UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07899
811-07885
Name of Fund: International Index Fund of Merrill Lynch Index Funds, Inc.
Master International Index Series of Quantitative Master
Series Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, International Index Fund of Merrill Lynch Index Funds, Inc. and
Master International Index Series of Quantitative Master Series Trust, 800
Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011,
Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/05
Date of reporting period: 01/01/05 - 12/31/05
Item 1 - Report to Stockholders
Merrill Lynch
International Index Fund
Of Merrill Lynch Index Funds, Inc.
Annual Report
December 31, 2005
Merrill Lynch International Index Fund
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Electronic Delivery
The Fund offers electronic delivery of communications to its shareholders. In
order to receive this service, you must register your account and provide us
with e-mail information. To sign up for this service, simply access this Web
site at http://www.icsdelivery.com/live and follow the instructions. When you
visit this site, you will obtain a personal identification number (PIN). You
will need this PIN should you wish to update your e-mail address, choose to
discontinue this service and/or make any other changes to the service. This
service is not available for certain retirement accounts at this time.
2 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
A Letter From the President
Dear Shareholder
On balance, 2005 was a year of "muddling through" for the U.S. financial
markets, as oil prices reached new record highs, the Federal Reserve Board (the
Fed) increased the target federal funds rate from 2.25% to 4.25%, the housing
market and the consumer finally showed some signs of slowing, and Hurricanes
Katrina and Rita ravaged the Gulf Coast, causing yet untold economic damage.
Although they struggled, stocks managed to post their third straight year of
positive performance. The year was equally uncertain for fixed income markets,
which were bemused by a flattening yield curve and a number of significant
credit events that brought a slowdown in high yield market returns. Notably, the
one-year results for the major asset classes -- stocks, bonds and cash -- were
the closest they have been in more than 100 years. For the 12- and six-month
periods ended December 31, 2005, most of the major market indexes managed to
land in positive territory:
Total Returns as of December 31, 2005 6-month 12-month
=================================================================================================
U.S. equities (Standard & Poor's 500 Index) + 5.77% + 4.91%
- -------------------------------------------------------------------------------------------------
Small-cap U.S. equities (Russell 2000 Index) + 5.88 + 4.55
- -------------------------------------------------------------------------------------------------
International equities (MSCI Europe Australasia Far East Index) +14.88 +13.54
- -------------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers Aggregate Bond Index) - 0.08 + 2.43
- -------------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 0.60 + 3.51
- -------------------------------------------------------------------------------------------------
High yield bonds (Credit Suisse First Boston High Yield Index) + 1.48 + 2.26
- -------------------------------------------------------------------------------------------------
In hindsight, these numbers are reasonably good given the headwinds facing the
markets in 2005. U.S. equities found support in strong corporate earnings, low
core inflation and healthy company balance sheets. Strength in the global
economy and non-U.S. equity markets helped, as did robust dividend-distribution,
share-buyback and merger-and-acquisition activity. International stocks had an
excellent year, with many markets benefiting from strong economic statistics,
trade surpluses and solid finances. In the U.S. bond market, long-term yields
remained low and, at year-end, the Treasury curve appeared ready to invert.
As 2006 begins, the largest question marks center on the Fed's future moves, the
U.S. consumer's ability (or inability) to continue spending, the direction of
the U.S. dollar following a year of appreciation and the potential for continued
strong economic and corporate earnings growth. As you turn the calendar and
consider how these factors might impact your investments, remember that the new
year is a good time to meet with your financial advisor to review your financial
goals, and to make portfolio changes where necessary. For investing insights and
timely "food for thought" for investors, we also invite you to visit Shareholder
magazine at www.mlim.ml.com/shareholdermagazine.
As always, we thank you for trusting Merrill Lynch Investment Managers with your
investment assets, and we look forward to serving you in the new year and
beyond.
Sincerely,
/s/ Robert C. Doll, Jr.
Robert C. Doll, Jr.
President and Director/Trustee
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 3
A Discussion With Your Fund's Portfolio Managers
For the fiscal year, the Fund provided positive double-digit returns
similar to that of the MSCI EAFE Index.
How did the Fund perform during the fiscal year in light of the existing market
conditions?
For the 12-month period ended December 31, 2005, Merrill Lynch International
Index Fund's Class A and Class I Shares had total returns of +12.81% and
+13.19%, respectively. For the same period, the benchmark Morgan Stanley Capital
International Europe, Australasia, Far East (MSCI EAFE) Index returned +13.54%.
The MSCI EAFE Index is a free-float adjusted market-weighted index designed to
measure equity performance of developed markets, excluding the United States and
Canada. As the value of the MSCI EAFE Index fluctuated during the past 12
months, the Fund's performance generally tracked that of the Index.
International equity markets generated positive performance in 2005 as developed
markets around the world strengthened on optimistic economic reports. In fact,
throughout the year, international equity markets outperformed U.S. equity
markets.
European equity markets performed well in 2005 as 14 of 16 European MSCI country
indexes posted positive gains. A key reason behind the upbeat outlook for world
economic growth was that inflation retreated in most regions, especially in
Europe and Japan. Despite the July terrorist attacks in London, worries about
the economic impact of hurricanes in the United States, and higher energy costs,
European equity markets performed strongly in the second half of 2005. In
December, European manufacturing growth advanced at its fastest pace in 16
months, while German unemployment declined by its greatest amount in more than
15 years. Economic growth accelerated as companies stepped up their hiring and
investment activity, which in turn increased optimism that consumers would spend
more and bolster Europe's export-driven economy. The strongest-performing
European markets of 2005 were Austria, Norway and Finland, which gained 24.64%,
24.26% and 16.69%, respectively. Ireland and Portugal returned -2.29% and
- -1.87%, respectively, and were the only two markets in Europe to post negative
returns last year. The European Central Bank raised interest rates 25 basis
points (.25%) for the first time since 2000, leaving the region's benchmark rate
at 2.25%.
In Asia, all five MSCI country indexes gained ground in 2005. Japan turned in
the strongest growth in the region, returning +25.52%. Business confidence in
that country climbed to its highest level in a year, and Japanese companies plan
to invest in their businesses at the fastest pace since 1990, according to the
Bank of Japan's Tankan business confidence survey. Other strong performers in
the region included Australia (+16.02%), Singapore (+14.37%) and Hong Kong
(+8.40%).
In 2005, the U.S. dollar gained 12.7% against the euro, 10.6% against the
British pound and 15% against the Japanese yen. Exchange rates were largely
driven by interest rate decisions and expectations in the United States.
Interest rates are expected to continue driving exchange rates as the Federal
Reserve Board winds down its interest rate-hiking campaign.
What changes were made to the portfolio during the period?
Throughout the year, as changes were made to the composition of the MSCI EAFE
Index, the portfolio purchased and sold securities to maintain its objective of
replicating the risks and return of the benchmark.
How would you characterize the Fund's position at the close of the period?
We believe the portfolio remains positioned to match the risk characteristics of
its benchmark, regardless of the direction of international markets.
Vincent J. Costa, CFA
Vice President and Co-Portfolio Manager
Debra L. Jelilian
Vice President and Co-Portfolio Manager
Jeffrey L. Russo, CFA
Vice President and Co-Portfolio Manager
January 9, 2006
4 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Performance Data
About Fund Performance
Investors are able to purchase shares of the Fund, which offers two pricing
alternatives:
o Class A Shares do not incur an initial sales charge (front-end load) or
deferred sales charge and bear no ongoing distribution fee. In addition,
Class A Shares are subject to an ongoing account maintenance fee of 0.25%
per year.
o Class I Shares do not incur an initial sales charge (front-end load) or
deferred sales charge and bear no ongoing distribution or account
maintenance fees. Class I Shares are available only to eligible investors.
None of the past results shown should be considered a representation of future
performance. Current performance may be lower or higher than the performance
data quoted. Refer to www.mlim.ml.com 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. The Fund may charge a 2% redemption fee for sales or exchanges of shares
within 30 days of purchase or exchange. Performance data does not reflect this
potential fee. Figures shown in each of the following tables 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 account maintenance and transfer agency fees applicable to
each class, which are deducted from the income available to be paid to
shareholders. The Fund's Investment Adviser reimbursed a portion of the Fund's
fee. Without such reimbursement, the Fund's performance would have been lower.
Recent Performance Results
6-Month 12-Month Since Inception
As of December 31, 2005 Total Return Total Return Total Return
==================================================================================================
ML International Index Fund Class A Shares* +14.45% +12.81% +75.29%
- --------------------------------------------------------------------------------------------------
ML International Index Fund Class I Shares* +14.63 +13.19 +79.21
- --------------------------------------------------------------------------------------------------
MSCI EAFE Index--Cap Weighted** +14.88 +13.54 +68.04
- --------------------------------------------------------------------------------------------------
* Cumulative total investment returns are based on changes in net asset
values for the periods shown, and assume reinvestment of all dividends and
capital gains distributions at net asset value on the ex-dividend date.
The Fund's inception date is 4/09/97. On 12/14/01, the Fund changed its
benchmark index from the MSCI EAFE Index -- GDP Weighted to the MSCI EAFE
Index -- Cap Weighted. Accordingly, the Fund's since inception total
returns reflect investment performance prior to 12/14/01 when the Fund's
benchmark was the MSCI EAFE Index -- GDP Weighted.
** This unmanaged capitalization-weighted Index is comprised of equity
securities of companies from various industrial sectors whose primary
trading markets are located outside the United States and that are
selected from among the larger-capitalization companies in such markets.
Since inception total return is from 4/30/97.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 5
Performance Data (concluded)
Total Return Based on a $10,000 Investment--Class A & Class I Shares
A line graph depicting the growth of an investment in the Fund's Class A Shares
and Class I Shares compared to growth of an investment in the MSCI EAFE (Cap
Weighted) Index. Values are from April 9, 1997 to December 2005.
ML International ML International MSCI EAFE
Index Fund+-- Index Fund+-- (Cap Weighted)
Class A Shares* Class I Shares* Index++
4/09/97** $10,000 $10,000 $10,000
12/97 $10,822 $10,845 $10,285
12/98 $13,571 $13,627 $12,342
12/99 $17,771 $17,891 $15,670
12/00 $14,573 $14,706 $13,450
12/01 $11,241 $11,378 $10,566
12/02 $ 9,418 $ 9,551 $ 8,882
12/03 $13,007 $13,217 $12,309
12/04 $15,538 $15,832 $14,801
12/05 $17,529 $17,921 $16,804
* Assuming transaction costs and other operating expenses, including
administrative fees.
** Commencement of operations.
+ The Fund invests all of its assets in Master International (Capitalization
Weighted) Index Series of Quantitative Master Series Trust. The Trust may
invest in a statistically selected sample of the equity securities
included in the Europe, Australasia and Far East Index and other types of
financial instruments.
++ This unmanaged capitalization weighted Index is comprised of equity
securities of companies from various industrial sectors whose primary
trading markets are located outside the United States and which are
selected from among the larger-capitalization companies in such markets.
The starting date for the Index in the graph is from 4/30/97.
Past performance is not predictive of future results.
Average Annual Total Return
Class A Shares Return
================================================================================
One Year Ended 12/31/05 +12.81%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/05 + 3.76
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/05 + 6.64
- --------------------------------------------------------------------------------
Class I Shares Return
================================================================================
One Year Ended 12/31/05 +13.19%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/05 + 4.03
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/05 + 6.91
- --------------------------------------------------------------------------------
6 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses related
to transactions, including sales charges, redemption fees and exchange fees; and
(b) operating expenses including advisory fees, distribution fees including
12b-1 fees, and other Fund expenses. The following example (which is based on a
hypothetical investment of $1,000 invested on July 1, 2005 and held through
December 31, 2005) 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.
The first table below 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 in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below 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.
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 second table 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.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2005 to
July 1, 2005 December 31, 2005 December 31, 2005
====================================================================================================================================
Actual
====================================================================================================================================
Class A $1,000 $1,144.50 $4.30
- ------------------------------------------------------------------------------------------------------------------------------------
Class I $1,000 $1,146.30 $2.96
====================================================================================================================================
Hypothetical (5% annual return before expenses)**
====================================================================================================================================
Class A $1,000 $1,021.09 $4.05
- ------------------------------------------------------------------------------------------------------------------------------------
Class I $1,000 $1,022.34 $2.79
- ------------------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (.80% for Class A and .55% for Class I), multiplied by
the average account value over the period, multiplied by 183/365 (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 feeder fund and
the master series in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating
the number of days in the most recent fiscal half-year divided by 365.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 7
Statement of Assets and Liabilities Merrill Lynch International Index Fund
As of December 31, 2005
==================================================================================================================================
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investment in Master International Index Series (the "Series"), at value
(identified cost--$199,990,380) ............................................... $ 250,483,266
Prepaid expenses ............................................................... 14,442
-------------
Total assets ................................................................... 250,497,708
-------------
==================================================================================================================================
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Payables:
Administrator ............................................................... $ 57,869
Distributor ................................................................. 32,377 90,246
-------------
Accrued expenses and other liabilities ......................................... 73,589
-------------
Total liabilities .............................................................. 163,835
-------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets ..................................................................... $ 250,333,873
=============
==================================================================================================================================
Net Assets Consist of
- ----------------------------------------------------------------------------------------------------------------------------------
Class A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized $ 1,291
Class I Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized 723
Paid-in capital in excess of par ............................................... 203,831,030
Accumulated distributions in excess of investment income--net .................. $ (784,917)
Accumulated realized capital losses allocated from the Series--net ............. (3,207,140)
Unrealized appreciation allocated from the Series--net ......................... 50,492,886
-------------
Total accumulated earnings--net ................................................ 46,500,829
-------------
Net Assets ..................................................................... $ 250,333,873
=============
==================================================================================================================================
Net Asset Value
- ----------------------------------------------------------------------------------------------------------------------------------
Class A--Based on net assets of $160,177,215 and 12,905,744 shares outstanding . $ 12.41
=============
Class I--Based on net assets of $90,156,658 and 7,231,440 shares outstanding ... $ 12.47
=============
See Notes to Financial Statements.
8 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Statement of Operations Merrill Lynch International Index Fund
For the Year Ended December 31, 2005
==================================================================================================================================
Investment Income--Net
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends ................................................................... $ 5,221,174
Interest .................................................................... 188,642
Securities lending--net ..................................................... 2,976
Expenses .................................................................... (201,231)
-------------
Total income ................................................................... 5,211,561
-------------
==================================================================================================================================
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Administration fees ............................................................ $ 705,801
Account maintenance fees--Class A .............................................. 354,706
Transfer agent fees--Class A ................................................... 102,676
Printing and shareholder reports ............................................... 54,496
Transfer agent fees--Class I ................................................... 46,006
Registration fees .............................................................. 31,102
Professional fees .............................................................. 8,751
Directors' fees and expenses ................................................... 2,585
Other .......................................................................... 6,795
-------------
Total expenses before waiver ................................................... 1,312,918
Waiver of expenses ............................................................. (12,656)
-------------
Total expenses after waiver .................................................... 1,300,262
-------------
Investment income--net ......................................................... 3,911,299
-------------
==================================================================================================================================
Realized & Unrealized Gain (Loss) Allocated from the Series--Net
- ----------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on:
Investments--net ............................................................ 1,072,356
Futures contracts--net ...................................................... 2,006,610
Foreign currency transactions--net .......................................... (1,045,827) 2,033,139
-------------
Change in unrealized appreciation/depreciation on investments, futures
contracts and foreign currency transactions--net .............................. 22,759,976
-------------
Total realized and unrealized gain--net ........................................ 24,793,115
-------------
Net Increase in Net Assets Resulting from Operations ........................... $ 28,704,414
=============
See Notes to Financial Statements.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 9
Statements of Changes in Net Assets Merrill Lynch International Index Fund
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2005 2004
==================================================================================================================================
Operations
- ----------------------------------------------------------------------------------------------------------------------------------
Investment income--net ................................................. $ 3,911,299 $ 2,560,128
Realized gain--net ..................................................... 2,033,139 19,293,872
Change in unrealized appreciation/depreciation--net .................... 22,759,976 5,153,858
-------------------------------
Net increase in net assets resulting from operations ................... 28,704,414 27,007,858
-------------------------------
==================================================================================================================================
Dividends to Shareholders
- ----------------------------------------------------------------------------------------------------------------------------------
Investment income--net:
Class A ............................................................. (2,077,911) (2,950,230)
Class I ............................................................. (1,357,769) (872,106)
-------------------------------
Net decrease in net assets resulting from dividends to shareholders .... (3,435,680) (3,822,336)
-------------------------------
==================================================================================================================================
Capital Share Transactions
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets derived from capital share transactions ..... 56,314,666 14,346,422
-------------------------------
==================================================================================================================================
Redemption Fees
- ----------------------------------------------------------------------------------------------------------------------------------
Redemption fees ........................................................ 67 110
-------------------------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ........................................... 81,583,467 37,532,054
Beginning of year ...................................................... 168,750,406 131,218,352
-------------------------------
End of year* ........................................................... $ 250,333,873 $ 168,750,406
===============================
* Accumulated distributions in excess of investment income--net ..... $ (784,917) $ (214,966)
===============================
See Notes to Financial Statements.
