transactions and Investment Income: For financial reporting purposes, contributions to and withdrawals from the Series are accounted for on a trade basis. The Fund records daily its proportionate share of the Series’ income, expenses and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses. Income and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Dividends and Distributions: Dividends and distributions paid by the Fund are recorded on the ex-dividend dates. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.
Income Taxes: It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.
The Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s US federal tax returns remains open for each of the four years ended December 31, 2010. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Fund or its classes are charged to the Fund or class. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. Other expenses of the Fund are allocated daily to each class based on its relative net assets. The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which if applicable are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Administration Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Fund for 1940 Act purposes, but BAC and Barclays are not.
The Corporation, on behalf of the Fund, entered into an Administration Agreement with BlackRock Advisors, LLC (the “Administrator”), an indirect, wholly owned subsidiary of BlackRock, to provide administrative services (other than investment advice and related portfolio activities). For such services, the Fund pays the Administrator a monthly fee at an annual rate of 0.29% of the average daily value of the Fund’s net assets. The Fund does not pay an investment advisory fee or an investment management fee.
The Administrator voluntarily agreed to waive and/or reimburse fees or expenses in order to limit total annual Fund operating expenses (excluding dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses) as a percentage of average daily net assets to 0.60% for Institutional Shares and 0.85% for Investor A Shares through November 30, 2010. Effective December 1, 2010 this voluntary fee arrangement was discontinued and the Administrator contractually agreed to waive and/or reimburse fees or expenses to limit annual Fund operating expenses (excluding dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses) as a percentage of average daily net assets to 0.30% for Institutional Shares and 0.55% for Investor A Shares, until May 1, 2012.The Administrator has agreed not to reduce or discontinue this contractual waiver or reimbursement unless
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BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 11 |
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Notes to Financial Statements (continued) | BlackRock Small Cap Index Fund |
approved by the Board of Directors, including a majority of the non-interested directors. As a result of these agreements, the Administrator waived and/or reimbursed the following amounts, which are shown as transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations:
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Institutional | | $ | 4,830 | |
Investor A | | $ | 4,887 | |
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In addition, the Administrator waived $25,223, which is shown as fees waived by administrator in the Statement of Operations.
The Corporation, on behalf of the Fund, entered into a Distribution Agreement and Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of BlackRock. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at the annual rate of 0.25% based upon the average daily net assets attributable to Investor A Shares.
Pursuant to sub-agreements with BRIL, broker-dealers and BRIL provide shareholder servicing to the Fund. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing to Investor A shareholders.
BNY Mellon Investment Servicing (US) Inc. (formerly PNC Global Investment Servicing (U.S.) Inc. (“PNCGIS”)) serves as transfer agent and dividend disbursing agent. On July 1, 2010, the Bank of New York Mellon Corporation purchased PNCGIS, which prior to this date was an indirect, wholly owned subsidiary of PNC and an affiliate of the Administrator. Transfer agency fees borne by the Fund are comprised of those fees charged for all shareholder communications including mailing of shareholder reports, dividend and distribution notices, and proxy materials for shareholder meetings, as well as per account and per transaction fees related to servicing and maintenance of shareholder accounts, including the issuing, redeeming and transferring of shares, check writing, anti-money laundering services, and customer identification services.
Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, record-keeping, sub-transfer agency and other administrative services with respect to sub-accounts they service. For these services, these entities receive an annual fee which will vary depending on share class and/or net assets. Prior to July 1, 2010, PNCGIS was an affiliate and transfer agency fees earned for the period from January 1, 2010 to June 30, 2010, which are included as a component of transfer agent in the Statement of Operations, were as follows:
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Institutional | | $ | 900 | |
Investor A | | $ | 2,454 | |
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The Administrator maintains a call center, which is responsible for providing certain shareholder services to the Fund, such as responding to shareholder inquiries and processing transactions based upon instructions from shareholders with respect to the subscription and redemption of Fund shares. For the year ended December 31, 2010, the Fund reimbursed the Administrator the following amounts for costs incurred in running the call center, which are included in transfer agent in the Statement of Operations:
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Institutional | | $ | 284 | |
Investor A | | $ | 783 | |
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Certain officers and/or directors of the Corporation are officers and/or directors of BlackRock or its affiliates. The Fund reimburses the Administrator for compensation paid to the Corporation’s Chief Compliance Officer.
3. Income Tax Information:
Reclassifications: US GAAP require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of December 31, 2010 attributable to the sale of stock of passive foreign investment companies were reclassified to the following accounts:
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Undistributed net investment income | | $ | 358 | |
Accumulated net realized loss allocated from Series | | $ | (358 | ) |
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The tax character of distributions paid during the fiscal years ended December 31, 2010 and 2009 was as follows:
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| | 12/31/10 | | 12/31/09 | |
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Distributions paid from: | | | | | | | |
Ordinary income | | $ | 713,077 | | $ | 551,654 | |
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Total distributions | | $ | 713,077 | | $ | 551,654 | |
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As of December 31, 2010, the tax components of undistributed net earnings were as follows:
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Undistributed ordinary income | | $ | 60,074 | |
Capital loss carryforwards | | | (23,091,658 | ) |
Net unrealized gains* | | | 23,822,638 | |
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Total | | $ | 791,054 | |
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| * | The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the treatment of certain security lending transactions, the realization for tax purposes of unrealized gains /losses on certain futures contracts and other temporary differences. |
As of December 31, 2010, the Fund had a capital loss carryforward in the amount of $23,091,658 available to offset future realized gains, which expires December 31, 2017.
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12 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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Notes to Financial Statements (concluded) | BlackRock Small Cap Index Fund |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Fund after December 31, 2010 will not be subject to expiration. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment.
4. Capital Share Transactions:
Transactions in capital shares for each class were as follows:
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| | Year Ended
December 31, 2010 | | Year Ended
December 31, 2009 | |
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| | Shares | | Amount | | Shares | | Amount | |
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Institutional | | | | | | | | | | | | | |
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Shares sold | | | 2,098,681 | | $ | 22,240,658 | | | 2,468,390 | | $ | 19,948,606 | |
Shares issued to shareholders in reinvestment of dividends | | | 39,323 | | | 469,746 | | | 37,621 | | | 356,525 | |
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Total issued | | | 2,138,004 | | | 22,710,404 | | | 2,506,011 | | | 20,305,131 | |
Shares redeemed | | | (2,028,999 | ) | | (21,560,365 | ) | | (2,765,597 | ) | | (22,094,097 | ) |
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Net increase (decrease) | | | 109,005 | | $ | 1,150,039 | | | (259,586 | ) | $ | (1,788,966 | ) |
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Investor A | | | | | | | | | | | | | |
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Shares sold | | | 747,472 | | $ | 7,965,898 | | | 913,818 | | $ | 7,405,033 | |
Shares issued to shareholders in reinvestment of dividends | | | 16,979 | | | 201,821 | | | 16,832 | | | 159,562 | |
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Total issued | | | 764,451 | | | 8,167,719 | | | 930,650 | | | 7,564,595 | |
Shares redeemed | | | (842,665 | ) | | (8,899,467 | ) | | (842,085 | ) | | (6,779,501 | ) |
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Net increase (decrease) | | | (78,214 | ) | $ | (731,748 | ) | | 88,565 | | $ | 785,094 | |
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There is a 2% redemption fee on shares redeemed or exchanged that have been held for 30 days or less. The redemption fees are collected and retained by the Fund for the benefit of the remaining shareholders. The redemption fees are recorded as a credit to paid-in capital.
5. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 13 |
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Report of Independent Registered Public Accounting Firm | BlackRock Small Cap Index Fund |
To the Shareholders and Board of Directors of BlackRock Index Funds, Inc.:
We have audited the accompanying statement of assets and liabilities of BlackRock Small Cap Index Fund, one of the series constituting BlackRock Index Funds, Inc., (the “Fund”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 28, 2011
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Important Tax Information (Unaudited) |
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The entire amount of the ordinary income distribution paid by BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. during the fiscal year ended December 31, 2010 qualifies for the dividend received deduction for corporations and consists entirely of qualified dividend income for individuals.
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14 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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Portfolio Information | Master Small Cap Index Series |
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As of December 31, 2010 | |
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Ten Largest Holdings | | Percent of
Long-Term Investments | |
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Riverbed Technology, Inc. | | 0.4 | % |
VeriFone Systems, Inc. | | 0.3 | |
TIBCO Software, Inc. | | 0.3 | |
Brigham Exploration Co. | | 0.3 | |
Nordson Corp. | | 0.3 | |
Deckers Outdoor Corp. | | 0.3 | |
Rackspace Hosting, Inc. | | 0.3 | |
Sotheby’s Holdings, Inc., Class A | | 0.3 | |
Baldor Electric Co. | | 0.2 | |
Hecla Mining Co. | | 0.2 | |
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Sector Allocations | | Percent of
Long-Term Investments | |
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Financial Services | | 21 | % |
Technology | | 17 | |
Consumer Discretionary | | 15 | |
Producer Durables | | 14 | |
Health Care | | 12 | |
Materials & Processing | | 8 | |
Energy | | 6 | |
Utilities | | 4 | |
Consumer Staples | | 3 | |
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| For Series compliance purposes, the Series’ sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease. |
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BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 15 |
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Schedule of Investments December 31, 2010 | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
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Common Stocks | | Shares | | Value | |
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Advertising Agencies — 0.7% | | | | | | | |
Arbitron, Inc. | | | 7,513 | | $ | 311,940 | |
Constant Contact, Inc. (a)(b) | | | 8,097 | | | 250,926 | |
DG FastChannel, Inc. (a) | | | 7,091 | | | 204,788 | |
Dex One Corp. (a) | | | 14,899 | | | 111,146 | |
Harte-Hanks, Inc. | | | 10,630 | | | 135,745 | |
Marchex, Inc., Class B | | | 5,365 | | | 51,182 | |
National CineMedia, Inc. | | | 14,960 | | | 297,853 | |
QuinStreet, Inc. (a) | | | 3,194 | | | 61,357 | |
SuperMedia, Inc. (a) | | | 3,269 | | | 28,473 | |
Travelzoo, Inc. (a) | | | 1,535 | | | 63,273 | |
Valassis Communications, Inc. (a) | | | 13,914 | | | 450,118 | |
ValueClick, Inc. (a) | | | 23,023 | | | 369,059 | |
Viad Corp. | | | 5,643 | | | 143,727 | |
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| | | | | | 2,479,587 | |
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Aerospace — 1.4% | | | | | | | |
AAR Corp. (a) | | | 11,002 | | | 302,225 | |
AeroVironment, Inc. (a) | | | 4,483 | | | 120,279 | |
Applied Energetics, Inc. (a) | | | 19,880 | | | 16,916 | |
Astronics Corp. (a) | | | 2,803 | | | 58,863 | |
Ceradyne, Inc. (a) | | | 7,101 | | | 223,895 | |
Cubic Corp. | | | 4,314 | | | 203,405 | |
Curtiss-Wright Corp. | | | 12,650 | | | 419,980 | |
Ducommun, Inc. | | | 2,779 | | | 60,527 | |
Esterline Technologies Corp. (a) | | | 8,237 | | | 564,976 | |
GenCorp, Inc. (a) | | | 17,241 | | | 89,136 | |
Heico Corp. | | | 8,126 | | | 414,670 | |
Herley Industries, Inc. (a) | | | 3,601 | | | 62,369 | |
Kaman Corp., Class A | | | 7,307 | | | 212,414 | |
Kratos Defense & Security Solutions, Inc. (a) | | | 5,735 | | | 75,530 | |
LMI Aerospace, Inc. (a) | | | 2,864 | | | 45,795 | |
Ladish Co., Inc. (a) | | | 4,397 | | | 213,738 | |
Moog, Inc., Class A (a) | | | 12,575 | | | 500,485 | |
Orbital Sciences Corp. (a) | | | 16,177 | | | 277,112 | |
Teledyne Technologies, Inc. (a) | | | 9,978 | | | 438,733 | |
Triumph Group, Inc. | | | 4,544 | | | 406,279 | |
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| | | | | | 4,707,327 | |
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Agriculture, Fishing & Ranching — 0.4% | | | | | | | |
The Andersons, Inc. | | | 5,228 | | | 190,038 | |
Cadiz, Inc. (a) | | | 4,456 | | | 55,433 | |
Cal-Maine Foods, Inc. | | | 3,927 | | | 124,015 | |
Calavo Growers, Inc. | | | 3,311 | | | 76,318 | |
Fresh Del Monte Produce, Inc. | | | 10,928 | | | 272,654 | |
Limoneira Co. | | | 2,283 | | | 65,522 | |
Pilgrims Pride Corp. (a) | | | 14,134 | | | 100,210 | |
Sanderson Farms, Inc. | | | 6,201 | | | 242,769 | |
Seaboard Corp. | | | 91 | | | 181,181 | |
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| | | | | | 1,308,140 | |
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Air Transport — 1.0% | | | | | | | |
Air Transport Services Group, Inc. (a) | | | 15,195 | | | 120,040 | |
AirTran Holdings, Inc. (a) | | | 38,092 | | | 281,500 | |
Alaska Air Group, Inc. (a) | | | 9,872 | | | 559,644 | |
Allegiant Travel Co. | | | 4,241 | | | 208,827 | |
Atlas Air Worldwide Holdings, Inc. (a) | | | 7,189 | | | 401,362 | |
Bristow Group, Inc. (a) | | | 10,014 | | | 474,163 | |
Hawaiian Holdings, Inc. (a) | | | 14,090 | | | 110,465 | |
JetBlue Airways Corp. (a) | | | 68,311 | | | 451,536 | |
PHI, Inc. (a) | | | 4,094 | | | 77,131 | |
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Common Stocks | | Shares | | Value | |
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Air Transport (concluded) | | | | | | | |
Pinnacle Airlines Corp. (a) | | | 5,107 | | $ | 40,345 | |
Republic Airways Holdings, Inc. (a) | | | 11,165 | | | 81,728 | |
SkyWest, Inc. | | | 15,379 | | | 240,220 | |
US Airways Group, Inc. (a)(b) | | | 44,916 | | | 449,609 | |
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| | | | | | 3,496,570 | |
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Alternative Energy — 0.2% | | | | | | | |
Ameresco Inc. (a) | | | 2,197 | | | 31,549 | |
Comverge, Inc. (a) | | | 7,712 | | | 53,290 | |
EnerNOC, Inc. (a)(b) | | | 5,401 | | | 129,138 | |
Green Plains Renewable Energy (a) | | | 5,005 | | | 56,356 | |
Rex American Resources Corp. (a) | | | 1,997 | | | 30,674 | |
Syntroleum Corp. (a) | | | 19,188 | | | 35,498 | |
USEC, Inc. (a) | | | 32,263 | | | 194,223 | |
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| | | | | | 530,728 | |
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Aluminum — 0.2% | | | | | | | |
Century Aluminum Co. (a) | | | 17,538 | | | 272,365 | |
Kaiser Aluminum Corp. | | | 4,291 | | | 214,936 | |
Noranda Aluminum Holding Corp. (a) | | | 3,773 | | | 55,086 | |
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| | | | | | 542,387 | |
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Asset Management & Custodian — 0.9% | | | | | | | |
American Capital Ltd. (a) | | | 94,558 | | | 714,859 | |
Apollo Investment Corp. | | | 54,856 | | | 607,256 | |
Arlington Asset Investment Corp. | | | 1,873 | | | 44,933 | |
Artio Global Investors, Inc. | | | 7,719 | | | 113,855 | |
Calamos Asset Management, Inc., Class A | | | 5,728 | | | 80,192 | |
Capital Southwest Corp. | | | 756 | | | 78,473 | |
Cohen & Steers, Inc. | | | 5,021 | | | 131,048 | |
Cowen Group, Inc., Class A (a) | | | 11,601 | | | 54,061 | |
Diamond Hill Investments Group | | | 641 | | | 46,370 | |
Epoch Holding Corp. | | | 3,651 | | | 56,700 | |
Fifth Street Finance Corp. | | | 15,310 | | | 185,863 | |
Financial Engines, Inc. (a) | | | 3,875 | | | 76,841 | |
GAMCO Investors, Inc., Class A | | | 2,015 | | | 96,740 | |
Golub Capital BDC, Inc. | | | 1,924 | | | 32,939 | |
Harris & Harris Group, Inc. (a) | | | 8,451 | | | 37,015 | |
JMP Group, Inc. | | | 3,753 | | | 28,635 | |
MCG Capital Corp. | | | 21,011 | | | 146,447 | |
MVC Capital, Inc. | | | 7,075 | | | 103,295 | |
NGP Capital Resources Co. | | | 6,745 | | | 62,054 | |
National Financial Partners Corp. (a) | | | 12,254 | | | 164,204 | |
Oppenheimer Holdings, Inc. | | | 3,115 | | | 81,644 | |
THL Credit, Inc. | | | 3,221 | | | 41,905 | |
TICC Capital Corp. | | | 8,093 | | | 90,723 | |
Virtus Investment Partners, Inc. (a) | | | 1,484 | | | 67,329 | |
Westwood Holdings Group, Inc. | | | 1,777 | | | 71,009 | |
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| | | | | | 3,214,390 | |
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Auto Parts — 0.9% | | | | | | | |
American Axle & Manufacturing Holdings, Inc. (a) | | | 16,725 | | | 215,084 | |
Amerigon, Inc. (a) | | | 6,524 | | | 70,981 | |
ArvinMeritor, Inc. (a) | | | 26,179 | | | 537,193 | |
Dana Holding Corp. (a) | | | 39,026 | | | 671,638 | |
Dorman Products, Inc. (a) | | | 3,071 | | | 111,293 | |
Exide Technologies (a) | | | 20,978 | | | 197,403 | |
Fuel Systems Solutions, Inc. (a) | | | 4,164 | | | 122,338 | |
Standard Motor Products, Inc. | | | 5,702 | | | 78,117 | |
See Notes to Financial Statements.
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16 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
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Common Stocks | | Shares | | Value | |
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Auto Parts (concluded) | | | | | | | |
Stoneridge, Inc. (a) | | | 4,113 | | $ | 64,944 | |
Superior Industries International, Inc. | | | 6,596 | | | 139,967 | |
Tenneco, Inc. (a) | | | 16,623 | | | 684,203 | |
U.S. Auto Parts Network, Inc. (a) | | | 4,614 | | | 38,758 | |
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| | | | | | 2,931,919 | |
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Auto Services — 0.1% | | | | | | | |
Cooper Tire & Rubber Co. | | | 17,075 | | | 402,629 | |
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Back Office Support, HR & Consulting — 1.4% | | | | | | | |
APAC Customer Services, Inc. (a) | | | 9,849 | | | 59,783 | |
Administaff, Inc. | | | 6,161 | | | 180,517 | |
The Advisory Board Co. (a) | | | 4,373 | | | 208,286 | |
Barrett Business Services, Inc. | | | 2,009 | | | 31,240 | |
CBIZ, Inc. (a) | | | 12,599 | | | 78,618 | |
CDI Corp. | | | 3,841 | | | 71,404 | |
CRA International, Inc. (a) | | | 3,524 | | | 82,849 | |
Compass Diversified Holdings | | | 8,945 | | | 158,237 | |
Corporate Executive Board Co. | | | 9,581 | | | 359,767 | |
CoStar Group, Inc. (a) | | | 5,837 | | | 335,978 | |
Dice Holdings, Inc. (a) | | | 4,311 | | | 61,863 | |
ExlService Holdings, Inc. (a) | | | 4,519 | | | 97,068 | |
Forrester Research, Inc. | | | 3,965 | | | 139,925 | |
GP Strategies Corp. (a) | | | 4,255 | | | 43,571 | |
Heidrick & Struggles International, Inc. | | | 5,160 | | | 147,834 | |
Hudson Highland Group, Inc. (a) | | | 8,669 | | | 50,540 | |
Huron Consulting Group, Inc. (a) | | | 6,044 | | | 159,864 | |
ICF International, Inc. (a) | | | 4,738 | | | 121,861 | |
Kelly Services, Inc., Class A (a) | | | 7,463 | | | 140,304 | |
Kforce, Inc. (a) | | | 8,450 | | | 136,721 | |
Korn/Ferry International (a) | | | 12,668 | | | 292,758 | |
LECG Corp. (a) | | | 9,818 | | | 13,549 | |
Liquidity Services, Inc. (a) | | | 4,302 | | | 60,443 | |
LoopNet, Inc. (a) | | | 5,965 | | | 66,271 | |
MAXIMUS, Inc. | | | 4,877 | | | 319,834 | |
Navigant Consulting, Inc. (a) | | | 13,829 | | | 127,227 | |
On Assignment, Inc. (a) | | | 11,218 | | | 91,427 | |
Resources Connection, Inc. | | | 13,167 | | | 244,775 | |
SFN Group, Inc. (a) | | | 14,612 | | | 142,613 | |
SYKES Enterprises, Inc. (a) | | | 11,714 | | | 237,326 | |
TeleTech Holdings, Inc. (a) | | | 8,626 | | | 177,609 | |
TrueBlue, Inc. (a) | | | 12,456 | | | 224,083 | |
Volt Information Sciences, Inc. (a) | | | 4,122 | | | 35,655 | |
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| | | | | | 4,699,800 | |
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Banks: Diversified — 5.7% | | | | | | | |
1st Source Corp. | | | 4,534 | | | 91,768 | |
1st United BanCorp., Inc. (a) | | | 5,635 | | | 38,938 | |
Alliance Financial Corp. | | | 1,273 | | | 41,182 | |
American National Bankshares, Inc. | | | 1,631 | | | 38,410 | |
Ameris Bancorp (a) | | | 7,512 | | | 79,176 | |
Ames National Corp. | | | 2,078 | | | 45,030 | |
Arrow Financial Corp. | | | 2,576 | | | 70,866 | |
Bancfirst Corp. | | | 1,916 | | | 78,920 | |
Banco Latinoamericana De Comercio Exterior SA | | | 7,907 | | | 145,963 | |
The Bancorp, Inc. (a) | | | 7,011 | | | 71,302 | |
Bancorp Rhode Island, Inc. | | | 941 | | | 27,374 | |
Bank of Marin Bancorp | | | 1,409 | | | 49,315 | |
Bank of the Ozarks, Inc. | | | 3,448 | | | 149,471 | |
Boston Private Financial Holdings, Inc. | | | 21,149 | | | 138,526 | |
Bridge Bancorp, Inc. | | | 1,661 | | | 40,944 | |
Bryn Mawr Bank Corp. | | | 2,485 | | | 43,363 | |
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Common Stocks | | Shares | | Value | |
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Banks: Diversified (continued) | | | | | | | |
CNB Financial Corp. | | | 3,286 | | $ | 48,666 | |
CVB Financial Corp. (b) | | | 25,322 | | | 219,542 | |
Camden National Corp. | | | 2,338 | | | 84,706 | |
Capital City Bank Group, Inc. (b) | | | 4,028 | | | 50,753 | |
Cardinal Financial Corp. | | | 8,760 | | | 101,879 | |
Cathay General Bancorp | | | 22,030 | | | 367,901 | |
Center Financial Corp. (a) | | | 11,411 | | | 86,495 | |
Centerstate Banks, Inc. | | | 6,720 | | | 53,222 | |
Chemical Financial Corp. | | | 6,973 | | | 154,452 | |
Citizens & Northern Corp. | | | 3,883 | | | 57,701 | |
Citizens Banking Corp. (a) | | | 119,962 | | | 73,777 | |
City Holding Co. | | | 4,426 | | | 160,354 | |
CoBiz Financial, Inc. | | | 8,417 | | | 51,175 | |
Columbia Banking System, Inc. | | | 11,079 | | | 233,324 | |
Community Bank System, Inc. | | | 9,024 | | | 250,596 | |
Community Trust Bancorp, Inc. | | | 3,810 | | | 110,338 | |
Danvers Bancorp, Inc. | | | 5,535 | | | 97,803 | |
Eagle Bancorp, Inc. (a) | | | 4,253 | | | 61,371 | |
Enterprise Financial Services Corp. | | | 5,009 | | | 52,394 | |
F.N.B. Corp. | | | 32,065 | | | 314,878 | |
Financial Institutions, Inc. | | | 3,012 | | | 57,138 | |
First Bancorp, Inc. | | | 2,554 | | | 40,328 | |
First Bancorp, North Carolina | | | 4,541 | | | 69,523 | |
First Busey Corp. (b) | | | 16,782 | | | 78,875 | |
First Commonwealth Financial Corp. | | | 29,581 | | | 209,433 | |
First Community Bancshares, Inc. | | | 4,244 | | | 63,405 | |
First Financial Bancorp | | | 16,288 | | | 301,002 | |
First Financial Bankshares, Inc. | | | 5,711 | | | 292,289 | |
First Financial Corp. | | | 3,157 | | | 110,937 | |
First Merchants Corp. | | | 6,818 | | | 60,407 | |
First Midwest Bancorp, Inc. | | | 21,086 | | | 242,911 | |
The First of Long Island Corp. | | | 1,762 | | | 50,939 | |
First South Bancorp, Inc. | | | 2,370 | | | 15,334 | |
FirstMerit Corp. | | | 29,779 | | | 589,326 | |
German American Bancorp, Inc. | | | 2,966 | | | 54,619 | |
Glacier Bancorp, Inc. | | | 20,151 | | | 304,482 | |
Greene County Bancshares, Inc. (a) | | | 2,897 | | | 9,270 | |
Hancock Holding Co. | | | 7,954 | | | 277,276 | |
Heartland Financial USA, Inc. | | | 4,147 | | | 72,407 | |
Home Bancshares, Inc. | | | 6,370 | | | 140,331 | |
Hudson Valley Holding Corp. | | | 3,941 | | | 97,569 | |
IBERIABANK Corp. | | | 7,356 | | | 434,960 | |
International Bancshares Corp. | | | 14,921 | | | 298,868 | |
Investors Bancorp, Inc. (a) | | | 13,630 | | | 178,826 | |
Lakeland Bancorp, Inc. | | | 6,402 | | | 70,230 | |
Lakeland Financial Corp. | | | 4,784 | | | 102,665 | |
MA Independent Bank Corp. | | | 5,778 | | | 156,295 | |
MB Financial, Inc. | | | 15,086 | | | 261,290 | |
MT First Interstate Bancsystem, Inc. | | | 4,065 | | | 61,951 | |
MainSource Financial Group, Inc. | | | 6,639 | | | 69,112 | |
Merchants Bancshares, Inc. | | | 1,312 | | | 36,159 | |
Meridian Interstate Bancorp, Inc. (a) | | | 2,629 | | | 30,996 | |
Metro Bancorp, Inc. (a) | | | 3,702 | | | 40,759 | |
Midsouth Bancorp, Inc. | | | 2,164 | | | 33,239 | |
NBT Bancorp, Inc. | | | 9,661 | | | 233,313 | |
Nara Bancorp, Inc. (a) | | | 10,670 | | | 104,779 | |
National Bankshares, Inc. | | | 1,803 | | | 56,776 | |
National Penn Bancshares, Inc. | | | 35,969 | | | 288,831 | |
Old National Bancorp | | | 24,002 | | | 285,384 | |
Oriental Financial Group | | | 13,280 | | | 165,867 | |
Orrstown Financial Service, Inc. | | | 1,867 | | | 51,174 | |
Pacific Continental Corp. | | | 6,216 | | | 62,533 | |
PacWest Bancorp | | | 8,404 | | | 179,678 | |
See Notes to Financial Statements.
