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 811-07885
Name of Fund: Master Extended Market 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, Master Extended Market 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: 12/31/06
Date of reporting period: 01/01/06 - 12/31/06
Item 1 - Report to Stockholders
Master Extended Market Index Series of Quantitative Master Series Trust
Annual Report, December 31, 2006
A Discussion With Your Fund's Portfolio Managers
During the year ended December 31, 2006, Master Extended Market Index Series of
Quantitative Master Series Trust (the "Series") generated returns that
corresponded to the performance of the benchmark Wilshire 4500 (Full Cap) Index.
How did the portfolio perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended December 31, 2006, the Series had a net total
return of +15.92%. For the same period, the benchmark Wilshire 4500 (Full Cap)
Index returned +16.07%.
As the returns indicate, the Series met its objective of closely tracking the
performance of the Wilshire 4500 (Full Cap) Index for the full-year period. The
Wilshire 4500 (Full Cap) measures the performance of stocks in the Wilshire 5000
(Full Cap) Index minus the stocks found in the Standard & Poor's 500 (S&P
500(R)) Index. As the value of the Wilshire 4500 (Full Cap) fluctuated during
the past 12 months, the portfolio's performance generally tracked that of the
Index.
Following decent, but uninspiring, results in 2004 and 2005, U.S. equities
surged forward in 2006, with the S&P 500 Index advancing 15.79% to close at
1,418. Small cap stocks posted even stronger gains, with the Russell 2000(R)
Index registering an 18.37% increase, thanks to exceptionally strong performance
in the first few months of the year.
1
Key highlights of the 12-month period include weaker economic growth triggered
by a slowdown in the U.S. housing market; a long-awaited pause in the Federal
Reserve Board's (the Fed) interest rate-hiking campaign; threats of higher
inflation; and robust corporate earnings, which rose by double-digit percentages
for an unprecedented fifth consecutive year. Amid these crosscurrents, financial
markets were left to weather a high degree of volatility.
At the outset, a burgeoning corporate sector, ample liquidity and record levels
of merger-and-acquisition (M&A) activity provided a solid backdrop for equity
markets. During the first few months of 2006, U.S. stocks were solidly on an
upward trajectory, posting the best first quarter gains in several years. Of
note, the S&P 500 Index advanced 4.21% in the quarter, marking its largest gain
since the fourth quarter of 2004 (+9.23%), and its best first quarter since 1999
(+4.98%). Growth continued outside of the housing and auto sectors (capital
spending in particular expanded at a brisk pace); private equity deals, M&A
action, and corporate buy-backs abounded in high volumes; and corporate cash
flows held steady.
Notwithstanding such broad-based strength, evidence of an economic slowdown
mounted. By May, there was a striking shift in investor sentiment, triggered by
a deceleration in consumer spending, rising energy prices, a slump in housing
activity and uncertainty around Fed policy and the sustainability of economic
growth. Stock market volatility took on a more negative spin and eventually
2
resulted in the first double-digit correction for U.S. equity markets in nearly
four years. The average U.S. stock fell by about 12%, with stocks outside the
U.S. suffering even greater losses. The pullback could be attributed to several
factors, not the least of which was that the lagged effects of higher interest
rates and oil prices finally took their toll on both the economy and stock
prices. Further, a resurgence of inflation fears prompted the Fed to continue
its interest rate tightening campaign. Under the auspices of the new Chairman
Ben Bernanke, the central bank ended the second quarter with its 17th
consecutive 25 basis point hike since June 2004, bringing the target federal
funds rate to 5.25%.
As the second half of 2006 got underway, positive momentum returned to the
market. The Fed made big news in August by finally ending its streak of interest
rate increases. At the same time, commodity prices collapsed. After reaching an
all-time high near $78 per barrel in July, crude oil ended the year at $61 per
barrel. Stocks generally climbed back above the levels they reached prior to the
market's earlier retrenchment. Most equity markets experienced one of their best
third-quarter periods in several years, though there was a broad-based changing
of the guard that favored larger-cap, higher-quality and more predictable stocks
over smaller-cap, lower-quality and more cyclical securities (which dominated
early in the year).
Macroeconomic uncertainty persisted in the third quarter. Investors struggled
with moderating economic activity -- real gross domestic product growth came in
at 2.2%, compared to 2.6% in the second quarter and 5.6% in the first quarter.
The magnitude of the housing downturn and its effect on the consumer sector was
a significant wildcard. Weakness in the U.S. dollar challenged the stability of
currency markets. Moreover, tensions in the Middle East were heating up, and
economic data offered a mixed outlook for inflation.
3
Still, strong momentum continued in the equity markets during the year's final
quarter. Key to investors' optimism were: a strong labor market, where the
unemployment rate reached a post-9/11 low and year-on-year average hourly
salaries reached a post-9/11 high; receding risks of higher inflation and high
oil prices; and finally, the pervasive strength in corporate fundamentals that
included reasonably good investment levels, and healthy balance sheets and
profit margins. 2006 ended and the new year began with the world awash in
liquidity, global economic growth still quite strong despite the U.S. slowdown,
record-high corporate profitability, fairly low inflation and interest rates,
and relatively strong investor confidence.
What changes were made to the portfolio during the period?
Throughout the fiscal year, as changes were made to the composition of the
Wilshire 4500 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 portfolio's position at the close of the period?