10 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Financial Highlights Merrill Lynch International Index Fund
Class A
---------------------------------------------------------------------
For the Year Ended December 31,
The following per share data and ratios have been derived ---------------------------------------------------------------------
from information provided in the financial statements. 2005 2004 2003 2002 2001
==================================================================================================================================
Per Share Operating Performance
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ..... $ 11.15 $ 9.56 $ 7.06 $ 8.62 $ 11.33
---------------------------------------------------------------------
Investment income--net** ............... .21 .17 .12 .11 .08
Realized and unrealized gain (loss)--net 1.21+ 1.67+ 2.56 (1.53) (2.64)
---------------------------------------------------------------------
Total from investment operations ....... 1.42 1.84 2.68 (1.42) (2.56)
---------------------------------------------------------------------
Less dividends and distributions:
Investment income--net .............. (.16) (.25) (.18) (.13) (.08)
Realized gain--net .................. -- -- -- (.01) (.07)
---------------------------------------------------------------------
Total dividends and distributions ...... (.16) (.25) (.18) (.14) (.15)
---------------------------------------------------------------------
Net asset value, end of year ........... $ 12.41 $ 11.15 $ 9.56 $ 7.06 $ 8.62
=====================================================================
==================================================================================================================================
Total Investment Return
- ----------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 12.81% 19.46% 38.10% (16.21%) (22.60%)
=====================================================================
==================================================================================================================================
Ratios to Average Net Assets*
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .80% .83% .87% .84% .89%
=====================================================================
Expenses ............................... .81% .84% .88% .92% 1.05%
=====================================================================
Investment income--net ................. 1.84% 1.69% 1.59% 1.43% .82%
=====================================================================
==================================================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $160,177 $132,873 $103,725 $ 62,310 $ 52,836
=====================================================================
Portfolio turnover of the Series ....... 11.33% 13.50% 8.55% 19.52% 30.19%
=====================================================================
* Includes the Fund's share of the Series' allocated expenses and/or
investment income--net.
** Based on average shares outstanding.
+ Includes redemption fees, which are less than $.01 per share.
See Notes to Financial Statements.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 11
Financial Highlights (concluded) Merrill Lynch International Index Fund
Class I
---------------------------------------------------------------------
For the Year Ended December 31,
The following per share data and ratios have been derived ---------------------------------------------------------------------
from information provided in the financial statements. 2005 2004 2003 2002 2001
==================================================================================================================================
Per Share Operating Performance
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ..... $ 11.19 $ 9.59 $ 7.08 $ 8.64 $ 11.36
---------------------------------------------------------------------
Investment income--net** ............... .23 .19 .15 .14 .12
Realized and unrealized gain (loss)--net 1.24+ 1.69+ 2.56 (1.55) (2.67)
---------------------------------------------------------------------
Total from investment operations ....... 1.47 1.88 2.71 (1.41) (2.55)
---------------------------------------------------------------------
Less dividends and distributions:
Investment income--net .............. (.19) (.28) (.20) (.14) (.10)
Realized gain--net .................. -- -- -- (.01) (.07)
---------------------------------------------------------------------
Total dividends and distributions ...... (.19) (.28) (.20) (.15) (.17)
---------------------------------------------------------------------
Net asset value, end of year ........... $ 12.47 $ 11.19 $ 9.59 $ 7.08 $ 8.64
=====================================================================
==================================================================================================================================
Total Investment Return
- ----------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 13.19% 19.78% 38.39% (16.06%) (22.45%)
=====================================================================
==================================================================================================================================
Ratios to Average Net Assets*
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .55% .58% .62% .58% .64%
=====================================================================
Expenses ............................... .56% .59% .62% .67% .81%
=====================================================================
Investment income--net ................. 1.98% 1.91% 1.86% 1.72% 1.18%
=====================================================================
==================================================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $ 90,157 $ 35,878 $ 27,494 $ 19,770 $ 26,367
=====================================================================
Portfolio turnover of the Series ....... 11.33% 13.50% 8.55% 19.52% 30.19%
=====================================================================
* Includes the Fund's share of the Series' allocated expenses and/or
investment income--net.
** Based on average shares outstanding.
+ Includes redemption fees, which are less than $.01 per share.
See Notes to Financial Statements.
12 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Notes to Financial Statements Merrill Lynch International Index Fund
1. Significant Accounting Policies:
Merrill Lynch International Index Fund (the "Fund") is part of Merrill Lynch
Index Funds, Inc. (the "Corporation"). The Fund is registered under the
Investment Company Act of 1940, as amended, as a non-diversified mutual fund.
The Fund seeks to achieve its investment objective by investing all of its
assets in Master International Index Series (the "Series") of the Quantitative
Master Series Trust, 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 financial
statements of the Series, including the Schedule of Investments, are included
elsewhere in this report and should be read in conjunction with the Fund's
financial statements. The Fund's financial statements are prepared in conformity
with U.S. generally accepted accounting principles, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates. The percentage of the Series owned by the Fund at December 31, 2005
was 47.9%. The Fund offers two classes of shares. Shares of Class A and Class I
are sold without the imposition of a front-end or deferred sales charge. Both
classes of shares have identical voting, dividend, liquidation and other rights
and the same terms and conditions, except that Class A Shares bear certain
expenses related to the account maintenance of such shares and have exclusive
voting rights with respect to matters relating to its account maintenance
expenditures. Income, expenses (other than expenses attributable to a specific
class) and realized and unrealized gains and losses are allocated daily to each
class based on its relative net assets. The following is a summary of
significant accounting policies followed by the Fund.
(a) Valuation of investments -- The Fund records its investment in the Series at
fair value. Valuation of securities held by the Series is discussed in Note 1(a)
of the Series' Notes to Financial Statements, which are included elsewhere in
this report.
(b) Investment income and expenses -- 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.
(c) Income taxes -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
(d) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions -- Investment transactions in the Series are
accounted for on a trade date basis.
(g) Reclassification -- U.S. generally accepted accounting principles require
that certain components of net assets be adjusted to reflect permanent
differences between financial and tax reporting. Accordingly, during the current
year, $1,045,570 has been reclassified between undistributed net investment
income and accumulated realized net capital losses on investments as a result of
permanent differences attributable to gains from the sale of stock of passive
foreign investment companies and foreign currency transactions. This
reclassification has no effect on net assets or net asset values per share.
2. Transactions with Affiliates:
The Corporation has entered into an Administration Services Agreement with
Merrill Lynch Investment Managers, L.P. ("MLIM"). The general partner of MLIM is
Princeton Services, Inc. ("PSI"), a wholly-owned subsidiary of Merrill Lynch &
Co., Inc. ("ML & Co."), which is the limited partner. The Fund pays a monthly
fee at an annual rate of .34% of the Fund's average daily net assets for the
performance of administrative services (other than investment advice and related
portfolio activities) necessary for the operation of the Fund. MLIM has entered
into a voluntary arrangement with the Fund under which the expenses incurred by
each class of shares of the Fund (excluding account maintenance fees) will not
exceed .65%. This arrangement has a one-year term and is renewable. MLIM earned
fees of $705,801, of which $12,656 were waived.
The Fund may pay a monthly investment advisory fee at an annual rate of .01%
based upon the average daily value of the Fund's net assets. However, the
Investment Adviser has entered into a contractual agreement with the Fund
pursuant to which the investment advisory fee will not be charged to the Fund so
long as the Fund remains invested in the Series. As a result, the investment
advisory fee has not been accrued and will not be payable by the Fund for the
period covered by this report.
The Corporation has also entered into a Distribution Agreement and Distribution
Plan with FAM Distributors, Inc. ("FAMD" or the "Distributor"), a wholly-owned
subsidiary of
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 13
Notes to Financial Statements (concluded)
Merrill Lynch International Index Fund
Merrill Lynch Group, Inc. Pursuant to the Distribution Plan adopted by the
Corporation in accordance with Rule 12b-1 under the Investment Company Act of
1940, the Fund pays the Distributor ongoing account maintenance fees. The fees
are accrued daily and paid monthly at the annual rate of .25% based upon the
average daily net assets of Class A Shares.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("MLPF&S"), an affiliate of MLIM, also provides account
maintenance services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account maintenance
services to Class A shareholders.
Financial Data Services, Inc. ("FDS"), an indirect, wholly-owned subsidiary of
ML & Co., is the Fund's transfer agent.
Certain officers and/or directors of the Fund are officers and/or directors of
MLIM, PSI, FAMD, FDS, and/or ML & Co.
3. Capital Share Transactions:
Net increase in net assets derived from capital share transactions was
$56,314,666 and $14,346,422 for the years ended December 31, 2005 and December
31, 2004, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2005 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 2,748,679 $ 31,312,543
Shares issued to shareholders
in reinvestment of dividends ......... 167,671 2,041,032
-------------------------------
Total issued ........................... 2,916,350 33,353,575
Shares redeemed ........................ (1,931,841) (21,933,521)
-------------------------------
Net increase ........................... 984,509 $ 11,420,054
===============================
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2004 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 3,654,345 $ 36,576,564
Shares issued to shareholders
in reinvestment of dividends ......... 275,250 2,883,058
-------------------------------
Total issued ........................... 3,929,595 39,459,622
Shares redeemed ........................ (2,861,982) (28,529,919)
-------------------------------
Net increase ........................... 1,067,613 $ 10,929,703
===============================
- -------------------------------------------------------------------------------
Class I Shares for the Year Dollar
Ended December 31, 2005 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 6,205,737 $ 69,802,704
Shares issued to shareholders
in reinvestment of dividends ......... 108,256 1,327,563
-------------------------------
Total issued ........................... 6,313,993 71,130,267
Shares redeemed ........................ (2,288,555) (26,235,655)
-------------------------------
Net increase ........................... 4,025,438 $ 44,894,612
===============================
- -------------------------------------------------------------------------------
Class I Shares for the Year Dollar
Ended December 31, 2004 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 1,341,305 $ 13,457,624
Shares issued to shareholders
in reinvestment of dividends ......... 76,845 811,131
-------------------------------
Total issued ........................... 1,418,150 14,268,755
Shares redeemed ........................ (1,078,351) (10,852,036)
-------------------------------
Net increase ........................... 339,799 $ 3,416,719
===============================
The Fund charges a 2% redemption fee on the proceeds (calculated at market
value) of a redemption (either by sale or exchange) of Fund shares made within
30 days of purchase or exchange. The redemption fee is paid to the Fund and is
intended to offset the trading costs, market impact and other costs associated
with short-term trading into and out of the Fund.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2005 and December 31, 2004 was as follows:
- --------------------------------------------------------------------------------
12/31/2005 12/31/2004
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ..................... $3,435,680 $3,822,336
------------------------------
Total distributions .................... $3,435,680 $3,822,336
==============================
As of December 31, 2005, the components of accumulated earnings on a tax basis
were as follows:
- -----------------------------------------------------------------------------
Undistributed ordinary income--net ...................... $ 384,905
Undistributed long-term capital gains--net .............. --
------------
Total undistributed earnings--net ....................... 384,905
Capital loss carryforward ............................... (575,690)*
Unrealized gains--net ................................... 46,691,614**
------------
Total accumulated earnings--net ......................... $ 46,500,829
============
* On December 31, 2005, the Fund had a net capital loss carryforward of
$575,690, all of which expires in 2010. This amount will be available to
offset like amounts of any future taxable gains.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
realization for tax purposes of unrealized gains/losses on certain foreign
currency contracts, the realization for tax purposes of unrealized gains
on investments in passive foreign investment companies and other book/tax
temporary differences.
14 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Report of Independent Registered Public Accounting Firm
Merrill Lynch International Index Fund
To the Shareholders and Board of Directors of Merrill Lynch Index Funds, Inc.:
We have audited the accompanying statement of assets and liabilities of Merrill
Lynch International Index Fund, one of the series constituting Merrill Lynch
Index Funds, Inc. (the "Fund"), as of December 31, 2005, 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 the 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
Merrill Lynch International Index Fund of Merrill Lynch Index Funds, Inc. as of
December 31, 2005, 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 its financial highlights for each of the five years in the period then
ended, in conformity with U.S. generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 23, 2006
Important Tax Information (unaudited)
The following information is provided with respect to the ordinary income
distributions paid by Merrill Lynch International Index Fund during the fiscal
year ended December 31, 2005:
================================================================================
Record Date July 21, 2005 December 15, 2005
Payable Date July 27, 2005 December 21, 2005
================================================================================
Qualified Dividend
Income for Individuals 2.24% 100.00%*
- --------------------------------------------------------------------------------
Foreign Source Income 65.78% 100.00%*
- --------------------------------------------------------------------------------
Foreign Taxes Paid Per Share -- $.017745
- --------------------------------------------------------------------------------
* Expressed as a percentage of the cash distribution grossed-up for foreign
taxes.
The foreign taxes paid represent taxes incurred by the Fund on income received
by the Fund from foreign sources. Foreign taxes paid are included in taxable
income and may be either deducted from gross income or taken as a credit for
taxes paid to foreign governments. You should consult your tax adviser regarding
the appropriate treatment of foreign taxes paid.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 15
Portfolio Information Master International Index Series
As of December 31, 2005
Percent of
Geographic Allocation Total Investments
- --------------------------------------------------------------------------------
Japan ................................................... 24.2%
United Kingdom .......................................... 23.4
France .................................................. 8.9
Switzerland ............................................. 6.9
Germany ................................................. 6.4
Australia ............................................... 4.8
Italy ................................................... 3.7
Spain ................................................... 3.6
Netherlands ............................................. 3.2
Sweden .................................................. 2.3
Finland ................................................. 1.5
Hong Kong ............................................... 1.3
Belgium ................................................. 1.1
Singapore ............................................... 0.8
Ireland ................................................. 0.8
Denmark ................................................. 0.8
Norway .................................................. 0.7
Greece .................................................. 0.6
Austria ................................................. 0.4
Portugal ................................................ 0.2
New Zealand ............................................. 0.2
South Africa ............................................ 0.1
United States ........................................... 0.1
Bermuda ................................................. --*
Other** ................................................. 4.0
- --------------------------------------------------------------------------------
* Amount is less than 0.1%.
** Includes portfolio holdings in short-term investments.
16 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Summary Schedule of Investments
Master International Index Series (in U.S. dollars)
This summary schedule of investments is presented to help investors focus on the
Series' principal holdings. It includes the Series' 50 largest holdings and each
investment of any issuer that exceeds 1% of the Series' net assets. "Other
Securities" represent all issues not required to be disclosed under the rules
adopted by the Securities and Exchange Commission. A complete schedule of
investments is available without charge, upon request, by calling 800-637-3863
or on the Securities and Exchange Commission's Web site at http://www.sec.gov.