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| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 17 |
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Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
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Common Stocks | | | Shares | | | Value | |
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Banks: Diversified (concluded) | | | | | | | |
Park National Corp. (b) | | | 3,457 | | $ | 251,220 | |
Peapack-Gladstone Financial Corp. | | | 2,357 | | | 30,759 | |
Penns Woods Bancorp, Inc. | | | 1,114 | | | 44,337 | |
Peoples Bancorp, Inc. | | | 2,840 | | | 44,446 | |
Pinnacle Financial Partners, Inc. (a) | | | 9,935 | | | 134,917 | |
PrivateBancorp, Inc. | | | 14,856 | | | 213,629 | |
Prosperity Bancshares, Inc. | | | 12,899 | | | 506,673 | |
Provident Financial Services, Inc. | | | 16,891 | | | 255,561 | |
Renasant Corp. | | | 7,002 | | | 118,404 | |
Republic Bancorp, Inc., Class A | | | 3,034 | | | 72,057 | |
Rockville Financial, Inc. | | | 2,246 | | | 27,446 | |
Roma Financial Corp. | | | 2,249 | | | 23,839 | |
S&T Bancorp, Inc. (b) | | | 6,761 | | | 152,731 | |
SCBT Financial Corp. | | | 3,549 | | | 116,230 | |
SVB Financial Group (a) | | | 11,524 | | | 611,348 | |
SY Bancorp, Inc. | | | 3,578 | | | 87,840 | |
Sandy Spring Bancorp, Inc. | | | 6,732 | | | 124,071 | |
Sierra Bancorp | | | 3,790 | | | 40,667 | |
Signature Bank (a) | | | 11,244 | | | 562,200 | |
Simmons First National Corp., Class A | | | 4,661 | | | 132,838 | |
Southside Bancshares, Inc. | | | 4,240 | | | 89,337 | |
Southwest Bancorp, Inc. (a) | | | 6,006 | | | 74,474 | |
State Bancorp, Inc. | | | 5,482 | | | 50,708 | |
StellarOne Corp. | | | 6,915 | | | 100,544 | |
Sterling Bancorp | | | 7,118 | | | 74,525 | |
Sterling Bancshares, Inc. | | | 24,928 | | | 174,995 | |
Suffolk Bancorp | | | 2,560 | | | 63,181 | |
Susquehanna Bancshares, Inc. | | | 35,570 | | | 344,318 | |
Taylor Capital Group, Inc. (a) | | | 2,613 | | | 34,361 | |
Texas Capital Bancshares, Inc. (a) | | | 10,251 | | | 218,039 | |
Tompkins Trustco, Inc. | | | 2,287 | | | 89,559 | |
Tower Bancorp, Inc. | | | 2,586 | | | 56,995 | |
Towne Bank (b) | | | 6,578 | | | 104,524 | |
Trico Bancshares | | | 3,626 | | | 58,560 | |
TrustCo Bank Corp. NY | | | 21,337 | | | 135,277 | |
Trustmark Corp. | | | 17,528 | | | 435,396 | |
UMB Financial Corp. | | | 8,668 | | | 359,029 | |
Umpqua Holdings Corp. | | | 31,483 | | | 383,463 | |
Union First Market Bankshares Corp. | | | 5,403 | | | 79,856 | |
United Bankshares, Inc. | | | 10,919 | | | 318,835 | |
United Community Banks, Inc. (a) | | | 31,060 | | | 60,567 | |
Univest Corp. of Pennsylvania | | | 4,951 | | | 94,911 | |
Virginia Commerce Bancorp (a) | | | 5,599 | | | 34,602 | |
Washington Banking Co. | | | 3,981 | | | 54,579 | |
Washington Trust Bancorp, Inc. | | | 4,328 | | | 94,697 | |
Webster Financial Corp. | | | 18,376 | | | 362,007 | |
WesBanco, Inc. | | | 6,580 | | | 124,757 | |
West Bancorp., Inc. | | | 4,227 | | | 32,928 | |
West Coast Bancorp (a) | | | 24,788 | | | 69,902 | |
Westamerica Bancorp. (b) | | | 7,958 | | | 441,430 | |
Western Alliance Bancorp (a) | | | 18,035 | | | 132,738 | |
Whitney Holding Corp. | | | 27,199 | | | 384,866 | |
Wilshire Bancorp, Inc. | | | 5,264 | | | 40,112 | |
Wintrust Financial Corp. | | | 8,503 | | | 280,854 | |
| | | | |
|
|
|
| | | | | | 19,129,500 | |
|
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| | | | | | | |
Common Stocks | | Shares | | Value | |
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Banks: Savings, Thrift & Mortgage Lending — 1.0% | | | | | | | |
Abington Bancorp, Inc. | | | 5,676 | | $ | 67,715 | |
Astoria Financial Corp. | | | 24,131 | | | 335,662 | |
Bank Mutual Corp. | | | 12,544 | | | 59,960 | |
BankFinancial Corp. | | | 5,050 | | | 49,238 | |
Beneficial Mutual Bancorp, Inc. (a) | | | 10,634 | | | 93,898 | |
Berkshire Hills Bancorp, Inc. | | | 4,256 | | | 94,058 | |
BofI Holding, Inc. (a) | | | 1,803 | | | 27,965 | |
Brookline Bancorp, Inc. | | | 15,960 | | | 173,166 | |
Dime Community Bancshares, Inc. | | | 7,846 | | | 114,473 | |
ESB Financial Corp. | | | 2,554 | | | 41,477 | |
ESSA Bancorp, Inc. | | | 4,575 | | | 60,482 | |
First Financial Holdings, Inc. | | | 5,653 | | | 65,066 | |
Flagstar BanCorp., Inc. (a) | | | 11,589 | | | 18,890 | |
Flushing Financial Corp. | | | 9,115 | | | 127,610 | |
Great Southern Bancorp, Inc. | | | 2,691 | | | 63,481 | |
Heritage Financial Corp. (a) | | | 2,621 | | | 36,484 | |
Home Bancorp, Inc. (a) | | | 2,132 | | | 29,464 | |
Home Federal Bancorp, Inc. | | | 4,516 | | | 55,411 | |
Kearny Financial Corp. | | | 3,744 | | | 32,198 | |
NewAlliance Bancshares, Inc. | | | 29,184 | | | 437,176 | |
Northfield Bancorp, Inc. | | | 5,634 | | | 75,045 | |
Northwest Bancshares, Inc. | | | 30,938 | | | 363,831 | |
OceanFirst Financial Corp. | | | 5,261 | | | 67,709 | |
Ocwen Financial Corp. (a) | | | 20,860 | | | 199,004 | |
OmniAmerican Bancorp, Inc. (a) | | | 4,232 | | | 57,344 | |
Oritani Financial Corp. | | | 15,172 | | | 185,705 | |
Provident New York Bancorp | | | 11,601 | | | 121,694 | |
Territorial BanCorp., Inc. | | | 3,203 | | | 63,772 | |
United Financial Bancorp, Inc. | | | 5,324 | | | 81,297 | |
ViewPoint Financial Group | | | 3,964 | | | 46,339 | |
WSFS Financial Corp. | | | 1,549 | | | 73,485 | |
Westfield Financial, Inc. | | | 8,079 | | | 74,731 | |
| | | | |
|
|
|
| | | | | | 3,393,830 | |
|
|
|
|
|
|
|
|
Beverage: Brewers & Distillers — 0.1% | | | | | | | |
Boston Beer Co., Inc., Class A (a) | | | 2,361 | | | 224,507 | |
|
|
|
|
|
|
|
|
Beverage: Soft Drinks — 0.1% | | | | | | | |
Coca-Cola Bottling Co. Consolidated | | | 1,262 | | | 70,142 | |
Farmer Bros. Co. | | | 2,052 | | | 36,526 | |
Heckmann Corp. (a) | | | 24,875 | | | 125,121 | |
National Beverage Corp. | | | 3,583 | | | 47,081 | |
Peet’s Coffee & Tea, Inc. (a) | | | 3,198 | | | 133,484 | |
| | | | |
|
|
|
| | | | | | 412,354 | |
|
|
|
|
|
|
|
|
Biotechnology — 3.4% | | | | | | | |
AMAG Pharmaceuticals, Inc. (a) | | | 5,804 | | | 105,052 | |
AVEO Pharmaceuticals Inc. (a) | | | 3,059 | | | 44,723 | |
AVI BioPharma, Inc. (a) | | | 29,393 | | | 62,313 | |
Accelrys, Inc. (a) | | | 15,873 | | | 131,746 | |
Acorda Therapeutics, Inc. (a) | | | 10,646 | | | 290,210 | |
Affymax, Inc. (a) | | | 5,315 | | | 35,345 | |
Albany Molecular Research, Inc. (a) | | | 5,877 | | | 33,029 | |
Allos Therapeutics, Inc. (a) | | | 23,553 | | | 108,579 | |
Alnylam Pharmaceuticals, Inc. (a) | | | 10,297 | | | 101,528 | |
Arena Pharmaceuticals, Inc. (a)(b) | | | 34,831 | | | 59,909 | |
Ariad Pharmaceuticals, Inc. (a) | | | 35,601 | | | 181,565 | |
Arqule, Inc. (a) | | | 11,067 | | | 64,963 | |
Array Biopharma, Inc. (a) | | | 17,537 | | | 52,436 | |
BioMimetic Therapeutics, Inc. (a) | | | 5,479 | | | 69,583 | |
Biosante Pharmaceuticals, Inc. (a) | | | 25,188 | | | 41,308 | |
Biotime, Inc. (a) | | | 7,035 | | | 58,602 | |
Celera Corp. (a) | | | 22,818 | | | 143,753 | |
Celldex Therapeutics, Inc. (a) | | | 8,602 | | | 35,440 | |
See Notes to Financial Statements.
| | |
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|
18 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
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|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
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Biotechnology (continued) | | | | | | | |
Cepheid, Inc. (a) | | | 16,669 | | $ | 379,220 | |
Chelsea Therapeutics International, Inc. (a) | | | 11,224 | | | 84,180 | |
Clinical Data, Inc. (a) | | | 3,426 | | | 54,508 | |
Codexis Inc. (a) | | | 3,408 | | | 36,130 | |
Cubist Pharmaceuticals, Inc. (a) | | | 15,967 | | | 341,694 | |
Curis, Inc. (a) | | | 25,136 | | | 49,769 | |
Cypress Bioscience, Inc. (a) | | | 12,458 | | | 80,728 | |
Cytokinetics, Inc. (a) | | | 12,738 | | | 26,622 | |
Cytori Therapeutics, Inc. (a) | | | 13,585 | | | 70,506 | |
CytRx Corp. (a) | | | 37,640 | | | 38,016 | |
Dyax Corp. (a) | | | 29,631 | | | 63,410 | |
Dynavax Technologies Corp. (a) | | | 26,944 | | | 86,221 | |
Emergent Biosolutions, Inc. (a) | | | 5,490 | | | 128,795 | |
Enzo Biochem, Inc. (a) | | | 9,003 | | | 47,536 | |
Enzon Pharmaceuticals, Inc. (a) | | | 13,516 | | | 164,490 | |
Exact Sciences Corp. (a) | | | 12,583 | | | 75,246 | |
Exelixis, Inc. (a) | | | 31,077 | | | 255,142 | |
Furiex Pharmaceuticals, Inc. (a) | | | 3,523 | | | 50,907 | |
Genomic Health, Inc. (a) | | | 4,274 | | | 91,421 | |
Geron Corp. (a)(b) | | | 32,882 | | | 170,000 | |
Halozyme Therapeutics, Inc. (a) | | | 21,215 | | | 168,023 | |
Idenix Pharmaceuticals, Inc. (a) | | | 10,319 | | | 52,008 | |
ImmunoGen, Inc. (a) | | | 18,480 | | | 171,125 | |
Immunomedics, Inc. (a) | | | 18,022 | | | 64,519 | |
Incyte Corp. (a) | | | 24,787 | | | 410,473 | |
Inhibitex, Inc. (a) | | | 12,947 | | | 33,662 | |
Inovio Pharmaceuticals Inc. (a) | | | 21,433 | | | 24,648 | |
InterMune, Inc. (a) | | | 13,045 | | | 474,838 | |
Kensey Nash Corp. (a) | | | 1,854 | | | 51,597 | |
Keryx Biopharmaceuticals, Inc. (a) | | | 14,942 | | | 68,434 | |
Lexicon Genetics, Inc. (a) | | | 59,551 | | | 85,753 | |
Ligand Pharmaceuticals, Inc. (a) | | | 6,858 | | | 61,173 | |
MannKind Corp. (a)(b) | | | 18,293 | | | 147,442 | |
Martek Biosciences Corp. (a) | | | 9,345 | | | 292,498 | |
Maxygen, Inc. | | | 10,364 | | | 40,731 | |
Medivation, Inc. (a) | | | 10,059 | | | 152,595 | |
Metabolix, Inc. (a) | | | 7,956 | | | 96,825 | |
Micromet, Inc. (a) | | | 24,767 | | | 201,108 | |
Momenta Pharmaceuticals, Inc. (a) | | | 12,174 | | | 182,245 | |
NPS Pharmaceuticals, Inc. (a) | | | 18,637 | | | 147,232 | |
Nabi Biopharmaceuticals (a) | | | 11,908 | | | 68,947 | |
Nektar Therapeutics (a) | | | 26,237 | | | 337,145 | |
Neuralstem, Inc. (a) | | | 15,917 | | | 33,744 | |
Neurocrine Biosciences, Inc. (a) | | | 13,998 | | | 106,945 | |
Neurogesx, Inc. (a) | | | 4,216 | | | 26,814 | |
Novavax, Inc. (a) | | | 28,284 | | | 68,730 | |
Omeros Corp. (a) | | | 6,567 | | | 54,112 | |
Onyx Pharmaceuticals, Inc. (a) | | | 17,542 | | | 646,774 | |
Opko Health, Inc. (a) | | | 26,181 | | | 96,084 | |
Orexigen Therapeutics, Inc. (a) | | | 9,144 | | | 73,884 | |
Osiris Therapeutics, Inc. (a) | | | 4,623 | | | 36,013 | |
PDL BioPharma, Inc. | | | 39,526 | | | 246,247 | |
Pacific Biosciences of California, Inc. (a) | | | 4,226 | | | 67,236 | |
Peregrine Pharmaceuticals, Inc. (a) | | | 20,894 | | | 48,056 | |
Pharmasset, Inc. (a) | | | 8,256 | | | 358,393 | |
Progenics Pharmaceuticals, Inc. (a) | | | 7,728 | | | 42,195 | |
Pure Bioscience (a) | | | 9,330 | | | 20,713 | |
RTI Biologics, Inc. (a) | | | 14,802 | | | 39,521 | |
Rigel Pharmaceuticals, Inc. (a) | | | 14,492 | | | 109,125 | |
Sangamo Biosciences, Inc. (a) | | | 12,393 | | | 82,290 | |
Savient Pharmaceuticals, Inc. (a) | | | 19,100 | | | 212,774 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
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Biotechnology (concluded) | | | | | | | |
Seattle Genetics, Inc. (a) | | | 23,588 | | $ | 352,641 | |
Sequenom, Inc. (a) | | | 25,712 | | | 206,210 | |
StemCells, Inc. (a) | | | 39,100 | | | 42,228 | |
Targacept, Inc. (a) | | | 6,499 | | | 172,224 | |
Theravance, Inc. (a) | | | 17,611 | | | 441,508 | |
Vanda Pharmaceuticals, Inc. (a) | | | 8,530 | | | 80,694 | |
ViroPharma, Inc. (a) | | | 21,748 | | | 376,675 | |
ZIOPHARM Oncology, Inc. (a) | | | 15,452 | | | 72,006 | |
Zalicus, Inc. (a) | | | 17,912 | | | 28,301 | |
| | | | |
|
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|
| | | | | | 11,389,783 | |
|
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Building Materials — 0.9% | | | | | | | |
Acuity Brands, Inc. | | | 11,956 | | | 689,503 | |
Ameron International Corp. | | | 2,573 | | | 196,500 | |
Builders FirstSource, Inc. (a) | | | 12,175 | | | 23,985 | |
Gibraltar Industries, Inc. (a) | | | 8,715 | | | 118,263 | |
Griffon Corp. (a) | | | 12,864 | | | 163,887 | |
Headwaters, Inc. (a) | | | 18,899 | | | 86,557 | |
LSI Industries, Inc. | | | 5,533 | | | 46,809 | |
Louisiana-Pacific Corp. (a) | | | 35,850 | | | 339,141 | |
NCI Building Systems, Inc. (a) | | | 6,307 | | | 88,235 | |
Quanex Building Products Corp. | | | 10,811 | | | 205,085 | |
Simpson Manufacturing Co., Inc. | | | 11,098 | | | 343,039 | |
Texas Industries, Inc. | | | 5,750 | | | 263,235 | |
Trex Co., Inc. (a) | | | 4,563 | | | 109,329 | |
Watsco, Inc. | | | 7,647 | | | 482,373 | |
| | | | |
|
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|
| | | | | | 3,155,941 | |
|
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Building: Climate Control — 0.1% | | | | | | | |
Aaon, Inc. | | | 3,611 | | | 101,867 | |
Comfort Systems USA, Inc. | | | 10,901 | | | 143,566 | |
Interline Brands, Inc. (a) | | | 9,343 | | | 212,740 | |
| | | | |
|
|
|
| | | | | | 458,173 | |
|
|
|
|
|
|
|
|
Building: Roofing, Wallboard & Plumbing — 0.1% | | | | | | | |
Beacon Roofing Supply, Inc. (a) | | | 12,821 | | | 229,111 | |
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|
|
Cable Television Services — 0.1% | | | | | | | |
Knology, Inc. (a) | | | 8,440 | | | 131,917 | |
Mediacom Communications Corp., Class A (a) | | | 11,599 | | | 98,128 | |
| | | | |
|
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|
| | | | | | 230,045 | |
|
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|
Casinos & Gambling — 0.3% | | | | | | | |
Ameristar Casinos, Inc. | | | 8,159 | | | 127,525 | |
Boyd Gaming Corp. (a) | | | 15,602 | | | 165,381 | |
Isle of Capri Casinos, Inc. (a) | | | 4,441 | | | 45,387 | |
Monarch Casino & Resort, Inc. (a) | | | 2,571 | | | 32,137 | |
Multimedia Games, Inc. (a) | | | 7,612 | | | 42,475 | |
Pinnacle Entertainment, Inc. (a) | | | 15,194 | | | 213,020 | |
Scientific Games Corp., Class A (a) | | | 17,953 | | | 178,812 | |
Shuffle Master, Inc. (a) | | | 15,457 | | | 176,983 | |
| | | | |
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| | | | | | 981,720 | |
|
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|
Chemicals: Diversified — 1.5% | | | | | | | |
Aceto Corp. | | | 8,227 | | | 74,043 | |
American Vanguard Corp. | | | 5,145 | | | 43,938 | |
Arch Chemicals, Inc. | | | 6,189 | | | 234,749 | |
Georgia Gulf Corp. (a) | | | 9,588 | | | 230,687 | |
Hawkins, Inc. | | | 2,452 | | | 108,869 | |
Innophos Holdings, Inc. | | | 6,064 | | | 218,789 | |
KMG Chemicals, Inc. | | | 1,598 | | | 26,479 | |
LSB Industries, Inc. (a) | | | 4,636 | | | 112,469 | |
Landec Corp. (a) | | | 6,860 | | | 41,023 | |
OM Group, Inc. (a) | | | 8,613 | | | 331,687 | |
Olin Corp. | | | 21,795 | | | 447,233 | |
See Notes to Financial Statements.
| | | |
|
|
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|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 19 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
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|
Chemicals: Diversified (concluded) | | | | | | | |
Omnova Solutions, Inc. (a) | | | 12,713 | | $ | 106,281 | |
PolyOne Corp. (a) | | | 25,994 | | | 324,665 | |
Rockwood Holdings, Inc. (a) | | | 14,506 | | | 567,475 | |
Sensient Technologies Corp. | | | 13,600 | | | 499,528 | |
Solutia, Inc. (a) | | | 33,774 | | | 779,504 | |
TPC Group, Inc. (a) | | | 2,307 | | | 69,948 | |
W.R. Grace & Co. (a) | | | 20,151 | | | 707,905 | |
Westlake Chemical Corp. | | | 5,382 | | | 233,955 | |
| | | | |
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| | | | | | 5,159,227 | |
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Chemicals: Specialty — 0.5% | | | | | | | |
Balchem Corp. | | | 7,734 | | | 261,487 | |
Calgon Carbon Corp. (a) | | | 15,390 | | | 232,697 | |
Kraton Performance Polymers, Inc. (a) | | | 3,215 | | | 99,504 | |
NewMarket Corp. | | | 2,831 | | | 349,260 | |
Polypore International, Inc. (a) | | | 6,115 | | | 249,064 | |
Quaker Chemical Corp. | | | 3,013 | | | 125,552 | |
Senomyx, Inc. (a) | | | 11,804 | | | 84,162 | |
Stepan Co. | | | 2,108 | | | 160,777 | |
Zep, Inc. | | | 5,992 | | | 119,121 | |
| | | | |
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| | | | | | 1,681,624 | |
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Coal — 0.3% | | | | | | | |
Cloud Peak Energy, Inc. (a) | | | 8,872 | | | 206,097 | |
International Coal Group, Inc. (a) | | | 37,154 | | | 287,572 | |
James River Coal Co. (a) | | | 7,416 | | | 187,847 | |
L&L Energy, Inc. (a) | | | 5,371 | | | 58,007 | |
Patriot Coal Corp. (a) | | | 21,831 | | | 422,866 | |
| | | | |
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| | | | | | 1,162,389 | |
|
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|
Commercial Finance & Mortgage Companies — 0.1% | | | | | | | |
Asta Funding, Inc. | | | 4,159 | | | 33,688 | |
Federal Agricultural Mortgage Corp., Class B | | | 2,525 | | | 41,208 | |
Medallion Financial Corp. | | | 5,747 | | | 47,126 | |
NewStar Financial, Inc. (a) | | | 8,462 | | | 89,443 | |
| | | | |
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| | | | | | 211,465 | |
|
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Commercial Services: Rental & Leasing — 0.6% | | | | | | | |
Aircastle Ltd. | | | 13,828 | | | 144,503 | |
CAI International, Inc. (a) | | | 3,024 | | | 59,270 | |
Electro Rent Corp. | | | 5,052 | | | 81,640 | |
H&E Equipment Services, Inc. (a) | | | 8,394 | | | 97,119 | |
Marlin Business Services, Inc. (a) | | | 2,283 | | | 28,880 | |
McGrath RentCorp | | | 6,835 | | | 179,214 | |
Mobile Mini, Inc. (a) | | | 10,363 | | | 204,048 | |
PHH Corp. (a) | | | 15,575 | | | 360,561 | |
RSC Holdings, Inc. (a) | | | 13,484 | | | 131,334 | |
SeaCube Container Leasing Ltd. | | | 3,037 | | | 42,700 | |
TAL International Group, Inc. | | | 4,828 | | | 149,040 | |
United Rentals, Inc. (a) | | | 16,903 | | | 384,543 | |
| | | | |
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| | | | | | 1,862,852 | |
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Commercial Vehicles & Parts — 0.3% | | | | | | | |
Commercial Vehicle Group, Inc. (a) | | | 7,113 | | | 115,586 | |
Force Protection, Inc. (a) | | | 19,673 | | | 108,398 | |
Miller Industries, Inc. | | | 2,710 | | | 38,564 | |
Modine Manufacturing Co. (a) | | | 13,116 | | | 203,298 | |
Rush Enterprises, Inc., Class A (a) | | | 9,230 | | | 188,661 | |
Spartan Motors, Inc. | | | 10,280 | | | 62,605 | |
Wabash National Corp. (a) | | | 18,952 | | | 224,581 | |
| | | | |
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| | | | | | 941,693 | |
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| | | | | | | |
Common Stocks | | Shares | | Value | |
|
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|
Communications Technology — 3.2% | | | | | | | |
AboveNet, Inc. | | | 6,173 | | $ | 360,874 | |
Acme Packet, Inc. (a) | | | 12,197 | | | 648,393 | |
Adtran, Inc. | | | 17,264 | | | 625,129 | |
Anaren, Inc. (a) | | | 4,408 | | | 91,907 | |
Anixter International, Inc. | | | 7,796 | | | 465,655 | |
Aruba Networks, Inc. (a) | | | 21,591 | | | 450,820 | |
Aviat Networks, Inc. (a) | | | 18,839 | | | 95,514 | |
Bel Fuse, Inc. | | | 3,256 | | | 77,818 | |
BigBand Networks, Inc. (a) | | | 13,752 | | | 38,506 | |
Black Box Corp. | | | 4,852 | | | 185,783 | |
Comtech Telecommunications Corp. | | | 8,044 | | | 223,060 | |
Digi International, Inc. (a) | | | 7,948 | | | 88,223 | |
DigitalGlobe, Inc. (a) | | | 7,687 | | | 243,755 | |
EMS Technologies, Inc. (a) | | | 4,405 | | | 87,131 | |
Echelon Corp. (a) | | | 10,004 | | | 101,941 | |
Emulex Corp. (a) | | | 23,243 | | | 271,013 | |
Extreme Networks, Inc. (a) | | | 27,561 | | | 85,163 | |
Finisar Corp. (a) | | | 21,060 | | | 625,271 | |
GSI Technology, Inc. (a) | | | 4,937 | | | 39,990 | |
GeoEye, Inc. (a) | | | 6,114 | | | 259,172 | |
Globecomm Systems, Inc. (a) | | | 6,651 | | | 66,510 | |
Harmonic, Inc. (a) | | | 27,452 | | | 235,264 | |
Hughes Communications, Inc. (a) | | | 2,650 | | | 107,166 | |
Infinera Corp. (a) | | | 24,897 | | | 257,186 | |
InterDigital, Inc. (a)(b) | | | 12,235 | | | 509,465 | |
Ixia (a) | | | 8,980 | | | 150,684 | |
KVH Industries, Inc. (a) | | | 4,532 | | | 54,157 | |
Loral Space & Communications Ltd. (a) | | | 3,024 | | | 231,336 | |
NETGEAR, Inc. (a) | | | 9,928 | | | 334,375 | |
Network Equipment Technologies, Inc. (a) | | | 8,165 | | | 37,804 | |
Novatel Wireless, Inc. (a) | | | 8,850 | | | 84,518 | |
Oclaro, Inc. (a) | | | 14,280 | | | 187,782 | |
Oplink Communications, Inc. (a) | | | 5,696 | | | 105,205 | |
PC-Tel, Inc. (a) | | | 4,815 | | | 28,890 | |
Plantronics, Inc. | | | 13,418 | | | 499,418 | |
Riverbed Technology, Inc. (a) | | | 35,147 | | | 1,236,120 | |
SeaChange International, Inc. (a) | | | 8,576 | | | 73,325 | |
Shoretel, Inc. (a) | | | 13,394 | | | 104,607 | |
Sonus Networks, Inc. (a) | | | 58,419 | | | 155,979 | |
Sycamore Networks, Inc. | | | 5,573 | | | 114,748 | |
Syniverse Holdings, Inc. (a) | | | 19,166 | | | 591,271 | |
Tekelec (a) | | | 18,982 | | | 226,076 | |
Viasat, Inc. (a) | | | 9,276 | | | 411,947 | |
| | | | |
|
|
|
| | | | | | 10,868,951 | |
|
|
|
|
|
|
|
|
Computer Services Software & Systems — 6.7% | | | | | | | |
ACI Worldwide, Inc. (a)(c) | | | 9,391 | | | 252,336 | |
Actuate Corp. (a) | | | 13,455 | | | 76,694 | |
Acxiom Corp. (a) | | | 19,178 | | | 328,903 | |
American Reprographics Co. (a) | | | 11,101 | | | 84,257 | |
American Software, Class A | | | 7,492 | | | 50,721 | |
Ariba, Inc. (a) | | | 25,118 | | | 590,022 | |
Art Technology Group, Inc. (a) | | | 44,418 | | | 265,620 | |
Aspen Technology, Inc. (a) | | | 17,836 | | | 226,517 | |
Avid Technology, Inc. (a) | | | 8,148 | | | 142,264 | |
Blackbaud, Inc. | | | 12,651 | | | 327,661 | |
Blackboard, Inc. (a) | | | 9,618 | | | 397,223 | |
Blue Coat Systems, Inc. (a) | | | 11,468 | | | 342,549 | |
Bottomline Technologies, Inc. (a) | | | 9,065 | | | 196,801 | |
BroadSoft, Inc. (a) | | | 2,081 | | | 49,694 | |
CACI International, Inc., Class A (a) | | | 8,409 | | | 449,041 | |
CDC Corp. (a) | | | 7,453 | | | 26,160 | |
CSG Systems International, Inc. (a) | | | 9,715 | | | 184,002 | |
See Notes to Financial Statements.