Heading into 2007, we believe continued moderation in economic growth will put
pressure on corporate earnings, which have been on a record run with five
consecutive years of double-digit growth. Solid corporate fundamentals and
balance sheet strength, alongside strong non-U.S. economic growth, should help
4
corporate profits remain positive, but the rate of gain will likely slow
noticeably as record-high profit margins will be difficult to sustain. Against
this backdrop, the portfolio remains positioned to match the risk
characteristics of its benchmark, whatever direction the market takes.
Debra L. Jelilian
Vice President and Co-Portfolio Manager
Jeffrey L. Russo, CFA
Vice President and Co-Portfolio Manager
January 22, 2007
S&P 500 is a registered trademark of the McGraw-Hill Companies.
Russell 2000 is a registered trademark of the Frank Russell Companies.
5
Master Extended Market Index Series of Quantitative Master Series Trust
Portfolio Information as of December 31, 2006
Industry Representation % of Net Assets+
- --------------------------------------------------------------------------------
Miscellaneous Finance 10.5 %
Business Services 9.9
Drugs & Medicine 8.9
Real Property 6.1
Electronics 5.6
Banks 4.6
Insurance 4.4
Energy & Raw Materials 3.5
Energy & Utilities 3.5
Producer Goods 3.2
Domestic Oil 3.0
Food & Agriculture 2.8
Retail 2.8
Travel & Recreation 2.4
Media 2.3
Telephone 2.3
Non-Durables 1.8
Construction 1.8
Chemicals 1.7
Business Machines 1.4
Apparel 1.1
Trucking & Freight 1.0
Motor Vehicles 0.9
Aerospace 0.9
Miscellaneous 0.9
Non-Ferrous Metals 0.8
Consumer Durables 0.7
Air Transport 0.7
Railroads & Shipping 0.6
Steel 0.5
Paper & Forest Products 0.4
Containers 0.3
International Oil 0.3
Soaps & Cosmetics 0.3
Tobacco 0.2
Optical Photo & Equipment 0.1
Tires & Rubber Goods 0.1
Gold 0.1
Liquor 0.1
Other* 14.4
- --------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
+ Total may not equal 100%.
Ten Largest Holdings % of Net Assets
- --------------------------------------------------------------------------------
Berkshire Hathaway, Inc. Class A 3.2 %
Genentech, Inc. 1.9
Kraft Foods, Inc. 1.3
Las Vegas Sands Corp. 0.7
Accenture Ltd. Class A 0.7
Berkshire Hathaway, Inc. Class B 0.5
BlackRock, Inc. 0.4
EchoStar Communications Corp. Class A 0.4
MGM Mirage 0.4
NYSE Group, Inc. 0.3
- --------------------------------------------------------------------------------
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.
6
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
Aerospace - 0.9% 200 Aerosonic Corp. (a) $ 1,340
2,400 Argon ST, Inc. (a) 51,696
2,700 Armor Holdings, Inc. (a) 148,095
3,000 Crane Co. 109,920
1,600 Cubic Corp. 34,720
2,633 DRS Technologies, Inc. 138,706
1,500 EDO Corp. 35,610
2,300 ESCO Technologies, Inc. (a) 104,512
1,200 EnPro Industries, Inc. (a) 39,852
2,400 Esterline Technologies Corp. (a) 96,552
15,800 Garmin Ltd. (f) 879,428
5,500 GenCorp, Inc. (a)(f) 77,110
1,792 Heico Corp. Class A 58,383
2,100 K&F Industries Holdings, Inc. (a) 47,691
2,700 KVH Industries, Inc. (a) 28,647
2,900 Kaman Corp. Class A 64,931
800 MTC Technologies, Inc. (a) 18,840
6,900 SAIC, Inc. (a) 122,751
700 SatCon Technology Corp. (a) 798
500 Spacehab, Inc. (a) 326
10,300 Spirit Aerosystems Holdings, Inc. Class A (a) 344,741
1,900 Teledyne Technologies, Inc. (a) 76,247
4,500 Trimble Navigation Ltd. (a) 228,285
3,300 Veeco Instruments, Inc. (a) 61,809
------------
2,770,990
- ------------------------------------------------------------------------------------------------------------------------------
Air Transport - 0.7% 2,100 AAR Corp. (a) 61,299
14,600 AMR Corp. (a)(l) 441,358
5,300 AirTran Holdings, Inc. (a) 62,222
2,600 Aircastle Ltd. 76,700
1,300 Alaska Air Group, Inc. (a) 51,350
2,500 Allegiant Travel Co. (a) 70,150
1,500 Atlas Air Worldwide Holdings, Inc. (a) 66,750