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Aerospace & Defense Other Securities $ 3,090,959 0.6%
- ------------------------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics Other Securities 2,088,445 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Airlines Other Securities 1,183,321 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Auto Components Other Securities 3,976,795 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Automobiles 41,217 DaimlerChrysler AG 2,097,362 0.4
35,000 Honda Motor Co., Ltd. 1,995,679 0.4
137,300 Toyota Motor Corp. 7,119,173 1.4
Other Securities 3,279,523 0.6
----------------------------
14,491,737 2.8
- ------------------------------------------------------------------------------------------------------------------------------------
Beverages 151,553 Diageo Plc 2,191,990 0.4
Other Securities 3,733,849 0.7
----------------------------
5,925,839 1.1
- ------------------------------------------------------------------------------------------------------------------------------------
Biotechnology Other Securities 789,825 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Building Products Other Securities 3,160,287 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Markets 61,454 Credit Suisse Group 3,124,108 0.6
23,327 Deutsche Bank AG Registered Shares 2,253,511 0.4
52,538 UBS AG Registered Shares 4,986,914 1.0
Other Securities 7,087,917 1.3
----------------------------
17,452,450 3.3
- ------------------------------------------------------------------------------------------------------------------------------------
Chemicals Other Securities 14,924,022 2.8
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Banks 82,104 ABN AMRO Holding NV 2,139,325 0.4
38,994 BNP Paribas 3,143,787 0.6
160,382 Banco Bilbao Vizcaya Argentaria SA 2,852,816 0.5
275,554 Banco Santander Central Hispano SA 3,624,085 0.7
329,477 Barclays Plc 3,455,973 0.7
185,053 HBOS Plc 3,154,637 0.6
539,814 HSBC Holdings Plc 8,646,291 1.7
274,279 Lloyds TSB Group Plc 2,300,177 0.4
350 Mitsubishi Tokyo Financial Group, Inc. 4,744,556 0.9
453 Mizuho Financial Group, Inc. 3,592,375 0.7
154,077 Royal Bank of Scotland Group Plc 4,642,148 0.9
16,795 Societe Generale 2,058,318 0.4
219 Sumitomo Mitsui Financial Group, Inc. 2,319,326 0.4
366,124 UniCredito Italiano SpA 2,512,141 0.5
Other Securities 27,634,150 5.3
----------------------------
76,820,105 14.7
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies Other Securities 4,067,749 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Communications Equipment 214,049 Nokia Oyj 3,900,843 0.7
709,013 Telefonaktiebolaget LM Ericsson 2,432,093 0.5
Other Securities 1,309,553 0.3
----------------------------
7,642,489 1.5
- ------------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals Other Securities 2,905,930 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering Other Securities 4,456,490 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Construction Materials Other Securities 4,718,334 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Finance Other Securities 2,721,675 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging Other Securities 562,749 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Distributors Other Securities 384,981 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 17
Summary Schedule of Investments (continued)
Master International Index Series (in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Diversified Consumer Services Other Securities $ 69,982 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services 85,166 ING Groep NV CVA 2,943,410 0.6
Other Securities 4,377,821 0.8
----------------------------
7,321,231 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 124,627 Deutsche Telekom AG 2,069,815 0.4
Services 212,112 Telefonica SA 3,180,004 0.6
Other Securities 12,638,675 2.4
----------------------------
17,888,494 3.4
- ------------------------------------------------------------------------------------------------------------------------------------
Electric Utilities 28,635 E.On AG (a) 2,951,724 0.5
Other Securities 11,351,132 2.2
----------------------------
14,302,856 2.7
- ------------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment Other Securities 4,262,708 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments Other Securities 5,647,343 1.1
- ------------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services Other Securities 508,101 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 388,059 Tesco Plc 2,208,439 0.4
Other Securities 7,440,399 1.4
----------------------------
9,648,838 1.8
- ------------------------------------------------------------------------------------------------------------------------------------
Food Products 20,490 Nestle SA Registered Shares 6,109,921 1.2
Other Securities 7,689,566 1.4
----------------------------
13,799,487 2.6
- ------------------------------------------------------------------------------------------------------------------------------------
Gas Utilities Other Securities 1,718,485 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies Other Securities 2,324,767 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services Other Securities 782,920 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure Other Securities 5,312,649 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Household Durables 49,200 Sony Corp. 2,009,184 0.4
Other Securities 8,040,997 1.5
----------------------------
10,050,181 1.9
- ------------------------------------------------------------------------------------------------------------------------------------
Household Products Other Securities 1,978,162 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
IT Services Other Securities 1,983,517 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & Other Securities 615,727 0.1
Energy Traders
- ------------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates 36,780 Siemens AG 3,140,994 0.6
Other Securities 2,939,130 0.6
----------------------------
6,080,124 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance 66,599 AXA 2,141,462 0.4
17,193 Allianz AG Registered Shares 2,594,626 0.5
Other Securities 16,724,037 3.2
----------------------------
21,460,125 4.1
- ------------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail Other Securities 936,137 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services Other Securities 2,156,536 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products Other Securities 1,827,363 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery Other Securities 9,228,917 1.8
- ------------------------------------------------------------------------------------------------------------------------------------
Marine Other Securities 2,043,436 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Media Other Securities 10,786,072 2.1
- ------------------------------------------------------------------------------------------------------------------------------------
Metals & Mining 70,654 Anglo American Plc 2,400,417 0.5
162,763 BHP Billiton Ltd. 2,716,239 0.5
55,854 Rio Tinto Plc Registered Shares 2,545,792 0.5
Other Securities 10,182,333 1.9
----------------------------
17,844,781 3.4
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities Other Securities 6,585,401 1.3
- ------------------------------------------------------------------------------------------------------------------------------------
Multiline Retail Other Securities 2,295,126 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
18 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Summary Schedule of Investments (continued)
Master International Index Series (in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Office Electronics 34,800 Canon, Inc. $ 2,034,398 0.4%
Other Securities 1,107,007 0.2
----------------------------
3,141,405 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 197,100 BG Group Plc 1,943,930 0.4
985,820 BP Plc 10,475,924 2.0
3,849 BP Plc (b) 247,183 0.0
116,248 ENI SpA 3,212,733 0.6
192,586 Royal Dutch Shell Plc 5,855,276 1.1
131,492 Royal Dutch Shell Plc Class B 4,194,200 0.8
26,228 Total SA 6,564,889 1.3
4,140 Total SA "VVPR strip" (a) 49 0.0
Other Securities 6,626,209 1.3
----------------------------
39,120,393 7.5
- ------------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products Other Securities 1,874,663 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Personal Products Other Securities 1,444,354 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals 81,162 AstraZeneca Plc 3,941,756 0.7
281,413 GlaxoSmithKline Plc 7,096,922 1.4
800 GlaxoSmithKline Plc (b) 40,384 0.0
117,458 Novartis AG Registered Shares 6,153,856 1.2
36,591 Roche Holding AG 5,477,753 1.0
48,928 Sanofi-Aventis 4,270,768 0.8
45,300 Takeda Pharmaceutical Co., Ltd. 2,448,649 0.5
Other Securities 5,612,825 1.1
----------------------------
35,042,913 6.7
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Other Securities 12,501,826 2.4
- ------------------------------------------------------------------------------------------------------------------------------------
Road & Rail Other Securities 4,930,294 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Other Securities 3,728,932 0.7
Equipment
- ------------------------------------------------------------------------------------------------------------------------------------
Software Other Securities 3,754,116 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Specialty Retail Other Securities 4,126,037 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods Other Securities 4,220,334 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance Other Securities 299,017 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities 5,019,825 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors Other Securities 5,131,112 1.1
- ------------------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure Other Securities 2,947,685 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Water Utilities Other Securities 513,634 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 2,928,868 Vodafone Group Plc 6,310,265 1.2
Services 12,490 Vodafone Group Plc (b) 268,160 0.0
Other Securities 2,594,314 0.5
----------------------------
9,172,739 1.7
- ------------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$386,849,112) 487,792,927 93.2
- ------------------------------------------------------------------------------------------------------------------------------------
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 19
Summary Schedule of Investments (continued)
Master International Index Series (in U.S. dollars)
Percent of
Exchange-Traded Funds Value Net Assets
====================================================================================================================================
Other Securities $ 356,760 0.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$232,840) 356,760 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
====================================================================================================================================
Industry Preferred Stocks
====================================================================================================================================
Automobiles Other Securities 596,539 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Chemicals Other Securities 283,541 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services Other Securities 50,410 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Media Other Securities 106,303 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities Other Securities 130,549 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost--$918,283) 1,167,342 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
====================================================================================================================================
Rights
====================================================================================================================================
Industrial Conglomerates Other Securities 19,635 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments in Rights (Cost--$9,286) 19,635 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
====================================================================================================================================
Beneficial
Interest Short-Term Securities
====================================================================================================================================
$20,328,875 Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I (c) 20,328,875 3.9
- ------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$20,328,875) 20,328,875 3.9
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$408,338,396*) 509,665,539 97.4
Other Assets Less Liabilities 13,489,756 2.6
----------------------------
Net Assets $523,155,295 100.0%
============================
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2005, as computed for federal income tax purposes, were as
follows:
Aggregate cost ......................................... $ 413,870,049
=============
Gross unrealized appreciation .......................... $ 105,929,208
Gross unrealized depreciation .......................... (10,133,718)
-------------
Net unrealized appreciation ............................ $ 95,795,490
=============
(a) Non-income producing security.
(b) Depositary receipts.
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
--------------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $17,567,968 $318,391
--------------------------------------------------------------------------------------------------
o "Other Securities" represent issues that are not identified as the 50
largest holdings of the Series and issues not exceeding 1% of net assets.
o 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 ratings group indexes, and/or as
defined by Series' management. This definition may not apply for purposes
of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percent of net assets. These
industry classifications are unaudited.
20 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Summary Schedule of Investments (concluded)
Master International Index Series (in U.S. dollars)
o Financial futures contracts purchased as of December 31, 2005 were as
follows:
-----------------------------------------------------------------------------------------------------------------------
Unrealized
Number of Expiration Appreciation
Contracts Issue Exchange Date Face Value (Depreciation)
-----------------------------------------------------------------------------------------------------------------------
1 DAX Index 25 Euro Future Eurex March 2006 $ 161,643 $ (1,283)
238 DJ Euro Stoxx 50 Eurex March 2006 $9,967,799 104,909
57 FTSE 100 Index Future LIFFE March 2006 $5,422,304 73,181
22 Hang Seng Index Future Hong Kong January 2006 $2,171,898 (66,823)
66 OMX Stock Index Future Tokyo January 2006 $ 788,615 9,163
1 S&P/MIB Index Eurex March 2006 $ 206,779 4,331
35 SPI 200 Index Future Sydney March 2006 $2,954,551 79,511
74 TOPIX Index Future Tokyo March 2006 $9,941,069 363,006
-----------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation--Net $565,995
========
o Forward foreign exchange contracts as of December 31, 2005 were as
follows:
----------------------------------------------------------------------------------------
Unrealized
Foreign Currency Settlement Appreciation
Purchased Date (Depreciation)
----------------------------------------------------------------------------------------
AUD 1,705,000 January 2006 $(16,989)
CHF 2,710,000 January 2006 (20,958)
EUR 7,065,000 January 2006 (17,042)
GBP 3,200,000 January 2006 (74,021)
JPY 693,000,000 January 2006 70,653
SEK 5,945,000 January 2006 1,362
----------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts--Net
(USD Commitment--$23,829,444) $(56,995)
========
----------------------------------------------------------------------------------------
Unrealized
Foreign Currency Settlement Appreciation
Sold Date (Depreciation)
----------------------------------------------------------------------------------------
AUD 480,000 January 2006 $ (1,561)
EUR 320,000 January 2006 6,285
GBP 320,000 January 2006 7,334
JPY 161,000,000 January 2006 (27,800)
SEK 1,415,000 January 2006 (110)
----------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts--Net
(USD Commitment--$2,807,661) $(15,852)
========
o Currency Denominations
AUD Australian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
USD U.S. Dollar
See Notes to Financial Statements.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 21
Statement of Assets and Liabilities Master International Index Series
As of December 31, 2005
==================================================================================================================================
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including securities loaned
of $74,384) (identified cost--$388,009,521) ................................... $ 489,336,664
Investments in affiliated securities, at value (identified cost--$20,328,875) .. 20,328,875
Cash held as collateral for loaned securities .................................. 78,400
Cash on deposit for financial futures contracts ................................ 622,669
Cash ........................................................................... 6,658
Foreign cash (cost--$6,082,731) ................................................ 6,052,305
Unrealized appreciation on forward foreign exchange contracts .................. 85,634
Receivables:
Variation margin ............................................................ $ 4,932,251
Contributions ............................................................... 1,696,105
Dividends ................................................................... 977,334
Securities sold ............................................................. 4,886 7,610,576
-------------
Prepaid expenses ............................................................... 5,708
-------------
Total assets ................................................................... 524,127,489
-------------
==================================================================================================================================
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value ...................................... 78,400
Unrealized depreciation on forward foreign exchange contracts .................. 158,481
Payables:
Withdrawals ................................................................. 655,768
Other affiliates ............................................................ 4,614
Investment adviser .......................................................... 3,943
Securities purchased ........................................................ 2,481 666,806
-------------
Accrued expenses ............................................................... 68,507
-------------
Total liabilities .............................................................. 972,194
-------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets ..................................................................... $ 523,155,295
=============
==================================================================================================================================
Net Assets Consist of
- ----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ............................................................. $ 421,553,043
Unrealized appreciation--net ................................................... 101,602,252
-------------
Net Assets ..................................................................... $ 523,155,295
=============
See Notes to Financial Statements.
22 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Statement of Operations Master International Index Series
For the Year Ended December 31, 2005
==================================================================================================================================
Investment Income
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends (net of $796,050 foreign withholding tax) .................... $ 10,691,033
Interest (including $318,391 from affiliates) .......................... 387,256
Securities lending--net ................................................ 6,099
-------------
Total income ........................................................... 11,084,388
-------------
==================================================================================================================================
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Custodian fees ......................................................... $ 164,413
Professional fees ...................................................... 76,568
Accounting services .................................................... 56,945
Pricing fees ........................................................... 56,444
Investment advisory fees ............................................... 42,127
Printing and shareholder reports ....................................... 3,947
Trustees' fees and expenses ............................................ 3,807
Other .................................................................. 16,922
-------------
Total expenses before reimbursement .................................... 421,173
Reimbursement of expenses .............................................. (13,001)
-------------
Total expenses after reimbursement ..................................... 408,172
-------------
Investment income--net ................................................. 10,676,216
-------------
==================================================================================================================================
Realized & Unrealized Gain (Loss)--Net
- ----------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on:
Investments--net .................................................... 1,590,130
Futures contracts--net .............................................. 4,106,864
Foreign currency transactions--net .................................. (2,142,915) 3,554,079
-------------
Change in unrealized appreciation/depreciation on:
Investments--net .................................................... 44,394,212
Futures contracts--net .............................................. 437,394
Foreign currency transactions--net .................................. (395,256) 44,436,350
-------------------------------
Total realized and unrealized gain--net ................................ 47,990,429
-------------
Net Increase in Net Assets Resulting from Operations ................... $ 58,666,645
=============
See Notes to Financial Statements.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 23
Statements of Changes in Net Assets Master International Index Series
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2005 2004
==================================================================================================================================
Operations
- ----------------------------------------------------------------------------------------------------------------------------------
Investment income--net ................................................. $ 10,676,216 $ 12,027,122
Realized gain--net ..................................................... 3,554,079 51,628,797
Change in unrealized appreciation/depreciation--net .................... 44,436,350 3,768,597
-------------------------------
Net increase in net assets resulting from operations ................... 58,666,645 67,424,516
-------------------------------
==================================================================================================================================
Capital Transactions
- ----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ............................................ 274,141,104 167,759,330
Fair value of withdrawals .............................................. (131,719,318) (466,245,952)
-------------------------------
Net increase (decrease) in net assets derived from capital transactions 142,421,786 (298,486,622)
-------------------------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets ................................ 201,088,431 (231,062,106)
Beginning of year ...................................................... 322,066,864 553,128,970
-------------------------------
End of year ............................................................ $ 523,155,295 $ 322,066,864
===============================
See Notes to Financial Statements.
24 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Financial Highlights Master International Index Series
For the Year Ended December 31,
The following ratios have been derived ---------------------------------------------------------------------
from information provided in the financial statements. 2005 2004 2003 2002 2001
==================================================================================================================================
Total Investment Return
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment return ................ 13.64% 20.32% 38.97% (15.81%) (21.77%)
=====================================================================
==================================================================================================================================
Ratios to Average Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of reimbursement ......... .10% .09% .09% .08% .08%
=====================================================================
Expenses ............................... .10% .10% .10% .16% .39%
=====================================================================
Investment income--net ................. 2.53% 2.55% 2.23% 2.21% 1.20%
=====================================================================
==================================================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $523,155 $322,067 $553,129 $166,820 $195,512
=====================================================================
Portfolio turnover ..................... 11.33% 13.50% 8.55% 19.52% 30.19%
=====================================================================
See Notes to Financial Statements.
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 25
Notes to Financial Statements Master International Index Series
1. Significant Accounting Policies:
Master International Index Series (the "Series"), a non-diversified investment
company, is part of Quantitative Master Series Trust (the "Trust"). The Trust is
registered under the Investment Company Act of 1940, as amended, and is
organized as a Delaware statutory trust. The Declaration of Trust permits the
Trustees to issue nontransferable interests in the Series, subject to certain
limitations. The Series' financial statements are prepared in conformity with
U.S. generally accepted accounting principles, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates. The following is a summary of significant accounting policies
followed by the Series.
(a) Valuation of investments -- Equity securities that are held by the Series
that are traded on stock exchanges or the Nasdaq National Market are valued at
the last sale price or official close price on the exchange, as of the close of
business on the day the securities are being valued or, lacking any sales, at
the last available bid price for long positions, and at the last available asked
price for short positions. In cases where equity securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Trustees of the Trust.
Long positions traded in the over-the-counter ("OTC") market, Nasdaq Small Cap
or Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Trustees of the Trust. Short positions traded in the OTC market are valued at
the last available asked price. Portfolio securities that are traded both in the
OTC market and on a stock exchange are valued according to the broadest and most
representative market.
Options written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the OTC market, the last asked
price. Options purchased are valued at their last sale price in the case of
exchange-traded options or, in the case of options traded in the OTC market, the
last bid price. Swap agreements and forward foreign exchange contracts are
valued daily based upon quoted fair valuations received daily by the Fund from a
pricing service or counterparty. Financial futures contracts and options
thereon, which are traded on exchanges, are valued at their last sale price as
of the close of such exchanges. Obligations with remaining maturities of 60 days
or less are valued at amortized cost unless the Investment Adviser believes that
this method no longer produces fair valuations.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Trustees of the Trust, including valuations furnished by the
pricing services retained by the Series, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Series under the general supervision of the Trust's Board
of Trustees. Such valuations and procedures will be reviewed periodically by the
Board of Trustees of the Trust.
Generally, trading in foreign securities, as well as U.S. government securities
and money market instruments, is substantially completed each day at various
times prior to the close of business on the New York Stock Exchange ("NYSE").