| | |
|
|
|
20 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Computer Services Software & Systems
(continued) | | | | | | | |
Ciber, Inc. (a) | | | 19,400 | | $ | 90,792 | |
CommVault Systems, Inc. (a) | | | 12,126 | | | 347,046 | |
Compellent Technologies, Inc. (a) | | | 6,600 | | | 182,094 | |
Computer Task Group, Inc. (a) | | | 4,095 | | | 44,554 | |
ComScore, Inc. (a) | | | 6,275 | | | 139,995 | |
Concur Technologies, Inc. (a) | | | 11,198 | | | 581,512 | |
Deltek, Inc. (a) | | | 5,271 | | | 38,267 | |
DealerTrack Holdings, Inc. (a) | | | 11,426 | | | 229,320 | |
DemandTec, Inc. (a) | | | 5,233 | | | 56,726 | |
Digimarc Corp. (a) | | | 2,156 | | | 64,702 | |
Digital River, Inc. (a) | | | 11,096 | | | 381,924 | |
DynaVox, Inc., Class A (a) | | | 2,910 | | | 14,928 | |
EPIQ Systems, Inc. | | | 9,048 | | | 124,229 | |
EarthLink, Inc. | | | 30,934 | | | 266,032 | |
Ebix, Inc. (a)(b) | | | 7,644 | | | 180,933 | |
Epicor Software Corp. (a) | | | 13,337 | | | 134,704 | |
Fortinet, Inc. (a) | | | 11,700 | | | 378,495 | |
Hypercom Corp. (a) | | | 13,204 | | | 110,517 | |
iGate Corp. | | | 6,883 | | | 135,664 | |
Infospace, Inc. (a) | | | 11,166 | | | 92,678 | |
Integral Systems, Inc. (a) | | | 5,890 | | | 58,370 | |
Interactive Intelligence, Inc. (a) | | | 3,737 | | | 97,760 | |
Internap Network Services Corp. (a) | | | 15,693 | | | 95,413 | |
Internet Capital Group, Inc. (a) | | | 10,158 | | | 144,447 | |
IntraLinks Holdings, Inc. (a) | | | 3,288 | | | 61,518 | |
JDA Software Group, Inc. (a) | | | 11,783 | | | 329,924 | |
KIT Digital, Inc. (a) | | | 7,970 | | | 127,839 | |
Kenexa Corp. (a) | | | 6,263 | | | 136,471 | |
Keynote Systems, Inc. | | | 4,265 | | | 62,354 | |
Lawson Software, Inc. (a) | | | 38,987 | | | 360,630 | |
Limelight Networks, Inc. (a) | | | 13,693 | | | 79,556 | |
Lionbridge Technologies, Inc. (a) | | | 18,197 | | | 67,147 | |
LivePerson, Inc. (a) | | | 13,020 | | | 147,126 | |
LogMeIn, Inc. (a) | | | 4,233 | | | 187,691 | |
Magma Design Automation, Inc. (a) | | | 17,304 | | | 86,693 | |
Manhattan Associates, Inc. (a) | | | 6,447 | | | 196,891 | |
Mantech International Corp., Class A (a) | | | 6,298 | | | 260,296 | |
Mentor Graphics Corp. (a) | | | 30,075 | | | 360,900 | |
Mercury Computer Systems, Inc. (a) | | | 6,749 | | | 124,047 | |
MicroStrategy, Inc., Class A (a) | | | 2,484 | | | 212,307 | |
Moduslink Global Solutions, Inc. (a) | | | 13,785 | | | 92,359 | |
Monotype Imaging Holdings, Inc. (a) | | | 6,643 | | | 73,737 | |
NCI, Inc., Class A (a) | | | 1,829 | | | 42,049 | |
NIC, Inc. | | | 15,822 | | | 153,632 | |
NetScout Systems, Inc. (a) | | | 8,614 | | | 198,208 | |
NetSuite, Inc. (a) | | | 5,365 | | | 134,125 | |
OpenTable, Inc. (a) | | | 4,446 | | | 313,354 | |
Openwave Systems, Inc. (a) | | | 26,472 | | | 56,121 | |
Opnet Technologies, Inc. | | | 3,910 | | | 104,671 | |
PDF Solutions, Inc. (a) | | | 6,099 | | | 29,397 | |
PROS Holdings, Inc. (a) | | | 5,951 | | | 67,782 | |
Parametric Technology Corp. (a) | | | 32,264 | | | 726,908 | |
Pegasystems, Inc. | | | 4,662 | | | 170,769 | |
Perficient, Inc. (a) | | | 6,938 | | | 86,725 | |
Progress Software Corp. (a) | | | 11,739 | | | 496,794 | |
QLIK Technologies, Inc. (a) | | | 3,794 | | | 97,923 | |
Quest Software, Inc. (a) | | | 16,628 | | | 461,261 | |
Rackspace Hosting, Inc. (a) | | | 27,028 | | | 848,949 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Computer Services Software & Systems
(concluded) | | | | | | | |
Radiant Systems, Inc. (a) | | | 9,361 | | $ | 183,195 | |
RealNetworks, Inc. (a) | | | 25,684 | | | 107,873 | |
RealPage, Inc. (a) | | | 4,286 | | | 132,566 | |
RightNow Technologies, Inc. (a) | | | 6,264 | | | 148,269 | |
SAVVIS, Inc. (a) | | | 10,340 | | | 263,877 | |
SRA International, Inc., Class A (a) | | | 11,801 | | | 241,330 | |
SS&C Technologies Holdings, Inc. (a) | | | 3,576 | | | 73,344 | |
SYNNEX Corp. (a) | | | 6,350 | | | 198,120 | |
Saba Software, Inc. (a) | | | 9,438 | | | 57,761 | |
Sapient Corp. | | | 28,831 | | | 348,855 | |
Smith Micro Software, Inc. (a) | | | 8,650 | | | 136,151 | |
SolarWinds, Inc. (a) | | | 9,916 | | | 190,883 | |
Sonic Solutions, Inc. (a) | | | 11,983 | | | 179,745 | |
Sourcefire, Inc. (a) | | | 7,788 | | | 201,943 | |
SuccessFactors, Inc. (a) | | | 17,608 | | | 509,928 | |
Support.com, Inc. (a) | | | 13,677 | | | 88,627 | |
Synchronoss Technologies, Inc. (a) | | | 5,863 | | | 156,601 | |
Syntel, Inc. | | | 3,723 | | | 177,922 | |
TIBCO Software, Inc. (a) | | | 46,168 | | | 909,971 | |
TNS, Inc. (a) | | | 7,144 | | | 148,595 | |
Taleo Corp., Class A (a) | | | 11,227 | | | 310,427 | |
TeleCommunication Systems, Inc., Class A (a) | | | 12,196 | | | 56,955 | |
Terremark Worldwide, Inc. (a) | | | 16,771 | | | 217,184 | |
Tier Technologies, Inc., Class B (a) | | | 3,808 | | | 22,810 | |
Tyler Technologies, Inc. (a) | | | 8,776 | | | 182,190 | |
Ultimate Software Group, Inc. (a) | | | 7,017 | | | 341,237 | |
Unisys Corp. (a) | | | 11,764 | | | 304,570 | |
United Online, Inc. | | | 25,722 | | | 169,765 | |
VASCO Data Security International, Inc. (a) | | | 7,887 | | | 64,121 | |
VeriFone Systems, Inc. (a) | | | 23,839 | | | 919,232 | |
VirnetX Holding Corp. | | | 10,248 | | | 152,183 | |
Virtusa Corp. (a) | | | 4,160 | | | 68,058 | |
Wave Systems Corp., Class A (a) | | | 21,971 | | | 86,566 | |
Websense, Inc. (a) | | | 11,904 | | | 241,056 | |
Zix Corp. (a) | | | 17,043 | | | 72,774 | |
| | | | |
|
|
|
| | | | | | 22,602,405 | |
|
|
|
|
|
|
|
|
Computer Technology — 0.6% | | | | | | | |
Cray, Inc. (a) | | | 10,787 | | | 77,127 | |
Hutchinson Technology, Inc. (a) | | | 6,167 | | | 22,880 | |
Imation Corp. (a) | | | 8,846 | | | 91,202 | |
Immersion Corp. (a) | | | 9,143 | | | 61,350 | |
Insight Enterprises, Inc. (a) | | | 13,317 | | | 175,252 | |
Intermec, Inc. (a) | | | 14,173 | | | 179,430 | |
Quantum Corp. (a) | | | 59,610 | | | 221,749 | |
Radisys Corp. (a) | | | 6,507 | | | 57,912 | |
Rimage Corp. (a) | | | 3,339 | | | 49,784 | |
STEC, Inc. (a) | | | 11,398 | | | 201,175 | |
Safeguard Scientifics, Inc. (a) | | | 6,132 | | | 104,735 | |
Silicon Graphics International Corp. (a) | | | 9,555 | | | 86,282 | |
Stratasys, Inc. (a) | | | 5,828 | | | 190,226 | |
Super Micro Computer, Inc. (a) | | | 7,145 | | | 82,453 | |
Synaptics, Inc. (a) | | | 9,314 | | | 273,645 | |
Xyratex Ltd. (a) | | | 8,251 | | | 134,574 | |
| | | | |
|
|
|
| | | | | | 2,009,776 | |
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
| | | |
|
|
|
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 21 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Construction — 0.5% | | | | | | | |
EMCOR Group, Inc. (a) | | | 18,337 | | $ | 531,406 | |
Granite Construction, Inc. | | | 9,570 | | | 262,505 | |
Great Lakes Dredge & Dock Corp. | | | 16,695 | | | 123,042 | |
Insituform Technologies, Inc., Class A (a) | | | 10,968 | | | 290,762 | |
Orion Marine Group, Inc. (a) | | | 7,892 | | | 91,547 | |
Primoris Services Corp. | | | 6,863 | | | 65,473 | |
Sterling Construction Co., Inc. (a) | | | 5,135 | | | 66,961 | |
Tutor Perini Corp. | | | 7,332 | | | 156,978 | |
| | | | |
|
|
|
| | | | | | 1,588,674 | |
|
|
|
|
|
|
|
|
Consumer Electronics — 0.2% | | | | | | | |
Audiovox Corp., Class A (a) | | | 4,450 | | | 38,403 | |
RealD Inc. (a) | | | 4,079 | | | 105,728 | |
TiVo, Inc. (a) | | | 31,997 | | | 276,134 | |
Universal Electronics, Inc. (a) | | | 3,743 | | | 106,189 | |
| | | | |
|
|
|
| | | | | | 526,454 | |
|
|
|
|
|
|
|
|
Consumer Lending — 0.9% | | | | | | | |
Advance America, Cash Advance Centers, Inc. | | | 16,629 | | | 93,787 | |
Cash America International, Inc. | | | 8,288 | | | 306,076 | |
Credit Acceptance Corp. (a) | | | 1,510 | | | 94,783 | |
Dollar Financial Corp. (a) | | | 6,982 | | | 199,895 | |
Encore Capital Group, Inc. (a) | | | 4,108 | | | 96,333 | |
Ezcorp, Inc. (a) | | | 12,908 | | | 350,194 | |
First Cash Financial Services, Inc. (a) | | | 8,403 | | | 260,409 | |
The First Marblehead Corp. (a) | | | 18,710 | | | 40,601 | |
MGIC Investment Corp. (a) | | | 56,003 | | | 570,670 | |
MoneyGram International, Inc. (a) | | | 26,653 | | | 72,230 | |
Nelnet, Inc., Class A | | | 7,528 | | | 178,338 | |
Netspend Holdings, Inc. (a) | | | 8,431 | | | 108,085 | |
Portfolio Recovery Associates, Inc. (a) | | | 4,751 | | | 357,275 | |
Student Loan Corp. | | | 1,040 | | | 33,738 | |
World Acceptance Corp. (a) | | | 4,585 | | | 242,088 | |
| | | | |
|
|
|
| | | | | | 3,004,502 | |
|
|
|
|
|
|
|
|
Consumer Services: Miscellaneous — 0.7% | | | | | | | |
Ancestry.com, Inc. (a) | | | 5,484 | | | 155,307 | |
Coinstar, Inc. (a) | | | 8,825 | | | 498,083 | |
Core-Mark Holdings Co., Inc. (a) | | | 3,107 | | | 110,578 | |
The Knot, Inc. (a) | | | 8,783 | | | 86,776 | |
Move, Inc. (a) | | | 44,535 | | | 114,455 | |
NutriSystem, Inc. (b) | | | 7,652 | | | 160,922 | |
Pre-Paid Legal Services, Inc. (a) | | | 2,044 | | | 123,151 | |
Sotheby’s Holdings, Inc., Class A | | | 18,618 | | | 837,810 | |
Steiner Leisure Ltd. (a) | | | 4,315 | | | 201,510 | |
| | | | |
|
|
|
| | | | | | 2,288,592 | |
|
|
|
|
|
|
|
|
Containers & Packaging — 0.4% | | | | | | | |
AEP Industries, Inc. (a) | | | 1,150 | | | 29,843 | |
Graham Packaging Co., Inc. (a) | | | 5,139 | | | 67,013 | |
Graphic Packaging Holding Co. (a) | | | 31,761 | | | 123,550 | |
Myers Industries, Inc. | | | 10,282 | | | 100,147 | |
Rock-Tenn Co., Class A | | | 10,754 | | | 580,178 | |
Silgan Holdings, Inc. | | | 14,840 | | | 531,420 | |
| | | | |
|
|
|
| | | | | | 1,432,151 | |
|
|
|
|
|
|
|
|
Cosmetics — 0.1% | | | | | | | |
Elizabeth Arden, Inc. (a) | | | 6,725 | | | 154,742 | |
Inter Parfums, Inc. | | | 4,215 | | | 79,453 | |
Revlon, Inc., Class A (a) | | | 3,695 | | | 36,359 | |
| | | | |
|
|
|
| | | | | | 270,554 | |
|
|
|
|
|
|
|
|
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Diversified Financial Services — 0.4% | | | | | | | |
Duff & Phelps Corp. | | | 8,086 | | $ | 136,330 | |
Evercore Partners, Inc., Class A | | | 4,505 | | | 153,170 | |
FBR Capital Markets Corp. (a) | | | 14,655 | | | 55,982 | |
Gleacher & Co, Inc. (a) | | | 23,750 | | | 56,288 | |
Main Street Capital Corp. | | | 4,434 | | | 80,654 | |
MidwestOne Financial Group, Inc. | | | 1,865 | | | 28,180 | |
Piper Jaffray Cos. (a) | | | 4,213 | | | 147,497 | |
Sanders Morris Harris Group, Inc. | | | 5,727 | | | 41,521 | |
Stifel Financial Corp. (a) | | | 9,417 | | | 584,231 | |
Triangle Capital Corp. | | | 4,316 | | | 82,004 | |
| | | | |
|
|
|
| | | | | | 1,365,857 | |
|
|
|
|
|
|
|
|
Diversified Manufacturing Operations — 0.3% | | | | | | | |
A.M. Castle & Co. (a) | | | 4,762 | | | 87,669 | |
Barnes Group, Inc. | | | 13,810 | | | 285,453 | |
Federal Signal Corp. | | | 17,890 | | | 122,725 | |
Lydall, Inc. (a) | | | 4,646 | | | 37,400 | |
OSI Systems, Inc. (a) | | | 4,609 | | | 167,583 | |
Raven Industries, Inc. | | | 4,607 | | | 219,708 | |
Standex International Corp. | | | 3,548 | | | 106,121 | |
Trimas Corp. (a) | | | 4,407 | | | 90,167 | |
| | | | |
|
|
|
| | | | | | 1,116,826 | |
|
|
|
|
|
|
|
|
Diversified Materials & Processing — 0.8% | | | | | | | |
Belden, Inc. | | | 13,241 | | | 487,534 | |
Cabot Microelectronics Corp. (a) | | | 6,637 | | | 275,104 | |
Clarcor, Inc. | | | 13,889 | | | 595,699 | |
Encore Wire Corp. | | | 5,047 | | | 126,579 | |
Hexcel Corp. (a) | | | 26,888 | | | 486,404 | |
Insteel Industries, Inc. | | | 4,853 | | | 60,614 | |
Koppers Holdings, Inc. | | | 5,904 | | | 211,245 | |
Rogers Corp. (a) | | | 4,522 | | | 172,966 | |
Tredegar Corp. | | | 6,809 | | | 131,958 | |
Uranium Energy Corp. (a)(b) | | | 16,751 | | | 101,176 | |
| | | | |
|
|
|
| | | | | | 2,649,279 | |
|
|
|
|
|
|
|
|
Diversified Media — 0.1% | | | | | | | |
Belo Corp., Class A (a) | | | 26,829 | | | 189,949 | |
EW Scripps Co. (a) | | | 9,726 | | | 98,719 | |
Playboy Enterprises, Inc., Class B (a) | | | 7,669 | | | 40,032 | |
| | | | |
|
|
|
| | | | | | 328,700 | |
|
|
|
|
|
|
|
|
Diversified Retail — 0.7% | | | | | | | |
99 Cents Only Stores (a) | | | 12,612 | | | 201,035 | |
The Bon-Ton Stores, Inc. (a) | | | 3,782 | | | 47,880 | |
Dillard’s, Inc., Class A | | | 11,211 | | | 425,345 | |
Fred’s, Inc. | | | 10,754 | | | 147,975 | |
GSI Commerce, Inc. (a) | | | 18,657 | | | 432,843 | |
Gaiam, Inc. | | | 4,379 | | | 33,718 | |
HSN, Inc. (a) | | | 10,902 | | | 334,037 | |
Overstock.com, Inc. | | | 4,575 | | | 75,396 | |
PriceSmart, Inc. | | | 4,549 | | | 172,999 | |
Saks, Inc. (a) | | | 37,767 | | | 404,107 | |
Tuesday Morning Corp. (a) | | | 7,728 | | | 40,804 | |
| | | | |
|
|
|
| | | | | | 2,316,139 | |
|
|
|
|
|
|
|
|
Drug & Grocery Store Chains — 0.7% | | | | | | | |
Arden Group, Inc., Class A | | | 556 | | | 45,870 | |
Casey’s General Stores, Inc. | | | 10,841 | | | 460,851 | |
drugstore.com, Inc. (a) | | | 24,853 | | | 54,925 | |
See Notes to Financial Statements.
| | |
|
|
|
22 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Drug & Grocery Store Chains (concluded) | | | | | | | |
The Fresh Market, Inc. (a) | | | 4,210 | | $ | 173,452 | |
Ingles Markets, Inc., Class A | | | 4,294 | | | 82,445 | |
Nash Finch Co. | | | 3,603 | | | 153,163 | |
The Pantry, Inc. (a) | | | 7,076 | | | 140,529 | |
PetMed Express, Inc. (b) | | | 6,312 | | | 112,417 | |
Rite Aid Corp. (a) | | | 147,313 | | | 130,107 | |
Ruddick Corp. | | | 12,199 | | | 449,411 | |
Spartan Stores, Inc. | | | 6,686 | | | 113,328 | |
Village Super Market, Inc., Class A | | | 2,539 | | | 83,787 | |
Weis Markets, Inc. | | | 3,843 | | | 154,988 | |
Winn-Dixie Stores, Inc. (a) | | | 15,711 | | | 112,648 | |
| | | | |
|
|
|
| | | | | | 2,267,921 | |
|
|
|
|
|
|
|
|
Education Services — 0.5% | | | | | | | |
Ambassadors Group, Inc. | | | 6,426 | | | 73,899 | |
American Public Education, Inc. (a) | | | 5,243 | | | 195,249 | |
Archipelago Learning, Inc. (a) | | | 3,223 | | | 31,618 | |
Bridgepoint Education, Inc. (a) | | | 5,635 | | | 107,065 | |
Capella Education Co. (a) | | | 4,619 | | | 307,533 | |
Corinthian Colleges, Inc. (a)(b) | | | 24,036 | | | 125,228 | |
Franklin Covey Co. (a) | | | 3,631 | | | 31,190 | |
Grand Canyon Education, Inc. (a) | | | 8,882 | | | 173,998 | |
K12, Inc. (a) | | | 7,103 | | | 203,572 | |
Lincoln Educational Services Corp. | | | 4,710 | | | 73,052 | |
Renaissance Learning, Inc. | | | 3,534 | | | 41,843 | |
Rosetta Stone, Inc. (a) | | | 3,247 | | | 68,901 | |
School Specialty, Inc. (a) | | | 5,959 | | | 83,009 | |
Universal Technical Institute, Inc. | | | 6,007 | | | 132,274 | |
| | | | |
|
|
|
| | | | | | 1,648,431 | |
|
|
|
|
|
|
|
|
Electronic Components — 0.7% | | | | | | | |
3D Systems Corp. (a) | | | 5,226 | | | 164,567 | |
Acacia Research — Acacia Technologies (a) | | | 9,518 | | | 246,897 | |
Checkpoint Systems, Inc. (a) | | | 11,234 | | | 230,859 | |
DDi Corp. | | | 4,437 | | | 52,179 | |
Methode Electronics, Inc. | | | 10,475 | | | 135,861 | |
Microvision, Inc. (a)(b) | | | 28,837 | | | 53,637 | |
Multi-Fineline Electronix, Inc. (a) | | | 3,100 | | | 82,119 | |
NVE Corp. (a) | | | 1,420 | | | 82,118 | |
Park Electrochemical Corp. | | | 5,596 | | | 167,880 | |
Pulse Electronics Corp. | | | 11,258 | | | 59,892 | |
ScanSource, Inc. (a) | | | 7,682 | | | 245,056 | |
Smart Modular Technologies WWH, Inc. (a) | | | 15,215 | | | 87,638 | |
TTM Technologies, Inc. (a) | | | 22,744 | | | 339,113 | |
Universal Display Corp. (a)(b) | | | 8,555 | | | 262,211 | |
| | | | |
|
|
|
| | | | | | 2,210,027 | |
|
|
|
|
|
|
|
|
Electronic Entertainment — 0.2% | | | | | | | |
DTS, Inc. (a) | | | 4,900 | | | 240,345 | |
THQ, Inc. (a) | | | 17,766 | | | 107,662 | |
Take-Two Interactive Software, Inc. (a) | | | 19,580 | | | 239,659 | |
| | | | |
|
|
|
| | | | | | 587,666 | |
|
|
|
|
|
|
|
|
Electronics — 0.6% | | | | | | | |
Agilysys, Inc. (a) | | | 4,728 | | | 26,619 | |
American Science & Engineering, Inc. | | | 2,530 | | | 215,632 | |
CPI International, Inc. (a) | | | 2,027 | | | 39,222 | |
Coherent, Inc. (a) | | | 7,111 | | | 320,991 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Electronics (concluded) | | | | | | | |
Daktronics, Inc. | | | 9,319 | | $ | 148,358 | |
II-VI, Inc. (a) | | | 7,044 | | | 326,560 | |
IPG Photonics Corp. (a) | | | 7,327 | | | 231,680 | |
iRobot Corp. (a) | | | 5,743 | | | 142,886 | |
Newport Corp. (a) | | | 10,058 | | | 174,707 | |
Richardson Electronics Ltd. | | | 4,813 | | | 56,264 | |
Rofin-Sinar Technologies, Inc. (a) | | | 7,968 | | | 282,386 | |
SRS Labs Inc. (a) | | | 2,855 | | | 25,153 | |
Spectrum Control, Inc. (a) | | | 3,858 | | | 57,831 | |
| | | | |
|
|
|
| | | | | | 2,048,289 | |
|
|
|
|
|
|
|
|
Energy Equipment — 0.2% | | | | | | | |
Capstone Turbine Corp. (a) | | | 74,225 | | | 71,241 | |
Energy Conversion Devices, Inc. (a) | | | 13,908 | | | 63,977 | |
Evergreen Solar, Inc. (a)(b) | | | 60,516 | | | 35,281 | |
FuelCell Energy, Inc. (a) | | | 31,215 | | | 72,106 | |
GT Solar International, Inc. (a) | | | 16,949 | | | 154,575 | |
PowerSecure International, Inc. (a) | | | 4,805 | | | 37,383 | |
STR Holdings, Inc. (a) | | | 8,135 | | | 162,700 | |
| | | | |
|
|
|
| | | | | | 597,263 | |
|
|
|
|
|
|
|
|
Engineering & Contracting Services — 0.5% | | | | | | | |
Dycom Industries, Inc. (a) | | | 10,628 | | | 156,763 | |
Exponent, Inc. (a) | | | 3,921 | | | 147,155 | |
Furmamite Corp. (a) | | | 10,777 | | | 74,469 | |
Hill International, Inc. (a) | | | 7,044 | | | 45,575 | |
Layne Christensen Co. (a) | | | 5,598 | | | 192,683 | |
MYR Group, Inc. (a) | | | 5,845 | | | 122,745 | |
Mastec, Inc. (a) | | | 14,840 | | | 216,516 | |
Michael Baker Corp. (a) | | | 2,393 | | | 74,422 | |
Mistras Group, Inc. (a) | | | 4,735 | | | 63,828 | |
Tetra Tech, Inc. (a) | | | 17,187 | | | 430,706 | |
VSE Corp. | | | 1,173 | | | 38,732 | |
| | | | |
|
|
|
| | | | | | 1,563,594 | |
|
|
|
|
|
|
|
|
Entertainment — 0.4% | | | | | | | |
Ascent Media Corp., Class A (a) | | | 4,280 | | | 165,893 | |
CKx, Inc. (a) | | | 15,485 | | | 62,405 | |
Cinemark Holdings, Inc. | | | 16,272 | | | 280,529 | |
Lions Gate Entertainment Corp. (a) | | | 19,947 | | | 129,855 | |
Live Nation Entertainment, Inc. (a) | | | 39,468 | | | 450,725 | |
LodgeNet Interactive Corp. (a) | | | 8,242 | | | 35,028 | |
Rentrak Corp. (a) | | | 2,896 | | | 87,343 | |
Warner Music Group Corp. (a) | | | 13,332 | | | 75,059 | |
World Wrestling Entertainment, Inc. | | | 7,119 | | | 101,375 | |
| | | | |
|
|
|
| | | | | | 1,388,212 | |
|
|
|
|
|
|
|
|
Environmental, Maintenance, & Security Service — 0.7% | | | | | | | |
ABM Industries, Inc. | | | 14,481 | | | 380,850 | |
The Brink’s Co. | | | 13,331 | | | 358,337 | |
G&K Services, Inc., Class A | | | 5,185 | | | 160,268 | |
The Geo Group, Inc. (a) | | | 16,971 | | | 418,505 | |
Healthcare Services Group, Inc. | | | 18,539 | | | 301,630 | |
Mac-Gray Corp. | | | 3,791 | | | 56,675 | |
Rollins, Inc. | | | 17,166 | | | 339,029 | |
Standard Parking Corp. (a) | | | 4,544 | | | 85,836 | |
Unifirst Corp. | | | 3,889 | | | 214,090 | |
| | | | |
|
|
|
| | | | | | 2,315,220 | |
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
| | | |
|
|
|
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 23 |
| |
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Fertilizers — 0.0% | | | | | | | |
Rentech, Inc. (a) | | | 64,661 | | $ | 78,886 | |
|
|
|
|
|
|
|
|
Financial Data & Systems — 0.8% | | | | | | | |
Advent Software, Inc. (a) | | | 4,325 | | | 250,504 | |
Cardtronics, Inc. (a) | | | 7,404 | | | 131,051 | |
Cass Information Systems, Inc. | | | 2,384 | | | 90,449 | |
Euronet Worldwide, Inc. (a) | | | 14,020 | | | 244,509 | |
Fair Isaac Corp. | | | 11,427 | | | 267,049 | |
Global Cash Access, Inc. (a) | | | 16,150 | | | 51,519 | |
Heartland Payment Systems, Inc. | | | 10,871 | | | 167,631 | |
Higher One Holdings, Inc. (a) | | | 3,197 | | | 64,675 | |
Jack Henry & Associates, Inc. | | | 23,682 | | | 690,330 | |
Online Resources Corp. (a) | | | 7,311 | | | 33,996 | |
S1 Corp. (a) | | | 15,357 | | | 105,963 | |
Wright Express Corp. (a) | | | 10,793 | | | 496,478 | |
| | | | |
|
|
|
| | | | | | 2,594,154 | |
|
|
|
|
|
|
|
|
Foods — 1.0% | | | | | | | |
B&G Foods, Inc., Class A | | | 13,669 | | | 187,675 | |
Chiquita Brands International, Inc. (a) | | | 12,202 | | | 171,072 | |
Diamond Foods, Inc. | | | 6,091 | | | 323,919 | |
Dole Food Co.,Inc. (a) | | | 10,876 | | | 146,935 | |
Hain Celestial Group, Inc. (a) | | | 11,456 | | | 309,999 | |
J&J Snack Foods Corp. | | | 3,993 | | | 192,622 | |
John B. Sanfilippo & Son, Inc. (a) | | | 2,400 | | | 29,856 | |
Lancaster Colony Corp. | | | 5,319 | | | 304,247 | |
Medifast, Inc. (a) | | | 3,726 | | | 107,607 | |
Natures Sunshine Prods, Inc. (a) | | | 1,998 | | | 17,942 | |
Nutraceutical International Corp. (a) | | | 2,499 | | | 35,461 | |
Seneca Foods Corp. (a) | | | 2,214 | | | 59,734 | |
Smart Balance, Inc. (a) | | | 19,827 | | | 85,851 | |
Snyders-Lance, Inc. | | | 7,361 | | | 172,542 | |
Synutra International, Inc. (a) | | | 5,592 | | | 75,212 | |
Tootsie Roll Industries, Inc. (b) | | | 6,510 | | | 188,595 | |
TreeHouse Foods, Inc. (a) | | | 9,559 | | | 488,369 | |
United Natural Foods, Inc. (a) | | | 13,305 | | | 488,028 | |
| | | | |
|
|
|
| | | | | | 3,385,666 | |
|
|
|
|
|
|
|
|
Forest Products — 0.1% | | | | | | | |
Deltic Timber Corp. | | | 3,070 | | | 172,964 | |
Universal Forest Products, Inc. | | | 5,542 | | | 215,584 | |
| | | | |
|
|
|
| | | | | | 388,548 | |
|
|
|
|
|
|
|
|
Forms & Bulk Printing Services — 0.2% | | | | | | | |
Consolidated Graphics, Inc. (a) | | | 2,559 | | | 123,932 | |
Deluxe Corp. | | | 14,525 | | | 334,365 | |
Ennis, Inc. | | | 7,538 | | | 128,900 | |
Innerworkings, Inc. (a) | | | 6,187 | | | 40,525 | |
M&F Worldwide Corp. (a) | | | 3,188 | | | 73,643 | |
Multi-Color Corp. | | | 3,463 | | | 67,390 | |
Schawk, Inc. | | | 3,365 | | | 69,252 | |
| | | | |
|
|
|
| | | | | | 838,007 | |
|
|
|
|
|
|
|
|
Fruit & Grain Processing — 0.0% | | | | | | | |
MGP Ingredients, Inc. | | | 3,933 | | | 43,420 | |
|
|
|
|
|
|
|
|
Funeral Parlors & Cemeteries — 0.1% | | | | | | | |
Matthews International Corp., Class A | | | 8,281 | | | 289,669 | |
Stewart Enterprises, Inc., Class A | | | 22,211 | | | 148,592 | |
| | | | |
|
|
|
| | | | | | 438,261 | |
|
|
|
|
|
|
|
|
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Gas Pipeline — 0.0% | | | | | | | |
Crosstex Energy, Inc. | | | 11,553 | | $ | 102,360 | |
|
|
|
|
|
|
|
|
Glass — 0.0% | | | | | | | |
Apogee Enterprises, Inc. | | | 8,299 | | | 111,788 | |
|
|
|
|
|
|
|
|
Gold — 0.6% | | | | | | | |
Allied Nevada Gold Corp. (a) | | | 20,807 | | | 547,432 | |
Capital Gold Corp. (a) | | | 17,576 | | | 89,110 | |
Coeur d’Alene Mines Corp. (a) | | | 24,393 | | | 666,417 | |
Golden Star Resources Ltd. (a) | | | 72,556 | | | 333,032 | |
Jaguar Mining, Inc. (a) | | | 24,168 | | | 172,318 | |
US Gold Corp. (a) | | | 25,079 | | | 202,388 | |
| | | | |
|
|
|
| | | | | | 2,010,697 | |
|
|
|
|
|
|
|
|
Health Care Facilities — 0.6% | | | | | | | |
Amsurg Corp. (a) | | | 8,820 | | | 184,779 | |
Assisted Living Concepts, Inc. (a) | | | 2,928 | | | 95,248 | |
Capital Senior Living Corp. (a) | | | 8,621 | | | 57,761 | |
Contiucare Corp. (a) | | | 8,969 | | | 41,975 | |
Emeritus Corp. (a) | | | 6,319 | | | 124,547 | |
The Ensign Group, Inc. | | | 4,084 | | | 101,569 | |
Five Star Quality Care, Inc. (a) | | | 9,511 | | | 67,243 | |
Hanger Orthopedic Group, Inc. (a) | | | 7,373 | | | 156,234 | |
HealthSouth Corp. (a) | | | 26,167 | | | 541,919 | |
Kindred Healthcare, Inc. (a) | | | 11,204 | | | 205,817 | |
LCA-Vision, Inc. (a) | | | 4,820 | | | 27,715 | |
MedCath Corp. (a) | | | 6,149 | | | 85,778 | |
National Healthcare Corp. | | | 2,595 | | | 120,071 | |
Select Medical Holdings Corp. (a) | | | 13,893 | | | 101,558 | |
Skilled Healthcare Group, Inc., Class A (a) | | | 6,242 | | | 56,053 | |
Sunrise Senior Living, Inc. (a) | | | 16,340 | | | 89,053 | |
US Physical Therapy, Inc. (a) | | | 3,213 | | | 63,682 | |
| | | | |
|
|
|
| | | | | | 2,121,002 | |
|
|
|
|
|
|
|
|
Health Care Management Services — 1.0% | | | | | | | |
AMERIGROUP Corp. (a) | | | 14,235 | | | 625,201 | |
American Dental Partners, Inc. (a) | | | 5,099 | | | 68,887 | |
Bioscript, Inc. (a) | | | 12,427 | | | 64,993 | |
Catalyst Health Solutions, Inc. (a) | | | 10,553 | | | 490,609 | |
Centene Corp. (a) | | | 13,736 | | | 348,070 | |
Computer Programs & Systems, Inc. | | | 2,708 | | | 126,843 | |
HealthSpring, Inc. (a) | | | 16,101 | | | 427,160 | |
Magellan Health Services, Inc. (a) | | | 9,129 | | | 431,619 | |
MedQuist Inc. | | | 3,203 | | | 27,706 | |
Metropolitan Health Networks, Inc. (a) | | | 10,827 | | | 48,397 | |
Molina Healthcare, Inc. (a) | | | 4,133 | | | 115,104 | |
Triple-S Management Corp. (a) | | | 5,696 | | | 108,680 | |
Universal American Financial Corp. | | | 8,747 | | | 178,876 | |
WellCare Health Plans, Inc. (a) | | | 11,883 | | | 359,104 | |
| | | | |
|
|
|
| | | | | | 3,421,249 | |
|
|
|
|
|
|
|
|
Health Care Services — 1.3% | | | | | | | |
AMN Healthcare Services, Inc. (a) | | | 11,567 | | | 71,021 | |
Accretive Health, Inc. (a) | | | 3,635 | | | 59,069 | |
Air Methods Corp. (a) | | | 3,041 | | | 171,117 | |
Alliance Healthcare Services, Inc. (a) | | | 7,266 | | | 30,808 | |
Allied Healthcare International, Inc. (a) | | | 12,096 | | | 30,361 | |
Almost Family, Inc. (a) | | | 2,370 | | | 91,055 | |
Amedisys, Inc. (a) | | | 7,896 | | | 264,516 | |
athenahealth, Inc. (a)(b) | | | 9,331 | | | 382,384 | |
See Notes to Financial Statements.