1,200 Aviation General, Inc. (a) 0
6,070 Continental Airlines, Inc. Class B (a) 250,387
2,495 EGL, Inc. (a) 74,301
1,600 ExpressJet Holdings, Inc. (a) 12,960
3,200 Frontier Airlines Holdings, Inc. (a) 23,680
700 Great Lakes Aviation Ltd. (a) 1,582
7,402 Hawaiian Holdings, Inc. (a) 36,270
10,775 JetBlue Airways Corp. (a) 153,005
1,600 LMI Aerospace, Inc. (a) 24,768
1,400 MAIR Holdings, Inc. (a) 10,038
2,000 Mesa Air Group, Inc. (a) 17,140
800 Midwest Air Group, Inc. (a)(f) 9,200
700 PHI, Inc. (a) 22,911
3,600 Pinnacle Airlines Corp. (a) 60,660
1,100 Republic Airways Holdings, Inc. (a) 18,458
3,900 SkyWest, Inc. 99,489
2,000 TransDigm Group, Inc. (a) 53,020
8,130 UAL Corp. (a) 357,720
5,859 US Airways Group, Inc. (a) 315,507
200 Vanguard Airlines, Inc. (a) 0
------------
2,370,925
- ------------------------------------------------------------------------------------------------------------------------------
7
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
Apparel - 1.1% 1,950 Aeropostale, Inc. (a) $ 60,196
3,400 Ashworth, Inc. (a) 24,684
6,050 bebe Stores, Inc. 119,730
1,800 Brown Shoe Co., Inc. 85,932
700 The Buckle, Inc. 35,595
3,300 CROCS, Inc. (a)(f) 142,560
2,100 Cache, Inc. (a) 53,004
2,800 Carter's, Inc. (a) 71,400
1,400 Cherokee, Inc. 60,074
400 Citi Trends, Inc. (a) 15,856
2,900 Columbia Sportswear Co. 161,530
700 Deckers Outdoor Corp. (a) 41,965
900 Dixie Group, Inc. (a) 11,376
900 Escalade, Inc. 9,630
600 Finlay Enterprises, Inc. (a) 4,794
4,217 Fossil, Inc. (a) 95,220
1,200 G-III Apparel Group, Ltd. (a) 22,596
2,000 GSI Commerce, Inc. (a) 37,500
2,700 Guess?, Inc. (a) 171,261
600 Hampshire Group Ltd. (a) 9,942
2,100 Hartmarx Corp. (a) 14,826
2,900 Heelys, Inc. (a) 93,119
4,581 Iconix Brand Group, Inc. (a) 88,826
2,300 Innovo Group, Inc. (a) 1,587
3,400 J. Crew Group, Inc. (a) 131,070
1,856 Jos. A. Bank Clothiers, Inc. (a) 54,474
3,200 K-Swiss, Inc. Class A 98,368
1,600 Kellwood Co. 52,032
2,000 Kenneth Cole Productions, Inc. Class A 47,980
500 Lacrosse Footwear, Inc. (a) 6,635
2,600 Maidenform Brands, Inc. (a) 47,112
800 Mothers Work, Inc. (a) 31,512
2,400 New York & Co. (a) 31,392
1,600 Oxford Industries, Inc. 79,440
1,400 Perry Ellis International, Inc. (a) 57,400
3,000 Phillips-Van Heusen Corp. 150,510
1,000 Phoenix Footwear Group, Inc. (a) 4,400
6,300 Polo Ralph Lauren Corp. 489,258
1,400 Quaker Fabric Corp. (a) 1,652
7,100 Quiksilver, Inc. (a) 111,825
1,000 Rocky Brands, Inc. (a) 16,120
2,700 Skechers U.S.A., Inc. Class A (a) 89,937
1,600 Stage Stores, Inc. 48,624
2,100 Steven Madden Ltd. 73,689
2,400 Stride Rite Corp. 36,192
1,500 Superior Uniform Group, Inc. 19,290
200 Tandy Brands Accessories, Inc. 2,344
2,500 Timberland Co. Class A (a) 78,950
1,400 True Religion Apparel, Inc. (a)(f) 21,434
3,900 Under Armour, Inc. Class A (a) 196,755
3,200 Unifi, Inc. (a) 7,840
2,200 Volcom, Inc. (a) 65,054
8
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,200 The Warnaco Group, Inc. (a) $ 106,596
300 Weyco Group, Inc. 7,455
3,600 Wolverine World Wide, Inc. 102,672
300 Xerium Technologies, Inc. 2,937
------------
3,704,152
- ------------------------------------------------------------------------------------------------------------------------------
Banks - 4.6% 900 Alabama National Bancorp. 61,857
200 Ameriana Bancorp 2,614
400 American National Bankshares, Inc. 9,328
2,200 AmericanWest Bancorp 53,284
720 Ameris Bancorp 20,290
700 Ames National Corp. 14,700
457 Arrow Financial Corp. 11,320
8,759 Associated Banc-Corp 305,514
1,200 BCSB Bankcorp, Inc. 18,000
1,000 Bancfirst Corp. 54,000
400 The Bancorp, Inc. (a) 11,840
5,500 BancorpSouth, Inc. 147,510
6,100 Bank Mutual Corp. 73,871
781 Bank of Granite Corp. 14,816
3,500 Bank of Hawaii Corp. 188,825
6,500 BankAtlantic Bancorp, Inc. Class A 89,765
1,000 BankFinancial Corp. 17,810
200 Bar Harbor Bankshares 6,350