The values of such securities used in computing the net assets of the Portfolio
are determined as of such times. Foreign currency exchange rates also are
generally determined prior to the close of business on the NYSE. Occasionally,
events affecting the values of such securities and such exchange rates may occur
between the times at which they are determined and the close of business on the
NYSE that may not be reflected in the computation of the Series' net assets. If
events (for example, a company announcement, market volatility or a natural
disaster) occur during such periods that are expected to materially affect the
value of such securities, those securities may be valued at their fair value as
determined in good faith by the Trust's Board of Trustees or by the Investment
Adviser using a pricing service and/or procedures approved by the Trust's Board
of Trustees.
(b) Derivative financial instruments -- The Series may engage in various
portfolio investment strategies to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract or if the counterparty does not perform
under the contract.
o Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts. Futures contracts
are contracts for delayed delivery of securities at a specific future date
and at a specific price or yield. Upon entering into a contract, the
Series deposits and maintains as collateral such initial margin as
required by the exchange on which the transaction is effected. Pursuant to
the contract,
26 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Notes to Financial Statements (continued) Master International Index Series
the Series agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as variation margin and are recorded by the Series as
unrealized gains or losses. When the contract is closed, the Series
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
o Options -- The Series may purchase and write call and put options. When
the Series writes an option, an amount equal to the premium received by
the Series is reflected as an asset and an equivalent liability. The
amount of the liability is subsequently marked-to-market to reflect the
current market value of the option written. When a security is purchased
or sold through an exercise of an option, the related premium paid (or
received) is added to (or deducted from) the basis of the security
acquired or deducted from (or added to) the proceeds of the security sold.
When an option expires (or the Series enters into a closing transaction),
the Series realizes a gain or loss on the option to the extent of the
premiums received or paid (or a gain or loss to the extent that the cost
of the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
o Forward foreign exchange contracts -- The Series may enter into forward
foreign exchange contracts as a hedge against either specific transactions
or portfolio positions. The contract is marked-to-market daily and the
change in market value is recorded by the Series as an unrealized gain or
loss. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value at the time it was opened
and the value at the time it was closed.
o Foreign currency options and futures -- The Series may also purchase or
sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long
hedge against possible variations in foreign exchange rates. Such
transactions may be effected with respect to hedges on non-U.S.
dollar-denominated securities owned by the Series, sold by the Series but
not yet delivered, or committed or anticipated to be purchased by the
Series.
(c) Foreign currency transactions -- Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
The Series invests in foreign securities, which may involve a number of risk
factors and special considerations, not present with investments in securities
of U.S. corporations.
(d) 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. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. 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.
(e) Security transactions and investment income -- Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Series has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Securities lending -- The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government 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. Where the Series receives securities as collateral for
the loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 27
Notes to Financial Statements (concluded) Master International Index Series
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Series may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Series
also could suffer a loss where the value of the collateral falls below the
market value of the borrowed securities, in the event of borrower default or in
the event of losses on investments made with cash collateral.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML
& Co."), which is the limited partner.
FAM is responsible for the management of the Series' portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series' net
assets. FAM has entered into a contractual arrangement with the Series under
which the expenses incurred by the Series will not exceed .12%. This arrangement
has a one-year term and is renewable. For the year ended December 31, 2005, FAM
reimbursed the Series in the amount of $13,001.
For the year ended December 31, 2005, the Series reimbursed FAM $9,236 for
certain accounting services.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2005 were $170,663,540 and $45,344,153, respectively.
4. Commitments:
At December 31, 2005, the Series had entered into foreign exchange contracts, in
addition to the contracts listed in the Schedule of Investments, under which it
had agreed to sell a foreign currency with an approximate value of $64,000.
5. Short-Term Borrowings:
The Trust, on behalf of the Series, along with certain other funds managed by
FAM and its affiliates, is a party to a $500,000,000 credit agreement with a
group of lenders. The Series may borrow under the credit agreement to fund
shareholder redemptions and for other lawful purposes other than for leverage.
The Series may borrow up to the maximum amount allowable under the Series
current prospectus and statement of additional information, subject to various
other legal, regulatory or contractual limits. The Series pays a commitment fee
of .07% per annum based on the Series pro rata share of the unused portion of
the credit agreement. Amounts borrowed under the credit agreement bear interest
at a rate equal to, at each Series election, the federal funds rate plus .50% or
a base rate as defined in the credit agreement. The Series did not borrow under
the credit agreement during the year ended December 31, 2005. On November 23,
2005, the credit agreement was renewed for one year under substantially the same
terms.
28 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Report of Independent Registered Public Accounting Firm
Master International Index Series
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of Master International Index Series, one
of the portfolios constituting the Quantitative Master Series Trust (the
"Trust") as of December 31, 2005, 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 Trust'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 Trust
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 Trust'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, 2005, 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
International Index Series of the Quantitative Master Series Trust as of
December 31, 2005, 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 its financial highlights for each of the five years in the period then
ended, in conformity with U.S. generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 23, 2006
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 29
Officers and Directors/Trustees
Number of
Portfolios in Other Public
Fund Complex Directorships
Position(s) Length of Overseen by Held by
Held with Time Director/ Director/
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Interested Director/Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. P.O. Box 9011 President 2005 to President of the MLIM/FAM-advised funds since 2005; 131 Funds None
Doll, Jr.* Princeton, NJ and present President of MLIM and FAM since 2001; Co-Head 177 Portfolios
08543-9011 Director/ (Americas Region) thereof from 2000 to 2001 and
Age: 51 Trustee Senior Vice President from 1999 to 2001; President
and Director of Princeton Services, Inc. ("Princeton
Services") since 2001; President of Princeton
Administrators, L.P. ("Princeton Administrators")
since 2001; Chief Investment Officer of Oppenheimer-
Funds, Inc. in 1999 and Executive Vice President
thereof from 1991 to 1999.
------------------------------------------------------------------------------------------------------------------------
* Mr. Doll is a director, trustee or member of an advisory board of certain other investment companies for which
MLIM or FAM acts as investment adviser. Mr. Doll is an "interested person," as defined in the Investment Company
Act, of the Fund based on his current positions with MLIM, FAM, Princeton Services and Princeton Administrators.
Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they
turn 72. As Fund President, Mr. Doll serves at the pleasure of the Board of Directors/Trustees.
====================================================================================================================================
Independent Directors/Trustees*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. P.O. Box 9095 Director/ 2002 to General Partner of The Burton Partnership, Limited 23 Funds Knology, Inc.
Burton Princeton, NJ Trustee present Partnership (an investment partnership) since 1979; 42 Portfolios (telecommuni-
08543-9095 Managing General Partner of the South Atlantic cations) and
Age: 61 Venture Funds since 1983; Member of the Investment Symbion, Inc.
Advisory Council of the Florida State Board of (health care)
Administration since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurie P.O. Box 9095 Director/ 1999 to Professor of Finance and Economics, Graduate School 23 Funds None
Simon Princeton, NJ Trustee present of Business, Columbia University since 1998. 42 Portfolios
Hodrick 08543-9095
Age: 43
- ------------------------------------------------------------------------------------------------------------------------------------
John P.O. Box 9095 Director/ 2005 to President and Chief Executive Officer of Allmerica 23 Funds ABIOMED
Francis Princeton, NJ Trustee present Financial Corporation (financial services holding 42 Portfolios (medical
O'Brien 08543-9095 company) from 1995 to 2002 and Director from device manuf-
Age: 62 1995 to 2003; President of Allmerica Investment acturer),
Management Co., Inc. (investment adviser) from Cabot Corpor-
1989 to 2002, Director from 1989 to 2002 and ation (chem-
Chairman of the Board from 1989 to 1990; President, icals), LKQ
Chief Executive Officer and Director of First Corporation
Allmerica Financial Life Insurance Company from 1989 (auto parts
to 2002 and Director of various other Allmerica manufac-
Financial companies until 2002; Director since 1989, turing) and
Member of the Governance Nominating Committee TJX Compa-
since 2004, Member of the Compensation nies, Inc.
Committee of ABIOMED since 1989 and Member of (retailer)
the Audit Committee of ABIOMED from 1990 to 2004;
Director and Member of the Governance and
Nomination Committee of Cabot Corporation and
Member of the Audit Committee since 1990; Director
and Member of the Audit Committee and
Compensation Committee of LKQ Corporation since
2003; Lead Director of TJX Companies, Inc. since
1999; Trustee of the Woods Hole Oceanographic
Institute since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O. Box 9095 Director/ 2003 to Consultant with Putnam Investments from 1993 to 23 Funds None
Walsh Princeton, NJ Trustee present 2003, and employed in various capacities therewith 42 Portfolios
08543-9095 from 1973 to 1992; Director, The National Audubon
Age: 64 Society since 1998; Director, The American Museum
of Fly Fishing since 1997.
30 MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005
Officers and Directors/Trustees (concluded)
Number of
Portfolios in Other Public
Fund Complex Directorships
Position(s) Length of Overseen by Held by
Held with Time Director/ Director/
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Independent Directors/Trustees* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. P.O. Box 9095 Director/ 1998 to Managing Director of FGW Associates since 1997; 23 Funds Watson
Weiss ** Princeton, NJ Trustee present Vice President, Planning, Investment and Development 42 Portfolios Pharma-
08543-9095 of Warner Lambert Co. from 1979 to 1997; Director ceuticals,
Age: 64 of Michael J. Fox Foundation for Parkinson's Inc. (pharma-
Research since 2000; Director of BTG International ceutical
PLC (a global technology commercialization company)
company) since 2001.
------------------------------------------------------------------------------------------------------------------------
* Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they
turn 72.
** Chairman of the Board and the Audit Committee.
- ------------------------------------------------------------------------------------------------------------------------------------
Position(s) Length of
Held with Time
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Trust Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. P.O. Box 9011 Vice 1997 to First Vice President of MLIM and FAM since 1997 and Treasurer thereof since 1999;
Burke Princeton, NJ President present Senior Vice President and Treasurer of Princeton Services since 1999 and Director
08543-9011 and and since 2004; Vice President of FAM Distributors, Inc. ("FAMD") since 1999 and
Age: 45 Treasurer 1999 to Director since 2004; Vice President of MLIM and FAM from 1990 to 1997; Director of
present Taxation of MLIM from 1990 to 2001; Vice President, Treasurer and Secretary of the
IQ Funds since 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Vincent J. P.O. Box 9011 Vice 2005 to Managing Director of MLIM since 2005; Director of MLIM from 1999 to 2005.
Costa Princeton, NJ President present
08543-9011
Age: 43
- ------------------------------------------------------------------------------------------------------------------------------------
Debra L. P.O. Box 9011 Vice 2005 to Director of MLIM since 1999.
Jelilian Princeton, NJ President present
08543-9011
Age: 38
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey L. P.O. Box 9011 Vice 2005 to Director of MLIM since 2004; Vice President of MLIM from 1994 to 2004.
Russo Princeton, NJ President present
08543-9011
Age: 38
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey P.O. Box 9011 Chief 2004 to Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice President and
Hiller Princeton, NJ Compliance present Chief Compliance Officer of MLIM (Americas Region) since 2004; Chief Compliance
08543-9011 Officer Officer of the IQ Funds since 2004; Global Director of Compliance at Morgan Stanley
Age: 54 Investment Management from 2002 to 2004; Managing Director and Global Director of
Compliance at Citigroup Asset Management from 2000 to 2002; Chief Compliance
Officer at Soros Fund Management in 2000; Chief Compliance Officer at Prudential
Financial from 1995 to 2000; Senior Counsel in the Commission's Division of
Enforcement in Washington, D.C. from 1990 to 1995.
- ------------------------------------------------------------------------------------------------------------------------------------
Alice A. P.O. Box 9011 Secretary 2004 to Director (Legal Advisory) of MLIM since 2002; Vice President of MLIM from 1999 to
Pellegrino Princeton, NJ present 2002; Attorney associated with MLIM since 1997; Secretary of MLIM, FAM, FAMD and
08543-9011 Princeton Services since 2004.
Age: 45
------------------------------------------------------------------------------------------------------------------------
* Officers of the Fund/Trust serve at the pleasure of the Board of Directors/Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors/Trustees is available in the Fund's Statement of Additional
Information, which can be obtained without charge by calling 1-800-637-3863.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
JPMorgan Chase Bank, N.A.
3 Chase MetroTech Center
Brooklyn, NY 11245
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
MERRILL LYNCH INTERNATIONAL INDEX FUND DECEMBER 31, 2005 31
[LOGO] Merrill Lynch Investment Managers
www.mlim.ml.com
- --------------------------------------------------------------------------------
Mercury Advisors
A Division of Merrill Lynch Investment Managers
www.mercury.ml.com
This report is not authorized for use as an offer of sale or a solicitation of
an offer to buy shares of the Fund unless accompanied or preceded by the Fund's
current prospectus. Past performance results shown in this report should not be
considered a representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when redeemed, may be
worth more or less than their original cost. Statements and other information
herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-637-3863; (2) at
www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's Web
site at http://www.sec.gov. Information about how the Fund voted proxies
relating to securities held in the Fund's portfolio during the most recent
12-month period ended June 30 is available (1) at www.mutualfunds.ml.com and (2)
on the Securities and Exchange Commission's Web site at http://www.sec.gov.
Merrill Lynch Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011
#Index 2 -- 12/05
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the
end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Donald W.
Burton, (2) Laurie Simon Hodrick, (3) John F. O'Brien, (4) David H.
Walsh and (5) Fred G. Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick qualifies as a financial expert pursuant to Item 3(c)(4) of
Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in financial
analysts' training programs. Ms. Hodrick has also worked with several
prominent corporations in connection with the analysis of financial
forecasts and projections and analysis of the financial statements of
those companies, serving on the Financial Advisory Council of one of
these major corporations. She has also served as the Treasurer and
Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a
number of articles in leading economic and financial journals and is
the associate editor of two leading finance journals.
Item 4 - Principal Accountant Fees and Services
International Index Fund of Merrill Lynch Index Funds, Inc.
(a) Audit Fees - Fiscal Year Ending December 31, 2005 - $6,500
Fiscal Year Ending December 31, 2004 - $6,200
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2005 - $0
Fiscal Year Ending December 31, 2004 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2005 - $5,700
Fiscal Year Ending December 31, 2004 - $5,200
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2005 - $0
Fiscal Year Ending December 31, 2004 - $0
Master International Index Series of Quantitative Master Series Trust
(a) Audit Fees - Fiscal Year Ending December 31, 2005 - $37,700
Fiscal Year Ending December 31, 2004 - $35,500
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2005 - $0
Fiscal Year Ending December 31, 2004 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2005 - $16,200
Fiscal Year Ending December 31, 2004 - $15,000
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2005 - $0
Fiscal Year Ending December 31, 2004 - $0
(e)(1) 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"). However, such
services will only be deemed pre-approved provided that any individual
project does not exceed $5,000 attributable to the registrant or
$50,000 for all of the registrants the Committee oversees. 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.
(e)(2) 0%
(f) Not Applicable
(g) Fiscal Year Ending December 31, 2005 - $5,577,771
Fiscal Year Ending December 31, 2004 - $11,926,355
(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 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.
Regulation S-X Rule 2-01(c)(7)(ii) - $1,227,000, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of Master
International Index Series (the "Series"), one of the portfolios constituting
the Quantitative Master Series Trust (the "Trust"), as of December 31, 2005, and
for the year then ended and have issued our report thereon dated February 23,
2006 which report and financial statements are included in Item 1 of this
Certified Shareholder Report on Form N-CSR. Our audit also included the Series'
schedule of investments in securities (the "Schedule") as of December 31, 2005
appearing in Item 6 of this Form N-CSR. This Schedule is the responsibility of
the Trust's management. Our responsibility is to express an opinion based on our
audit. In our opinion, the Schedule referred to above, when considered in
relation to the basic financial statements taken as a whole of the Series
referred to above, presents fairly, in all material respects, the information
set forth therein.