| | |
|
|
|
24 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Health Care Services (concluded) | | | | | | | |
CardioNet, Inc. (a) | | | 6,020 | | $ | 28,174 | |
Chemed Corp. | | | 6,277 | | | 398,652 | |
Chindex International, Inc. (a) | | | 4,132 | | | 68,137 | |
Corvel Corp. (a) | | | 2,010 | | | 97,183 | |
Cross Country Healthcare, Inc. (a) | | | 8,368 | | | 70,877 | |
ExamWorks Group, Inc. (a) | | | 3,291 | | | 60,818 | |
Gentiva Health Services, Inc. (a) | | | 8,396 | | | 223,334 | |
HMS Holdings Corp. (a) | | | 7,521 | | | 487,135 | |
Healthways, Inc. (a) | | | 9,598 | | | 107,114 | |
IPC The Hospitalist Co., Inc. (a) | | | 4,653 | | | 181,513 | |
LHC Group, Inc. (a) | | | 4,227 | | | 126,810 | |
MWI Veterinary Supply, Inc. (a) | | | 3,513 | | | 221,846 | |
Medidata Solutions, Inc. (a) | | | 5,179 | | | 123,674 | |
Omnicell, Inc. (a) | | | 8,995 | | | 129,978 | |
PharMerica Corp. (a) | | | 8,626 | | | 98,768 | |
Quality Systems, Inc. (b) | | | 5,269 | | | 367,882 | |
RehabCare Group, Inc. (a) | | | 7,132 | | | 169,028 | |
Rural/Metro Corp. (a) | | | 5,805 | | | 84,637 | |
Sun Healthcare Group Inc. (a) | | | 7,668 | | | 97,077 | |
Team Health Holdings, Inc. (a) | | | 4,741 | | | 73,675 | |
Transcend Services, Inc. (a) | | | 2,798 | | | 54,813 | |
| | | | |
|
|
|
| | | | | | 4,371,456 | |
|
|
|
|
|
|
|
|
Health Care: Miscellaneous — 0.1% | | | | | | | |
MedAssets, Inc. (a) | | | 12,070 | | | 243,693 | |
The Providence Service Corp. (a) | | | 4,028 | | | 64,730 | |
| | | | |
|
|
|
| | | | | | 308,423 | |
|
|
|
|
|
|
|
|
Home Building — 0.2% | | | | | | | |
Beazer Homes USA, Inc. (a)(b) | | | 19,013 | | | 102,480 | |
Hovnanian Enterprises, Inc., Class A (a)(b) | | | 16,382 | | | 67,002 | |
M/I Homes, Inc. (a) | | | 6,002 | | | 92,311 | |
Meritage Homes Corp. (a) | | | 9,116 | | | 202,375 | |
Ryland Group, Inc. | | | 12,494 | | | 212,773 | |
Standard-Pacific Corp. (a) | | | 29,587 | | | 136,100 | |
| | | | |
|
|
|
| | | | | | 813,041 | |
|
|
|
|
|
|
|
|
Hotel/Motel — 0.3% | | | | | | | |
Gaylord Entertainment Co. (a)(b) | | | 9,822 | | | 353,003 | |
Marcus Corp. | | | 6,181 | | | 82,022 | |
Morgans Hotel Group Co. (a) | | | 6,954 | | | 63,073 | |
Orient Express Hotels Ltd., Class A (a) | | | 27,882 | | | 362,187 | |
| | | | |
|
|
|
| | | | | | 860,285 | |
|
|
|
|
|
|
|
|
Household Appliances — 0.1% | | | | | | | |
National Presto Industries, Inc. | | | 1,310 | | | 170,313 | |
|
|
|
|
|
|
|
|
Household Equipment & Products — 0.2% | | | | | | | |
American Greetings Corp., Class A | | | 11,160 | | | 247,306 | |
Blyth, Inc. | | | 1,589 | | | 54,789 | |
CSS Industries, Inc. | | | 2,155 | | | 44,414 | |
Central Garden & Pet Co., Class A (a) | | | 15,543 | | | 153,565 | |
Helen of Troy Ltd. (a) | | | 8,684 | | | 258,262 | |
Libbey, Inc. (a) | | | 4,923 | | | 76,159 | |
| | | | |
|
|
|
| | | | | | 834,495 | |
|
|
|
|
|
|
|
|
Household Furnishings — 0.2% | | | | | | | |
American Woodmark Corp. | | | 2,821 | | | 69,227 | |
Ethan Allen Interiors, Inc. | | | 6,721 | | | 134,487 | |
Furniture Brands International, Inc. (a) | | | 13,612 | | | 69,966 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Household Furnishings (concluded) | | | | | | | |
Hooker Furniture Corp. | | | 3,616 | | $ | 51,094 | |
Kid Brands, Inc. (a) | | | 3,219 | | | 27,522 | |
Kirkland’s, Inc. (a) | | | 5,129 | | | 71,960 | |
La-Z-Boy, Inc. (a) | | | 14,172 | | | 127,831 | |
Lifetime Brands, Inc. (a) | | | 3,057 | | | 42,920 | |
Sealy Corp. (a)(b) | | | 13,256 | | | 38,708 | |
Select Comfort Corp. (a) | | | 15,196 | | | 138,740 | |
| | | | |
|
|
|
| | | | | | 772,455 | |
|
|
|
|
|
|
|
|
Insurance: Life — 0.5% | | | | | | | |
American Equity Investment Life Holding Co. | | | 16,358 | | | 205,293 | |
CNO Financial Group, Inc. (a) | | | 61,894 | | | 419,641 | |
Citizens, Inc. (a) | | | 11,072 | | | 82,486 | |
Delphi Financial Group, Inc., Class A | | | 13,193 | | | 380,486 | |
FBL Financial Group, Inc., Class A | | | 3,792 | | | 108,717 | |
Kansas City Life Insurance Co. | | | 1,186 | | | 39,174 | |
Life Partners Holdings, Inc. | | | 2,272 | | | 43,463 | |
National Western Life Insurance Co., Class A | | | 616 | | | 102,700 | |
The Phoenix Cos., Inc. (a) | | | 35,222 | | | 89,464 | |
Presidential Life Corp. | | | 6,613 | | | 65,667 | |
Primerica, Inc. | | | 6,401 | | | 155,224 | |
| | | | |
|
|
|
| | | | | | 1,692,315 | |
|
|
|
|
|
|
|
|
Insurance: Multi-Line — 0.6% | | | | | | | |
Alterra Capital Holdings Ltd. | | | 26,686 | | | 577,485 | |
Crawford & Co., Class B (a) | | | 8,394 | | | 28,540 | |
eHealth, Inc. (a) | | | 6,702 | | | 95,101 | |
Flagstone Reinsurance Holdings SA | | | 14,819 | | | 186,719 | |
Horace Mann Educators Corp. | | | 10,981 | | | 198,097 | |
Maiden Holdings Ltd. | | | 14,600 | | | 114,756 | |
Pico Holdings, Inc. (a) | | | 6,453 | | | 205,206 | |
Platinum Underwriters Holdings Ltd. | | | 11,251 | | | 505,958 | |
| | | | |
|
|
|
| | | | | | 1,911,862 | |
|
|
|
|
|
|
|
|
Insurance: Property-Casualty — 1.7% | | | | | | | |
American Safety Insurance Holdings Ltd. (a) | | | 2,775 | | | 59,330 | |
Amerisafe, Inc. (a) | | | 4,659 | | | 81,533 | |
AmTrust Financial Services, Inc. | | | 6,124 | | | 107,170 | |
Argo Group International Holdings Ltd. | | | 8,550 | | | 320,198 | |
Baldwin & Lyons, Inc., Class B | | | 2,672 | | | 62,872 | |
CNA Surety Corp. (a) | | | 4,978 | | | 117,879 | |
Donegal Group, Inc., Class A | | | 3,801 | | | 55,039 | |
EMC Insurance Group, Inc. | | | 1,220 | | | 27,621 | |
Employers Holdings, Inc. | | | 10,651 | | | 186,180 | |
Enstar Group Ltd. (a) | | | 2,000 | | | 169,160 | |
FPIC Insurance Group, Inc. (a) | | | 2,797 | | | 103,377 | |
First American Financial Corp. | | | 28,911 | | | 431,930 | |
First Mercury Financial Corp. | | | 4,283 | | | 70,241 | |
Global Indemnity Plc (a) | | | 4,063 | | | 83,088 | |
Greenlight Capital Re Ltd. (a) | | | 7,991 | | | 214,239 | |
Hallmark Financial Services, Inc. (a) | | | 3,125 | | | 28,438 | |
Harleysville Group, Inc. | | | 3,337 | | | 122,601 | |
Hilltop Holdings, Inc. (a) | | | 11,058 | | | 109,695 | |
Infinity Property & Casualty Corp. | | | 3,698 | | | 228,536 | |
Meadowbrook Insurance Group, Inc. | | | 15,729 | | | 161,222 | |
Montpelier Re Holdings Ltd. | | | 19,863 | | | 396,068 | |
National Interstate Corp. | | | 1,701 | | | 36,401 | |
Navigators Group, Inc. (a) | | | 3,393 | | | 170,838 | |
The PMI Group, Inc. (a) | | | 41,267 | | | 136,181 | |
See Notes to Financial Statements.
| | | |
|
|
|
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 25 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Insurance: Property-Casualty (concluded) | | | | | | | |
ProAssurance Corp. (a) | | | 8,824 | | $ | 534,734 | |
RLI Corp. | | | 4,986 | | | 262,114 | |
Radian Group, Inc. | | | 37,759 | | | 304,715 | |
Safety Insurance Group, Inc. | | | 3,560 | | | 169,349 | |
SeaBright Holdings, Inc. | | | 7,002 | | | 64,559 | |
Selective Insurance Group, Inc. | | | 14,954 | | | 271,415 | |
State Auto Financial Corp. | | | 4,480 | | | 78,042 | |
Stewart Information Services Corp. | | | 4,621 | | | 53,280 | |
Tower Group, Inc. | | | 11,064 | | | 283,017 | |
United Fire & Casualty Co. | | | 6,351 | | | 141,754 | |
| | | | |
|
|
|
| | | | | | 5,642,816 | |
|
|
|
|
|
|
|
|
International Trade & Diversified Logistic — 0.0% | | | | | | | |
Global Sources Ltd. (a) | | | 6,515 | | | 62,023 | |
|
|
|
|
|
|
|
|
Leisure Time — 0.6% | | | | | | | |
Callaway Golf Co. | | | 17,662 | | | 142,532 | |
Churchill Downs, Inc. | | | 3,137 | | | 136,146 | |
Interval Leisure Group, Inc. (a) | | | 11,392 | | | 183,867 | |
Life Time Fitness, Inc. (a) | | | 11,638 | | | 477,042 | |
Pool Corp. | | | 14,068 | | | 317,093 | |
Smith & Wesson Holding Corp. (a) | | | 15,851 | | | 59,283 | |
Speedway Motorsports, Inc. | | | 3,970 | | | 60,820 | |
Steinway Musical Instruments, Inc. (a) | | | 1,615 | | | 32,058 | |
Sturm Ruger & Co., Inc. | | | 5,038 | | | 77,031 | |
Vail Resorts, Inc. (a) | | | 10,137 | | | 527,529 | |
West Marine, Inc. (a) | | | 4,954 | | | 52,413 | |
| | | | |
|
|
|
| | | | | | 2,065,814 | |
|
|
|
|
|
|
|
|
Luxury Items — 0.0% | | | | | | | |
Movado Group, Inc. (a) | | | 4,897 | | | 79,038 | |
|
|
|
|
|
|
|
|
Machinery: Agricultural — 0.2% | | | | | | | |
Alamo Group, Inc. | | | 1,915 | | | 53,275 | |
Lindsay Manufacturing Co. (b) | | | 3,448 | | | 204,915 | |
Titan International, Inc. (b) | | | 10,040 | | | 196,181 | |
Titan Machinery, Inc. (a) | | | 3,589 | | | 69,268 | |
| | | | |
|
|
|
| | | | | | 523,639 | |
|
|
|
|
|
|
|
|
Machinery: Construction & Handling — 0.1% | | | | | | | |
Astec Industries, Inc. (a) | | | 5,569 | | | 180,491 | |
Douglas Dynamics, Inc. | | | 2,729 | | | 41,345 | |
NACCO Industries, Inc., Class A | | | 1,665 | | | 180,436 | |
| | | | |
|
|
|
| | | | | | 402,272 | |
|
|
|
|
|
|
|
|
Machinery: Engines — 0.1% | | | | | | | |
Briggs & Stratton Corp. (b) | | | 13,749 | | | 270,718 | |
|
|
|
|
|
|
|
|
Machinery: Industrial — 1.4% | | | | | | | |
Actuant Corp., Class A | | | 18,814 | | | 500,829 | |
Altra Holdings, Inc. (a) | | | 7,410 | | | 147,163 | |
Applied Industrial Technologies, Inc. | | | 11,742 | | | 381,380 | |
Chart Industries, Inc. (a) | | | 8,083 | | | 273,044 | |
Colfax Corp. (a) | | | 6,529 | | | 120,199 | |
Columbus McKinnon Corp. (a) | | | 5,464 | | | 111,028 | |
DXP Enterprises, Inc. (a) | | | 2,538 | | | 60,912 | |
EnPro Industries, Inc. (a) | | | 5,683 | | | 236,185 | |
Flow International Corp. (a) | | | 12,968 | | | 53,039 | |
Gerber Scientific, Inc. (a) | | | 7,871 | | | 61,945 | |
Graham Corp. | | | 2,580 | | | 51,600 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Machinery: Industrial (concluded) | | | | | | | |
John Bean Technologies Corp. | | | 8,120 | | $ | 163,456 | |
Kadant, Inc. (a) | | | 3,757 | | | 88,552 | |
MTS Systems Corp. | | | 4,474 | | | 167,596 | |
Middleby Corp. (a) | | | 4,614 | | | 389,514 | |
Nordson Corp. | | | 9,462 | | | 869,369 | |
Sauer-Danfoss, Inc. (a) | | | 3,362 | | | 94,976 | |
Tecumseh Products Co., Class A (a) | | | 5,555 | | | 72,493 | |
Tennant Co. | | | 5,299 | | | 203,535 | |
Twin Disc, Inc. | | | 2,412 | | | 72,022 | |
Woodward Governor Co. | | | 17,057 | | | 640,661 | |
| | | | |
|
|
|
| | | | | | 4,759,498 | |
|
|
|
|
|
|
|
|
Machinery: Specialty — 0.1% | | | | | | | |
Albany International Corp., Class A | | | 7,840 | | | 185,730 | |
Cascade Corp. | | | 2,468 | | | 116,687 | |
Presstek, Inc. (a) | | | 8,791 | | | 19,516 | |
Xerium Technologies, Inc. (a) | | | 1,921 | | | 30,640 | |
| | | | |
|
|
|
| | | | | | 352,573 | |
|
|
|
|
|
|
|
|
Manufactured Housing — 0.0% | | | | | | | |
Cavco Industries, Inc. (a) | | | 1,766 | | | 82,455 | |
Skyline Corp. | | | 2,564 | | | 66,869 | |
| | | | |
|
|
|
| | | | | | 149,324 | |
|
|
|
|
|
|
|
|
Medical & Dental Instruments & Supplies — 2.3% | | | | | | | |
Abiomed, Inc. (a) | | | 8,678 | | | 83,396 | |
Align Technology, Inc. (a)(b) | | | 16,705 | | | 326,416 | |
Alphatec Holdings, Inc. (a) | | | 13,198 | | | 35,635 | |
American Medical Systems Holdings, Inc. (a) | | | 21,017 | | | 396,381 | |
AngioDynamics, Inc. (a) | | | 6,834 | | | 105,039 | |
Antares Pharma Inc. (a) | | | 26,215 | | | 44,566 | |
Atrion Corp. | | | 464 | | | 83,269 | |
CONMED Corp. (a) | | | 8,263 | | | 218,391 | |
Cantel Medical Corp. | | | 3,843 | | | 89,926 | |
Cerus Corp. (a) | | | 14,472 | | | 35,601 | |
Conceptus, Inc. (a) | | | 8,485 | | | 117,093 | |
CryoLife, Inc. (a) | | | 9,367 | | | 50,769 | |
Cutera, Inc. (a) | | | 3,601 | | | 29,852 | |
Delcath Systems Inc. (a)(b) | | | 12,269 | | | 120,236 | |
Endologix, Inc. (a) | | | 14,633 | | | 104,626 | |
Exactech, Inc. (a) | | | 2,225 | | | 41,875 | |
Hansen Medical, Inc. (a) | | | 13,638 | | | 20,048 | |
Heartware International, Inc. (a) | | | 2,571 | | | 225,142 | |
ICU Medical, Inc. (a) | | | 3,309 | | | 120,778 | |
Immucor, Inc. (a) | | | 19,543 | | | 387,538 | |
Insulet Corp. (a) | | | 12,279 | | | 190,324 | |
Integra LifeSciences Holdings Corp. (a) | | | 5,887 | | | 278,455 | |
Invacare Corp. | | | 8,189 | | | 246,980 | |
Landauer, Inc. | | | 2,693 | | | 161,499 | |
MAKO Surgical Corp. (a)(b) | | | 8,659 | | | 131,790 | |
Medical Action Industries, Inc. (a) | | | 3,794 | | | 36,347 | |
Meridian Bioscience, Inc. | | | 11,442 | | | 264,997 | |
Merit Medical Systems, Inc. (a) | | | 7,666 | | | 121,353 | |
Neogen Corp. (a) | | | 6,405 | | | 262,797 | |
NuVasive, Inc. (a) | | | 10,853 | | | 278,379 | |
OraSure Technologies, Inc. (a) | | | 12,424 | | | 71,438 | |
Orthofix International NV (a) | | | 4,802 | | | 139,258 | |
Orthovita, Inc. (a) | | | 17,416 | | | 35,006 | |
See Notes to Financial Statements.