300 Berkshire Bancorp, Inc. 4,890
3,500 Boston Private Financial Holdings, Inc. 98,735
3,799 Brookline Bancorp, Inc. 50,033
500 Bryn Mawr Bank Corp. 11,820
2,800 CFS Bancorp, Inc. 41,020
300 Camden National Corp. 13,836
1,100 Capital Bank Corp. 18,920
625 Capital City Bank Group, Inc. 22,062
400 Capital Crossing Bank (a) 11,912
420 Capitol Bancorp Ltd. 19,404
4,840 Capitol Federal Financial 185,953
4,800 Cardinal Financial Corp. 49,200
210 Carrollton Bancorp 3,604
2,975 Cascade Bancorp 91,957
2,600 Centennial Bank Holdings, Inc. (a) 24,596
2,846 Center Bancorp, Inc. 45,024
900 Center Financial Corp. 21,573
1,300 Century Bancorp, Inc. Class A 35,490
1,113 Chemical Financial Corp. 37,063
2,333 Chittenden Corp. 71,600
606 Citizens & Northern Corp. 13,332
4,000 Citizens Banking Corp. 106,000
2,428 Citizens South Banking Corp. 31,418
1,500 City Holding Co. 61,335
3,400 City National Corp. 242,080
450 CityBank 16,042
980 Clifton Savings Bancorp, Inc. 11,946
1,250 CoBiz, Inc. 27,550
10,155 The Colonial BancGroup, Inc. 261,390
9
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
500 Colony Bankcorp, Inc. $ 8,850
2,030 Columbia Banking System, Inc. 71,294
100 Comm Bancorp, Inc. 4,311
4,939 Commerce Bancshares, Inc. 239,107
456 Commercial Bankshares, Inc. 17,305
100 Commercial National Financial Corp. 1,940
1,700 Community Bancorp (a) 51,323
1,600 Community Bank System, Inc. 36,800
1,205 Community Banks, Inc. 33,451
880 Community Trust Bancorp, Inc. 36,546
5,300 Corus Bankshares, Inc. (f) 122,271
3,940 Cullen/Frost Bankers, Inc. 219,931
10,550 Doral Financial Corp. 30,278
5,390 East-West Bancorp, Inc. 190,914
1,400 EuroBancshares, Inc. (a) 12,446
250 Exchange National Bancshares, Inc. 7,875
300 FNB Corp., North Carolina 5,502
2,985 FNB Corp., Pennsylvania 54,536
300 FNB Corp., Virginia 12,465
1,406 FNB Financial Services Corp. 20,837
300 Farmers Capital Bank Corp. 10,188
2,000 Financial Institutions, Inc. 46,100
600 First Bancorp, North Carolina 13,104
4,800 First BanCorp, Puerto Rico 45,744
750 First Busey Corp. 17,287
3,500 First Cash Financial Services, Inc. (a) 90,545
3,000 First Charter Corp. 73,800
700 First Citizens BancShares, Inc. Class A 141,848
4,100 First Commonwealth Financial Corp. 55,063
1,200 First Federal Bancshares of Arkansas, Inc. 29,184
4,710 First Financial Bancorp 78,233
566 First Financial Bankshares, Inc. 23,693
326 First Financial Service Corp. 10,041
600 First M&F Corp. 11,652
815 First Merchants Corp. 22,160
4,175 First Midwest Bancorp, Inc. 161,489
1,512 First Mutual Bancshares, Inc. 35,048
8,306 First Niagara Financial Group, Inc. 123,427
200 The First of Long Island Corp. 8,754
600 First Regional Bancorp (a) 20,454
2,870 First Republic Bank 112,160
600 First South Bancorp, Inc. (f) 19,134
2,200 First State Bancorp. 54,450
4,300 FirstMerit Corp. 103,802
3,200 Franklin Bank Corp. (a) 65,728
1,900 Frontier Financial Corp. 55,537
12,111 Fulton Financial Corp. 202,254
661 German American Bancorp, Inc. 9,499
600 Great Southern Bancorp, Inc. 17,706
4,064 Greater Bay Bancorp 107,005
456 Greater Community Bancorp 8,167
1,600 Hancock Holding Co. 84,544
10
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,856 Hanmi Financial Corp. $ 64,346
1,698 Harleysville National Corp. 32,788
700 Heritage Commerce Corp. 18,648
1,200 Home Federal Bancorp 34,176
625 Horizon Financial Corp. 15,038
43,194 Hudson City Bancorp, Inc. 599,533
800 Independent Bank Corp. 28,824
2,200 Integra Bank Corp. 60,544
975 Interchange Financial Services Corp. 22,415
2,175 Internet Capital Group, Inc. (a) 22,315
1,200 Intervest Bancshares Corp. (a) 41,292
1,500 Irwin Financial Corp. 33,945
2,500 Jefferson Bancshares, Inc. 32,550
4,500 Kearny Financial Corp. 72,270
500 LSB Bancshares, Inc. 8,450
500 Lakeland Financial Corp. 12,765
250 MASSBANK Corp. 8,222
750 Macatawa Bank Corp. 15,945