Deloitte & Touche LLP
Princeton, New Jersey
February 23, 2006
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Australia - 4.7% Airlines - 0.0% 33,640 Qantas Airways Ltd. $ 99,694
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 47,710 Coca-Cola Amatil Ltd. 269,833
86,856 Foster's Group Ltd. 355,521
------------
625,354
-----------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% 11,970 CSL Ltd. 373,176
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 11,468 Macquarie Bank Ltd. 573,303
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 15,190 Orica Ltd. 227,310
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.2% 86,582 Australia & New Zealand Banking Group Ltd. 1,521,122
54,199 Commonwealth Bank of Australia 1,699,645
70,318 National Australia Bank Ltd. 1,671,262
92,778 Westpac Banking Corp. 1,548,308
------------
6,440,337
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 53,780 Brambles Industries Ltd. 399,238
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 7,743 Leighton Holdings Ltd. 101,556
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 19,286 Boral Ltd. 114,593
36,728 CSR Ltd. 93,758
3,992 James Hardie Industries NV 26,355
47,920 Rinker Group Ltd. 578,247
------------
812,953
-----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 41,043 Amcor Ltd. 224,901
-----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 65,581 Pacific Brands Ltd. 127,965
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.2% 1,250 Australian Stock Exchange Ltd. 29,801
17,991 Babcock & Brown Ltd. 226,334
23,490 Challenger Financial Services Group Ltd. 69,786
16,417 SFE Corp. Ltd. 166,671
23,405 Suncorp-Metway Ltd. 344,234
------------
836,826
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 112,683 Telstra Corp. Ltd. 324,849
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.2% 60,420 Coles Myer Ltd. 452,519
45,737 Woolworths Ltd. 565,325
------------
1,017,844
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 7,344 Ansell Ltd. 59,529
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 40,746 Mayne Group Ltd. 105,509
2,368 Sonic Healthcare Ltd. 25,708
------------
131,217
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 4,629 Aristocrat Leisure Ltd. 41,834
23,453 TABCORP Holdings Ltd. 267,866
14,689 UNiTAB Ltd. 146,434
------------
456,134
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 11,639 Computershare Ltd. $ 57,972
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 15,471 Wesfarmers Ltd. 419,564
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.3% 75,906 AMP Ltd. 428,187
45,366 AXA Asia Pacific Holdings Ltd. 169,054
99,381 Insurance Australia Group Ltd. 395,124
28,433 QBE Insurance Group Ltd. 408,799
------------
1,401,164
-----------------------------------------------------------------------------------------------------------------
Media - 0.1% 73,935 John Fairfax Holdings Ltd. 217,483
6,114 Publishing & Broadcasting Ltd. 73,912
------------
291,395
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.8% 52,998 Alumina Ltd. 288,466
162,763 BHP Billiton Ltd. 2,716,239
18,416 BlueScope Steel Ltd. 94,158
30,834 Iluka Resources Ltd. 177,328
14,132 Newcrest Mining Ltd. 251,907
23,360 OneSteel Ltd. 57,405
15,304 Rio Tinto Ltd. 774,613
------------
4,360,116
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.1% 20,590 Australian Gas Light Co., Ltd. 259,635
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.3% 11,923 Caltex Australia Ltd. 169,500
24,197 Origin Energy Ltd. 133,301
34,877 Santos Ltd. 313,405
27,600 Woodside Petroleum Ltd. 793,442
------------
1,409,648
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 5,300 PaperlinX Ltd. 14,929
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 40,746 Mayne Pharma Ltd. (a) 75,919
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.5% 116,985 CFS Gandel Retail Trust 171,629
14,559 Centro Properties Group/New 67,603
57,330 Commonwealth Property Office Fund 53,619
134,992 General Property Trust 405,994
88,153 ING Industrial Fund 144,203
31,118 Investa Property Group 45,311
18,422 Lend Lease Corp., Ltd. 195,675
21,584 Macquire Goodman Group 75,682
46,448 Mirvac Group 140,377
64,780 Stockland 308,877
77,553 Westfield Group 1,033,107
------------
2,642,077
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 16,182 Toll Holdings Ltd. 176,868
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 128,881 Macquarie Infrastructure Group $ 336,566
16,500 Patrick Corp. Ltd. 89,567
10,811 Transurban Group 52,341
------------
478,474
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia 24,419,947
- -----------------------------------------------------------------------------------------------------------------------------------
Austria - 0.4% Building Products - 0.0% 3,535 Wienerberger AG 140,936
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 7,239 Erste Bank der Oesterreichischen Sparkassen AG 401,749
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 53 RHI AG (a) 1,425
-----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 568 Mayr-Melnhof Karton AG 79,058
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 19,827 Telekom Austria AG 444,352
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 47 Verbund - Oesterreichische
Elektrizitaetswirtschafts AG 16,704
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 1,316 Andritz AG 144,130
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 906 Boehler-Uddeholm AG 152,713
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.1% 7,343 OMV AG 428,741
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 5,877 IMMOFINANZ Immobilien Anlagen AG (a) 56,220
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.1% 105,980 Hagemeyer NV - Registered Shares 342,524
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 1,169 Flughafen Wien AG 83,409
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria 2,291,961
- -----------------------------------------------------------------------------------------------------------------------------------
Belgium - 1.1% Beverages - 0.1% 5,910 InBev NV 256,329
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 2,818 Solvay SA 309,462
1,724 Umicore 202,541
52 Umicore "VVPR strip" (a) 6
------------
512,009
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 25,528 Dexia 586,574
10,019 KBC Bancassurance Holding 929,480
------------
1,516,054
-----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 222 D'ieteren SA 60,882
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.4% 55,909 Fortis 1,777,286
3,292 Groupe Bruxelles Lambert SA 321,713
------------
2,098,999
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 9,883 Belgacom SA 321,164
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 1,022 Bekaert SA 95,174
-----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 520 Barco NV 38,949
Instruments - 0.0%
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 1,003 Colruyt SA 137,948
1,314 Delhaize Group 85,556
950 Delhaize Group (b) 62,197
------------
285,701
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 1,608 Omega Pharma SA 83,475
-----------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 2,040 AGFA-Gevaert NV 37,081
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Marine - 0.0% 1,790 Compagnie Maritime Belge SA (CMB) $ 58,802
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 1,790 Euronav Sa 51,750
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 4,095 UCB SA 191,665
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 900 Mobistar SA 71,127
Services - 0.0%
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium 5,679,161
- -----------------------------------------------------------------------------------------------------------------------------------
Bermuda - 0.0% Textiles, Apparel & Luxury Goods - 0.0% 21,785 Yue Yuen Industrial Holdings 60,830
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Bermuda 60,830
- -----------------------------------------------------------------------------------------------------------------------------------
Denmark - 0.7% Beverages - 0.0% 356 Carlsberg A/S 19,029
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 2,267 Novozymes A/S Class B 123,685
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 17,488 Danske Bank A/S 613,959
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 1,417 FLS Industries A/S Class B 41,680
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 11,049 TDC A/S 659,608
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 9,457 Vestas Wind Systems A/S (a) 154,789
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 2,482 Danisco A/S 189,385
2,039 East Asiatic Co., Ltd. A/S 191,536
------------
380,921
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 186 Coloplast AS Class B 11,501
5,043 GN Store Nord 65,794
1,530 William Demant Holding (a) 84,322
------------
161,617
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 464 Bang & Olufsen A/S Class B 47,549
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 907 Topdanmark A/S (a) 78,459
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 820 NKT Holding A/S 37,476
-----------------------------------------------------------------------------------------------------------------
Marine - 0.1% 51 AP Moller - Maersk A/S 525,852
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.2% 3,519 H Lundbeck A/S 72,623
13,315 Novo-Nordisk A/S B 746,454
------------
819,077
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.1% 1,730 DSV A/S 212,849
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark 3,876,550
- -----------------------------------------------------------------------------------------------------------------------------------
Finland - 1.4% Auto Components - 0.0% 6,710 Nokian Renkaat Oyj 84,293
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.8% 214,049 Nokia Oyj 3,900,843
1,270 Nokia Oyj (b) 23,241
------------
3,924,084
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 5,791 Elisa Corp. 106,902
Services - 0.1% 34,753 TeliaSonera AB 186,518
------------
293,420
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 23,140 Fortum Oyj 432,350
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 6,175 Tietoenator Oyj 224,703
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 22,588 Sampo Oyj 392,195
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 5,904 Amer Sports Corp. $ 109,545
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 2,211 Cargotec Corp. Class B (a) 76,388
4,422 Kone Oyj Class B (a) 174,892
9,256 Metso Oyj 252,422
231 Wartsila Oyj 6,812
------------
510,514
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 447 Outokumpu Oyj 6,617
8,196 Rautaruukki Oyj 198,669
------------
205,286
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 7,259 Neste Oil Oyj (a) 204,469
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.2% 33,345 Stora Enso Oyj Class R 449,960
30,054 UPM-Kymmene Oyj 587,056
------------
1,037,016
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland 7,417,875
- -----------------------------------------------------------------------------------------------------------------------------------
France - 8.7% Aerospace & Defense - 0.2% 10,187 European Aeronautic Defense and Space Co. 383,313
7,590 Sagem SA 180,846
4,303 Thales SA 194,396
2,174 Zodiac SA 139,116
------------
897,671
-----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 3,419 Air France-KLM 72,955
-----------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 9,688 Compagnie Generale des Etablissements Michelin 542,577
4,494 Valeo SA 166,501
------------
709,078
-----------------------------------------------------------------------------------------------------------------
Automobiles - 0.2% 8,681 Peugeot SA 498,673
8,205 Renault SA 666,829
------------
1,165,502
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 4,111 Pernod-Ricard 714,762
-----------------------------------------------------------------------------------------------------------------
Building Products - 0.2% 16,785 Cie de Saint-Gobain 994,888
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 4,953 Air Liquide 949,377
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.1% 38,994 BNP Paribas 3,143,787
22,519 Credit Agricole SA 706,823
16,795 Societe Generale 2,058,318
------------
5,908,928
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 1,954 Societe BIC SA 115,818
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.1% 62,585 Alcatel SA (a) 772,919
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 8,493 Vinci SA 727,803
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 1,192 Imerys SA 85,908
9,192 Lafarge SA 824,025
------------
909,933
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 77,284 France Telecom SA $ 1,913,458
Services - 0.4%
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.2% 7,246 Alstom (a) 415,557
9,721 Schneider Electric SA 863,995
------------
1,279,552
-----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.1% 4,872 Technip SA 291,936
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 28,046 Carrefour SA 1,309,373
1,910 Casino Guichard Perrachon SA 126,728
------------
1,436,101
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.2% 11,304 Groupe Danone 1,176,694
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 6,310 Cie Generale d'Optique Essilor International SA 507,610
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.2% 10,544 Accor SA 577,832
5,111 Sodexho Alliance SA 209,798
------------
787,630
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 18,563 Thomson 387,559
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 2,452 Atos Origin (a) 160,954
8,123 Cap Gemini SA (a) 324,908
------------
485,862
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 66,599 AXA 2,141,462
775 CNP Assurances 60,883
52,526 SCOR 112,762
------------
2,315,107
-----------------------------------------------------------------------------------------------------------------
Media - 0.5% 6,788 Lagardere S.C.A. 520,442
2,124 PagesJaunes Groupe SA 55,093
10,047 Publicis Groupe 348,418
3,105 Societe Television Francaise 1 85,849
47,284 Vivendi Universal SA 1,475,777
6,053 Vivendi Universal SA (b) 190,246
------------
2,675,825
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 28,582 Arcelor 706,307
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.4% 42,707 Suez SA 1,324,865
5,052 Suez SA 156,605
14,051 Veolia Environnement 633,785
------------
2,115,255
-----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.1% 2,713 Pinault-Printemps-Redoute 304,492
-----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.0% 1,925 Neopost SA 192,323
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 1.3% 26,228 Total SA 6,564,889
4,140 Total SA "VVPR strip' (a) 49
------------
6,564,938
-----------------------------------------------------------------------------------------------------------------
Personal Products - 0.2% 13,565 L'Oreal SA 1,004,839
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.8% 48,928 Sanofi-Aventis $ 4,270,768
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.1% 535 Gecina SA 61,213
1,537 Klepierre 143,769
1,964 Unibail 260,390
------------
465,372
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 28,134 STMicroelectronics NV 503,424
Equipment - 0.1%
-----------------------------------------------------------------------------------------------------------------
Software - 0.1% 2,821 Business Objects SA (a) 113,768
2,849 Dassault Systemes SA 160,264
------------
274,032
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.2% 789 Hermes International 196,650
10,625 LVMH Moet Hennessy Louis Vuitton SA 940,582
------------
1,137,232
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 2,314 Autoroutes du Sud de la France 136,474
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 10,321 Bouygues 502,792
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in France 45,375,216
- -----------------------------------------------------------------------------------------------------------------------------------
Germany - 6.0% Air Freight & Logistics - 0.2% 39,015 Deutsche Post AG 942,483
-----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 14,866 Deutsche Lufthansa AG 219,365
-----------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 7,622 Continental AG 674,111
-----------------------------------------------------------------------------------------------------------------
Automobiles - 0.5% 41,217 DaimlerChrysler AG 2,097,362
10,525 Volkswagen AG 553,823
------------
2,651,185
-----------------------------------------------------------------------------------------------------------------
Biotechnology - 0.0% 4,938 Qiagen NV (a) 57,897
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.4% 23,327 Deutsche Bank AG Registered Shares 2,253,511
3,609 MLP AG 74,583
------------
2,328,094
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.7% 24,910 BASF AG 1,901,350
32,758 Bayer AG 1,363,596
3,872 Linde AG 300,386
------------
3,565,332
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 22,843 Commerzbank AG 701,096
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 6,409 Deutsche Boerse AG 654,371
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 124,627 Deutsche Telekom AG 2,069,815
Services - 0.4%
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.6% 28,635 E.ON AG (a) 2,951,724
-----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 2,386 Epcos AG (a) 31,127
Instruments - 0.0%
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 6,372 Metro AG 306,657
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.1% 1,654 Celesio AG 141,758
1,747 Fresenius Medical Care AG 183,400
------------
325,158
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 12,313 TUI AG 251,262
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.6% 36,780 Siemens AG $ 3,140,994
860 Siemens AG (b) 73,607
------------
3,214,601
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.7% 17,193 Allianz AG Registered Shares 2,594,626
8,930 Muenchener Rueckversicherungs AG Registered
Shares 1,204,809
------------
3,799,435
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 8,694 MAN AG 462,296
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 18,195 ThyssenKrupp AG 378,159
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.3% 20,708 RWE AG 1,527,856
-----------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 572 Beiersdorf AG 70,169
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.2% 4,588 Altana AG 248,942
2,378 Merck KGaA 196,208
9,424 Schering AG 629,171
------------
1,074,321
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 2,589 IVG Immobilien AG 54,084
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 30,054 Infineon Technologies AG (a) 274,030
Equipment - 0.1%
-----------------------------------------------------------------------------------------------------------------
Software - 0.3% 10,050 SAP AG 1,815,634
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 1,160 Douglas Holding AG 44,469
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.2% 2,776 Adidas-Salomon AG 523,909
1,129 Puma AG Rudolf Dassler Sport 328,267
------------
852,176
-----------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 0.1% 5,764 Hypo Real Estate Holding AG 299,017
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany 31,595,924
- -----------------------------------------------------------------------------------------------------------------------------------
Greece - 0.6% Beverages - 0.0% 5,327 Coca-Cola Hellenic Bottling Co. SA 156,333
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 13,229 Alpha Bank AE 384,802
8,873 EFG Eurobank Ergasias SA 277,772
2,906 Emporiki Bank of Greece SA 97,966
15,426 National Bank of Greece SA 653,956