| | |
|
|
|
26 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Medical & Dental Instruments &
Supplies (concluded) | | | | | | | |
Owens & Minor, Inc. | | | 17,336 | | $ | 510,198 | |
PSS World Medical, Inc. (a) | | | 15,966 | | | 360,832 | |
Quidel Corp. (a) | | | 6,370 | | | 92,046 | |
Rochester Medical Corp. (a) | | | 2,911 | | | 31,788 | |
Staar Surgical Co. (a) | | | 10,971 | | | 66,923 | |
Steris Corp. | | | 16,245 | | | 592,293 | |
SurModics, Inc. (a) | | | 5,440 | | | 64,573 | |
Symmetry Medical, Inc. (a) | | | 10,591 | | | 97,967 | |
Synovis Life Technologies, Inc. (a) | | | 3,647 | | | 58,753 | |
Unilife Corp. (a) | | | 14,799 | | | 78,435 | |
Vascular Solutions, Inc. (a) | | | 4,400 | | | 51,568 | |
Volcano Corp. (a) | | | 14,036 | | | 383,323 | |
West Pharmaceutical Services, Inc. | | | 9,216 | | | 379,699 | |
Wright Medical Group, Inc. (a) | | | 10,460 | | | 162,444 | |
Young Innovations, Inc. | | | 1,422 | | | 45,518 | |
| | | | |
|
|
|
| | | | | | 7,831,560 | |
|
|
|
|
|
|
|
|
Medical Equipment — 1.5% | | | | | | | |
Abaxis, Inc. (a) | | | 6,311 | | | 169,450 | |
Accuray, Inc. (a) | | | 15,114 | | | 102,019 | |
Affymetrix, Inc. (a) | | | 21,861 | | | 109,961 | |
Analogic Corp. | | | 3,431 | | | 169,869 | |
ArthroCare Corp. (a) | | | 7,616 | | | 236,553 | |
Bruker BioSciences Corp. (a) | | | 20,059 | | | 332,979 | |
Caliper Life Sciences, Inc. (a) | | | 13,459 | | | 85,330 | |
Cyberonics, Inc. (a) | | | 7,867 | | | 244,034 | |
Cynosure, Inc., Class A (a) | | | 2,515 | | | 25,728 | |
DexCom, Inc. (a) | | | 17,344 | | | 236,746 | |
Dionex Corp. (a) | | | 4,902 | | | 578,485 | |
Greatbatch, Inc. (a) | | | 6,591 | | | 159,173 | |
Haemonetics Corp. (a) | | | 6,876 | | | 434,426 | |
IRIS International, Inc. (a) | | | 4,373 | | | 44,736 | |
Luminex Corp. (a) | | | 10,705 | | | 195,687 | |
MELA Sciences, Inc. (a)(b) | | | 9,363 | | | 31,366 | |
Masimo Corp. | | | 14,437 | | | 419,684 | |
Merge Healthcare, Inc. (a) | | | 15,972 | | | 59,576 | |
Natus Medical, Inc. (a) | | | 7,848 | | | 111,285 | |
NxStage Medical, Inc. (a) | | | 7,201 | | | 179,161 | |
Palomar Medical Technologies, Inc. (a) | | | 4,943 | | | 70,240 | |
Sirona Dental Systems, Inc. (a) | | | 9,262 | | | 386,966 | |
Solta Medical, Inc. (a) | | | 15,700 | | | 47,885 | |
SonoSite, Inc. (a) | | | 3,951 | | | 124,852 | |
Spectranetic Corp. (a) | | | 10,944 | | | 56,471 | |
Stereotaxis, Inc. (a) | | | 10,106 | | | 38,706 | |
Syneron Medical Ltd. (a) | | | 10,776 | | | 109,807 | |
Tomotherapy, Inc. (a) | | | 15,964 | | | 57,630 | |
Vital Images, Inc. (a) | | | 4,790 | | | 66,964 | |
Zoll Medical Corp. (a) | | | 5,912 | | | 220,104 | |
| | | | |
|
|
|
| | | | | | 5,105,873 | |
|
|
|
|
|
|
|
|
Medical Services — 0.2% | | | | | | | |
America Service Group, Inc. | | | 2,456 | | | 37,184 | |
Bio-Reference Labs, Inc. (a) | | | 6,873 | | | 152,443 | |
eResearch Technology, Inc. (a) | | | 13,873 | | | 101,967 | |
Genoptix, Inc. (a) | | | 5,155 | | | 98,048 | |
Kendle International, Inc. (a) | | | 4,053 | | | 44,137 | |
Parexel International Corp. (a) | | | 16,422 | | | 348,639 | |
| | | | |
|
|
|
| | | | | | 782,418 | |
|
|
|
|
|
|
|
|
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Metal Fabricating — 0.6% | | | | | | | |
Ampco-Pittsburgh Corp. | | | 2,707 | | $ | 75,931 | |
Dynamic Materials Corp. | | | 3,530 | | | 79,672 | |
Haynes International, Inc. | | | 3,332 | | | 139,378 | |
Kaydon Corp. | | | 9,302 | | | 378,777 | |
L.B. Foster Co., Class A (a) | | | 2,924 | | | 119,709 | |
Metals USA Holdings Corp. (a) | | | 3,643 | | | 55,519 | |
Mueller Industries, Inc. | | | 10,528 | | | 344,266 | |
Mueller Water Products, Inc., Series A | | | 44,725 | | | 186,503 | |
Northwest Pipe Co. (a) | | | 2,527 | | | 60,724 | |
RBC Bearings, Inc. (a) | | | 6,016 | | | 235,105 | |
RTI International Metals, Inc. (a) | | | 8,234 | | | 222,153 | |
Worthington Industries, Inc. | | | 15,892 | | | 292,413 | |
| | | | |
|
|
|
| | | | | | 2,190,150 | |
|
|
|
|
|
|
|
|
Metals & Minerals: Diversified — 0.9% | | | | | | | |
AMCOL International Corp. | | | 6,762 | | | 209,622 | |
Brush Engineered Materials, Inc. (a) | | | 5,627 | | | 217,427 | |
Contango ORE Inc. (a) | | | 278 | | | 2,920 | |
General Moly, Inc. (a) | | | 18,514 | | | 119,971 | |
Globe Specialty Metals, Inc. | | | 17,292 | | | 295,520 | |
Hecla Mining Co. (a) | | | 71,080 | | | 800,361 | |
Minerals Technologies, Inc. | | | 5,227 | | | 341,898 | |
Molycorp, Inc. (a) | | | 7,154 | | | 356,985 | |
Oil-Dri Corp. of America | | | 1,497 | | | 32,170 | |
Thompson Creek Metals Co., Inc. (a) | | | 45,097 | | | 663,828 | |
US Energy Corp. Wyoming (a) | | | 7,411 | | | 45,059 | |
United States Lime & Minerals, Inc. (a) | | | 728 | | | 30,671 | |
| | | | |
|
|
|
| | | | | | 3,116,432 | |
|
|
|
|
|
|
|
|
Miscellaneous Consumer Staples — 0.0% | | | | | | | |
Spectrum Brands Holdings, Inc. (a) | | | 5,218 | | | 162,645 | |
|
|
|
|
|
|
|
|
Office Supplies & Equipment — 0.6% | | | | | | | |
ACCO Brands Corp. (a) | | | 15,757 | | | 134,250 | |
Electronics for Imaging, Inc. (a) | | | 13,161 | | | 188,334 | |
HNI Corp. | | | 12,699 | | | 396,209 | |
Herman Miller, Inc. | | | 15,980 | | | 404,294 | |
Kimball International, Inc., Class B | | | 8,306 | | | 57,311 | |
Knoll, Inc. | | | 13,332 | | | 223,044 | |
Steelcase, Inc., Class A | | | 21,566 | | | 227,953 | |
United Stationers, Inc. (a) | | | 6,769 | | | 431,930 | |
| | | | |
|
|
|
| | | | | | 2,063,325 | |
|
|
|
|
|
|
|
|
Offshore Drilling & Other Services — 0.1% | | | | | | | |
Hercules Offshore, Inc. (a) | | | 34,953 | | | 120,937 | |
Vantage Drilling Co. (a) | | | 46,103 | | | 93,589 | |
| | | | |
|
|
|
| | | | | | 214,526 | |
|
|
|
|
|
|
|
|
Oil Well Equipment & Services — 1.8% | | | | | | | |
Allis-Chalmers Energy, Inc. (a) | | | 9,963 | | | 70,638 | |
Basic Energy Services, Inc. (a) | | | 6,663 | | | 109,806 | |
CARBO Ceramics, Inc. | | | 5,248 | | | 543,378 | |
Cal Dive International, Inc. (a) | | | 25,994 | | | 147,386 | |
Complete Production Services, Inc. (a) | | | 21,680 | | | 640,644 | |
Dawson Geophysical Co. (a) | | | 2,470 | | | 78,793 | |
Dril-Quip, Inc. (a) | | | 9,416 | | | 731,812 | |
Global Industries Ltd. (a) | | | 29,256 | | | 202,744 | |
Golar LNG Ltd. | | | 10,033 | | | 150,595 | |
Gulf Island Fabrication, Inc. | | | 4,117 | | | 116,017 | |
Helix Energy Solutions Group, Inc. (a) | | | 29,289 | | | 355,568 | |
Hornbeck Offshore Services, Inc. (a) | | | 6,679 | | | 139,458 | |
See Notes to Financial Statements.
| | | |
|
|
|
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 27 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
(Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Oil Well Equipment & Services (concluded) | | | | | | | |
ION Geophysical Corp. (a) | | | 35,056 | | $ | 297,275 | |
Key Energy Services, Inc. (a) | | | 35,088 | | | 455,442 | |
Lufkin Industries, Inc. | | | 8,318 | | | 518,960 | |
Matrix Service Co. (a) | | | 7,862 | | | 95,759 | |
Natural Gas Services Group (a) | | | 3,749 | | | 70,894 | |
Newpark Resources, Inc. (a) | | | 25,550 | | | 157,388 | |
OYO Geospace Corp. (a) | | | 1,184 | | | 117,346 | |
Parker Drilling Co. (a) | | | 32,126 | | | 146,816 | |
Pioneer Drilling Co. (a) | | | 15,841 | | | 139,559 | |
RPC, Inc. | | | 11,931 | | | 216,190 | |
Seahawk Drilling, Inc. (a) | | | 4,013 | | | 35,916 | |
T-3 Energy Services, Inc. (a) | | | 3,636 | | | 144,822 | |
Tesco Corp. (a) | | | 8,657 | | | 137,473 | |
Tetra Technologies, Inc. (a) | | | 21,356 | | | 253,496 | |
Union Drilling, Inc. (a) | | | 5,000 | | | 36,400 | |
Willbros Group, Inc. (a) | | | 13,595 | | | 133,503 | |
| | | | |
|
|
|
| | | | | | 6,244,078 | |
|
|
|
|
|
|
|
|
Oil: Crude Producers — 2.8% | | | | | | | |
ATP Oil & Gas Corp. (a) | | | 12,572 | | | 210,455 | |
Abraxas Petroleum Corp. (a) | | | 19,363 | | | 88,489 | |
Apco Oil and Gas International, Inc. | | | 2,582 | | | 148,465 | |
Approach Resources, Inc. (a) | | | 4,530 | | | 104,643 | |
BPZ Resources, Inc. (a)(b) | | | 27,350 | | | 130,186 | |
Berry Petroleum Co., Class A | | | 14,151 | | | 618,399 | |
Bill Barrett Corp. (a) | | | 12,617 | | | 518,937 | |
Brigham Exploration Co. (a) | | | 32,390 | | | 882,304 | |
CAMAC Energy, Inc. (a) | | | 12,646 | | | 25,166 | |
Callon Petroleum Co. (a) | | | 9,307 | | | 55,097 | |
Carrizo Oil & Gas, Inc. (a) | | | 8,579 | | | 295,890 | |
Cheniere Energy, Inc. (a) | | | 17,673 | | | 97,555 | |
Clayton Williams Energy, Inc. (a) | | | 1,716 | | | 144,093 | |
Contango Oil & Gas Co. (a) | | | 3,259 | | | 188,794 | |
Delta Petroleum Corp. (a)(b) | | | 57,892 | | | 43,998 | |
Endeavour International Corp. (a) | | | 6,259 | | | 86,374 | |
Energy Partners Ltd. (a) | | | 7,980 | | | 118,583 | |
Energy XXI Bermuda Ltd. (a) | | | 18,882 | | | 522,465 | |
FX Energy, Inc. (a)(b) | | | 13,204 | | | 81,205 | |
GMX Resources Inc. (a) | | | 9,582 | | | 52,893 | |
Gastar Exploration Ltd. (a) | | | 15,491 | | | 66,611 | |
GeoResources, Inc. (a) | | | 3,475 | | | 77,180 | |
Goodrich Petroleum Corp. (a) | | | 6,772 | | | 119,458 | |
Gulfport Energy Corp. (a) | | | 7,748 | | | 167,744 | |
Harvest Natural Resources, Inc. (a) | | | 9,106 | | | 110,820 | |
Houston American Energy Corp. | | | 5,116 | | | 92,548 | |
Kodiak Oil & Gas Corp. (a) | | | 48,935 | | | 322,971 | |
Magnum Hunter Resources Corp. (a) | | | 15,421 | | | 111,031 | |
McMoRan Exploration Co. (a)(b) | | | 26,600 | | | 455,924 | |
Miller Petroleum, Inc. (a) | | | 4,608 | | | 23,962 | |
Northern Oil And Gas, Inc. (a) | | | 14,942 | | | 406,572 | |
Oasis Petroleum, Inc. (a) | | | 13,493 | | | 365,930 | |
Panhandle Oil & Gas, Inc. | | | 2,254 | | | 61,805 | |
Penn Virginia Corp. | | | 12,871 | | | 216,490 | |
Petroleum Development Corp. (a) | | | 6,241 | | | 263,433 | |
Petroquest Energy, Inc. (a) | | | 14,924 | | | 112,378 | |
Ram Energy Resources, Inc. (a) | | | 20,867 | | | 38,395 | |
Resolute Energy Corp. (a) | | | 10,965 | | | 161,843 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Oil: Crude Producers (concluded) | | | | | | | |
Rex Energy Corp. (a) | | | 9,156 | | $ | 124,979 | |
Rosetta Resources, Inc. (a) | | | 14,738 | | | 554,738 | |
Stone Energy Corp. (a) | | | 11,897 | | | 265,184 | |
Swift Energy Co. (a) | | | 11,320 | | | 443,178 | |
TransAtlantic Petroleum Ltd. (a) | | | 41,201 | | | 137,199 | |
Vaalco Energy, Inc. (a) | | | 14,252 | | | 102,044 | |
Venoco, Inc. (a) | | | 5,644 | | | 104,132 | |
W&T Offshore, Inc. | | | 9,928 | | | 177,413 | |
Warren Resources, Inc. (a) | | | 20,216 | | | 91,376 | |
| | | | |
|
|
|
| | | | | | 9,589,329 | |
|
|
|
|
|
|
|
|
Oil: Refining & Marketing — 0.3% | | | | | | | |
CVR Energy, Inc. (a) | | | 8,639 | | | 131,140 | |
Clean Energy Fuels Corp. (a)(b) | | | 13,108 | | | 181,415 | |
Delek US Holdings, Inc. | | | 3,617 | | | 26,332 | |
Western Refining, Inc. (a)(b) | | | 13,882 | | | 146,871 | |
World Fuel Services Corp. | | | 19,149 | | | 692,428 | |
| | | | |
|
|
|
| | | | | | 1,178,186 | |
|
|
|
|
|
|
|
|
Paints & Coatings — 0.2% | | | | | | | |
Ferro Corp. (a) | | | 24,133 | | | 353,307 | |
H.B. Fuller Co. | | | 13,730 | | | 281,740 | |
| | | | |
|
|
|
| | | | | | 635,047 | |
|
|
|
|
|
|
|
|
Paper — 0.4% | | | | | | | |
Boise, Inc. | | | 20,055 | | | 159,036 | |
Buckeye Technologies, Inc. | | | 10,853 | | | 228,021 | |
Clearwater Paper Corp. (a) | | | 3,233 | | | 253,144 | |
Kapstone Paper and Packaging Corp. (a) | | | 10,431 | | | 159,594 | |
Neenah Paper, Inc. | | | 4,231 | | | 83,266 | |
P.H. Glatfelter Co. | | | 13,091 | | | 160,627 | |
Schweitzer-Mauduit International, Inc. | | | 5,102 | | | 321,018 | |
Wausau Paper Corp. | | | 14,144 | | | 121,780 | |
| | | | |
|
|
|
| | | | | | 1,486,486 | |
|
|
|
|
|
|
|
|
Personal Care — 0.1% | | | | | | | |
Female Health Co. | | | 4,865 | | | 27,682 | |
USANA Health Sciences, Inc. (a) | | | 1,811 | | | 78,688 | |
WD-40 Co. | | | 4,670 | | | 188,107 | |
| | | | |
|
|
|
| | | | | | 294,477 | |
|
|
|
|
|
|
|
|
Pharmaceuticals — 1.7% | | | | | | | |
Akorn, Inc. (a) | | | 16,579 | | | 100,635 | |
Alexza Pharmaceuticals, Inc. (a) | | | 20,109 | | | 25,136 | |
Alkermes, Inc. (a) | | | 26,192 | | | 321,638 | |
Ardea Biosciences, Inc. (a) | | | 4,096 | | | 106,496 | |
Auxilium Pharmaceuticals, Inc. (a) | | | 11,884 | | | 250,752 | |
Avanir Pharmaceuticals, Inc. (a) | | | 25,426 | | | 103,738 | |
BMP Sunstone Corp. (a) | | | 7,474 | | | 74,067 | |
BioCryst Pharmaceuticals, Inc. (a) | | | 7,346 | | | 37,979 | |
Biospecifics Technologies (a) | | | 941 | | | 24,090 | |
Cadence Pharmaceuticals, Inc. (a)(b) | | | 8,926 | | | 67,391 | |
Cambrex Corp. (a) | | | 7,802 | | | 40,336 | |
Corcept Therapeutics Inc. (a) | | | 8,329 | | | 32,150 | |
Depomed, Inc. (a) | | | 15,975 | | | 101,601 | |
Durect Corp. (a) | | | 26,387 | | | 91,035 | |
Eurand NV (a) | | | 6,048 | | | 71,548 | |
Hi-Tech Pharmacal Co., Inc. (a) | | | 2,944 | | | 73,453 | |
Impax Laboratories, Inc. (a) | | | 17,716 | | | 356,269 | |
| | |
See Notes to Financial Statements. | |
|
|
|
28 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
(Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Pharmaceuticals (concluded) | | | | | | | |
Inspire Pharmaceuticals, Inc. (a) | | | 17,578 | | $ | 147,655 | |
Ironwood Pharmaceuticals, Inc. (a) | | | 6,233 | | | 64,512 | |
Isis Pharmaceuticals, Inc. (a) | | | 26,819 | | | 271,408 | |
Jazz Pharmaceuticals, Inc. (a) | | | 4,518 | | | 88,914 | |
MAP Pharmaceuticals, Inc. (a) | | | 4,555 | | | 76,251 | |
Medicines Co. (a) | | | 15,244 | | | 215,398 | |
Medicis Pharmaceutical Corp., Class A | | | 16,868 | | | 451,894 | |
Obagi Medical Products, Inc. (a) | | | 4,854 | | | 56,064 | |
Optimer Pharmaceuticals, Inc. (a)(b) | | | 10,164 | | | 114,955 | |
Pain Therapeutics, Inc. | | | 9,856 | | | 66,528 | |
Par Pharmaceutical Cos., Inc. (a) | | | 9,642 | | | 371,313 | |
Pharmacyclics, Inc. (a) | | | 12,579 | | | 76,480 | |
Pozen, Inc. (a) | | | 7,391 | | | 49,150 | |
Prestige Brands Holdings, Inc. (a) | | | 11,461 | | | 136,959 | |
Questcor Pharmaceuticals, Inc. (a) | | | 15,416 | | | 227,078 | |
SIGA Technologies, Inc. (a) | | | 9,807 | | | 137,298 | |
Salix Pharmaceuticals Ltd. (a) | | | 15,916 | | | 747,415 | |
Santarus, Inc. (a) | | | 16,883 | | | 55,207 | |
Sciclone Pharmaceuticals, Inc. (a) | | | 9,599 | | | 40,124 | |
Somaxon Pharmaceuticals, Inc. (a)(b) | | | 10,881 | | | 34,275 | |
Spectrum Pharmaceuticals, Inc. (a) | | | 16,168 | | | 111,074 | |
SuperGen, Inc. (a) | | | 15,322 | | | 40,144 | |
Vical, Inc. (a) | | | 23,203 | | | 46,870 | |
Vivus, Inc. (a)(b) | | | 23,017 | | | 215,669 | |
Xenoport, Inc. (a) | | | 9,474 | | | 80,719 | |
| | | | |
|
|
|
| | | | | | 5,801,668 | |
|
|
|
|
|
|
|
|
Photography — 0.1% | | | | | | | |
CPI Corp. | | | 1,364 | | | 30,758 | |
Eastman Kodak Co. (a) | | | 75,595 | | | 405,189 | |
| | | | |
|
|
|
| | | | | | 435,947 | |
|
|
|
|
|
|
|
|
Plastics — 0.1% | | | | | | | |
A Schulman, Inc. | | | 8,955 | | | 204,980 | |
Spartech Corp. (a) | | | 8,818 | | | 82,536 | |
| | | | |
|
|
|
| | | | | | 287,516 | |
|
|
|
|
|
|
|
|
Power Transmission Equipment — 0.2% | | | | | | | |
Advanced Energy Industries, Inc. (a) | | | 9,933 | | | 135,486 | |
Generac Holdings, Inc. (a) | | | 5,700 | | | 92,169 | |
Maxwell Technologies, Inc. (a) | | | 7,390 | | | 139,597 | |
Powell Industries, Inc. (a) | | | 2,486 | | | 81,740 | |
Power-One, Inc. (a) | | | 19,602 | | | 199,940 | |
Vicor Corp. | | | 5,552 | | | 91,053 | |
| | | | |
|
|
|
| | | | | | 739,985 | |
|
|
|
|
|
|
|
|
Precious Metals & Minerals — 0.1% | | | | | | | |
Horsehead Holding Corp. (a) | | | 11,875 | | | 154,850 | |
Stillwater Mining Co. (a) | | | 12,542 | | | 267,772 | |
| | | | |
|
|
|
| | | | | | 422,622 | |
|
|
|
|
|
|
|
|
Printing & Copying Services — 0.0% | | | | | | | |
Casella Waste Systems, Inc. (a) | | | 6,770 | | | 47,999 | |
Cenveo, Inc. (a) | | | 16,875 | | | 90,113 | |
| | | | |
|
|
|
| | | | | | 138,112 | |
|
|
|
|
|
|
|
|
Producer Durables: Miscellaneous — 0.1% | | | | | | | |
Blount International, Inc. (a) | | | 13,521 | | | 213,091 | |
Park-Ohio Holdings Corp. (a) | | | 2,083 | | | 43,555 | |
| | | | |
|
|
|
| | | | | | 256,646 | |
|
|
|
|
|
|
|
|
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Production Technology Equipment — 1.2% | | | | | | | |
ATMI, Inc. (a)(c) | | | 8,945 | | $ | 178,363 | |
Axcelis Technologies, Inc. (a) | | | 29,688 | | | 102,721 | |
Brooks Automation, Inc. (a) | | | 17,785 | | | 161,310 | |
Cognex Corp. | | | 11,186 | | | 329,092 | |
Cohu, Inc. | | | 6,543 | | | 108,483 | |
Cymer, Inc. (a) | | | 8,378 | | | 377,597 | |
Electro Scientific Industries, Inc. (a) | | | 7,947 | | | 127,390 | |
Entegris, Inc. (a) | | | 37,073 | | | 276,935 | |
FEI Co. (a) | | | 10,786 | | | 284,858 | |
FSI International, Inc. (a) | | | 11,682 | | | 51,634 | |
Intevac, Inc. (a) | | | 6,716 | | | 94,091 | |
Kulicke & Soffa Industries, Inc. (a) | | | 19,073 | | | 137,326 | |
LTX-Credence Corp. (a) | | | 13,925 | | | 103,045 | |
MKS Instruments, Inc. (a) | | | 13,799 | | | 337,938 | |
Mattson Technology, Inc. (a) | | | 13,255 | | | 39,765 | |
Nanometrics, Inc. (a) | | | 5,369 | | | 68,884 | |
Photronics, Inc. (a) | | | 14,837 | | | 87,687 | |
Rudolph Technologies, Inc. (a) | | | 9,575 | | | 78,802 | |
Tessera Technologies, Inc. (a) | | | 13,833 | | | 306,401 | |
Ultra Clean Holdings, Inc. (a) | | | 5,622 | | | 52,341 | |
Ultratech, Inc. (a) | | | 6,599 | | | 131,188 | |
Veeco Instruments, Inc. (a)(b) | | | 11,281 | | | 484,632 | |
| | | | |
|
|
|
| | | | | | 3,920,483 | |
|
|
|
|
|
|
|
|
Publishing — 0.2% | | | | | | | |
AH Belo Corp. (a) | | | 5,824 | | | 50,669 | |
Courier Corp. | | | 2,809 | | | 43,596 | |
The Dolan Co. (a) | | | 8,415 | | | 117,137 | |
Journal Communications, Inc., Class A (a) | | | 13,672 | | | 69,044 | |
Lee Enterprises, Inc. (a) | | | 12,130 | | | 29,840 | |
Martha Stewart Living Omnimedia, Inc., Class A (a) | | | 9,097 | | | 40,209 | |
McClatchy Co., Class A (a) | | | 18,259 | | | 85,269 | |
Media General, Inc., Class A (a) | | | 6,190 | | | 35,778 | |
Scholastic Corp. | | | 8,601 | | | 254,073 | |
| | | | |
|
|
|
| | | | | | 725,615 | |
|
|
|
|
|
|
|
|
Radio & TV Broadcasters — 0.1% | | | | | | | |
Entercom Communications Corp. (a) | | | 7,400 | | | 85,692 | |
Entravision Communications Corp., Class A (a) | | | 13,536 | | | 34,787 | |
Fisher Communications, Inc. (a) | | | 1,917 | | | 41,791 | |
Gray Television, Inc. (a) | | | 12,942 | | | 24,202 | |
Lin TV Corp., Class A (a) | | | 9,820 | | | 52,046 | |
Sinclair Broadcast Group, Inc., Class A | | | 13,411 | | | 109,702 | |
| | | | |
|
|
|
| | | | | | 348,220 | |
|
|
|
|
|
|
|
|
Railroad Equipment — 0.1% | | | | | | | |
American Railcar Industries, Inc. (a) | | | 2,946 | | | 65,195 | |
Freightcar America, Inc. | | | 3,600 | | | 104,184 | |
Greenbrier Cos., Inc. (a) | | | 5,227 | | | 109,715 | |
| | | | |
|
|
|
| | | | | | 279,094 | |
|
|
|
|
|
|
|
|
Railroads — 0.2% | | | | | | | |
Genesee & Wyoming, Inc., Class A (a) | | | 10,695 | | | 566,300 | |
Railamerica, Inc. (a) | | | 6,557 | | | 84,913 | |
| | | | |
|
|
|
| | | | | | 651,213 | |
|
|
|
|
|
|
|
|
| | |
See Notes to Financial Statements. | | |
|
|
|
BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 29 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
(Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Real Estate — 0.2% | | | | | | | |
Avatar Holdings, Inc. (a) | | | 3,071 | | $ | 60,867 | |
Consolidated-Tomoka Land Co. | | | 1,421 | | | 41,067 | |
Forestar Group, Inc. (a) | | | 10,343 | | | 199,620 | |
HFF, Inc., Class A (a) | | | 5,892 | | | 56,917 | |
Kennedy-Wilson Holdings, Inc. (a) | | | 5,704 | | | 56,983 | |
Tejon Ranch Co. (a) | | | 3,901 | | | 107,472 | |
Thomas Properties Group, Inc. | | | 10,000 | | | 42,200 | |
| | | | |
|
|
|
| | | | | | 565,126 | |
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) — 7.1% | | | | | | | |
Acadia Realty Trust | | | 11,565 | | | 210,946 | |
Agree Realty Corp. | | | 2,415 | | | 63,249 | |
Alexander’s, Inc. | | | 584 | | | 240,772 | |
American Campus Communities, Inc. | | | 18,057 | | | 573,490 | |
American Capital Agency Corp. | | | 14,016 | | | 402,820 | |
Anworth Mortgage Asset Corp. | | | 32,285 | | | 225,995 | |
Apollo Commercial Real Estate Finance, Inc. | | | 6,006 | | | 98,198 | |
Ashford Hospitality Trust, Inc. (a) | | | 11,735 | | | 113,243 | |
Associated Estates Realty Corp. | | | 11,693 | | | 178,786 | |
BioMed Realty Trust, Inc. | | | 36,167 | | | 674,515 | |
CBL & Associates Properties, Inc. | | | 38,540 | | | 674,450 | |
Campus Crest Communities Inc. | | | 8,499 | | | 119,156 | |
CapLease, Inc. | | | 18,681 | | | 108,723 | |
Capstead Mortgage Corp. | | | 19,086 | | | 240,293 | |
Cedar Shopping Centers, Inc. | | | 17,380 | | | 109,320 | |
Chatham Lodging Trust | | | 3,147 | | | 54,286 | |
Chesapeake Lodging Trust | | | 5,022 | | | 94,464 | |
Cogdell Spencer, Inc. | | | 14,062 | | | 81,560 | |
Colonial Properties Trust | | | 21,729 | | | 392,208 | |
Colony Financial, Inc. | | | 4,051 | | | 81,101 | |
Coresite Realty Corp. | | | 5,462 | | | 74,502 | |
Cousins Properties, Inc. | | | 25,146 | | | 209,717 | |
CreXus Investment Corp. | | | 5,325 | | | 69,758 | |
Cypress Sharpridge Investments, Inc. | | | 13,900 | | | 179,449 | |
DCT Industrial Trust, Inc. | | | 60,489 | | | 321,197 | |
DiamondRock Hospitality Co. | | | 43,067 | | | 516,804 | |
Dupont Fabros Technology, Inc. | | | 11,415 | | | 242,797 | |
Dynex Capital Corp. | | | 7,178 | | | 78,384 | |
Eastgroup Properties, Inc. | | | 7,421 | | | 314,057 | |
Education Realty Trust, Inc. | | | 17,042 | | | 132,416 | |
Entertainment Properties Trust | | | 12,733 | | | 588,901 | |
Equity Lifestyle Properties, Inc. | | | 7,259 | | | 405,996 | |
Equity One, Inc. | | | 10,012 | | | 182,018 | |
Excel Trust, Inc. | | | 6,109 | | | 73,919 | |
Extra Space Storage, Inc. | | | 24,351 | | | 423,707 | |
FelCor Lodging Trust, Inc. (a) | | | 28,167 | | | 198,296 | |
First Industrial Realty Trust, Inc. (a) | | | 18,205 | | | 159,476 | |
First Potomac Realty Trust | | | 13,877 | | | 233,411 | |
Franklin Street Properties Corp. | | | 19,776 | | | 281,808 | |
Getty Realty Corp. | | | 5,991 | | | 187,398 | |
Gladstone Commercial Corp. | | | 2,799 | | | 52,705 | |
Glimcher Realty Trust | | | 24,338 | | | 204,439 | |
Government Properties Income Trust | | | 7,670 | | | 205,479 | |
Hatteras Financial Corp. (b) | | | 12,201 | | | 369,324 | |
Healthcare Realty Trust, Inc. | | | 17,187 | | | 363,849 | |
Hersha Hospitality Trust | | | 38,342 | | | 253,057 | |
Highwoods Properties, Inc. | | | 17,419 | | | 554,795 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) (concluded) | | | | | | | |
Home Properties, Inc. | | | 10,247 | | $ | 568,606 | |
Hudson Pacific Properties Inc. | | | 4,548 | | | 68,447 | |
Inland Real Estate Corp. | | | 20,639 | | | 181,623 | |
InvesCo. Mortgage Capital, Inc. | | | 10,710 | | | 233,906 | |
Investors Real Estate Trust | | | 20,938 | | | 187,814 | |
iStar Financial, Inc. (a) | | | 26,319 | | | 205,815 | |
Kilroy Realty Corp. | | | 14,937 | | | 544,752 | |
Kite Realty Group Trust | | | 15,363 | | | 83,114 | |
LTC Properties, Inc. | | | 7,265 | | | 204,001 | |
LaSalle Hotel Properties | | | 19,447 | | | 513,401 | |
Lexington Corporate Properties Trust | | | 28,061 | | | 223,085 | |
MFA Financial, Inc. | | | 74,984 | | | 611,869 | |
MPG Office Trust, Inc. (a) | | | 15,904 | | | 43,736 | |
Medical Properties Trust, Inc. | | | 30,546 | | | 330,813 | |
Mid-America Apartment Communities, Inc. | | | 8,951 | | | 568,299 | |
Mission West Properties, Inc. | | | 6,057 | | | 40,521 | |
Monmouth Real Estate Investment Corp., Class A | | | 8,155 | | | 69,318 | |
National Health Investors, Inc. | | | 6,729 | | | 302,940 | |
National Retail Properties, Inc. | | | 22,612 | | | 599,218 | |
Newcastle Investment Corp. | | | 16,873 | | | 113,049 | |
NorthStar Realty Finance Corp. (b) | | | 23,413 | | | 111,212 | |
Omega Healthcare Investors, Inc. | | | 27,382 | | | 614,452 | |
One Liberty Properties, Inc. | | | 2,480 | | | 41,416 | |
PS Business Parks, Inc. | | | 5,213 | | | 290,468 | |
Parkway Properties, Inc. | | | 6,641 | | | 116,350 | |
Pebblebrook Hotel Trust | | | 10,710 | | | 217,627 | |
Pennsylvania Real Estate Investment Trust | | | 15,958 | | | 231,870 | |
PennyMac Mortgage Investment Trust (d) | | | 5,329 | | | 96,721 | |
Post Properties, Inc. | | | 13,498 | | | 489,977 | |
Potlatch Corp. | | | 11,042 | | | 359,417 | |
RAIT Investment Trust (a) | | | 29,403 | | | 64,393 | |
Ramco-Gershenson Properties Trust | | | 11,025 | | | 137,261 | |
Redwood Trust, Inc. | | | 22,240 | | | 332,043 | |
Resource Capital Corp. | | | 13,297 | | | 98,132 | |
Retail Opportunity Investments Corp. | | | 11,819 | | | 117,126 | |
Sabra Healthcare REIT Inc. | | | 6,848 | | | 126,003 | |
Saul Centers, Inc. | | | 1,979 | | | 93,706 | |
Sovran Self Storage, Inc. | | | 7,612 | | | 280,198 | |
Starwood Property Trust, Inc. | | | 13,525 | | | 290,517 | |
Strategic Hotel Capital, Inc. (a) | | | 40,432 | | | 213,885 | |
Sun Communities, Inc. | | | 5,660 | | | 188,535 | |
Sunstone Hotel Investors, Inc. (a) | | | 31,316 | | | 323,494 | |
Tanger Factory Outlet Centers, Inc. | | | 10,974 | | | 561,759 | |
Terreno Realty Corp. (a) | | | 3,767 | | | 67,542 | |
Two Harbors Investment Corp. | | | 7,240 | | | 70,880 | |
UMH Properties, Inc. | | | 3,019 | | | 30,794 | |