801 MainSource Financial Group, Inc. 13,571
1,115 Mercantile Bank Corp. 42,035
7,149 Mercantile Bankshares Corp. 334,502
350 Merchants Bancshares, Inc. 8,050
1,400 Mid-State Bancshares 50,946
1,000 Midwest Banc Holdings, Inc. 23,750
1,460 NBT Bancorp, Inc. 37,245
3,100 Nara Bancorp, Inc. 64,852
1,733 National Penn Bancshares, Inc. 35,093
6,500 NetBank, Inc. 30,160
5,400 NewAlliance Bancshares, Inc. 88,560
2,200 North Valley Bancorp 40,656
300 Northern States Financial Corp. 5,805
157 Norwood Financial Corp. 4,945
700 OceanFirst Financial Corp. 16,051
875 Ohio Valley Banc Corp. 22,006
4,332 Old National Bancorp 81,961
1,800 Old Second Bancorp, Inc. 52,740
546 Omega Financial Corp. 17,428
1,394 Oriental Financial Group 18,052
2,060 PFF Bancorp, Inc. 71,091
1,000 Pamrapo Bancorp, Inc. 23,440
830 Park National Corp. 82,170
300 Parkvale Financial Corp. 9,525
563 Peapack-Gladstone Financial Corp. 15,820
2,600 PennFed Financial Services, Inc. 50,232
400 Pennsylvania Commerce Bancorp, Inc. (a) 10,520
200 Peoples Bancorp 3,870
595 Peoples Bancorp, Inc. 17,672
242 Peoples Bancorp of North Carolina, Inc. 6,781
1,120 Peoples Banctrust Co., Inc. 28,381
10,913 People's Bank 486,938
1,200 Peoples Financial Corp. 32,160
380 Pinnacle Financial Partners, Inc. (a) 12,608
11
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,900 Placer Sierra Bancshares $ 68,933
21,839 Popular, Inc. 392,010
2,000 Porter Bancorp, Inc. 44,380
1,000 Preferred Bank 60,090
2,300 PrivateBancorp, Inc. 95,749
3,200 Prosperity Bancshares, Inc. 110,432
3,156 Provident Bankshares Corp. 112,354
2,503 Provident New York Bancorp 37,495
3,100 Prudential Bancorp, Inc. of Pennsylvania 41,540
6,773 Republic Bancorp, Inc. 91,165
1,284 Republic Bancorp, Inc. Class A 32,216
2,860 Republic First Bancorp, Inc. (a) 36,951
1,300 Rockville Financial, Inc. 23,205
785 Royal Bancshares of Pennsylvania Class A 20,640
1,500 S&T Bancorp, Inc. 52,005
6,000 S1 Corp. (a) 33,060
2,575 SVB Financial Group (a) 120,047
210 SY Bancorp, Inc. 5,880
750 Sandy Spring Bancorp, Inc. 28,635
189 Savannah Bancorp, Inc. 5,152
2,670 Seacoast Banking Corp. of Florida 66,216
450 Shore Bancshares, Inc. 13,550
3,000 Signature Bank (a) 92,940
500 Simmons First National Corp. Class A 15,775
9,204 Sky Financial Group, Inc. 262,682
6,055 The South Financial Group, Inc. 161,002
500 Southside Bancshares, Inc. 12,865
1,900 Southwest Bancorp, Inc. 52,934
132 Southwest Georgia Financial Corp. 2,548
725 State Bancorp, Inc. 13,819
2,605 Sterling Bancorp 51,319
7,125 Sterling Bancshares, Inc. 92,768
700 Suffolk Bancorp 26,691
500 Summit Financial Group, Inc. 9,625
1,188 Sun Bancorp, Inc. (a) 25,031
1,000 Superior Bancorp (a) 11,340
4,672 Susquehanna Bancshares, Inc. 125,583
9,190 TCF Financial Corp. 251,990
16,614 TD Banknorth, Inc. 536,300
3,300 Texas Capital Bancshares, Inc. (a) 65,604
1,400 Texas United Bancshares, Inc. 48,076
632 Tompkins Trustco, Inc. 28,724
900 Trico Bancshares 24,489
5,260 TrustCo Bank Corp. NY 58,491
3,400 Trustmark Corp. 111,214
8,250 UCBH Holdings, Inc. 144,870
2,620 UMB Financial Corp. 95,656
1,183 USB Holding Co., Inc. 28,510
4,536 Umpqua Holdings Corp. 133,494
750 Union Bankshares Corp. 22,943
10,700 UnionBanCal Corp. 655,375
337 United Bancorp, Inc. 3,326
12
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,400 United Bankshares, Inc. $ 131,410
1,632 United Community Financial Corp. 19,976
2,200 United Western Bancorp, Inc. (a) 43,978
8,202 Valley National Bancorp 217,435
2,300 Vineyard National Bancorp 52,946
2,546 Virginia Commerce Bancorp (a) 50,614
450 Virginia Financial Group, Inc. 12,596
900 WSFS Financial Corp. 60,237
800 Washington Trust Bancorp, Inc. 22,312
1,300 WesBanco, Inc. 43,589
800 West Coast Bancorp 27,712
2,200 Westamerica Bancorp. 111,386
1,300 Western Alliance Bancorp (a) 45,201
4,225 Whitney Holding Corp. 137,820
4,900 Wilmington Trust Corp. 206,633