3,787 Piraeus Bank SA 80,763
------------
1,495,259
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 13,744 Intracom SA 90,786
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 9,858 Technical Olympic SA 54,652
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 2,682 Titan Cement Co. SA 109,143
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 13,051 Hellenic Telecommunications Organization SA (a) 277,098
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 5,616 Public Power Corp. 122,286
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 8,653 OPAP SA 297,014
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 4,057 Viohalco, Hellenic Copper and Aluminum
Industry SA 32,541
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 11,074 Cosmote Mobile Telecommunications SA 245,311
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Greece 2,880,423
- -----------------------------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 1.3% Airlines - 0.0% 2,263 Cathay Pacific Airways Ltd. $ 3,955
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 146,900 BOC Hong Kong Holdings Ltd. 282,298
29,739 Bank of East Asia Ltd. 89,943
26,153 Hang Seng Bank Ltd. 341,351
------------
713,592
-----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 52,719 Li & Fung Ltd. 101,650
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 20,000 Hong Kong Exchanges and Clearing Ltd. 82,930
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 71,195 PCCW Ltd. 43,845
Services - 0.0%
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 71,187 CLP Holdings Ltd. 413,155
56,000 HongKong Electric Holdings 277,344
------------
690,499
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 94,328 Johnson Electric Holdings Ltd. 89,418
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 104,240 Hong Kong & China Gas 222,501
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 24,990 Shangri-La Asia Ltd. 41,738
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 16,560 Techtronic Industries Co. 39,405
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 113,176 Hutchison Whampoa Ltd. 1,077,964
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 34,025 SCMP Group Ltd. 12,616
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.5% 76,735 Cheung Kong Holdings Ltd. 787,287
12,000 Hang Lung Properties Ltd. 18,727
32,491 Henderson Land Development Co., Ltd. 152,952
92,800 The Link REIT (a) 175,940
48,484 New World Development Ltd. 66,596
48,421 Sino Land Co. 58,703
68,324 Sun Hung Kai Properties Ltd. 665,303
57,577 Swire Pacific Ltd. Class A 516,842
56,107 Wharf Holdings Ltd. 198,275
------------
2,640,625
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 24,500 MTR Corp. 48,188
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 5,004 ASM Pacific Technology 28,235
Equipment - 0.1% 430,000 Solomon Systech International Ltd. 178,854
------------
207,089
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 52,000 Esprit Holdings Ltd. 369,534
132,394 Giordano International Ltd. 74,277
------------
443,811
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 65,353 Texwinca Holdings Ltd. 47,201
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 18,465 Hopewell Holdings 46,320
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 47,000 Hutchison Telecommunications
Services - 0.0% International Ltd. (a) 67,891
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 6,621,238
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Ireland - 0.8% Airlines - 0.1% 27,680 Ryanair Holdings Plc (a) $ 270,995
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.0% 10,134 C&C Group Plc 64,549
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 44,953 Allied Irish Banks Plc 957,090
47,958 Bank of Ireland 752,624
15,198 Depfa Bank Plc 223,906
------------
1,933,620
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 936 CRH Plc 27,425
26,953 CRH Plc 790,042
------------
817,467
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 38,588 Eircom Group Plc 90,123
Services - 0.0%
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 22,780 Greencore Group Plc 90,284
4,710 Kerry Group Plc 103,947
------------
194,231
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 61,080 Waterford Wedgewood 4,323
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 3,189 DCC Plc 68,085
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 12,684 Irish Life & Permanent Plc 258,234
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 21,817 Independent News & Media Plc 65,365
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 15,345 Elan Corp. Plc (a) 206,342
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.0% 2,786 Grafton Group Plc 30,233
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland 4,003,567
- -----------------------------------------------------------------------------------------------------------------------------------
Italy - 3.6% Aerospace & Defense - 0.1% 15,618 Finmeccanica SpA 301,203
-----------------------------------------------------------------------------------------------------------------
Automobiles - 0.1% 38,723 Fiat SpA (a) 336,174
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 10,234 Banca Fideuram SpA 55,408
26,990 Mediobanca SpA 513,516
17,230 Mediolanum SpA 113,203
------------
682,127
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.2% 7,027 Banca Antonveneta SpA 217,910
132,677 Banca Intesa SpA 700,334
36,404 Banca Intesa SpA Registered Shares 179,233
52,096 Banca Monte dei Paschi di Siena SpA 242,420
85,292 Banca Nazionale del Lavoro SpA (a) 280,088
16,065 Banca Popolare di Milano Scrl 175,207
16,381 Banche Popolari Unite Scrl 357,848
13,238 Banco Popolare di Verona e Novara Scrl 266,859
72,957 Capitalia SpA 420,816
59,514 Sanpaolo IMI SpA 927,761
366,124 UniCredito Italiano SpA 2,512,141
------------
6,280,617
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 5,565 Italcementi SpA $ 103,472
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 4,347 FinecoGroup SpA 41,656
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 444,028 Telecom Italia SpA 1,288,434
Services - 0.4% 258,085 Telecom Italia SpA Registered Shares 637,769
------------
1,926,203
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 205,245 Enel SpA 1,605,587
112,507 Terna SpA 276,563
------------
1,882,150
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 69,090 Snam Rete Gas SpA 283,033
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 4,473 Autogrill SpA 60,987
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 119,974 Pirelli & C SpA 109,816
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.3% 30,165 Alleanza Assicurazioni SpA 371,218
42,265 Assicurazioni Generali SpA 1,471,184
------------
1,842,402
-----------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.0% 47,194 Telecom Italia Media SpA (a) 24,883
29,933 Tiscali SpA (a) 94,412
------------
119,295
-----------------------------------------------------------------------------------------------------------------
Media - 0.1% 5,198 Arnoldo Mondadori Editore SpA 48,161
13,547 Gruppo Editoriale L'Espresso SpA 71,188
37,098 Mediaset SpA 391,643
171,874 Seat Pagine Gialle SpA (a) 79,837
------------
590,829
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.7% 116,248 ENI SpA 3,212,733
1,875 ENI SpA (b) 261,487
------------
3,474,220
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 5,296 Benetton Group SpA 60,095
9,894 Bulgari SpA 110,053
4,858 Luxottica Group SpA 122,799
------------
292,947
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 19,690 Autostrade SpA 470,546
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy 18,797,677
- -----------------------------------------------------------------------------------------------------------------------------------
Japan - 23.6% Air Freight & Logistics - 0.1% 23,000 Yamato Transport Co., Ltd. 381,157
-----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 28,000 Japan Airlines Corp. 76,150
-----------------------------------------------------------------------------------------------------------------
Auto Components - 0.5% 9,900 Aisin Seiki Co., Ltd. 363,187
26,000 Bridgestone Corp. 540,795
20,600 Denso Corp. 710,345
1,000 NGK Spark Plug Co., Ltd. 21,605
7,000 NOK Corp. 189,782
29,000 Sanden Corp. 134,398
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
7,000 Stanley Electric Co., Ltd. $ 113,691
1,000 Toyoda Gosei Co., Ltd. 19,487
8,000 Toyota Industries Corp. 287,385
------------
2,380,675
-----------------------------------------------------------------------------------------------------------------
Automobiles - 2.0% 35,000 Honda Motor Co., Ltd. 1,995,679
97,700 Nissan Motor Co., Ltd. 989,168
137,300 Toyota Motor Corp. 7,119,173
9,000 Yamaha Motor Co., Ltd. 234,856
------------
10,338,876
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 9,000 Asahi Breweries Ltd. 109,726
25,000 Kirin Brewery Co., Ltd. 291,240
27,000 Sapporo Holdings Ltd. 151,207
13,000 Takara Holdings, Inc. 77,099
------------
629,272
-----------------------------------------------------------------------------------------------------------------
Building Products - 0.3% 42,000 Asahi Glass Co., Ltd. 541,947
2,000 Central Glass Co., Ltd. 11,065
14,300 Daikin Industries Ltd. 417,987
11,000 JS Group Corp. 219,944
24,000 Nippon Sheet Glass Co., Ltd. 104,719
30,000 Sanwa Shutter Corp. 185,038
9,000 Toto Ltd. 76,023
------------
1,556,723
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.8% 93,000 Daiwa Securities Group, Inc. 1,053,469
54 E*Trade Securities Co., Ltd. 416,792
1,100 Jafco Co., Ltd. 98,136
11,400 Matsui Securities Co., Ltd. 158,111
7,000 Mitsubishi UFJ Securities Co. 87,774
28,000 Nikko Cordial Corp. 443,142
100,800 Nomura Holdings, Inc. 1,930,086
200 Softbank Investments Corporation 135,220
------------
4,322,730
-----------------------------------------------------------------------------------------------------------------
Chemicals - 1.2% 53,000 Asahi Kasei Corp. 358,333
3,000 Daicel Chemical Industries Ltd. 21,554
30,000 Dainippon Ink and Chemicals, Inc. 129,882
3,000 Denki Kagaku Kogyo Kabushiki Kaisha 13,242
2,500 Hitachi Chemical Co., Ltd. 66,085
63,000 Ishihara Sangyo Kaisha Ltd. 112,090
4,000 JSR Corp. 105,058
13,000 Kaneka Corp. 156,952
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
25,000 Kuraray Co., Ltd. $ 258,833
61,500 Mitsubishi Chemical Holdings Corp. 387,143
18,000 Mitsubishi Gas Chemical Co., Inc. 170,042
49,000 Mitsubishi Rayon Co., Ltd. 323,816
13,000 Mitsui Chemicals, Inc. 87,342
31,000 Nippon Kayaku Co., Ltd. 264,484
12,000 Nissan Chemical Industries Ltd. 170,601
7,910 Nitto Denko Corp. 615,885
21,600 Shin-Etsu Chemical Co., Ltd. 1,147,437
18,000 Showa Denko KK 70,152
14,000 Sumitomo Bakelite Co., Ltd. 115,530
54,000 Sumitomo Chemical Co., Ltd. 370,584
52,000 Teijin Ltd. 329,984
54,000 Toray Industries, Inc. 440,125
38,000 Tosoh Corp. 166,771
57,000 Ube Industries Ltd. 154,537
------------
6,036,462
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.8% 12,000 The 77 Bank Ltd. 91,095
31,000 The Bank of Fukuoka Ltd. 265,009
41,000 The Bank of Yokohama Ltd. 335,211
31,000 The Chiba Bank Ltd. 259,756
13,000 The Gunma Bank Ltd. 96,043
46,000 Hokuhoku Financial Group, Inc. 214,742
23,000 The Joyo Bank Ltd. 136,796
350 Mitsubishi Tokyo Financial Group, Inc. 4,744,556
23,000 Mitsui Trust Holdings, Inc. 275,930
453 Mizuho Financial Group, Inc. 3,592,375
17,000 The Nishi-Nippon City Bank Ltd. 101,398
223 Resona Holdings, Inc. (a) 897,441
69,000 Shinsei Bank Ltd. 398,695
26,000 The Shizuoka Bank Ltd. 260,374
219 Sumitomo Mitsui Financial Group, Inc. 2,319,326
48,000 The Sumitomo Trust & Banking Co., Ltd. 490,045
4,000 Suruga Bank Ltd. 50,394
------------
14,529,186
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.3% 26,000 Dai Nippon Printing Co., Ltd. 462,594
5,000 Kokuyo Co., Ltd. 74,049
500 Meitec Corp. 16,182
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
12,000 Secom Co., Ltd. $ 627,298
15,000 Toppan Printing Co., Ltd. 175,125
------------
1,355,248
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 8,000 Uniden Corp. 155,554
-----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.5% 97,000 Fujitsu Ltd. 737,999
13,000 Mitsumi Electric Company, Ltd. 146,929
110,000 NEC Corp. 684,063
4,300 Seiko Epson Corp. 108,019
168,000 Toshiba Corp. 1,002,050
------------
2,679,060
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.4% 9,457 COMSYS Holdings Corp. 135,169
15,000 Chiyoda Corp. 344,404
16,000 JGC Corp. 304,329
46,000 Kajima Corp. 264,238
9,000 Kinden Corp. 81,208
41,000 Nishimatsu Construction Co., Ltd. 168,127
25,000 Obayashi Corp. 184,063
15,000 Okumura Corp. 84,258
16,000 Shimizu Corp. 117,529
54,000 Taisei Corp. 244,768
3,000 Toda Corp. 16,470
------------
1,944,563
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 34,000 Sumitomo Osaka Cement Co., Ltd. 99,093
47,000 Taiheiyo Cement Corp. 190,740
------------
289,833
-----------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.5% 3,100 Acom Co., Ltd. 199,085
500 Aeon Credit Service Co., Ltd. 47,276
2,750 Aiful Corp. 229,497
8,200 Credit Saison Co., Ltd. 409,201
4,100 ORIX Corp. 1,043,845
3,550 Promise Co., Ltd. 236,105
5,620 Takefuji Corp. 381,396
------------
2,546,405
-----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 5,000 Toyo Seikan Kaisha Ltd. 81,378
-----------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 0.0% 2,000 Benesse Corp. 69,982
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 239 Nippon Telegraph & Telephone Corp. 1,085,351
Services - 0.2%
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.7% 26,500 Chubu Electric Power Co., Inc. 630,899
6,000 Hokkaido Electric Power Co., Inc. 122,003
33,100 The Kansai Electric Power Co., Inc. 710,908
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
16,400 Kyushu Electric Power Co., Inc. $ 355,706
17,600 Tohoku Electric Power Co., Inc. 357,875
57,300 The Tokyo Electric Power Co., Inc. 1,390,871
------------
3,568,262
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 21,000 Fujikura Ltd. 170,092
45,000 Furukawa Electric Co., Ltd. 351,521
13,873 Matsushita Electric Works Ltd. 129,527
68,000 Mitsubishi Electric Corp. 481,064
29,000 Sumitomo Electric Industries Ltd. 440,049
3,000 Ushio, Inc. 70,025
------------
1,642,278
-----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 12,000 Alps Electric Co., Ltd. 167,042
Instruments - 1.0% 19,000 Anritsu Corp. 108,015
16,200 Citizen Watch Co., Ltd. 134,508
15,000 Dainippon Screen Manufacturing Co., Ltd. 125,434
1,500 Hirose Electric Co., Ltd. 199,907
129,000 Hitachi Ltd. 868,889
16,800 Hoya Corp. 603,508
4,600 Ibiden Co., Ltd. 246,310
1,000 Keyence Corp. 284,250
8,900 Kyocera Corp. 648,479
1,200 Mabuchi Motor Co., Ltd. 66,593
8,400 Murata Manufacturing Co., Ltd. 538,033
3,800 Nidec Corp. 322,918
6,000 Nippon Electric Glass Co. 130,899
33,000 Oki Electric Industry Co., Ltd. 120,503
10,000 Omron Corp. 230,450
7,600 TDK Corp. 523,494
3,000 Yokogawa Electric Corp. 51,089
------------
5,370,321
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.6% 32,000 Aeon Co., Ltd. 813,353
3,900 FamilyMart Co., Ltd. 131,839
2,400 Lawson, Inc. 98,822
3,200 Matsumotokiyoshi Co., Ltd. 101,127
40,600 Seven & I Holdings Co. Ltd. 1,737,101
4,000 UNY Co., Ltd. 63,069
------------
2,945,311
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.2% 32,000 Ajinomoto Co., Inc. 327,239
4,700 Ariake Japan Co., Ltd. 115,678
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
3,000 Kikkoman Corp. $ 29,103
40,000 Nichirei Corp. 166,737
2,000 Nippon Meat Packers, Inc. 20,978
12,000 Nisshin Seifun Group, Inc. 126,680
5,300 Nissin Food Products Co., Ltd. 153,122
3,000 Yakult Honsha Co., Ltd. 62,272
7,000 Yamazaki Baking Co., Ltd. 56,935
------------
1,058,744
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.2% 86,000 Osaka Gas Co., Ltd. 296,552
159,000 Tokyo Gas Co., Ltd. 705,888
------------
1,002,440
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 6,000 Olympus Corp. 157,587
5,600 Terumo Corp. 165,585
------------
323,172
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 200 Nichii Gakkan Co. 5,083
1,000 Suzuken Co., Ltd. 31,941
------------
37,024
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 1,900 Oriental Land Co., Ltd. 103,508
2,000 Skylark Co., Ltd. 31,856
------------
135,364
-----------------------------------------------------------------------------------------------------------------
Household Durables - 1.2% 2,000 Casio Computer Co., Ltd. 33,449
2,000 Daito Trust Construction Co., Ltd. 103,363
13,000 Daiwa House Industry Co., Ltd. 203,101
1,000 Makita Corp. 24,570
97,000 Matsushita Electric Industrial Co., Ltd. 1,869,652
11,800 Pioneer Corp. 163,558
171,000 Sanyo Electric Co., Ltd. 463,611
20,000 Sekisui Chemical Co., Ltd. 135,220
24,000 Sekisui House Ltd. 301,754
54,000 Sharp Corp. 820,774
49,200 Sony Corp. 2,009,184
------------
6,128,236
-----------------------------------------------------------------------------------------------------------------
Household Products - 0.2% 28,000 Kao Corp. 749,640
2,400 Uni-Charm Corp. 107,769
------------
857,409
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.2% 3,100 CSK Holdings Corp. 154,698
400 Itochu Techno-Science Corp. 19,148
47 NET One Systems Co., Ltd. 113,488
57 NTT Data Corp. 283,479
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
1,500 Nomura Research Institute Ltd. $ 183,640
100 Obic Co., Ltd. 22,011
400 TIS, Inc. 12,336
------------
788,800
-----------------------------------------------------------------------------------------------------------------
Independent Power Producers & Energy 7,800 Electric Power Development Co. 267,644
Traders - 0.0%
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.6% 74 Millea Holdings, Inc. 1,272,727
70,000 Mitsui Sumitomo Insurance Co., Ltd. 855,799
34,000 Sompo Japan Insurance, Inc. 459,459
9,250 T&D Holdings, Inc. 612,853
------------
3,200,838
-----------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.0% 130 Rakuten, Inc. (a) 125,561
-----------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.4% 201 eAccess Ltd. 142,197
36,000 Softbank Corp. 1,518,936
248 Yahoo! Japan Corp. 376,108
------------
2,037,241
-----------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.3% 28,600 Fuji Photo Film Co., Ltd. 945,014
12,100 Namco Bandai Holdings, Inc. 176,738
6,000 Nikon Corp. 94,603
1,400 Sankyo Co., Ltd. (Gunma) 81,013
5,432 Sega Sammy Holdings, Inc. 181,788
3,500 Shimano, Inc. 91,926
6,600 Yamaha Corp. 109,655
------------
1,680,737
-----------------------------------------------------------------------------------------------------------------
Machinery - 1.0% 20,000 Amada Co., Ltd. 176,226
15,000 Amano Corp. 285,944
22,000 Ebara Corp. 118,733
8,200 Fanuc Ltd. 695,433
5,000 Hino Motors Ltd. 31,645
92,000 Ishikawajima-Harima Heavy Industries Co., Ltd. 290,740
8,000 JTEKT Corp. (e) 148,776
26,000 Kawasaki Heavy Industries Ltd. 94,722
54,000 Komatsu Ltd. 892,604
47,000 Kubota Corp. 394,620
3,000 Kurita Water Industries Ltd. 57,062
25,000 Minebea Co., Ltd. 133,229
157,000 Mitsubishi Heavy Industries Ltd. 691,689
50,000 Mitsui Engineering & Shipbuilding Co., Ltd. 162,671
3,000 NGK Insulators Ltd. 44,582
14,000 NSK Ltd. 95,603
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
15,000 NTN Corp. $ 118,444
1,400 SMC Corp. 199,864
32,000 Sumitomo Heavy Industries Ltd. 268,406
3,700 THK Co., Ltd. 96,552
9,000 Takuma Co., Ltd. 60,086
------------
5,057,631
-----------------------------------------------------------------------------------------------------------------
Marine - 0.2% 42,000 Kawasaki Kisen Kaisha Ltd. 263,323
75,000 Mitsui OSK Lines Ltd. 653,859
49,000 Nippon Yusen Kabushiki Kaisha 335,440
------------
1,252,622