U-Store-It Trust | | | 26,625 | | | 253,736 | |
Universal Health Realty Income Trust | | | 2,771 | | | 101,225 | |
Urstadt Biddle Properties, Inc., Class A | | | 5,100 | | | 99,195 | |
Walter Investment Management Corp. | | | 6,623 | | | 118,817 | |
Washington Real Estate Investment Trust | | | 16,642 | | | 515,736 | |
Winthrop Realty Trust | | | 7,107 | | | 90,899 | |
| | | | |
|
|
|
| | | | | | 24,054,947 | |
|
|
|
|
|
|
|
|
Recreational Vehicles & Boats — 0.4% | | | | | | | |
Arctic Cat, Inc. (a) | | | 3,278 | | | 47,990 | |
Brunswick Corp. | | | 24,883 | | | 466,308 | |
Drew Industries, Inc. | | | 5,231 | | | 118,848 | |
Polaris Industries, Inc. | | | 8,607 | | | 671,518 | |
Winnebago Industries, Inc. (a) | | | 8,586 | | | 130,507 | |
| | | | |
|
|
|
| | | | | | 1,435,171 | |
|
|
|
|
|
|
|
|
| | |
See Notes to Financial Statements. |
|
|
|
30 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Rental & Leasing Services: Consumer — 0.5% | | | | | | | |
Amerco, Inc. (a) | | | 2,429 | | $ | 233,281 | |
Avis Budget Group, Inc. (a) | | | 28,726 | | | 446,977 | |
Dollar Thrifty Automotive Group, Inc. (a) | | | 7,963 | | | 376,331 | |
Rent-A-Center, Inc. | | | 18,264 | | | 589,562 | |
| | | | |
|
|
|
| | | | | | 1,646,151 | |
|
|
|
|
|
|
|
|
Restaurants — 1.4% | | | | | | | |
AFC Enterprises, Inc. (a) | | | 7,532 | | | 104,695 | |
BJ’s Restaurants, Inc. (a) | | | 6,232 | | | 220,800 | |
Biglari Holdings, Inc. (a) | | | 412 | | | 169,007 | |
Bob Evans Farms, Inc. | | | 8,669 | | | 285,730 | |
Bravo Brio Restaurant Group, Inc. (a) | | | 3,196 | | | 61,267 | |
Buffalo Wild Wings, Inc. (a) | | | 5,161 | | | 226,310 | |
CEC Entertainment, Inc. (a) | | | 6,276 | | | 243,697 | |
California Pizza Kitchen, Inc. (a) | | | 5,592 | | | 96,630 | |
The Cheesecake Factory, Inc. (a) | | | 16,690 | | | 511,715 | |
Cracker Barrel Old Country Store, Inc. | | | 6,582 | | | 360,496 | |
Denny’s Corp. (a) | | | 29,129 | | | 104,282 | |
DineEquity, Inc. (a) | | | 5,112 | | | 252,431 | |
Domino’s Pizza, Inc. (a) | | | 10,453 | | | 166,725 | |
Jack in the Box, Inc. (a) | | | 15,432 | | | 326,078 | |
Jamba, Inc. (a) | | | 15,119 | | | 34,320 | |
Krispy Kreme Doughnuts, Inc. (a) | | | 16,537 | | | 115,428 | |
McCormick & Schmick’s Seafood Restaurants, Inc. (a) | | | 4,210 | | | 38,269 | |
O’Charleys, Inc. (a) | | | 6,021 | | | 43,351 | |
P.F. Chang’s China Bistro, Inc. | | | 6,435 | | | 311,840 | |
Papa John’s International, Inc. (a) | | | 6,071 | | | 168,167 | |
Red Robin Gourmet Burgers, Inc. (a) | | | 4,602 | | | 98,805 | |
Ruby Tuesday, Inc. (a) | | | 17,861 | | | 233,265 | |
Ruth’s Hospitality Group, Inc. (a) | | | 8,052 | | | 37,281 | |
Sonic Corp. (a) | | | 17,568 | | | 177,788 | |
Texas Roadhouse, Inc., Class A (a) | | | 16,259 | | | 279,167 | |
| | | | |
|
|
|
| | | | | | 4,667,544 | |
|
|
|
|
|
|
|
|
Scientific Instruments: Control & Filter — 0.7% | | | | | | | |
Brady Corp. | | | 13,574 | | | 442,648 | |
CIRCOR International, Inc. | | | 4,835 | | | 204,424 | |
ESCO Technologies, Inc. | | | 7,294 | | | 276,005 | |
Energy Recovery, Inc. (a) | | | 10,937 | | | 40,029 | |
The Gorman-Rupp Co. | | | 3,373 | | | 109,015 | |
L-1 Identity Solutions, Inc. (a) | | | 21,034 | | | 250,515 | |
Mine Safety Appliances Co. | | | 7,211 | | | 224,478 | |
PMFG, Inc. (a) | | | 4,319 | | | 70,832 | |
Robbins & Myers, Inc. | | | 7,551 | | | 270,175 | |
Sun Hydraulics, Inc. | | | 3,477 | | | 131,431 | |
Watts Water Technologies, Inc., Class A | | | 8,220 | | | 300,770 | |
X-Rite, Inc. (a) | | | 8,486 | | | 38,781 | |
| | | | |
|
|
|
| | | | | | 2,359,103 | |
|
|
|
|
|
|
|
|
Scientific Instruments: Electrical — 1.2% | | | | | | | |
A123 Systems, Inc. (a)(b) | | | 20,773 | | | 198,174 | |
A.O. Smith Corp. | | | 10,085 | | | 384,037 | |
AZZ, Inc. | | | 3,350 | | | 134,034 | |
Advanced Battery Technologies, Inc. (a) | | | 17,782 | | | 68,461 | |
American Superconductor Corp. (a)(b) | | | 13,836 | | | 395,571 | |
Baldor Electric Co. | | | 13,059 | | | 823,239 | |
Ballantyne Strong, Inc. (a) | | | 4,911 | | | 38,159 | |
Broadwind Energy, Inc. (a) | | | 24,807 | | | 57,304 | |
Ener1, Inc. (a) | | | 18,435 | | | 69,869 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
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|
Scientific Instruments: Electrical (concluded) | | | | | | | |
EnerSys (a) | | | 13,437 | | $ | 431,596 | |
Franklin Electric Co., Inc. | | | 6,375 | | | 248,115 | |
GrafTech International Ltd. (a) | | | 33,612 | | | 666,862 | |
Houston Wire & Cable Co. | | | 4,860 | | | 65,318 | |
Littelfuse, Inc. | | | 6,014 | | | 283,019 | |
SatCon Technology Corp. (a) | | | 31,620 | | | 142,290 | |
Taser International, Inc. (a) | | | 19,241 | | | 90,433 | |
UQM Technologies Inc. (a) | | | 9,407 | | | 21,542 | |
| | | | |
|
|
|
| | | | | | 4,118,023 | |
|
|
|
|
|
|
|
|
Scientific Instruments: Gauges & Meters — 0.2% | | | | | | | |
Badger Meter, Inc. | | | 4,217 | | | 186,476 | |
Faro Technologies, Inc. (a) | | | 4,657 | | | 152,936 | |
Measurement Specialties, Inc. (a) | | | 4,213 | | | 123,651 | |
Zygo Corp. (a) | | | 4,827 | | | 59,034 | |
| | | | |
|
|
|
| | | | | | 522,097 | |
|
|
|
|
|
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|
Scientific Instruments: Pollution Control — 0.4% | | | | | | | |
Clean Harbors, Inc. (a) | | | 6,286 | | | 528,527 | |
Darling International, Inc. (a) | | | 23,347 | | | 310,048 | |
EnergySolutions, Inc. | | | 24,218 | | | 134,894 | |
Fuel Tech, Inc. (a) | | | 4,784 | | | 46,453 | |
Met-Pro Corp. | | | 4,635 | | | 54,739 | |
Metalico, Inc. (a) | | | 10,052 | | | 59,106 | |
Team, Inc. (a) | | | 5,437 | | | 131,575 | |
US Ecology, Inc. | | | 5,386 | | | 93,609 | |
| | | | |
|
|
|
| | | | | | 1,358,951 | |
|
|
|
|
|
|
|
|
Securities Brokerage & Services — 0.6% | | | | | | | |
BGC Partners, Inc. | | | 16,478 | | | 136,932 | |
GFI Group, Inc. | | | 19,254 | | | 90,301 | |
Gladstone Investment Corp. | | | 7,015 | | | 53,665 | |
International Assets Holding Corp., Inc. (a) | | | 3,747 | | | 88,429 | |
Investment Technology Group, Inc. (a) | | | 12,215 | | | 199,960 | |
KBW, Inc. | | | 9,961 | | | 278,111 | |
Knight Capital Group, Inc., Class A (a) | | | 25,731 | | | 354,830 | |
LaBranche & Co., Inc. (a) | | | 9,314 | | | 33,530 | |
Ladenburg Thalmann Financial Services, Inc. (a) | | | 23,642 | | | 27,661 | |
MF Global Holdings Ltd. (a) | | | 30,532 | | | 255,248 | |
MarketAxess Holdings, Inc. | | | 7,864 | | | 163,650 | |
optionsXpress Holdings, Inc. | | | 11,713 | | | 183,543 | |
Penson Worldwide, Inc. (a) | | | 7,129 | | | 34,861 | |
SWS Group, Inc. | | | 7,577 | | | 38,264 | |
TradeStation Group, Inc. (a) | | | 12,076 | | | 81,513 | |
| | | | |
|
|
|
| | | | | | 2,020,498 | |
|
|
|
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|
|
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|
Semiconductors & Components — 2.5% | | | | | | | |
AXT, Inc. (a) | | | 9,186 | | | 95,902 | |
Advanced Analogic Technologies, Inc. (a) | | | 11,443 | | | 45,886 | |
Amkor Technology, Inc. (a) | | | 29,076 | | | 214,872 | |
Anadigics, Inc. (a) | | | 18,245 | | | 126,438 | |
Applied Micro Circuits Corp. (a) | | | 18,579 | | | 198,424 | |
Cavium Networks, Inc. (a) | | | 12,355 | | | 465,536 | |
Ceva, Inc. (a) | | | 5,769 | | | 118,265 | |
Cirrus Logic, Inc. (a) | | | 19,249 | | | 307,599 | |
Conexant Systems, Inc. (a) | | | 21,512 | | | 35,065 | |
DSP Group, Inc. (a) | | | 7,463 | | | 60,749 | |
Diodes, Inc. (a) | | | 9,303 | | | 251,088 | |
Entropic Communications, Inc. (a) | | | 18,306 | | | 221,137 | |
| | | |
See Notes to Financial Statements. |
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 31 |
| |
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
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|
|
|
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|
Semiconductors & Components (concluded) | | | | | | | |
Exar Corp. (a) | | | 9,676 | | $ | 67,539 | |
Formfactor, Inc. (a) | | | 13,608 | | | 120,839 | |
Hittite Microwave Corp. (a) | | | 7,560 | | | 461,462 | |
IXYS Corp. (a) | | | 6,681 | | | 77,633 | |
Integrated Device Technology, Inc. (a) | | | 44,708 | | | 297,755 | |
Integrated Silicon Solutions, Inc. (a) | | | 7,810 | | | 62,714 | |
Kopin Corp. (a) | | | 20,001 | | | 83,204 | |
Lattice Semiconductor Corp. (a) | | | 32,983 | | | 199,877 | |
MIPS Technologies, Inc. (a) | | | 13,638 | | | 206,752 | |
MaxLinear, Inc., Class A (a) | | | 2,353 | | | 25,318 | |
Micrel, Inc. | | | 14,234 | | | 184,900 | |
Microsemi Corp. (a) | | | 23,096 | | | 528,898 | |
Mindspeed Technologies, Inc. (a) | | | 9,656 | | | 58,902 | |
Monolithic Power Systems, Inc. (a) | | | 9,247 | | | 152,761 | |
MoSys, Inc. (a) | | | 9,143 | | | 52,024 | |
Netlogic Microsystems, Inc. (a) | | | 17,439 | | | 547,759 | |
Omnivision Technologies, Inc. (a) | | | 14,804 | | | 438,347 | |
PLX Technology, Inc. (a) | | | 9,602 | | | 34,663 | |
Pericom Semiconductor Corp. (a) | | | 6,681 | | | 73,357 | |
Power Integrations, Inc. | | | 6,719 | | | 269,701 | |
RF Micro Devices, Inc. (a) | | | 74,875 | | | 550,331 | |
Rubicon Technology, Inc. (a)(b) | | | 4,365 | | | 92,014 | |
Semtech Corp. (a) | | | 17,250 | | | 390,540 | |
Sigma Designs, Inc. (a) | | | 8,958 | | | 126,935 | |
Silicon Image, Inc. (a) | | | 21,221 | | | 155,974 | |
Spansion, Inc., Class A (a) | | | 3,756 | | | 77,749 | |
Standard Microsystems Corp. (a) | | | 6,383 | | | 184,022 | |
Supertex, Inc. (a) | | | 2,706 | | | 65,431 | |
Trident Microsystems, Inc. (a) | | | 23,713 | | | 42,209 | |
TriQuint Semiconductor, Inc. (a) | | | 43,132 | | | 504,213 | |
Volterra Semiconductor Corp. (a) | | | 6,995 | | | 162,004 | |
Zoran Corp. (a) | | | 14,988 | | | 131,894 | |
| | | | |
|
|
|
| | | | | | 8,568,682 | |
|
|
|
|
|
|
|
|
Shipping — 0.6% | | | | | | | |
Baltic Trading Ltd. | | | 4,253 | | | 43,423 | |
DHT Holdings, Inc. | | | 15,477 | | | 71,968 | |
Eagle Bulk Shipping, Inc. (a) | | | 18,333 | | | 91,298 | |
Excel Maritime Carriers Ltd. (a) | | | 11,924 | | | 67,132 | |
Genco Shipping & Trading Ltd. (a) | | | 7,599 | | | 109,426 | |
General Maritime Corp. | | | 21,897 | | | 71,165 | |
Gulfmark Offshore, Inc., Class A (a) | | | 6,658 | | | 202,403 | |
Horizon Lines, Inc., Class A | | | 7,957 | | | 34,772 | |
International Shipholding Corp. | | | 1,487 | | | 37,770 | |
Knightsbridge Tankers Ltd. | | | 6,671 | | | 148,563 | |
Nordic American Tanker Shipping Ltd. (b) | | | 12,946 | | | 336,855 | |
Overseas Shipholding Group, Inc. | | | 7,082 | | | 250,845 | |
Scorpio Tankers, Inc. (a) | | | 4,931 | | | 49,852 | |
Ship Finance International Ltd. | | | 12,673 | | | 272,723 | |
Teekay Tankers Ltd., Class A | | | 8,631 | | | 106,507 | |
Ultrapetrol Bahamas Ltd. (a) | | | 7,456 | | | 47,942 | |
| | | | |
|
|
|
| | | | | | 1,942,644 | |
|
|
|
|
|
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|
|
Specialty Retail — 3.4% | | | | | | | |
America’s Car Mart, Inc. (a) | | | 2,818 | | | 76,311 | |
AnnTaylor Stores Corp. (a) | | | 16,340 | | | 447,553 | |
Asbury Automotive Group, Inc. (a) | | | 8,005 | | | 147,932 | |
Barnes & Noble, Inc. (b) | | | 11,041 | | | 156,230 | |
bebe Stores, Inc. | | | 10,016 | | | 59,695 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
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|
Specialty Retail (concluded) | | | | | | | |
Big 5 Sporting Goods Corp. | | | 6,616 | | $ | 101,026 | |
Blue Nile, Inc. (a) | | | 3,564 | | | 203,362 | |
Brown Shoe Co., Inc. | | | 12,396 | | | 172,676 | |
The Buckle, Inc. | | | 7,332 | | | 276,930 | |
Build-A-Bear Workshop, Inc. (a) | | | 4,575 | | | 34,953 | |
Cabela’s, Inc., Class A (a)(b) | | | 11,404 | | | 248,037 | |
Casual Male Retail Group, Inc. (a) | | | 12,980 | | | 61,525 | |
The Cato Corp., Class A | | | 7,687 | | | 210,701 | |
Charming Shoppes, Inc. (a) | | | 31,854 | | | 113,082 | |
The Children’s Place Retail Stores, Inc. (a) | | | 7,699 | | | 382,178 | |
Christopher & Banks Corp. | | | 11,047 | | | 67,939 | |
Citi Trends, Inc. (a) | | | 4,073 | | | 99,992 | |
Coldwater Creek, Inc. (a) | | | 15,822 | | | 50,156 | |
Collective Brands, Inc. (a) | | | 18,225 | | | 384,547 | |
DSW, Inc., Class A (a) | | | 3,966 | | | 155,071 | |
Destination Maternity Corp. (a) | | | 1,529 | | | 57,995 | |
Dress Barn, Inc. (a) | | | 16,482 | | | 435,454 | |
Express, Inc. | | | 4,703 | | | 88,416 | |
The Finish Line, Inc., Class A | | | 14,003 | | | 240,712 | |
Genesco, Inc. (a) | | | 6,594 | | | 247,209 | |
Group 1 Automotive, Inc. | | | 6,947 | | | 290,107 | |
Haverty Furniture Cos., Inc. | | | 5,412 | | | 70,248 | |
hhgregg, Inc. (a) | | | 3,708 | | | 77,683 | |
Hibbett Sports, Inc. (a) | | | 8,175 | | | 301,658 | |
Hot Topic, Inc. | | | 13,385 | | | 83,924 | |
Jo-Ann Stores, Inc. (a) | | | 7,609 | | | 458,214 | |
Jos. A. Bank Clothiers, Inc. (a) | | | 7,714 | | | 311,028 | |
Lithia Motors, Inc., Class A | | | 5,802 | | | 82,911 | |
Lumber Liquidators Holdings, Inc. (a) | | | 6,357 | | | 158,353 | |
MarineMax, Inc. (a) | | | 7,200 | | | 67,320 | |
Men’s Wearhouse, Inc. | | | 14,674 | | | 366,557 | |
Midas, Inc. (a) | | | 5,279 | | | 42,813 | |
Monro Muffler, Inc. | | | 8,388 | | | 290,141 | |
Nu Skin Enterprises, Inc., Class A | | | 13,495 | | | 408,359 | |
OfficeMax, Inc. (a) | | | 23,668 | | | 418,924 | |
Pacific Sunwear of California, Inc. (a) | | | 18,106 | | | 98,135 | |
Penske Auto Group, Inc. (a) | | | 12,565 | | | 218,882 | |
The Pep Boys — Manny, Moe & Jack. | | | 14,932 | | | 200,537 | |
Pier 1 Imports, Inc. (a) | | | 29,399 | | | 308,689 | |
Regis Corp. | | | 16,175 | | | 268,505 | |
Retail Ventures, Inc. (a) | | | 6,397 | | | 104,271 | |
Rue21, Inc. (a) | | | 4,317 | | | 126,531 | |
Sally Beauty Co., Inc. (a) | | | 26,406 | | | 383,679 | |
Shoe Carnival, Inc. (a) | | | 2,651 | | | 71,577 | |
Shutterfly, Inc. (a) | | | 7,503 | | | 262,830 | |
Sonic Automotive, Inc. | | | 11,572 | | | 153,213 | |
Stage Stores, Inc. | | | 11,100 | | | 192,474 | |
Stamps.com, Inc. | | | 3,109 | | | 41,194 | |
Stein Mart, Inc. | | | 8,185 | | | 75,711 | |
Systemax, Inc. | | | 3,543 | | | 49,956 | |
The Talbots, Inc. (a) | | | 19,271 | | | 164,189 | |
Ulta Salon Cosmetics & Fragrance, Inc. (a) | | | 8,830 | | | 300,220 | |
Vitacost.com, Inc. (a) | | | 3,712 | | | 15,869 | |
Vitamin Shoppe, Inc. (a) | | | 4,353 | | | 146,435 | |
The Wet Seal, Inc., Class A (a) | | | 28,686 | | | 106,138 | |
Zumiez, Inc. (a) | | | 5,812 | | | 156,168 | |
| | | | |
|
|
|
| | | | | | 11,393,125 | |
|
|
|
|
|
|
|
|
| | |
See Notes to Financial Statements. |
|
32 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
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Steel — 0.0% | | | | | | | |
Olympic Steel, Inc. | | | 2,838 | | $ | 81,394 | |
Universal Stainless & Alloy Products, Inc. (a) | | | 2,055 | | | 64,280 | |
| | | | |
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| | | | | | 145,674 | |
|
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Sugar — 0.0% | | | | | | | |
Imperial Sugar Co., New Shares | | | 3,829 | | | 51,194 | |
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Synthetic Fibers & Chemicals — 0.0% | | | | | | | |
Zoltek Cos., Inc. (a) | | | 7,893 | | | 91,164 | |
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Technology: Miscellaneous — 0.4% | | | | | | | |
Benchmark Electronics, Inc. (a) | | | 17,445 | | | 316,801 | |
CTS Corp. | | | 10,129 | | | 112,027 | |
Fabrinet (a) | | | 2,967 | | | 63,790 | |
LaBarge, Inc. (a) | | | 3,842 | | | 60,358 | |
Plexus Corp. (a) | | | 11,426 | | | 353,520 | |
Sanmina-SCI Corp. (a) | | | 22,595 | | | 259,391 | |
Vocus, Inc. (a) | | | 4,824 | | | 133,432 | |
| | | | |
|
|
|
| | | | | | 1,299,319 | |
|
|
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Telecommunications Equipment — 0.3% | | | | | | | |
Applied Signal Technology, Inc. | | | 3,684 | | | 139,587 | |
Arris Group, Inc. (a) | | | 35,704 | | | 400,599 | |
Brightpoint, Inc. (a) | | | 19,082 | | | 166,586 | |
Powerwave Technologies, Inc. (a) | | | 37,889 | | | 96,238 | |
Symmetricom, Inc. (a) | | | 11,826 | | | 83,846 | |
UTStarcom, Inc. (a) | | | 36,206 | | | 74,584 | |
| | | | |
|
|
|
| | | | | | 961,440 | |
|
|
|
|
|
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|
|
Textile Products — 0.1% | | | | | | | |
Culp, Inc. (a) | | | 2,338 | | | 24,222 | |
Interface, Inc., Class A | | | 13,980 | | | 218,787 | |
Unifi Inc. (a) | | | 3,594 | | | 60,846 | |
| | | | |
|
|
|
| | | | | | 303,855 | |
|
|
|
|
|
|
|
|
Textiles, Apparel & Shoes — 2.0% | | | | | | | |
Carter’s, Inc. (a) | | | 16,474 | | | 486,148 | |
Cherokee, Inc. | | | 2,626 | | | 49,395 | |
Columbia Sportswear Co. (b) | | | 3,184 | | | 191,995 | |
Crocs, Inc. (a) | | | 23,934 | | | 409,750 | |
Deckers Outdoor Corp. (a) | | | 10,738 | | | 856,248 | |
G-III Apparel Group, Ltd. (a) | | | 4,319 | | | 151,813 | |
Iconix Brand Group, Inc. (a) | | | 20,160 | | | 389,290 | |
Joe’s Jeans, Inc. (a) | | | 11,104 | | | 17,322 | |
The Jones Group, Inc. | | | 24,603 | | | 382,331 | |
K-Swiss, Inc., Class A (a) | | | 7,948 | | | 99,112 | |
Kenneth Cole Productions, Inc., Class A (a) | | | 1,973 | | | 24,643 | |
Lacrosse Footwear, Inc. | | | 1,607 | | | 26,355 | |
Liz Claiborne, Inc. (a) | | | 26,788 | | | 191,802 | |
Maidenform Brands, Inc. (a) | | | 6,451 | | | 153,340 | |
Oxford Industries, Inc. | | | 4,150 | | | 106,282 | |
Perry Ellis International, Inc. (a) | | | 2,958 | | | 81,256 | |
Quiksilver, Inc. (a) | | | 36,863 | | | 186,895 | |
R.G. Barry Corp. | | | 2,469 | | | 27,455 | |
Skechers U.S.A., Inc., Class A (a) | | | 9,505 | | | 190,100 | |
Steven Madden Ltd. (a) | | | 6,876 | | | 286,867 | |
Timberland Co., Class A (a) | | | 11,721 | | | 288,219 | |
True Religion Apparel, Inc. (a) | | | 7,295 | | | 162,387 | |
Under Armour, Inc., Class A (a) | | | 9,754 | | | 534,909 | |
Vera Bradley, Inc. (a) | | | 3,515 | | | 115,995 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
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Textiles, Apparel & Shoes (concluded) | | | | | | | |
Volcom, Inc. | | | 5,636 | | $ | 106,351 | |
The Warnaco Group, Inc. (a) | | | 12,297 | | | 677,196 | |
Weyco Group, Inc. | | | 2,288 | | | 56,033 | |
Wolverine World Wide, Inc. | | | 13,723 | | | 437,489 | |
| | | | |
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| | | | | | 6,686,978 | |
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Tobacco — 0.2% | | | | | | | |
Alliance One International, Inc. (a) | | | 25,723 | | | 109,066 | |
Star Scientific, Inc. (a)(b) | | | 25,890 | | | 50,486 | |
Universal Corp. | | | 6,546 | | | 266,422 | |
Vector Group Ltd. | | | 12,814 | | | 221,938 | |
| | | | |
|
|
|
| | | | | | 647,912 | |
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|
|
|
|
|
|
|
Toys — 0.1% | | | | | | | |
Jakks Pacific, Inc. (a) | | | 7,617 | | | 138,782 | |
Leapfrog Enterprises, Inc. (a) | | | 10,348 | | | 57,431 | |
RC2 Corp. (a) | | | 6,130 | | | 133,450 | |
| | | | |
|
|
|
| | | | | | 329,663 | |
|
|
|
|
|
|
|
|
Transportation Miscellaneous — 0.2% | | | | | | | |
Dynamex, Inc. (a) | | | 2,925 | | | 72,423 | |
Echo Global Logistics, Inc. (a) | | | 3,566 | | | 42,935 | |
HUB Group, Inc., Class A (a) | | | 10,486 | | | 368,478 | |
Pacer International, Inc. (a) | | | 10,668 | | | 72,969 | |
Textainer Group Holdings Ltd. | | | 2,701 | | | 76,951 | |
| | | | |
|
|
|
| | | | | | 633,756 | |
|
|
|
|
|
|
|
|
Truckers — 0.6% | | | | | | | |
Arkansas Best Corp. | | | 7,215 | | | 197,835 | |
Celadon Group, Inc. (a) | | | 5,989 | | | 88,577 | |
Forward Air Corp. | | | 8,130 | | | 230,729 | |
Heartland Express, Inc. | | | 13,822 | | | 221,429 | |
Knight Transportation, Inc. | | | 16,549 | | | 314,431 | |
Marten Transport Ltd. | | | 4,439 | | | 94,906 | |
Old Dominion Freight Line, Inc. (a) | | | 11,594 | | | 370,892 | |
Patriot Transportation Holding, Inc. (a) | | | 419 | | | 38,950 | |
Roadrunner Transportation Systems, Inc. (a) | | | 2,926 | | | 42,310 | |
Saia, Inc. (a) | | | 4,815 | | | 79,881 | |
USA Truck, Inc. (a) | | | 2,058 | | | 27,227 | |
Werner Enterprises, Inc. | | | 11,976 | | | 270,658 | |
| | | | |
|
|
|
| | | | | | 1,977,825 | |
|
|
|
|
|
|
|
|
Utilities: Electrical — 1.6% | | | | | | | |
Allete, Inc. | | | 8,705 | | | 324,348 | |
Avista Corp. | | | 15,368 | | | 346,087 | |
Black Hills Corp. | | | 10,960 | | | 328,800 | |
CH Energy Group, Inc. | | | 4,373 | | | 213,796 | |
Central Vermont Public Service Corp. | | | 3,495 | | | 76,401 | |
Cleco Corp. | | | 16,476 | | | 506,802 | |
Dynegy, Inc. (a) | | | 29,783 | | | 167,380 | |
El Paso Electric Co. (a) | | | 12,274 | | | 337,903 | |
The Empire District Electric Co. | | | 11,333 | | | 251,593 | |
IDACORP, Inc. | | | 13,081 | | | 483,735 | |
MGE Energy, Inc. | | | 6,476 | | | 276,914 | |
NorthWestern Corp. | | | 9,886 | | | 285,013 | |
Otter Tail Corp. | | | 10,421 | | | 234,889 | |
PNM Resources, Inc. | | | 25,030 | | | 325,891 | |
Pike Electric Corp. (a) | | | 4,459 | | | 38,258 | |
Portland General Electric Co. | | | 21,080 | | | 457,436 | |
UIL Holdings Corp. | | | 13,829 | | | 414,317 | |
Unisource Energy Corp. | | | 9,990 | | | 358,042 | |
Unitil Corp. | | | 3,936 | | | 89,505 | |
| | | | |
|
|
|
| | | | | | 5,517,110 | |
|
|
|
|
|
|
|
|
| | | |
See Notes to Financial Statements. |
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 33 |
| |
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Utilities: Gas Distributors — 1.1% | | | | | | | |
Chesapeake Utilities Corp. | | | 3,046 | | $ | 126,470 | |
The Laclede Group, Inc. | | | 5,938 | | | 216,975 | |
New Jersey Resources Corp. | | | 11,122 | | | 479,469 | |
Nicor, Inc. | | | 12,256 | | | 611,819 | |
Northwest Natural Gas Co. | | | 7,202 | | | 334,677 | |
Piedmont Natural Gas Co. | | | 19,260 | | | 538,510 | |
South Jersey Industries, Inc. | | | 7,981 | | | 421,556 | |
Southwest Gas Corp. | | | 12,308 | | | 451,334 | |
WGL Holdings, Inc. | | | 13,680 | | | 489,334 | |
| | | | |
|
|
|
| | | | | | 3,670,144 | |
|
|
|
|
|
|
|
|
Utilities: Telecommunications — 0.8% | | | | | | | |
Alaska Communications Systems Group, Inc. | | | 12,137 | | | 134,721 | |
Atlantic Tele-Network, Inc. | | | 2,692 | | | 103,211 | |
Cbeyond Communications, Inc. (a) | | | 7,617 | | | 116,388 | |
Cincinnati Bell, Inc. (a) | | | 58,060 | | | 162,568 | |
Cogent Communications Group, Inc. (a) | | | 13,188 | | | 186,478 | |
Consolidated Communications Holdings, Inc. | | | 6,966 | | | 134,444 | |
FiberTower Corp. (a) | | | 14,944 | | | 66,650 | |
General Communication, Inc., Class A (a) | | | 13,704 | | | 173,493 | |
Global Crossing Ltd. (a) | | | 8,617 | | | 111,332 | |
Globalstar, Inc. (a) | | | 18,513 | | | 26,844 | |
ICO Global Communications Holdings Ltd. (a) | | | 25,018 | | | 37,527 | |
IDT Corp., Class B | | | 4,028 | | | 103,318 | |
Iridium Communications, Inc. (a) | | | 10,005 | | | 82,541 | |
j2 Global Communications, Inc. (a) | | | 12,718 | | | 368,186 | |
NTELOS Holdings Corp. | | | 8,491 | | | 161,753 | |
Neutral Tandem, Inc. (a) | | | 9,548 | | | 137,873 | |
PAETEC Holding Corp. (a) | | | 34,431 | | | 128,772 | |
Premiere Global Services, Inc. (a) | | | 16,448 | | | 111,846 | |
Shenandoah Telecom Co. | | | 6,908 | | | 129,387 | |
USA Mobility, Inc. | | | 6,187 | | | 109,943 | |
Vonage Holdings Corp. (a) | | | 31,678 | | | 70,959 | |
| | | | |
|
|
|
| | | | | | 2,658,234 | |
|
|
|
|
|
|
|
|
Utilities: Water — 0.2% | | | | | | | |
American States Water Co. | | | 4,969 | | | 171,281 | |
Artesian Resources Corp., Class A | | | 1,997 | | | 37,843 | |
California Water Service Group | | | 5,402 | | | 201,332 | |
Connecticut Water Service, Inc. | | | 2,503 | | | 69,784 | |
Consolidated Water Co., Inc. | | | 4,169 | | | 38,230 | |
Middlesex Water Co. | | | 4,270 | | | 78,354 | |
SJW Corp. | | | 3,863 | | | 102,254 | |
York Water Co. | | | 4,375 | | | 75,644 | |
| | | | |
|
|
|
| | | | | | 774,722 | |
|
|
|
|
|
|
|
|
Total Common Stocks — 97.2% | | | | | | 328,812,277 | |
|
|
|
|
|
|
|
|
| | | | | | | |
|
| | | | | | | |
Corporate Bonds | | Par
(000) | | | | |
|
|
|
|
|
|
|
|
Asset Management & Custodian — 0.0% | | | | | | | |
GAMCO Investors, Inc., 0.00% 12/31/15 (a) | | $ | 6 | | | 6,448 | |
|
|
|
|
|
|
|
|
Total Corporate Bonds — 0.0% | | | | | | 6,448 | |
|
|
|
|
|
|
|
|
| | | | | | | |
Investment Companies | | Shares | | Value | |
|
|
|
|
|
|
|
|
BlackRock Kelso Capital Corp. (d) | | | 20,122 | | $ | 222,549 | |
Gladstone Capital Corp. | | | 6,364 | | | 73,313 | |
Hercules Technology Growth Capital, Inc. | | | 9,946 | | | 103,041 | |
Kayne Anderson Energy Development Co. | | | 3,186 | | | 57,380 | |
Pennantpark Investment Corp. | | | 10,729 | | | 131,323 | |
Prospect Capital Corp. | | | 21,298 | | | 230,018 | |
|
|
|
|
|
|
|
|
Total Investment Companies — 0.3% | | | | | | 817,624 | |
|
|
|
|
|
|
|
|
| | | | | | | |
|
| | | | | | | |
Warrants (e) | | | | | | | |
|
|
|
|
|
|
|
|
Alternative Energy — 0.0% | | | | | | | |
GreenHunter Energy, Inc. (Expires 8/27/11) (b)(f) | | | 180 | | | — | |
|
|
|
|
|
|
|
|
Technology Hardware & Equipment — 0.0% | | | | | | | |
Lantronix, Inc. (Expires 2/09/11) | | | 138 | | | — | |
|
|
|
|
|
|
|
|
Total Warrants — 0.0% | | | | | | — | |
|
|
|
|
|
|
|
|
Total Long-Term Investments
(Cost — $234,628,095) — 97.5% | | | | | | 329,636,349 | |
|
|
|
|
|
|
|
|
| | | | | | | |
|
| | | | | | | |
Short-Term Securities | | | | | | | |
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.17%, (d)(g) | | | 7,181,244 | | | 7,181,244 | |