2,300 Wilshire Bancorp, Inc. 43,631
2,350 Wintrust Financial Corp. 112,847
1,500 Yardville National Bancorp 56,580
------------
14,785,535
- ------------------------------------------------------------------------------------------------------------------------------
Business Machines - 1.4% 24,790 3Com Corp. (a) 101,887
2,200 3D Systems Corp. (a)(f) 35,112
3,700 ActivIdentity Corp. (a) 18,759
7,700 Adaptec, Inc. (a) 35,882
500 American Railcar Industries, Inc. 17,020
5,000 American Software Class A 34,650
1,500 Analogic Corp. 84,210
2,600 Arbitron, Inc. 112,944
2,615 Avici Systems, Inc. (a) 20,266
3,400 Avocent Corp. (a) 115,090
26,840 BEA Systems, Inc. (a) 337,647
1,700 Black Box Corp. 71,383
4,800 Borland Software Corp. (a) 26,112
600 California First National Bancorp 8,388
1,750 Charles & Colvard Ltd. 14,000
700 Communication Intelligence (a) 136
1,900 Computer Horizons Corp. (a) 8,588
3,900 Concurrent Computer Corp. (a) 7,059
2,100 Convera Corp. (a)(f) 9,639
3,375 Cray, Inc. (a) 40,095
4,500 Diebold, Inc. 209,700
900 Digi International, Inc. (a) 12,411
3,600 Digital Lightwave, Inc. (a)(f) 547
2,300 Emageon, Inc. (a) 35,328
30 Exabyte Corp. (a) 0
4,551 Fair Isaac Corp. 184,998
5,000 Flow International Corp. (a) 55,100
8,000 Foundry Networks, Inc. (a) 119,840
16,900 Gateway, Inc. (a) 33,969
2,900 Hanger Orthopedic Group, Inc. (a) 21,837
3,100 Hypercom Corp. (a) 19,685
8,000 IKON Office Solutions, Inc. 130,960
4,300 Immersion Corp. (a) 31,175
13
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,800 Input/Output, Inc. (a) $ 65,424
9,870 Integrated Device Technology, Inc. (a) 152,788
2,200 InterVoice, Inc. (a) 16,852
3,060 Iomega Corp. (a) 10,802
1,400 iRobot Corp. (a) 25,284
6,000 LTX Corp. (a) 33,600
2,100 Lantronix, Inc. (a) 3,423
4,700 MIPS Technologies, Inc. (a) 39,010
200 MTI Technology Corp. (a) 150
9,410 McData Corp. (a) 52,225
13,149 Microchip Technology, Inc. 429,972
2,500 Micros Systems, Inc. (a) 131,750
6,200 Napster, Inc. (a) 22,506
7,500 Network Engines, Inc. (a) 19,500
3,100 Omnicell, Inc. (a) 57,753
1,000 PAR Technology Corp. (a) 9,020
6,826 Palm, Inc. (a) 96,178
3,385 Premiere Global Services, Inc. (a) 31,954
2,500 Rackable Systems, Inc. (a) 77,425
700 Rimage Corp. (a) 18,200
7,543 Salesforce.com, Inc. (a) 274,942
2,800 ScanSource, Inc. (a) 85,120
2,200 Sigma Designs, Inc. (a) 55,990
2,600 Spatialight, Inc. (a)(f) 3,510
445 SumTotal Systems, Inc. (a) 2,692
5,855 Sybase, Inc. (a) 144,619
4,100 Tech Data Corp. (a) 155,267
12,900 Total System Services, Inc. 340,431
940 Transact Technologies, Inc. (a) 7,774
5,100 VeriFone Holdings, Inc. (a) 180,540
2,075 Vitria Technology, Inc. (a) 5,582
3,250 Web.com, Inc. (a) 13,618
3,100 White Electronic Designs Corp. (a) 16,864
------------
4,535,182
- ------------------------------------------------------------------------------------------------------------------------------
Business Services - 9.9% 2,840 24/7 Real Media, Inc. (a) 25,702
1,000 4Kids Entertainment, Inc. (a) 18,220
7,100 @Road, Inc. (a) 51,830
2,900 ABM Industries, Inc. 65,859
3,400 AMICAS, Inc. (a) 9,996
3,020 AMN Healthcare Services, Inc. (a) 83,171
11,100 Aastrom Biosciences, Inc. (a) 13,653
59,000 Accenture Ltd. Class A 2,178,870
3,700 Actuate Corp. (a) 21,978
40 Adept Technology, Inc. (a) 468
4,590 Adesa, Inc. 127,372
1,800 Administaff, Inc. 76,986
1,900 Advent Software, Inc. (a) 67,051
1,900 The Advisory Board Co. (a) 101,726
1,800 Advo, Inc. 58,680
3,260 Affymetrix, Inc. (a) 75,176
3,300 Agile Software Corp. (a) 20,295
10,900 Akamai Technologies, Inc. (a) 579,008
14
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,813 Aksys Ltd. (a)(f) $ 236
3,400 Alfacell Corp. (a)(f) 5,814
4,400 Alliance Data Systems Corp. (a) 274,868
1,000 The Allied Defense Group, Inc. (a) 21,250
3,100 Allied Healthcare International, Inc. (a) 9,083