-----------------------------------------------------------------------------------------------------------------
Media - 0.1% 600 Asatsu-DK, Inc. 19,063
33 Dentsu, Inc. 107,363
64 Fuji Television Network, Inc. 161,044
5,000 Toho Co., Ltd. 111,836
4,000 Tokyo Broadcasting System, Inc. 108,447
------------
507,753
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.9% 40,000 DAIDO STEEL CO., LTD. 381,937
7,000 Dowa Mining Co., Ltd. 75,794
27,600 JFE Holdings, Inc. 926,002
98,000 Kobe Steel Ltd. 317,174
86,000 Mitsubishi Materials Corp. 439,363
22,000 Mitsui Mining & Smelting Co., Ltd. 138,117
337,000 Nippon Steel Corp. 1,199,187
40,000 Nisshin Steel Co., Ltd. 129,120
218,000 Sumitomo Metal Industries Ltd. 838,533
32,000 Sumitomo Metal Mining Co., Ltd. 395,560
------------
4,840,787
-----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.1% 9,000 Daimaru, Inc. 129,781
6,000 Hankyu Department Stores 52,360
1,000 Isetan Co., Ltd. 21,308
7,000 Marui Co., Ltd. 137,296
16,000 Mitsukoshi Ltd. 104,380
1,800 Ryohin Keikaku Co., Ltd. 156,926
4,000 Takashimaya Co., Ltd. 63,848
------------
665,899
-----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.6% 34,800 Canon, Inc. 2,034,398
26,000 Konica Minolta Holdings, Inc. 264,560
37,000 Ricoh Co., Ltd. 647,335
------------
2,946,293
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.2% 21,000 Nippon Mining Holdings, Inc. $ 149,276
66,000 Nippon Oil Corp. 511,650
6,000 Showa Shell Sekiyu KK 71,575
17,000 Teikoku Oil Co., Ltd. 222,384
10,000 TonenGeneral Sekiyu KK 107,430
------------
1,062,315
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 39 Nippon Paper Group, Inc. 155,960
31,000 OJI Paper Co., Ltd. 183,064
------------
339,024
-----------------------------------------------------------------------------------------------------------------
Personal Products - 0.1% 6,100 Aderans Co., Ltd. 182,953
10,000 Shiseido Co., Ltd. 186,393
------------
369,346
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.1% 27,600 Astellas Pharma Inc. 1,075,659
17,300 Chugai Pharmaceutical Co., Ltd. 370,829
35,500 Daiichi Sankyo Co. Ltd. 684,254
10,000 Eisai Co., Ltd. 419,385
11,000 Kaken Pharmaceutical Co., Ltd. 85,648
11,000 Kyowa Hakko Kogyo Co., Ltd. 76,701
5,500 Santen Pharmaceutical Co., Ltd. 148,649
18,000 Shionogi & Co., Ltd. 253,308
7,000 Taisho Pharmaceutical Co., Ltd. 131,068
45,300 Takeda Pharmaceutical Co., Ltd. 2,448,649
------------
5,694,150
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.7% 27 Japan Prime Realty Investment Corp. 75,718
14 Japan Real Estate Investment Corp. 115,293
13 Japan Retail Fund Investment Corp. 100,890
2,300 Leopalace21 Corp. 83,403
61,000 Mitsubishi Estate Co., Ltd. 1,266,204
46,000 Mitsui Fudosan Co., Ltd. 933,407
16 Nippon Building Fund, Inc. 134,881
24 Nomura Real Estate Office Fund, Inc. 170,804
24,000 Sumitomo Realty & Development Co., Ltd. 521,562
24,000 Tokyo Tatemono Co., Ltd. 238,922
26,000 Tokyu Land Corp. 259,714
------------
3,900,798
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.8% 95 Central Japan Railway Co. 909,515
175 East Japan Railway Co. 1,202,448
15,000 Keihin Electric Express Railway Co., Ltd. 118,190
19,000 Keio Electric Railway Co., Ltd. 113,488
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
38,000 Keisei Electric Railway Co., Ltd. $ 259,171
72,000 Kintetsu Corp. 287,927
37,000 Nippon Express Co., Ltd. 225,392
25,000 Odakyu Electric Railway Co., Ltd. 148,691
42,000 Tobu Railway Co., Ltd. 219,910
41,000 Tokyu Corp. 289,706
98 West Japan Railway Co. 408,506
------------
4,182,944
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 4,700 Advantest Corp. 473,464
Equipment - 0.3% 4,500 Elpida Memory, Inc. (a) 134,203
1,200 NEC Electronics Corp. 39,346
4,000 Rohm Co., Ltd. 434,805
8,000 Sanken Electric Co., Ltd. 128,984
9,200 Tokyo Electron Ltd. 577,582
------------
1,788,384
-----------------------------------------------------------------------------------------------------------------
Software - 0.2% 4,400 Fuji Soft ABC, Inc. 147,251
7,300 Hitachi Software Engineering Co., Ltd. 152,766
3,600 Konami Corp. 79,149
5,400 Nintendo Co., Ltd. 651,953
900 Oracle Corp. Japan 44,684
5,500 Trend Micro, Inc. (a) 207,828
------------
1,283,631
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.2% 2,800 Aoyama Trading Co., Ltd. 94,654
4,500 Autobacs Seven Co., Ltd. 235,999
3,500 Fast Retailing Co., Ltd. 341,905
600 Shimachu Co., Ltd. 18,199
600 Shimamura Co., Ltd. 82,962
700 USS Co., Ltd. 44,599
4,200 Yamada Denki Co., Ltd. 525,222
------------
1,343,540
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.1% 36,000 Gunze Ltd. 239,126
1,000 Nisshinbo Industries, Inc. 10,921
8,000 Onward Kashiyama Co., Ltd. 157,248
2,000 Toyobo Co., Ltd. 6,693
5,000 Wacoal Holdings Corp. 67,695
------------
481,683
-----------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 49 Japan Tobacco, Inc. 714,056
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.7% 53,000 Itochu Corp. 441,854
80,000 Marubeni Corp. 429,043
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
58,000 Mitsubishi Corp. $ 1,282,555
60,000 Mitsui & Co., Ltd. 770,143
23,100 Sojitz Corp. (a) 136,999
38,000 Sumitomo Corp. 490,977
4,000 Toyota Tsusho Corporation 90,824
------------
3,642,395
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 2,000 Kamigumi Co., Ltd. 17,741
8,000 Mitsubishi Logistics Corp. 134,610
------------
152,351
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 115 KDDI Corp. 662,543
Services - 0.3% 685 NTT DoCoMo, Inc. 1,044,650
------------
1,707,193
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan 123,560,782
- -----------------------------------------------------------------------------------------------------------------------------------
Netherlands - Air Freight & Logistics - 0.1% 21,474 TNT NV 668,704
3.1% -----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 11,714 Heineken NV 370,026
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 11,211 Akzo Nobel NV 517,718
10,240 DSM NV 416,712
------------
934,430
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 82,104 ABN AMRO Holding NV 2,139,325
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 1,086 Randstad Holdings NV 47,000
7,896 Vedior NV 116,608
------------
163,608
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.6% 6,281 Euronext NV 325,986
85,166 ING Groep NV CVA 2,943,410
------------
3,269,396
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 105,076 Royal KPN NV 1,049,793
Services - 0.2%
-----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.0% 228 IHC Caland NV 18,355
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 85,361 Koninklijke Ahold NV (a) 637,353
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.4% 6,433 Royal Numico NV (a) 265,430
27,472 Unilever NV 1,874,608
------------
2,140,038
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.4% 61,680 Koninklijke Philips Electronics NV 1,909,811
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 3,377 Getronics NV 45,251
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.2% 60,535 Aegon NV 981,807
-----------------------------------------------------------------------------------------------------------------
Media - 0.2% 39,460 Reed Elsevier NV 549,232
13,508 VNU NV 446,294
8,647 Wolters Kluwer NV 174,209
------------
1,169,735
-----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.0% 194 OCE NV 2,789
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate - 0.1% 1,655 Corio NV $ 89,604
1,648 Rodamco Europe NV 136,656
332 Wereldhave NV 31,192
------------
257,452
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 28,130 ASML Holding NV (a) 560,755
Equipment - 0.1%
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.0% 56,138 Hagemeyer NV (a) 181,436
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 16,500,064
- -----------------------------------------------------------------------------------------------------------------------------------
New Zealand - Commercial Services & Supplies - 0.0% 23,708 Waste Management NZ Ltd. 98,977
0.2% -----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 20,926 Fletcher Building Ltd. 107,600
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 68,034 Telecom Corp. of New Zealand Ltd. 278,471
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 22,289 Contact Energy Ltd. 100,643
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 45,575 Fisher & Paykel Healthcare Corp. 117,948
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 30,232 Fisher & Paykel Appliances Holdings Ltd. 71,446
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 9,996 Tower Ltd. (a) 14,160
-----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 16,257 Warehouse Group Ltd. 39,305
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 1 Tenon Ltd. 2
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 64,800 Auckland International Airport Ltd. 87,381
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand 915,933
- -----------------------------------------------------------------------------------------------------------------------------------
Norway - 0.7% Airlines - 0.0% 2,392 SAS AB (a) 30,733
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 8,336 Yara International ASA 120,954
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 19,915 DNB NOR ASA 211,760
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 25,729 Tomra Systems ASA 183,528
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 9,463 Tandberg ASA 57,718
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 15,995 Telenor ASA 156,495
Services - 0.1% 8,900 Telenor ASA (b) 261,660
------------
418,155
-----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.0% 3,691 Smedvig ASA Class A 107,384
7,800 Stolt Offshore SA (a) 90,426
------------
197,810
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 8,570 Orkla ASA 353,748
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 8,611 Storebrand ASA 74,076
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 3,568 Schibsted ASA 105,914
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.4% 3,444 Frontline Ltd. 131,224
7,859 Norsk Hydro ASA 804,325
37,653 Statoil ASA 861,911
------------
1,797,460
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 3,089 Norske Skogindustrier ASA 48,927
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway 3,600,783
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Portugal - 0.2% Commercial Banks - 0.1% 25,668 Banco BPI SA $ 116,868
88,715 Banco Comercial Portugues SA Registered Shares 243,820
6,793 Banco Espirito Santo SA Registered Shares 108,973
------------
469,661
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 15,305 Cimpor Cimentos de Portugal SA 83,947
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 31,051 Portugal Telecom SGPS SA Registered Shares 313,154
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 57,220 Energias de Portugal SA 175,484
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 4,098 Jeronimo Martins 61,389
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 38,364 Sonae SGPS SA 53,398
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 4,230 PT Multimedia Servicos de Telecomunicacoes e
Multimedia SGPS SA 48,149
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 7,477 Brisa-Auto Estradas de Portugal SA Private
Shares 63,148
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Portugal 1,268,330
- -----------------------------------------------------------------------------------------------------------------------------------
Singapore - 0.8% Aerospace & Defense - 0.0% 56,213 Singapore Technologies Engineering Ltd. 96,686
-----------------------------------------------------------------------------------------------------------------
Air Freight & Logistics - 0.0% 138,954 Singapore Post Ltd. 96,101
-----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 17,582 Singapore Airlines Ltd. 131,114
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 58,109 DBS Group Holdings Ltd. 576,617
87,834 Oversea-Chinese Banking Corp. 353,914
64,572 United Overseas Bank Ltd. 566,966
------------
1,497,497
-----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 5,907 Creative Technology Ltd. 48,313
-----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 3,331 Jardine Cycle & Carriage Ltd. 22,236
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 82,000 Singapore Exchange Ltd. 143,012
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 266,803 Singapore Telecommunications Ltd. 417,181
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 0.0% 5,000 Venture Corp. Ltd. 41,496
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 83,000 Parkway Holdings Ltd. 105,322
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 29,535 City Developments Ltd. 154,531
2,631 Overseas Union Enterprise Ltd. 17,247
------------
171,778
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 3,836 Fraser and Neave Ltd. 42,679
1,766 Haw Par Corp. Ltd. 5,470
41,914 Keppel Corp. Ltd. 277,276
22,704 SembCorp Industries Ltd. 37,412
------------
362,837
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 107,427 SembCorp Marine Ltd. 178,313
-----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 50,501 Cosco Corp. Singapore Ltd. 65,601
-----------------------------------------------------------------------------------------------------------------
Media - 0.1% 87,116 Singapore Press Holdings Ltd. 225,282
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.1% 126,833 CapitaLand Ltd. 262,392
2,398 MCL Land Ltd. 2,481
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
6,457 United Overseas Land Ltd. $ 9,747
------------
274,620
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 104,816 ComfortDelgro Corp. Ltd. 100,857
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 89,002 Chartered Semiconductor Manufacturing Ltd. (a) 69,583
Equipment - 0.0% 1,120 Chartered Semiconductor Manufacturing
Ltd. (a)(b) 8,546
------------
78,129
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 36,085 SembCorp Logistics Ltd. 36,892
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore 4,093,267
- -----------------------------------------------------------------------------------------------------------------------------------
South Beverages - 0.1% 35,782 SABMiller Plc 651,755
Africa - 0.1% -----------------------------------------------------------------------------------------------------------------
Total Common Stocks in South Africa 651,755
- -----------------------------------------------------------------------------------------------------------------------------------
Spain - 3.5% Airlines - 0.0% 31,929 Iberia Lineas Aereas de Espana 86,246
-----------------------------------------------------------------------------------------------------------------
Biotechnology - 0.0% 15,416 Zeltia SA 106,922
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.4% 160,382 Banco Bilbao Vizcaya Argentaria SA 2,852,816
48,525 Banco Popular Espanol SA 589,549
275,554 Banco Santander Central Hispano SA 3,624,085
------------
7,066,450
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.2% 17,092 ACS Actividades de Construccion y Servicios, SA 548,578
446 Acciona SA 49,688
2,428 Fomento de Construcciones y Contratas SA 137,183
3,360 Grupo Ferrovial SA 231,853
5,086 Sacyr Vallehermoso SA 123,583
------------
1,090,885
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 212,112 Telefonica SA 3,180,004
Services - 0.6% 1,124 Telefonica SA (b) 50,602
------------
3,230,606
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.5% 47,745 Endesa SA 1,251,379
35,281 Iberdrola SA 960,908
8,894 Union Fenosa SA 329,730
------------
2,542,017
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 12,694 Gamesa Corp. Tecnologica SA 185,069
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 7,543 Gas Natural SDG SA 210,511
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 7,812 NH Hoteles SA 122,094
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 11,782 Indra Sistemas SA 229,447
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 8,309 Corporacion Mapfre SA 136,722
-----------------------------------------------------------------------------------------------------------------
Media - 0.1% 6,752 Antena 3 de Television SA 160,402
664 Sogecable SA (a) 26,520
10,902 Telefonica Publicidad e Informacion, SA 92,202
------------
279,124
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 10,980 Acerinox SA 159,174
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.3% 48,466 Repsol YPF SA $ 1,410,338
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 1,852 Metrovacesa SA 112,066
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 7,341 Inditex SA 238,558
-----------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 15,199 Altadis SA 687,001
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 6,724 Abertis Infraestructuras SA 168,620
6,800 Cintra Concesiones de Infraestructuras de
Transporte SA 78,365
------------
246,985
-----------------------------------------------------------------------------------------------------------------
Water Utilities - 0.0% 3,530 Sociedad General de Aguas de Barcelona SA
Class A 74,949
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain 18,215,164
- -----------------------------------------------------------------------------------------------------------------------------------
Sweden - 2.2% Airlines - 0.0% 1,680 SAS AB (a) 22,184
-----------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 18,498 Assa Abloy AB B 290,535
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 121,451 Nordea Bank AB 1,258,979
31,353 Skandinaviska Enskilda Banken AB Class A 644,110
28,812 Svenska Handelsbanken Class A 713,186
------------
2,616,275
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 18,496 Securitas AB 306,772
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.5% 709,013 Telefonaktiebolaget LM Ericsson 2,432,093
1,407 Telefonaktiebolaget LM Ericsson (b) 48,401
------------
2,480,494
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 17,922 Skanska AB Class B 272,480
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 1,010 OMX AB 14,023
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 18,966 Tele2 AB 203,158
Services - 0.1% 53,260 TeliaSonera AB 285,754
------------
488,912
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 2,151 Getinge AB Class B 29,595
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 4,167 Gambro AB Class A 45,421
3,981 Gambro AB Class B 43,268
------------
88,689
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 15,168 Electrolux AB Series B 393,561
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 4,275 WM-data AB Class B 13,644
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 55,968 Skandia Forsakrings AB 334,742
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.5% 5,967 Alfa Laval AB 128,958
13,962 Atlas Copco AB Class A 310,516
8,016 Atlas Copco AB Class B 159,643
26,500 SKF AB Class B 371,265
11,547 Sandvik AB 536,827
3,295 Scania AB Class B 119,030
6,944 Trelleborg AB Class B 138,294
3,880 Volvo AB Class A 177,702
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
12,629 Volvo AB Class B $ 594,270
------------
2,536,505
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 5,496 Eniro AB 69,057
2,810 Modern Times Group AB Class B (a) 117,045
------------
186,102
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 277 Billerud AB 3,620
945 Holmen AB Class B 31,169
10,718 Svenska Cellulosa AB Class B 399,976
------------
434,765
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 1,700 Kungsleden AB 49,129
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 22,682 Hennes & Mauritz AB B Shares 769,500
-----------------------------------------------------------------------------------------------------------------