|
|
|
|
|
|
|
|
| | | | | | | |
| | Beneficial
Interest
(000) | | | | |
|
|
|
|
|
|
|
|
BlackRock Liquidity Series, LLC
Money Market Series, 0.44% (d)(g)(h) | | $ | 8,153 | | | 8,152,630 | |
|
|
|
|
|
|
|
|
Total Short-Term Securities
(Cost — $15,333,874) — 4.5% | | | | | | 15,333,874 | |
|
|
|
|
|
|
|
|
Total Investments (Cost — $249,961,969*) — 102.0% | | | | | | 344,970,223 | |
Liabilities in Excess of Other Assets — (2.0)% | | | | | | (6,798,242 | ) |
| | | | |
|
|
|
Net Assets — 100.0% | | | | | $ | 338,171,981 | |
| | | | |
|
|
|
| |
|
|
* | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2010, as computed for federal income tax purposes were as follows: |
| | | | |
Aggregate cost | | $ | 262,243,337 | |
| |
|
|
|
Gross unrealized appreciation | | $ | 92,244,989 | |
Gross unrealized depreciation | | | (9,518,103 | ) |
| |
|
|
|
Net unrealized appreciation | | $ | 82,726,886 | |
| |
|
|
|
| |
(a) | Non-income producing security. |
| |
(b) | Security, or a portion of security, is on loan. |
| |
(c) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
| | |
See Notes to Financial Statements. |
|
34 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
| |
(d) | Investments in companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate | | Shares/
Beneficial
Interest Held
at December 31,
2009 | | Shares/
Beneficial
Interest
Purchased | | Shares/
Beneficial
Interest
Sold | | Shares/
Beneficial
Interest Held
at December 31,
2010 | | Value
at December 31,
2010 | | Realized
Gain
(Loss) | | Income | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Kelso Capital Corp. | | | 3,100 | | | 21,457 | | | (4,435 | ) | | 20,122 | | $ | 222,549 | | $ | 3,137 | | $ | 13,911 | |
BlackRock Liquidity Funds, TempFund, Institutional Class | | | 9,452,117 | | | — | | | (2,270,873 | )1 | | 7,181,244 | | $ | 7,181,244 | | | — | | $ | 13,732 | |
BlackRock Liquidity Series, LLC Money Market Series. | | $ | 17,386,620 | | | — | | $ | (9,233,990 | )1 | $ | 8,152,630 | | $ | 8,152,630 | | | — | | $ | 148,068 | |
PennyMac Mortgage Investment Trust | | | 3,500 | | | 2,915 | | | (1,086 | ) | | 5,329 | | $ | 96,721 | | $ | (2,435 | ) | $ | 3,689 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| | |
| 1 | Represents net shares/beneficial interest sold. |
| |
(e) | Warrants entitle the Series to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
| |
(f) | Restricted security as to resale, representing 0.0% of net assets was as follows: |
| | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
Issue | | Acquisition
Date | | Cost | | Value | |
|
|
|
|
|
|
|
|
GreenHunter Energy, Inc. | | | 6/27/08 | | | — | | | — | |
|
|
|
|
|
|
|
|
|
|
|
| |
(g) | Represents the current yield as of report date. |
| |
(h) | Security was purchased with the cash collateral from loaned securities. |
| |
• | For Series compliance purposes,the Series’ industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
| |
• | Financial futures contracts purchased as of December 31, 2010 were as follows: |
| | | | | | | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
|
Contracts | | Issue | | Exchange | | Expiration | | Notional
Value | | Unrealized
Depreciation | |
|
|
|
|
|
|
|
|
|
|
|
|
108 | | Russell | | ICE Futures | | March 2011 | | | $ | 8,449,217 | | | $ | (377 | ) | |
| | 2000 EMINI | | US Indices | | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| | |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows: |
| | |
| • | Level 1 — price quotations in active markets/exchanges for identical assets and liabilities |
| | |
| • | Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | |
| • | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivatives) |
| | |
| The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivatives and other significant accounting policies, please refer to Note 1 of the Series’ Notes to Financial Statements. |
| | |
See Notes to Financial Statements. | | |
|
|
|
BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 35 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives:
| | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
|
|
|
|
|
|
|
|
|
|
Assets: | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | |
Long-Term Investments2: | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | |
Advertising Agencies | | $ | 2,479,587 | | | — | | | — | | $ | 2,479,587 | |
Aerospace | | | 4,707,327 | | | — | | | — | | | 4,707,327 | |
Agriculture, Fishing & Ranching | | | 1,308,140 | | | — | | | — | | | 1,308,140 | |
Air Transport | | | 3,496,570 | | | — | | | — | | | 3,496,570 | |
Alternative Energy | | | 530,728 | | | — | | | — | | | 530,728 | |
Aluminum | | | 542,387 | | | — | | | — | | | 542,387 | |
Asset Management & Custodian | | | 3,214,390 | | | — | | | — | | | 3,214,390 | |
Auto Parts | | | 2,931,919 | | | — | | | — | | | 2,931,919 | |
Auto Services | | | 402,629 | | | — | | | — | | | 402,629 | |
Back Office Support, HR & Consulting | | | 4,699,800 | | | — | | | — | | | 4,699,800 | |
Banks: Diversified | | | 19,129,500 | | | — | | | — | | | 19,129,500 | |
Banks: Savings, Thrift & Mortgage Lending | | | 3,393,830 | | | — | | | — | | | 3,393,830 | |
Beverage: Brewers & Distillers | | | 224,507 | | | — | | | — | | | 224,507 | |
Beverage: Soft Drinks | | | 412,354 | | | — | | | — | | | 412,354 | |
Biotechnology | | | 11,389,783 | | | — | | | — | | | 11,389,783 | |
Building Materials | | | 3,155,941 | | | — | | | — | | | 3,155,941 | |
Building: Climate Control | | | 458,173 | | | — | | | — | | | 458,173 | |
Building: Roofing, Wallboard & Plumbing | | | 229,111 | | | — | | | — | | | 229,111 | |
Cable Television Services | | | 230,045 | | | — | | | — | | | 230,045 | |
Casinos & Gambling | | | 981,720 | | | — | | | — | | | 981,720 | |
Chemicals: Diversified | | | 5,159,227 | | | — | | | — | | | 5,159,227 | |
Chemicals: Specialty | | | 1,681,624 | | | — | | | — | | | 1,681,624 | |
Coal | | | 1,162,389 | | | — | | | — | | | 1,162,389 | |
Commercial Finance & Mortgage Companies | | | 211,465 | | | — | | | — | | | 211,465 | |
Commercial Services: Rental & Leasing | | | 1,862,852 | | | — | | | — | | | 1,862,852 | |
Commercial Vehicles & Parts | | | 941,693 | | | — | | | — | | | 941,693 | |
Communications Technology | | | 10,868,951 | | | — | | | — | | | 10,868,951 | |
Computer Services Software & Systems | | | 22,602,405 | | | — | | | — | | | 22,602,405 | |
Computer Technology | | | 2,009,776 | | | — | | | — | | | 2,009,776 | |
Construction | | | 1,588,674 | | | — | | | — | | | 1,588,674 | |
Consumer Electronics | | | 526,454 | | | — | | | — | | | 526,454 | |
Consumer Lending | | | 3,004,502 | | | — | | | — | | | 3,004,502 | |
Consumer Services: Miscellaneous | | | 2,288,592 | | | — | | | — | | | 2,288,592 | |
Containers & Packaging | | | 1,432,151 | | | — | | | — | | | 1,432,151 | |
Cosmetics | | | 270,554 | | | — | | | — | | | 270,554 | |
Diversified Financial Services | | | 1,365,857 | | | — | | | — | | | 1,365,857 | |
Diversified Manufacturing Operations | | | 1,116,826 | | | — | | | — | | | 1,116,826 | |
Diversified Materials & Processing | | | 2,649,279 | | | — | | | — | | | 2,649,279 | |
Diversified Media | | | 328,700 | | | — | | | — | | | 328,700 | |
Diversified Retail | | | 2,316,139 | | | — | | | — | | | 2,316,139 | |
Drug & Grocery Store Chains | | | 2,267,921 | | | — | | | — | | | 2,267,921 | |
Education Services | | | 1,648,431 | | | — | | | — | | | 1,648,431 | |
Electronic Components | | | 2,210,027 | | | — | | | — | | | 2,210,027 | |
Electronic Entertainment | | | 587,666 | | | — | | | — | | | 587,666 | |
Electronics | | | 2,048,289 | | | — | | | — | | | 2,048,289 | |
Energy Equipment | | | 597,263 | | | — | | | — | | | 597,263 | |
Engineering & Contracting Services | | | 1,563,594 | | | — | | | — | | | 1,563,594 | |
Entertainment | | | 1,388,212 | | | — | | | — | | | 1,388,212 | |
Environmental, Maintenance, & Security Service | | | 2,315,220 | | | — | | | — | | | 2,315,220 | |
Fertilizers | | | 78,886 | | | — | | | — | | | 78,886 | |
Financial Data & Systems | | | 2,594,154 | | | — | | | — | | | 2,594,154 | |
Foods | | | 3,385,666 | | | — | | | — | | | 3,385,666 | |
Forest Products | | | 388,548 | | | — | | | — | | | 388,548 | |
Forms & Bulk Printing Services | | | 838,007 | | | — | | | — | | | 838,007 | |
| | |
See Notes to Financial Statements. | |
|
|
|
36 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
|
| |
Schedule of Investments (continued) | Master Small Cap Index Series |
The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives (continued):
| | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
|
|
|
|
|
|
|
|
|
|
Assets: | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | |
Long-Term Investments2: | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | |
Fruit & Grain Processing | | $ | 43,420 | | | — | | | — | | $ | 43,420 | |
Funeral Parlors & Cemeteries | | | 438,261 | | | — | | | — | | | 438,261 | |
Gas Pipeline | | | 102,360 | | | — | | | — | | | 102,360 | |
Glass | | | 111,788 | | | — | | | — | | | 111,788 | |
Gold | | | 2,010,697 | | | — | | | — | | | 2,010,697 | |
Health Care Facilities | | | 2,121,002 | | | — | | | — | | | 2,121,002 | |
Health Care Management Services | | | 3,421,249 | | | — | | | — | | | 3,421,249 | |
Health Care Services | | | 4,371,456 | | | — | | | — | | | 4,371,456 | |
Health Care: Miscellaneous | | | 308,423 | | | — | | | — | | | 308,423 | |
Home Building | | | 813,041 | | | — | | | — | | | 813,041 | |
Hotel/Motel | | | 860,285 | | | — | | | — | | | 860,285 | |
Household Appliances | | | 170,313 | | | — | | | — | | | 170,313 | |
Household Equipment & Products | | | 834,495 | | | — | | | — | | | 834,495 | |
Household Furnishings | | | 772,455 | | | — | | | — | | | 772,455 | |
Insurance: Life | | | 1,692,315 | | | — | | | — | | | 1,692,315 | |
Insurance: Multi-Line | | | 1,911,862 | | | — | | | — | | | 1,911,862 | |
Insurance: Property-Casualty | | | 5,642,816 | | | — | | | — | | | 5,642,816 | |
International Trade & Diversified Logistic | | | 62,023 | | | — | | | — | | | 62,023 | |
Leisure Time | | | 2,065,814 | | | — | | | — | | | 2,065,814 | |
Luxury Items | | | 79,038 | | | — | | | — | | | 79,038 | |
Machinery: Agricultural | | | 523,639 | | | — | | | — | | | 523,639 | |
Machinery: Construction & Handling | | | 402,272 | | | — | | | — | | | 402,272 | |
Machinery: Engines | | | 270,718 | | | — | | | — | | | 270,718 | |
Machinery: Industrial | | | 4,759,498 | | | — | | | — | | | 4,759,498 | |
Machinery: Specialty | | | 352,573 | | | — | | | — | | | 352,573 | |
Manufactured Housing | | | 149,324 | | | — | | | — | | | 149,324 | |
Medical & Dental Instruments & Supplies | | | 7,831,560 | | | — | | | — | | | 7,831,560 | |
Medical Equipment | | | 5,105,873 | | | — | | | — | | | 5,105,873 | |
Medical Services | | | 782,418 | | | — | | | — | | | 782,418 | |
Metal Fabricating | | | 2,190,150 | | | — | | | — | | | 2,190,150 | |
Metals & Minerals: Diversified | | | 3,116,432 | | | — | | | — | | | 3,116,432 | |
Miscellaneous Consumer Staples | | | 162,645 | | | — | | | — | | | 162,645 | |
Office Supplies & Equipment | | | 2,063,325 | | | — | | | — | | | 2,063,325 | |
Offshore Drilling & Other Services | | | 214,526 | | | — | | | — | | | 214,526 | |
Oil Well Equipment & Services | | | 6,244,078 | | | — | | | — | | | 6,244,078 | |
Oil: Crude Producers | | | 9,589,329 | | | — | | | — | | | 9,589,329 | |
Oil: Refining & Marketing | | | 1,178,186 | | | — | | | — | | | 1,178,186 | |
Paints & Coatings | | | 635,047 | | | — | | | — | | | 635,047 | |
Paper | | | 1,486,486 | | | — | | | — | | | 1,486,486 | |
Personal Care | | | 294,477 | | | — | | | — | | | 294,477 | |
Pharmaceuticals | | | 5,801,668 | | | — | | | — | | | 5,801,668 | |
Photography | | | 435,947 | | | — | | | — | | | 435,947 | |
Plastics | | | 287,516 | | | — | | | — | | | 287,516 | |
Power Transmission Equipment | | | 739,985 | | | — | | | — | | | 739,985 | |
Precious Metals & Minerals | | | 422,622 | | | — | | | — | | | 422,622 | |
Printing & Copying Services | | | 138,112 | | | — | | | — | | | 138,112 | |
Producer Durables: Miscellaneous | | | 256,646 | | | — | | | — | | | 256,646 | |
Production Technology Equipment | | | 3,920,483 | | | — | | | — | | | 3,920,483 | |
Publishing | | | 725,615 | | | — | | | — | | | 725,615 | |
Radio & TV Broadcasters | | | 348,220 | | | — | | | — | | | 348,220 | |
Railroad Equipment | | | 279,094 | | | — | | | — | | | 279,094 | |
Railroads | | | 651,213 | | | — | | | — | | | 651,213 | |
Real Estate | | | 565,126 | | | — | | | — | | | 565,126 | |
Real Estate Investment Trusts (REITs) | | | 24,054,947 | | | — | | | — | | | 24,054,947 | |
Recreational Vehicles & Boats | | | 1,435,171 | | | — | | | — | | | 1,435,171 | |
Rental & Leasing Services: Consumer | | | 1,646,151 | | | — | | | — | | | 1,646,151 | |
| | |
See Notes to Financial Statements. | | |
|
|
|
BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 37 |
| |
|
| |
Schedule of Investments (concluded) | Master Small Cap Index Series |
The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives (concluded):
| | | | | | | | | | | | | |
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|
|
|
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|
|
|
|
Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
|
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|
|
|
|
|
|
Assets: | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | |
Long-Term Investments2: | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | |
Restaurants | | $ | 4,667,544 | | | — | | | — | | $ | 4,667,544 | |
Scientific Instruments: Control & Filter | | | 2,359,103 | | | — | | | — | | | 2,359,103 | |
Scientific Instruments: Electrical | | | 4,118,023 | | | — | | | — | | | 4,118,023 | |
Scientific Instruments: Gauges & Meters | | | 522,097 | | | — | | | — | | | 522,097 | |
Scientific Instruments: Pollution Control | | | 1,358,951 | | | — | | | — | | | 1,358,951 | |
Securities Brokerage & Services | | | 2,020,498 | | | — | | | — | | | 2,020,498 | |
Semiconductors & Components | | | 8,568,682 | | | — | | | — | | | 8,568,682 | |
Shipping | | | 1,942,644 | | | — | | | — | | | 1,942,644 | |
Specialty Retail | | | 11,377,256 | | | | | $ | 15,869 | | | 11,393,125 | |
Steel | | | 145,674 | | | — | | | — | | | 145,674 | |
Sugar | | | 51,194 | | | — | | | — | | | 51,194 | |
Synthetic Fibers & Chemicals | | | 91,164 | | | — | | | — | | | 91,164 | |
Technology: Miscellaneous | | | 1,299,319 | | | — | | | — | | | 1,299,319 | |
Telecommunications Equipment | | | 961,440 | | | — | | | — | | | 961,440 | |
Textile Products | | | 303,855 | | | — | | | — | | | 303,855 | |
Textiles, Apparel & Shoes | | | 6,686,978 | | | — | | | — | | | 6,686,978 | |
Tobacco | | | 647,912 | | | — | | | — | | | 647,912 | |
Toys | | | 329,663 | | | — | | | — | | | 329,663 | |
Transportation Miscellaneous | | | 633,756 | | | — | | | — | | | 633,756 | |
Truckers | | | 1,977,825 | | | — | | | — | | | 1,977,825 | |
Utilities: Electrical | | | 5,517,110 | | | — | | | — | | | 5,517,110 | |
Utilities: Gas Distributors | | | 3,670,144 | | | — | | | — | | | 3,670,144 | |
Utilities: Telecommunications | | | 2,658,234 | | | — | | | — | | | 2,658,234 | |
Utilities: Water | | | 774,722 | | | — | | | — | | | 774,722 | |
Corporate Bonds | | | — | | $ | 6,448 | | | — | | | 6,448 | |
Investment Companies | | | 817,624 | | | — | | | — | | | 817,624 | |
Short-Term Securities | | | 7,181,244 | | | 8,152,630 | | | — | | | 15,333,874 | |
| |
|
|
|
|
|
|
|
|
|
|
|
|
Total | | $ | 336,795,276 | | $ | 8,159,078 | | $ | 15,869 | | $ | 344,970,223 | |
| |
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| | |
| 2 | See above Schedule of Investments for values in each industry. |
| | | | | | | | | | | | | |
|
Derivative Financial Instruments3 |
|
Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
|
Liabilities: | | | | | | | | | | | | | |
Equity contracts | | $ | (377 | ) | | — | | | — | | $ | (377 | ) |
| |
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|
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|
|
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|
| | |
| 3 | Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/ depreciation on the instrument. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | |
|
|
|
|
| | Common Stocks | |
|
|
|
|
Balance as of December 31, 2009 | | | — | |
Accrued discounts/premium | | | — | |
Net realized gain (loss) | | | — | |
Net change in unrealized appreciation/depreciation4 | | | — | |
Purchases | | | — | |
Sales | | | — | |
Transfers in5 | | $ | 15,869 | |
Transfers out5 | | | — | |
| |
|
| |
Balance, as of December 31, 2010 | | $ | 15,869 | |
| |
|
| |
| | |
| 4 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The net change in unrealized appreciation/depreciation on securities still held at December 31, 2010 was $0. |
| | |
| 5 | The Series’ policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer. |
| | |
See Notes to Financial Statements. | |
|
38 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
| |
Statement of Assets and Liabilities | Master Small Cap Index Series |
| | | | |
December 31, 2010 | | | | |
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|
|
Assets | | | | |
|
|
|
|
|
Investments at value — unaffiliated (including securities loaned of $7,765,924) (cost — $234,327,179) | | $ | 329,317,079 | |
Investments at value — affiliated (cost — $15,634,790) | | | 15,653,144 | |
Cash pledged as collateral for financial futures contracts | | | 952,000 | |
Cash | | | 1,258 | |
Dividends receivable | | | 347,807 | |
Contributions receivable from investors | | | 118,507 | |
Receivable from advisor | | | 39,379 | |
Securities lending income receivable — affiliated | | | 12,105 | |
Investments sold receivable | | | 96 | |
Prepaid expenses | | | 9,447 | |
| |
|
|
|
Total assets | | | 346,450,822 | |
| |
|
|
|
| | | | |
|
|
|
|
|
Liabilities | | | | |
|
|
|
|
|
Collateral on securities loaned at value | | | 8,152,630 | |
Margin variation payable | | | 55,037 | |
Other affiliates payable | | | 1,362 | |
Directors’ fees payable | | | 125 | |
Other accrued expenses payable | | | 69,687 | |
| |
|
|
|
Total liabilities | | | 8,278,841 | |
| |
|
|
|
Net Assets | | $ | 338,171,981 | |
| |
|
|
|
| | | | |
|
|
|
|
|
Net Assets Consist of | | | | |
|
|
|
|
|
Investors’ capital | | $ | 243,164,104 | |
Net unrealized appreciation/depreciation | | | 95,007,877 | |
| |
|
|
|
Net Assets | | $ | 338,171,981 | |
| |
|
|
|
| | | |
See Notes to Financial Statements. |
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 39 |
| |
|
| |
Statement of Operations | Master Small Cap Index Series |
| | | | |
Year Ended December 31, 2010 | | | | |
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|
Investment Income | | | | |
|
|
|
|
|
Dividends — unaffiliated | | $ | 3,540,861 | |
Foreign taxes withheld | | | (3,110 | ) |
Securities lending — affiliated | | | 148,068 | |
Dividends — affiliated | | | 31,332 | |
| |
|
|
|
Total income | | | 3,717,151 | |
| |
|
|
|
| | | | |
|
|
|
|
|
Expenses | | | | |
|
|
|
|
|
Investment advisory | | | 27,646 | |
Custodian | | | 126,874 | |
Professional | | | 84,100 | |
Accounting services | | | 68,403 | |
Directors | | | 9,377 | |
Printing | | | 836 | |
Miscellaneous | | | 10,155 | |
| |
|
|
|
Total expenses | | | 327,391 | |
Less fees waived and/or reimbursed by advisor | | | (111,964 | ) |
| |
|
|
|
Total expenses after fees waived and/or reimbursed | | | 215,427 | |
| |
|
|
|
Net investment income | | | 3,501,724 | |
| |
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|
| | | | |
|
|
|
|
|
Realized and Unrealized Gain (Loss) | | | | |
|
|
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|
|
Net realized gain (loss) from: | | | | |
Investments — unaffiliated | | | (10,138,980 | ) |
Investments — affiliated | | | 702 | |
Financial futures contracts | | | 248,961 | |
| |
|
|
|
| | | (9,889,317 | ) |
| |
|
|
|
Net change in unrealized appreciation/depreciation on: | | | | |
Investments | | | 60,793,710 | |
Financial futures contracts | | | (88,950 | ) |
| |
|
|
|
| | | 60,704,760 | |
| |
|
|
|
Total realized and unrealized gain | | | 50,815,443 | |
| |
|
|
|
Net Increase in Net Assets Resulting from Operations | | $ | 54,317,167 | |
| |
|
|
|
| | |
See Notes to Financial Statements. | |
|
40 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
| |
Statements of Changes in Net Assets | Master Small Cap Index Series |
| | | | | | | |
| | Year Ended
December 31, | |
| |
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|
Increase (Decrease) in Net Assets: | | 2010 | | 2009 | |
|
|
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|
|
Operations | | | | | | | |
|
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|
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|
|
Net investment income | | $ | 3,501,724 | | $ | 4,243,420 | |
Net realized loss | | | (9,889,317 | ) | | (30,867,280 | ) |
Net change in unrealized appreciation/depreciation | | | 60,704,760 | | | 124,588,792 | |
| |
|
|
|
|
|
|
Net increase in net assets resulting from operations | | | 54,317,167 | | | 97,964,932 | |
| |
|
|
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|
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| | | | | | | |
|
|
|
|
|
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|
|
Capital Transactions | | | | | | | |
|
|
|
|
|
|
|
|
Proceeds from contributions | | | 226,075,632 | | | 171,416,855 | |
Value of withdrawals | | | (171,857,514 | ) | | (384,465,211 | ) |
| |
|
|
|
|
|
|
Net increase (decrease) in net assets derived from capital transactions | | | 54,218,118 | | | (213,048,356 | ) |
| |
|
|
|
|
|
|
| | | | | | | |
|
|
|
|
|
|
|
|
Net Assets | | | | | | | |
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets | | | 108,535,285 | | | (115,083,424 | ) |
Beginning of year | | | 229,636,696 | | | 344,720,120 | |
| |
|
|
|
|
|
|
End of year | | $ | 338,171,981 | | $ | 229,636,696 | |
| |
|
|
|
|
|
|
| |
|
| |
Financial Highlights | Master Small Cap Index Series |
| | | | | | | | | | | | | | | | |
| | Year Ended December 31, | |
| |
|
|
| | 2010 | | 2009 | | 2008 | | 2007 | | 2006 | |
|
|
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|
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|
|
|
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|
|
Total Investment Return | | | | | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
Total investment return | | | 27.19 | % | | 27.37 | % | | (33.57 | )% | | (1.46 | )% | | 18.13 | % |
| |
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| | | | | | | | | | | | | | | | |
|
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|
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|
|
|
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|
|
Ratios to Average Net Assets | | | | | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses | | | 0.12 | % | | 0.09 | % | | 0.08 | % | | 0.06 | % | | 0.07 | % |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and/or reimbursed and fees paid indirectly | | | 0.08 | % | | 0.07 | % | | 0.07 | % | | 0.06 | % | | 0.07 | % |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income | | | 1.27 | % | | 1.27 | % | | 1.60 | % | | 1.69 | % | | 1.55 | % |
| |
|
|
|
|
|
|
|
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| | | | | | | | | | | | | | | | |
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Supplemental Data | | | | | | | | | | | | | | | | |
|
|
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|
|
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|
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|
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|
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Net assets, end of year (000) | | $ | 338,172 | | $ | 229,637 | | $ | 344,720 | | $ | 630,394 | | $ | 561,373 | |
| |
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|
|
|
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|
|
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|
|
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|
|
Portfolio turnover | | | 42 | % | | 43 | % | | 42 | % | | 26 | % | | 40 | % |
| |
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|
|
|
|
|
|
|
|
|
|
|
|
|
| | | |
See Notes to Financial Statements. |
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 41 |
| |
|
| |
Notes to Financial Statements | Master Small Cap Index Series |
1. Organization and Significant Accounting Policies:
Master Small Cap Index Series (the “Series”), a non-diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations. The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Series:
Valuation: The Series’ policy is to fair value its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
The Series values its investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the net assets of the underlying fund. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 promulgated by the Securities and Exchange Commission (the “SEC”) under the 1940 Act. The Series may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the SEC require that the Series either delivers collateral or segregates assets in connection with certain investments (e.g., financial futures contracts), the Series will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit securities as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.