1,300 Alnylam Pharmaceuticals, Inc. (a) 27,820
2,500 Alteon, Inc. (a) 375
2,800 Altiris, Inc. (a) 71,064
600 Ambassadors International, Inc. 27,372
1,960 American Ecology Corp. 36,280
48 American Independence Corp. (a) 518
2,100 American Reprographics Co. (a) 69,951
1,400 American Superconductor Corp. (a) 13,734
200 Analysts International Corp. (a) 374
700 Angelica Corp. 18,060
2,600 Ansoft Corp. (a) 72,280
2,600 Answerthink, Inc. (a) 8,008
2,600 Ansys, Inc. (a) 113,074
4,845 aQuantive, Inc. (a) 119,478
11,990 Aramark Corp. 401,065
4,700 Arbinet-Thexchange, Inc. (a) 25,803
4,154 Ariba, Inc. (a) 32,152
6,271 Art Technology Group, Inc. (a) 14,611
3,900 Aspen Technology, Inc. (a) 42,978
9,400 Atari, Inc. (a) 5,358
2,600 Audible, Inc. (a) 20,618
2,000 Authentidate Holding Corp. (a) 3,200
4,200 The BISYS Group, Inc. (a) 54,222
7 BPO Management Services, Inc. 17
1,800 Bankrate, Inc. (a) 68,310
102 Baran Group Ltd. 1,397
600 Barrett Business Services 14,052
12,400 BearingPoint, Inc. (a) 97,588
1,848 Blackbaud, Inc. 48,048
2,900 Blackboard, Inc. (a) 87,116
870 Blue Coat Systems, Inc. (a) 20,836
100 Bottomline Technologies, Inc. (a) 1,145
2,100 Bowne & Co., Inc. 33,474
2,600 Bright Horizons Family Solutions, Inc. (a) 100,516
3,400 The Brink's Co. 217,328
19,500 Brocade Communications Systems, Inc. (a) 160,095
6,600 Brookdale Senior Living, Inc. 316,800
1,150 BSQUARE Corp. (a) 3,266
1,800 CACI International, Inc. Class A (a) 101,700
7,845 CBIZ, Inc. (a) 54,680
1,200 CDI Corp. 29,880
5,145 CDW Corp. 361,796
2,100 COMSYS IT Partners, Inc. (a) 42,441
900 CRA International, Inc. (a) 47,160
3,365 CSG Systems International, Inc. (a) 89,946
46 Callwave, Inc. (a) 124
2,200 Capella Education Co. (a) 53,350
15
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,668 Career Education Corp. (a) $ 115,673
4,500 Carreker Corp. (a) 34,380
1,300 Casella Waste Systems, Inc. (a) 15,899
2,400 Catalina Marketing Corp. 66,000
1,000 Catapult Communications Corp. (a) 8,980
2,400 Cbeyond Communications, Inc. (a) 73,416
3,550 Cell Genesys, Inc. (a)(f) 12,034
9,300 Ceridian Corp. (a) 260,214
5,100 Cerner Corp. (a) 232,050
5,290 CheckFree Corp. (a) 212,446
2,300 Chemed Corp. 85,054
2,900 Chipotle Mexican Grill, Inc. Class A (a)(f) 165,300
4,533 ChoicePoint, Inc. (a) 178,510
4,300 Chordiant Software, Inc. (a) 14,233
3,800 Ciber, Inc. (a) 25,764
1,900 Clean Harbors, Inc. (a) 91,979
24,300 Clear Channel Outdoor Holdings, Inc. Class A (a) 678,213
4,400 Cogent Communications Group, Inc. (a) 71,368
5,000 Cogent, Inc. (a) 55,050
1,700 Collectors Universe 22,780
4,100 Commvault Systems, Inc. (a) 82,041
1,300 Computer Programs & Systems, Inc. 44,187
1,900 Concur Technologies, Inc. (a) 30,476
6,150 Copart, Inc. (a) 184,500
7,406 Corillian Corp. (a) 27,921
6,835 Corinthian Colleges, Inc. (a) 93,161
800 Cornell Cos., Inc. (a) 14,664
2,600 Corporate Executive Board Co. 228,020
1,100 CoStar Group, Inc. (a) 58,916
337 Courier Corp. 13,133
1,600 Covansys Corp. (a) 36,720
1,281 Credit Acceptance Corp. (a) 42,696
3,500 Cross Country Healthcare, Inc. (a) 76,370
8,400 CuraGen Corp. (a) 38,640
1,900 CyberSource Corp. (a) 20,938
440 DG FastChannel, Inc. (a) 5,931
1,000 DSL.Net, Inc. (a) 19
3,800 DST Systems, Inc. (a) 237,994
100 Deltathree, Inc. Class A (a) 126
3,600 Deluxe Corp. 90,720
2,600 Dendrite International, Inc. (a) 27,846
2,800 DeVry, Inc. 78,400
4,100 Digimarc Corp. (a) 36,162
2,500 Digital Insight Corp. (a) 96,225
2,200 Digital River, Inc. (a) 122,738
3,879 Digitas, Inc. (a) 52,017
19,634 Discovery Holding Co. (a) 315,911
2,400 Diversa Corp. (a) 26,112
3,000 DivX, Inc. (a)(f) 69,210
2,500 DocuCorp International, Inc. (a) 25,450
2,300 Dollar Financial Corp. (a) 64,078
3,900 Dot Hill Systems Corp. (a) 15,327
16
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,400 Dun & Bradstreet Corp. (a) $ 281,486
3,000 Dyax Corp. (a) 9,090