Tobacco - 0.0% 20,550 Swedish Match AB 241,428
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden 11,569,335
- -----------------------------------------------------------------------------------------------------------------------------------
Switzerland - Biotechnology - 0.0% 317 Serono SA 251,830
6.7% -----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 52 Geberit AG Registered Shares 41,033
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 1.6% 61,454 Credit Suisse Group 3,124,108
52,538 UBS AG Registered Shares 4,986,914
------------
8,111,022
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.3% 3,021 Ciba Specialty Chemicals AG Registered Shares 194,837
8,553 Clariant AG 125,574
156 Givaudan 105,405
2,022 Lonza Group AG Registered Shares 123,350
6,337 Syngenta AG 786,145
------------
1,335,311
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 4,254 Adecco SA Registered Shares 195,601
184 SGS SA 154,689
------------
350,290
-----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 3,811 Logitech International SA (a) 178,557
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 10,848 Holcim Ltd. 736,671
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 1,287 Swisscom AG 405,010
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.2% 84,393 ABB Ltd. (a) 816,428
-----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 2,023 Kudelski SA 59,940
Instruments - 0.0%
-----------------------------------------------------------------------------------------------------------------
Food Products - 1.2% 20,490 Nestle SA Registered Shares 6,109,921
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 732 Nobel Biocare Holding AG 160,513
2,246 Phonak Holding AG Registered Shares 96,456
88 Straumann Holding AG Registered Shares 20,332
1,894 Synthes, Inc. 212,113
------------
489,414
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.6% 17,809 Swiss Reinsurance Registered Shares $ 1,299,917
7,587 Zurich Financial Services AG 1,611,867
------------
2,911,784
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 229 Sulzer AG 120,933
-----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 500 Kuehne & Nagel International AG 140,559
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 2.2% 117,458 Novartis AG Registered Shares 6,153,856
36,591 Roche Holding AG 5,477,753
------------
11,631,609
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.0% 1,898 PSP Swiss Property AG 82,087
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 1,083 Micronas Semiconductor Holding AG Registered
Equipment - 0.0% Shares (a) 35,745
703 Unaxis Holding AG (a) 105,561
------------
141,306
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.2% 22,558 Compagnie Financiere Richemont AG 979,034
1,398 The Swatch Group Ltd. B Shares 206,844
1,415 The Swatch Group Ltd. Registered Shares 42,677
------------
1,228,555
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland 35,142,260
- -----------------------------------------------------------------------------------------------------------------------------------
United Aerospace & Defense - 0.3% 157,764 BAE Systems Plc 1,033,930
Kingdom - 22.8% 35,280 Cobham Plc 102,660
5,374 Meggitt Plc 33,397
85,217 Rolls-Royce Group Plc 625,412
------------
1,795,399
-----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 29,636 British Airways Plc (a) 169,930
-----------------------------------------------------------------------------------------------------------------
Auto Components - 0.0% 26,018 GKN Plc 128,638
-----------------------------------------------------------------------------------------------------------------
Automobiles - 0.0% 1,025 TI Automotive Ltd. A (a) 0
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.5% 151,553 Diageo Plc 2,191,990
29,507 Scottish & Newcastle Plc 246,440
------------
2,438,430
-----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 53,235 Pilkington Plc 136,172
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.3% 26,336 3i Group Plc 383,172
42,114 Amvescap Plc 319,560
2,797 Close Brothers Group Plc 43,576
12,596 ICAP Plc 87,577
16,296 Man Group Plc 534,341
4,105 Schroders Plc 66,948
------------
1,435,174
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 29,337 BOC Group Plc 603,360
55,975 Imperial Chemical Industries Plc 319,033
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
8,117 Johnson Matthey Plc $ 196,759
------------
1,119,152
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 4.3% 329,477 Barclays Plc 3,455,973
185,053 HBOS Plc 3,154,637
539,814 HSBC Holdings Plc 8,646,291
274,279 Lloyds TSB Group Plc 2,300,177
2,530 Lloyds TSB Group Plc (b) 85,514
154,077 Royal Bank of Scotland Group Plc 4,642,148
------------
22,284,740
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.2% 44,302 Brambles Industries Plc 317,149
24,611 Capita Group Plc 176,080
26,991 Group 4 Securicor Plc 74,602
64,193 Hays Plc 138,304
1,493 Intertek Group Plc 17,865
127,293 Rentokil Initial Plc 357,295
2,405 Serco Group Plc 12,975
------------
1,094,270
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 24,239 Marconi Corp. Plc (a) 160,934
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 12,050 Amec Plc 71,059
24,840 Balfour Beatty Plc 151,812
------------
222,871
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 18,796 BPB Plc 249,269
45,271 Hanson Plc 496,621
------------
745,890
-----------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.0% 7,713 Cattles Plc 43,597
14,009 Provident Financial Plc 131,673
------------
175,270
-----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 20,343 Rexam Plc 177,412
-----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 1,845 Inchcape Plc 72,248
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 16,913 London Stock Exchange Plc 180,018
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 387,170 BT Group Plc 1,480,551
Services - 0.4% 900 BT Group Plc (b) 34,542
157,694 Cable & Wireless Plc 322,833
------------
1,837,926
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 51,032 Scottish & Southern Energy Plc 888,351
95,951 Scottish Power Plc 895,268
993 Scottish Power Plc (b) 37,118
------------
1,820,737
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 18,858 Electrocomponents Plc $ 90,972
Instruments - 0.0% 4,902 Premier Farnell Plc 14,538
------------
105,510
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.6% 42,893 Boots Group Plc 445,498
56,272 J Sainsbury Plc 304,545
388,059 Tesco Plc 2,208,439
------------
2,958,482
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.5% 95,046 Cadbury Schweppes Plc 896,614
24,308 Tate & Lyle Plc 234,943
126,668 Unilever Plc 1,253,633
------------
2,385,190
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 3,902 SSL International Plc 20,465
57,863 Smith & Nephew Plc 531,942
------------
552,407
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 6,950 Alliance Unichem Plc 95,510
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.6% 9,132 Carnival Plc 517,349
121,886 Compass Group Plc 461,388
13,810 Enterprise Inns Plc 222,382
97,913 Hilton Group Plc 611,011
27,519 Intercontinental Hotels Group Plc 396,604
30,006 Mitchells & Butlers Plc 215,322
6,594 Punch Taverns Plc 96,108
21,215 Rank Group Plc 111,356
9,436 Whitbread Plc 153,730
22,125 William Hill Plc 203,398
------------
2,988,648
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.2% 9,646 Barratt Developments Plc 163,278
788 Bellway Plc 15,273
2,907 Berkeley Group Holdings Plc (a) 55,445
19,003 Persimmon Plc 410,399
38,566 Taylor Woodrow Plc 251,920
20,870 Wimpey George Plc 171,976
------------
1,068,291
-----------------------------------------------------------------------------------------------------------------
Household Products - 0.2% 34,002 Reckitt Benckiser Plc 1,120,753
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 45,298 LogicaCMG Plc 137,838
-----------------------------------------------------------------------------------------------------------------
Independent Power Producers & Energy 84,659 International Power Plc 348,083
Traders - 0.1%
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 30,357 Smiths Group Plc 545,123
44,450 Tomkins Plc 228,736
------------
773,859
-----------------------------------------------------------------------------------------------------------------
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.7% 125,408 Aviva Plc $ 1,517,814
70,102 Friends Provident Plc 228,057
249,729 Legal & General Group Plc 523,038
129,136 Prudential Plc 1,219,310
106,903 Royal & Sun Alliance Insurance Group 230,782
------------
3,719,001
-----------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.2% 45,752 GUS Plc 810,576
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 9,108 FKI Plc 18,138
11,268 IMI Plc 97,301
206,804 Invensys Plc (a) 65,680
------------
181,119
-----------------------------------------------------------------------------------------------------------------
Media - 0.9% 82,068 Aegis Group Plc 171,885
65,694 British Sky Broadcasting Plc 559,950
11,034 Daily Mail & General Trust 149,267
42,821 EMI Group Plc 178,268
9,612 Emap Plc 142,406
235,932 ITV Plc 455,663
39,399 Pearson Plc 465,010
72,639 Reed Elsevier Plc 680,874
75,204 Reuters Group Plc 555,800
11,407 Trinity Mirror Plc 112,210
15,879 United Business Media Plc 173,647
69,018 WPP Group Plc 745,276
25,811 Yell Group Plc 237,727
------------
4,627,983
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.3% 70,654 Anglo American Plc 2,400,417
114,489 BHP Billiton Plc 1,866,220
194,761 Corus Group Plc 197,269
55,854 Rio Tinto Plc Registered Shares 2,545,792
------------
7,009,698
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.5% 200,818 Centrica Plc 878,256
142,440 National Grid Plc 1,390,165
35,960 United Utilities Plc 414,234
------------
2,682,655
-----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.3% 100,767 Marks & Spencer Group Plc 873,602
15,628 Next Plc 411,828
------------
1,285,430
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 4.3% 197,100 BG Group Plc 1,943,930
985,820 BP Plc 10,475,924
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
3,849 BP Plc (b) $ 247,183
192,586 Royal Dutch Shell Plc 5,855,276
131,492 Royal Dutch Shell Plc Class B 4,194,200
------------
22,716,513
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 2.1% 81,162 AstraZeneca Plc 3,941,756
281,413 GlaxoSmithKline Plc 7,096,922
800 GlaxoSmithKline Plc (b) 40,384
------------
11,079,062
-----------------------------------------------------------------------------------------------------------------
Real Estate - 0.4% 30,295 British Land Co. Plc 554,412
11,899 Hammerson Plc 208,769
29,699 Land Securities Group Plc 847,887
9,912 Liberty International Plc 166,845
18,432 Slough Estates Plc 189,383
------------
1,967,296
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 16,203 Firstgroup Plc 111,752
2,119 National Express Group Plc 31,303
33,050 Stagecoach Group Plc 65,533
------------
208,588
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 84,638 ARM Holdings Plc 175,815
Equipment - 0.0%
-----------------------------------------------------------------------------------------------------------------
Software - 0.1% 21,437 Misys Plc 87,864
66,142 Sage Group Plc 292,955
------------
380,819
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.3% 72,099 Dixons Group Plc 202,682
3,700 HMV Group Plc 11,481
54,796 Kesa Electricals Plc 244,583
145,635 Kingfisher Plc 593,166
24,999 MFI Furniture Plc 34,333
79,661 Signet Group Plc 147,014
2,201 Travis Perkins Plc 52,900
------------
1,286,159
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 16,226 Burberry Group Plc 119,710
-----------------------------------------------------------------------------------------------------------------
Tobacco - 0.7% 81,300 British American Tobacco Plc 1,814,421
22,911 Gallaher Group Plc 345,140
40,838 Imperial Tobacco Group Plc 1,217,779
------------
3,377,340
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.2% 21,500 Bunzl Plc 235,485
33,240 Wolseley Plc 699,039
------------
934,524
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.2% 11,911 Associated British Ports Holdings Plc 120,030
58,413 BAA Plc 628,755
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
12,221 BBA Group Plc $ 68,920
41,000 The Peninsular and Oriental Steam
Navigation Co. 328,000
------------
1,145,705
-----------------------------------------------------------------------------------------------------------------
Water Utilities - 0.1% 15,133 Kelda Group Plc 201,080
12,768 Severn Trent Plc 237,605
------------
438,685
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 2,928,868 Vodafone Group Plc 6,310,265
Services - 1.3% 12,490 Vodafone Group Plc (b) 268,160
------------
6,578,425
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in the United Kingdom 119,254,885
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $386,849,112) - 93.2% 487,792,927
- -----------------------------------------------------------------------------------------------------------------------------------
Exchange-Traded Funds
- -----------------------------------------------------------------------------------------------------------------------------------
United 6,000 iShares MSCI EAFE Index Fund 356,760
States - 0.1% -----------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost - $232,840) - 0.1% 356,760
- -----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- -----------------------------------------------------------------------------------------------------------------------------------
Germany - 0.2% Automobiles - 0.1% 540 Porsche AG 386,614
5,476 Volkswagen AG, 4.35% 209,925
------------
596,539
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 2,828 Henkel KGaA, 1.75% 283,541
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 542 Fresenius Medical Care AG, 2.30% 50,410
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 5,512 ProSieben SAT.1 Media AG, 2.24% 106,303
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.0% 2,033 RWE AG, 3.50% 130,549
-----------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost - $918,283) - 0.2% 1,167,342
- -----------------------------------------------------------------------------------------------------------------------------------
Rights
- -----------------------------------------------------------------------------------------------------------------------------------
Portugal - 0.0% Industrial Conglomerates - 0.0% 38,364 Sonae SGPS SA (a)(d) 19,635
-----------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $9,286) - 0.0% 19,635
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------------
USD 20,328,875 Merrill Lynch Liquidity Series, LLC Cash Sweep
Series I (c) 20,328,875
-----------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $20,328,875) - 3.9% 20,328,875
-----------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $408,338,396*) - 97.4% 509,665,539
Other Assets Less Liabilities - 2.6% 13,489,756
------------
Net Assets - 100.0% $523,155,295
============
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2005, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 413,870,049
=============
Gross unrealized appreciation $ 105,929,208
Gross unrealized depreciation (10,133,718)
-------------
Net unrealized appreciation $ 95,795,490
=============
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
(a) Non-income producing security.
(b) Depositary receipts.
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
--------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 17,567,968 $318,391
--------------------------------------------------------------------------------------------
(d) The rights may be excercised until 1/06/2006.
(e) Security, or a portion of security, is on loan.
o 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 ratings group indexes, and/or as
defined by Series' management. This definition may not apply for purposes
of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percent of net assets. These
industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2005 were as
follows:
----------------------------------------------------------------------------------------------------------------------
Unrealized
Number of Expiration Appreciation
Contracts Issue Exchange Date Face Value (Depreciation)
----------------------------------------------------------------------------------------------------------------------
1 DAX Index 25 Euro Future Eurex March 2006 $ 161,643 $ (1,283)
238 DJ Euro Stoxx 50 Eurex March 2006 $ 9,967,799 104,909
57 FTSE 100 Index Future LIFFE March 2006 $ 5,422,304 73,181
22 Hang Seng Index Future Hong Kong January 2006 $ 2,171,898 (66,823)
66 OMX Stock Index Future Tokyo January 2006 $ 788,615 9,163
1 S&P/MIB Index Eurex March 2006 $ 206,779 4,331
35 SPI 200 Index Future Sydney March 2006 $ 2,954,551 79,511
74 TOPIX Index Future Tokyo March 2006 $ 9,941,069 363,006
----------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation - Net $ 565,995
=============
Master International Index Series
Schedule of Investments as of December 31, 2005 (in U.S. dollars)
o Forward foreign exchange contracts as of December 31, 2005 were as
follows:
-------------------------------------------------------------------------------------------------------
Unrealized
Foreign Currency Settlement Appreciation
Purchased Date (Depreciation)
-------------------------------------------------------------------------------------------------------
AUD 1,705,000 January 2006 $ (16,989)
CHF 2,710,000 January 2006 (20,958)
EUR 7,065,000 January 2006 (17,042)
GBP 3,200,000 January 2006 (74,021)
JPY 693,000,000 January 2006 70,653
SEK 5,945,000 January 2006 1,362
-------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts -
Net (USD Commitment - $23,829,444) $ (56,995)
==========
-------------------------------------------------------------------------------------------------------
Unrealized
Foreign Currency Settlement Appreciation
Sold Date (Depreciation)
-------------------------------------------------------------------------------------------------------
AUD 480,000 January 2006 $ (1,561)
EUR 320,000 January 2006 6,285
GBP 320,000 January 2006 7,334
JPY 161,000,000 January 2006 (27,800)
SEK 1,415,000 January 2006 (110)
-------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts -
Net (USD Commitment - $2,807,661) $ (15,852)
==========
o Currency Denominations
AUD Australian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
USD U.S. Dollar
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies - Not
Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to
the filing date of this report.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the second fiscal half-year of the
period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
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.
International Index Fund of Merrill Lynch Index Funds, Inc. and Master
International Index Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
---------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
International Index Fund of Merrill Lynch Index Funds, Inc. and Master
International Index Series of Quantitative Master Series Trust
Date: February 21, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Robert C. Doll, Jr.
---------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
International Index Fund of Merrill Lynch Index Funds, Inc. and Master
International Index Series of Quantitative Master Series Trust
Date: February 21, 2006
By: /s/ Donald C. Burke
---------------------------------
Donald C. Burke,
Chief Financial Officer of
International Index Fund of Merrill Lynch Index Funds, Inc. and Master
International Index Series of Quantitative Master Series Trust
Date: February 21, 2006