Securities Lending: The Series may lend securities to financial institutions that provide cash as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Series earns dividend and interest on the securities loaned. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.
| | |
|
42 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
|
| |
Notes to Financial Statements (continued) | Master Small Cap Index Series |
Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Series files US federal and various state and local tax returns. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2010. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which if applicable are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Derivative Financial Instruments:
The Series engages in various portfolio investment strategies using derivative contracts both to increase the return of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Series as unrealized gains or losses. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures transactions involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.
| | | | | | |
Derivative Instruments Categorized by Risk Exposure: | | | | | | |
|
|
|
|
|
|
|
|
Fair Values of Derivative Instruments as of December 31, 2010 |
|
| | | | | | |
| | Liability Derivatives | |
| |
|
|
| | Statement of
Assets and
Liabilities
Location | | Value | |
|
|
|
|
|
|
Equity contracts | | Net
unrealized
appreciation/
depreciation* | | $377 | |
|
|
|
|
|
|
| | |
| * | Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities. |
| | | | |
|
|
The Effect of Derivative Instruments on the Statement of Operations
Year Ended December 31, 2010 | |
|
| | Net Realized Gain From | |
| |
|
|
| | Financial Futures Contracts | |
| |
|
|
Equity contracts | | | $248,961 | |
|
|
|
|
|
| | Net Change in Unrealized
Appreciation/Depreciation on | |
| |
|
|
| | Financial Futures Contracts | |
| |
|
|
Equity contracts | | | $(88,950) | |
|
|
|
|
|
For the year ended December 31, 2010, the average quarterly balances of outstanding derivative financial instruments were as follows:
| | | | |
|
|
|
|
|
Financial futures contracts: | | | | |
Average number of contracts purchased | | | 104 | |
Average notional value of contracts purchased | | $ | 7,098,137 | |
|
|
|
|
|
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Series for 1940 Act purposes, but BAC and Barclays are not.
The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to
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| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 43 |
| |
|
|
| |
Notes to Financial Statements (continued) | Master Small Cap Index Series |
provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Master LLC. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.
The Manager contractually agreed to waive and/or reimburse fees and/or expenses to ensure that the management fee of the Series, when combined with the administration fee of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc., would not exceed 0.30%. This agreement was terminated on December 1, 2010. For the year ended December 31, 2010 no fees were waived and/or reimbursed for the Series.
The Manager entered into a contractual arrangement with the Master LLC with respect to the Series under which the Manager will waive and/or reimburse its fees and/or expenses so that the total annual operating expenses incurred by the Series (excluding dividend expense, interest expense, acquired fund fees and certain other Series expenses) will not exceed 0.08% of the average daily value of the Series’ net assets. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement before May 1, 2012 unless approved by the Board, including a majority of the non-interested directors. For the year ended December 31, 2010, the Series waived and/or reimbursed $106,243, which is included in fees waived and/or reimbursed by advisor in the Statement of Operations.
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds, however the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through the Series’ investment in other affiliated investment companies, if any. For the year ended December 31, 2010, the Manager waived advisory fees in the amount of $5,721, which is included in fees waived and/or reimbursed by advisor in the Statement of Operations.
The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.
For the year ended December 31, 2010, the Series reimbursed the Manager $5,038 for certain accounting services, which are included in accounting services in the Statement of Operations.
The Master LLC, on behalf of the Series, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. The market value of securities on loan and the value of the related collateral, if applicable are shown in the Statement of Assets and Liabilities as securities loaned and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments. The share of income earned by the Series on such investments is shown as securities lending — affiliated in the Statement of Operations. For the year ended December 31, 2010, BIM received $36,692 in securities lending agent fees related to securities lending activities for the Series.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
4. Investments:
Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2010, were $169,021,756 and $113,962,091, respectively.
5. Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2010. The Series may borrow under the credit agreement to fund investor withdrawals. Effective November 2009, the credit agreement had the following terms: 0.02% upfront fee on the aggregate commitment amount which was allocated to the Master LLC based on its net assets as of October 31, 2009, a commitment fee of 0.10% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2009. Effective November 2010, the credit agreement was renewed until November 2011 with the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. The Series did not borrow under the credit agreement during the year ended December 31, 2010.
6. Concentration, Market and Credit Risk:
In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline
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44 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
| |
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|
| |
Notes to Financial Statements (concluded) | Master Small Cap Index Series |
in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.
As of December 31, 2010, the Series invested a significant portion of its assets in securities in the financial services sector. Changes in economic conditions affecting the financial services sector would have a greater impact on the Series and could affect the value, income and/or liquidity of positions in such securities.
7. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| |
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|
| |
Report of Independent Registered Public Accounting Firm | Master Small Cap Index Series |
To the Investors and Board of Directors of Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Small Cap Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Small Cap Index Series of Quantitative Master Series LLC as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & ToucheLLP
Princeton, New Jersey
February 24, 2011
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| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 45 |
| | | | | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Corporation/
Master LLC | | Length
of Time
Served as
a Director2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
|
|
|
|
|
|
|
|
|
|
|
Non-Interested Directors1 |
|
Ronald W. Forbes
55 East 52nd Street
New York, NY 10055
1940 | | Co-Chair of the Board and Director | | Since
2007 | | Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000. | | 36 RICs consisting of
95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Rodney D. Johnson
55 East 52nd Street
New York, NY 10055
1941 | | Co-Chair of the Board and Director | | Since
2007 | | President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006. | | 36 RICs consisting of
95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
David O. Beim
55 East 52nd Street
New York, NY 10055
1940 | | Director | | Since
2007 | | Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006. | | 36 RICs consisting of
95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Dr. Matina S. Horner
55 East 52nd Street
New York, NY 10055
1939 | | Director | | Since
2007 | | Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003. | | 36 RICs consisting of
95 Portfolios | | NSTAR (electric and gas utility) |
|
|
|
|
|
|
|
|
|
|
|
Herbert I. London
55 East 52nd Street
New York, NY 10055
1939 | | Director and Member of the Audit Committee | | Since
2007 | | Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005. | | 36 RICs consisting of
95 Portfolios | | AIMS Worldwide, Inc. (marketing) |
|
|
|
|
|
|
|
|
|
|
|
Cynthia A. Montgomery
55 East 52nd Street
New York, NY 10055
1952 | | Director | | Since
2007 | | Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005. | | 36 RICs consisting of
95 Portfolios | | Newell Rubbermaid, Inc. (manufacturing) |
|
|
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|
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|
|
Joseph P. Platt
55 East 52nd Street
New York, NY 10055
1947 | | Director | | Since
2007 | | Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008. | | 36 RICs consisting of
95 Portfolios | | Greenlight Capital Re, Ltd. (reinsurance company); WQED Multi-Media (public broadcasting not-for-profit) |
|
|
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|
|
|
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|
|
Robert C. Robb, Jr.
55 East 52nd Street
New York, NY 10055
1945 | | Director | | Since
2007 | | Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981. | | 36 RICs consisting of
95 Portfolios | | None |
|
|
|
|
|
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|
|
Toby Rosenblatt
55 East 52nd Street
New York, NY 10055
1938 | | Director | | Since
2007 | | President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008. | | 36 RICs consisting of
95 Portfolios | | A.P. Pharma, Inc. (specialty pharmaceuticals) |
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|
46 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
|
|
|
Officers and Directors (continued) |
| | | | | | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Corporation/
Master LLC | | Length
of Time
Served as
a Director2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
|
|
|
|
|
|
|
|
|
|
|
Non-Interested Directors1 (concluded) |
|
Kenneth L. Urish
55 East 52nd Street
New York, NY 10055
1951 | | Chair of the Audit Committee and Director | | Since
2007 | | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2009; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007. | | 36 RICs consisting of
95 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Frederick W. Winter
55 East 52nd Street
New York, NY 10055
1945 | | Director and Member of the Audit Committee | | Since
2007 | | Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008. | | 36 RICs consisting of
95 Portfolios | | None |
| |
|
|
| | 1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31, 2013. |
| | | | | | | | | | | |
| | 2 | Date shown is the earliest date a person has served as a director for the Corporation/Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows directors as joining the Corporation/Master LLC board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. |
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|
Interested Directors3 | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
Richard S. Davis
55 East 52nd Street
New York, NY 10055
1945 | | Director | | Since
2007 | | Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005. | | 169 RICs consisting of
289 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947 | | Director | | Since
2007 | | Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | | 169 RICs consisting of
289 Portfolios | | None |
| |
|
|
|
|
|
|
|
|
|
|
| | 3 | Mr. Davis is an “interested person” as defined in the 1940 Act, of the Corporation/Master LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Corporation/Master LLC based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
| | | |
|
|
|
|
| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 47 |
|
|
|
Officers and Directors (concluded) |
| | | | | | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Corporation/
Master LLC | | Length
of Time
Served | | Principal Occupation(s) During Past Five Years |
|
|
|
|
|
|
|
Corporation/Master LLC Officers1 |
|
|
|
|
|
|
|
John M. Perlowski
55 East 52nd Street
New York, NY 10055
1964 | | President and Chief Executive Officer | | Since
2010 | | Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009. |
|
|
|
|
|
|
|
Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977 | | Vice President | | Since
2009 | | Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s US Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008. |
|
|
|
|
|
|
|
Brian Schmidt
55 East 52nd Street
New York, NY 10055
1958 | | Vice President | | Since
2009 | | Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003. |
|
|
|
|
|
|
|
Neal Andrews
55 East 52nd Street
New York, NY 10055
1966 | | Chief Financial Officer | | Since
2007 | | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. |
|
|
|
|
|
|
|
Jay Fife
55 East 52nd Street
New York, NY 10055
1970 | | Treasurer | | Since
2007 | | Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. |
|
|
|
|
|
|
|
Brian Kindelan
55 East 52nd Street
New York, NY 10055
1959 | | Chief Compliance Officer | | Since
2007 | | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005. |
|
|
|
|
|
|
|
Ira Shapiro
55 East 52nd Street
New York, NY 10055
1963 | | Secretary | | Since
2010 | | Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008. |
| |
|
|
|
|
|
|
|
|
|
|
| | 1 | Officers of the Corporation/Master LLC serve at the pleasure of the Board of Directors. |
| |
|
|
| | Further information about the Corporation/Master LLC’s Officers and Directors is available in the Corporation/Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762. |
|
Investment Advisor |
|
BlackRock Advisors, LLC |
Wilmington, DE 19809 |
|
Sub-Advisor |
|
BlackRock Investment |
Management, LLC |
Plainsboro, NJ 08536 |
|
Custodian |
|
State Street Bank |
and Trust Company |
Boston, MA 02111 |
|
Transfer Agent |
|
BNY Mellon Investment |
Servicing (US) Inc. |
Wilmington, DE 19809 |
|
Distributor |
|
BlackRock |
Investments, LLC |
New York, NY 10022 |
|
Legal Counsel |
|
Sidley Austin LLP |
New York, NY 10019 |
|
Accounting Agent |
|
State Street Bank |
and Trust Company |
Princeton, NJ 08540 |
|
Independent Registered Public Accounting Firm |
|
Deloitte & Touche LLP |
Princeton, NJ 08540 |
|
Address of the Fund |
|
100 Bellevue Parkway |
Wilmington, DE 19809 |
|
|
Effective September 24, 2010, John M. Perlowski became President and Chief Executive Officer of the Corporation and the Master LLC. |
|
Effective November 16, 2010, Ira Shapiro became Secretary of the Corporation and the Master LLC. |
|
| | |
|
|
|
48 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
|
|
|
Additional Information |
|
|
General Information |
|
Electronic Delivery
Electronic copies of most financial reports and prospectuses are available on the Fund’s website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospectuses by enrolling in the Fund’s electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
| |
1) | Access the BlackRock website at |
| http://www.blackrock.com/edelivery |
| |
2) | Select “eDelilvery” under the “More Information” section |
| |
3) | Log into your account |
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call (800) 441-7762.
Availability of Quarterly Portfolio Schedule of Investments
The Fund/Series file their complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s/Series’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Fund’s/Series’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund/Series uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information on how the Fund/Series voted proxies relating to securities held in the Fund’s/Series’ portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
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| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 49 |
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Additional Information (concluded) |
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BlackRock Privacy Principles |
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BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
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50 | BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 |
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A World-Class Mutual Fund Family |
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing.
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Equity Funds |
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BlackRock All-Cap Energy & Resources Portfolio |
BlackRock Asset Allocation Portfolio† |
BlackRock Balanced Capital Fund† |
BlackRock Basic Value Fund |
BlackRock Capital Appreciation Fund |
BlackRock Energy & Resources Portfolio |
BlackRock Equity Dividend Fund |
BlackRock EuroFund |
BlackRock Focus Growth Fund |
BlackRock Focus Value Fund |
BlackRock Global Allocation Fund† |
BlackRock Global Dynamic Equity Fund |
BlackRock Global Emerging Markets Fund |
BlackRock Global Financial Services Fund |
BlackRock Global Growth Fund |
BlackRock Global Opportunities Portfolio |
BlackRock Global SmallCap Fund |
BlackRock Health Sciences Opportunities Portfolio |
BlackRock Healthcare Fund |
BlackRock Index Equity Portfolio* |
BlackRock International Fund |
BlackRock International Index Fund |
BlackRock International Opportunities Portfolio |
BlackRock International Value Fund |
BlackRock Large Cap Core Fund |
BlackRock Large Cap Core Plus Fund |
BlackRock Large Cap Growth Fund |
BlackRock Large Cap Value Fund |
BlackRock Latin America Fund |
BlackRock Mid-Cap Growth Equity Portfolio |
BlackRock Mid-Cap Value Equity Portfolio |
BlackRock Mid Cap Value Opportunities Fund |
BlackRock Natural Resources Trust |
BlackRock Pacific Fund |
BlackRock Science & Technology Opportunities Portfolio |
BlackRock Small Cap Core Equity Portfolio |
BlackRock Small Cap Growth Equity Portfolio |
BlackRock Small Cap Growth Fund II |
BlackRock Small Cap Index Fund |
BlackRock Small/Mid-Cap Growth Portfolio |
BlackRock S&P 500 Index Fund |
BlackRock S&P 500 Stock Fund |
BlackRock U.S. Opportunities Portfolio |
BlackRock Utilities and Telecommunications Fund |
BlackRock Value Opportunities Fund |
BlackRock World Gold Fund |
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Fixed Income Funds |
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BlackRock Bond Index Fund |
BlackRock Bond Portfolio |
BlackRock Emerging Market Debt Portfolio |
BlackRock Floating Rate Income Portfolio |
BlackRock GNMA Portfolio |
BlackRock Global Dividend Income Portfolio† |
BlackRock Government Income Portfolio |
BlackRock High Income Fund |
BlackRock High Yield Bond Portfolio |
BlackRock Income Portfolio† |
BlackRock Inflation Protected Bond Portfolio |
BlackRock Intermediate Government Bond Portfolio |
BlackRock International Bond Portfolio |
BlackRock Long Duration Bond Portfolio |
BlackRock Low Duration Bond Portfolio |
BlackRock Managed Income Portfolio |
BlackRock Multi-Sector Bond Portfolio |
BlackRock Short-Term Bond Fund |
BlackRock Strategic Income Opportunities Portfolio |
BlackRock Total Return Fund |
BlackRock Total Return Portfolio II |
BlackRock World Income Fund |
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Municipal Bond Funds |
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BlackRock AMT-Free Municipal Bond Portfolio |
BlackRock California Municipal Bond Fund |
BlackRock High Yield Municipal Fund |
BlackRock Intermediate Municipal Fund |
BlackRock Kentucky Municipal Bond Portfolio |
BlackRock Municipal Fund |
BlackRock National Municipal Fund |
BlackRock New Jersey Municipal Bond Fund |
BlackRock New York Municipal Bond Fund |
BlackRock Ohio Municipal Bond Portfolio |
BlackRock Pennsylvania Municipal Bond Fund |
BlackRock Short-Term Municipal Fund |
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Target Risk & Target Date Funds† |
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BlackRock Prepared Portfolios |
Conservative Prepared Portfolio |
Moderate Prepared Portfolio |
Growth Prepared Portfolio |
Aggressive Growth Prepared Portfolio |
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BlackRock Lifecycle Prepared Portfolios |
2015 |
2020 |
2025 |
2030 |
2035 |
2040 |
2045 |
2050 |
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BlackRock LifePath Portfolios |
Retirement |
2020 |
2025 |
2030 |
2035 |
2040 |
2045 |
2050 |
2055 |
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* | See the prospectus for information on specific limitations on investments in the fund. |
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† | Mixed asset fund. |
BlackRock mutual funds are currently distributed by BlackRock Investments, LLC. You should consider the investment objectives, risks, charges and expenses of the funds under consideration carefully before investing. Each fund’s prospectus contains this and other information and is available at www.blackrock.com or by calling (800) 441-7762 or from your financial advisor. The prospectus should be read carefully before investing.
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| BLACKROCK SMALL CAP INDEX FUND | DECEMBER 31, 2010 | 51 |
This report is transmitted to shareholders only. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
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#Index 3-12/10 | 
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Item 2 – | Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com. |
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Item 3 – | Audit Committee Financial Expert – The registrant’s board of directors or trustees, as applicable (the “board of directors”), has determined that (i) the registrant has the following audit committee financial expert serving on its audit committee and (ii) each audit committee financial expert is independent: |
| Kenneth L. Urish |
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| Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. |
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Item 4 – | Principal Accountant Fees and Services |
| (a) Audit Fees | (b) Audit-Related Fees1 | (c) Tax Fees2 | (d) All Other Fees3 |
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End |
BlackRock International Index Fund of BlackRock Index Funds, Inc. | $6,800 | $6,800 | $0 | $0 | $6,100 | $6,100 | $46 | $1,028 |
BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. | $6,800 | $6,800 | $0 | $0 | $6,100 | $6,100 | $329 | $1,028 |
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. | $6,800 | $6,800 | $0 | $0 | $6,100 | $6,100 | $17 | $1,028 |
Master International Index Series of Quantitative Master Series LLC | $35,700 | $35,700 | $0 | $0 | $17,000 | $17,000 | $0 | $0 |
Master S&P 500 Index Series of Quantitative Master Series LLC | $33,500 | $33,500 | $0 | $0 | $17,000 | $17,000 | $0 | $0 |
Master Small Cap Index Series of Quantitative Master Series LLC | $37,000 | $39,200 | $0 | $0 | $17,000 | $17,000 | $0 | $0 |
1 The nature of the services include assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.
2 The nature of the services include tax compliance, tax advice and tax planning.
3 The nature of the services include a review of compliance procedures and attestation thereto.
| (e)(1) Audit Committee Pre-Approval Policies and Procedures: |
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| The registrant’s audit committee (the “Committee”) has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the registrant’s affiliated service providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operation or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels. |
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| Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels. |
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| (e)(2) None of the services described in each of Items 4(b) through (d) were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
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| (f) Not Applicable |
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| (g) Affiliates’ Aggregate Non-Audit Fees: |
Entity Name | Current Fiscal Year End | Previous Fiscal Year End |
BlackRock International Index Fund of BlackRock Index Funds, Inc. | $16,923 | $409,628 |
BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. | $17,206 | $409,628 |
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. | $16,894 | $409,628 |
Master International Index Series of Quantitative Master Series LLC | $27,777 | $419,500 |
Master S&P 500 Index Series of Quantitative Master Series LLC | $27,777 | $419,500 |
Master Small Cap Index Series of Quantitative Master Series LLC | $27,777 | $419,500 |
| (h) The registrant’s audit committee has considered and determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any non-affiliated sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by the registrant’s investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
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| Regulation S-X Rule 2-01(c)(7)(ii) – $10,777, 0% |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable |
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Item 6 – | Investments |
| (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form. |
| (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
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Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
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Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
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Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
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Item 10 – | Submission of Matters to a Vote of Security Holders – The registrant’s Nominating and Governance Committee will consider nominees to the board of directors recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations which include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures. |
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Item 11 – | Controls and Procedures |
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11(a) – | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
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11(b) – | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
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Item 12 – | Exhibits attached hereto |
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12(a)(1) – | Code of Ethics – See Item 2 |
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12(a)(2) – | Certifications – Attached hereto |
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12(a)(3) – | Not Applicable |
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12(b) – | Certifications – Attached hereto |
| 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. |
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| BlackRock Index Funds, Inc. and Quantitative Master Series LLC |
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| | By: | /s/ John M. Perlowski | |
| | | John M. Perlowski |
| | | Chief Executive Officer of |
| | | BlackRock Index Funds, Inc. and Quantitative Master Series LLC |
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| | Date: March 4, 2011 |
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| | 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. |
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| | By: | /s/ John M. Perlowski | |
| | | John M. Perlowski |
| | | Chief Executive Officer (principal executive officer) of |
| | | BlackRock Index Funds, Inc. and Quantitative Master Series LLC |
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| | Date: March 4, 2011 |
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| | By: | /s/ Neal J. Andrews | |
| | | Neal J. Andrews |
| | | Chief Financial Officer (principal financial officer) of |
| | | BlackRock Index Funds, Inc. and Quantitative Master Series LLC |
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| | Date: March 4, 2011 |