1,800 EPIQ Systems, Inc. (a) 30,546
1,775 EVCI Career Colleges Holding Corp. (a) 781
11,600 EarthLink, Inc. (a) 82,360
10 EasyLink Services Corp. (a) 28
2,500 Echelon Corp. (a) 20,000
2,600 Eclipsys Corp. (a) 53,456
1,200 eCollege.com, Inc. (a) 18,780
600 Ediets.Com, Inc. (a) 2,328
700 Educate, Inc. (a) 4,984
3,100 eFunds Corp. (a) 85,250
20 Egain Communications Corp. (a) 26
40 eLoyalty Corp. (a) 746
4,200 Embarcadero Technologies, Inc. (a) 25,704
13,492 Emdeon Corp. (a) 167,166
626 eMerge Interactive, Inc. (a) 601
6,800 Encysive Pharmaceuticals, Inc. (a) 28,628
2,300 Ennis, Inc. 56,258
4,200 Entrust, Inc. (a) 17,934
3,800 Epicor Software Corp. (a) 51,338
2,975 eResearch Technology, Inc. (a) 20,022
1,300 Essex Corp. (a) 31,083
2,945 Euronet Worldwide, Inc. (a) 87,437
2 Evolve Software, Inc. (a) 0
3,200 Evolving Systems, Inc. (a) 3,712
8,900 Exelixis, Inc. (a) 80,100
3,000 ExlService Holdings, Inc. (a) 63,120
900 Exponent, Inc. (a) 16,794
2,100 F5 Networks, Inc. (a) 155,841
1,600 FTD Group, Inc. (a) 28,624
2,050 FTI Consulting, Inc. (a) 57,174
3,350 Factset Research Systems, Inc. 189,208
2,800 FalconStor Software, Inc. (a) 24,220
3,700 First Advantage Corp. Class A (a) 84,952
3,600 First Consulting Group, Inc. (a) 49,536
108 Five Star Quality Care, Inc. (a) 1,204
1,300 Forrester Research, Inc. (a) 35,243
3,300 Franklin Covey Co. (a) 23,034
2,100 G&K Services, Inc. Class A 81,669
3,900 GP Strategies Corp. (a) 32,370
1,103 GSE Systems, Inc. (a) 7,335
1,700 GTSI Corp. (a) 15,742
3,160 Gaiam, Inc. (a) 43,229
3,300 Gentiva Health Services, Inc. (a) 62,898
1,800 The Geo Group, Inc. (a) 67,536
2,700 Gevity HR, Inc. 63,963
100 Gliatech, Inc. (a) 0
3,900 Global Cash Access, Inc. (a) 63,297
4,100 Global Imaging Systems, Inc. (a) 89,995
6,420 Global Payments, Inc. 297,246
300 Globix Corp. (a) 1,305
17
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,800 Greenfield Online, Inc. (a) $ 25,740
200 Gulfport Energy Corp. (a) 2,718
6,400 Hansen Natural Corp. (a) 215,232
7,900 Harris Interactive, Inc. (a) 39,816
4,300 Harte-Hanks, Inc. 119,153
1,900 Heidrick & Struggles International, Inc. (a) 80,484
7,220 Hewitt Associates, Inc. Class A (a) 185,915
2,100 Horizon Health Corp. (a) 41,097
2,600 Hudson Highland Group, Inc. (a) 43,368
1,900 Huron Consulting Group, Inc. (a) 86,146
4,679 Hyperion Solutions Corp. (a) 168,163
2,300 i2 Technologies, Inc. (a)(f) 52,486
800 ICT Group, Inc. (a) 25,272
3,200 IHS, Inc. Class A (a) 126,336
1,580 IPIX Corp. (a) 0
3,010 ITT Educational Services, Inc. (a) 199,774
2,000 Idenix Pharmaceuticals, Inc. (a) 17,380
2,100 iGate Corp. (a) 14,448
2,800 I-many, Inc. (a) 4,620
1,600 Imergent, Inc. (a)(f) 45,824
1,400 Indus International, Inc. (a) 5,306
1,000 Infinity Pharmaceuticals, Inc. (a) 12,450
1,600 Infocrossing, Inc. (a) 26,080
3,900 InFocus Corp. (a) 10,413
4,800 Informatica Corp. (a) 58,608
2,700 Inforte Corp. (a) 10,098
2,940 InfoSpace, Inc. (a) 60,299
3,200 infoUSA, Inc. 38,112
4,700 Innerworkings, Inc. (a) 75,012
1,093 Innovative Solutions & Support, Inc. (a) 18,614
1,800 Insteel Industries, Inc. 32,022
366 Insure.com, Inc. (a) 1,398
83 InsWeb Corp. (a) 263
600 Integral Systems, Inc. 13,902
3,700 Integrated Alarm Services Group, Inc. (a)(f) 12,025
2,100 Interactive Intelligence, Inc. (a) 47,082
4,200 Intermec, Inc. (a) 101,934
2,010 Internap Network Services Corp. (a) 39,939
1,000 Intersections, Inc. (a) 10,560
2,800 Interwoven, Inc. (a) 41,076
2,100 Intevac, Inc. (a) 54,495
125 Intrusion, Inc. (a) 56
2,680 inVentiv Health, Inc. (a) 94,738
3,500 Invitrogen Corp. (a) 198,065
3,600 Ipass, Inc. (a) 21,168
8,650 Iron Mountain, Inc. (a) 357,591
1,900 JDA Software Group, Inc. (a) 26,163
6,000 Jack Henry & Associates, Inc. 128,400
3,785 Jacobs Engineering Group, Inc. (a) 308,629
1,900 John H. Harland Co. 95,380
1,900 Jupitermedia Corp. (a) 15,048
1,900 Kanbay International, Inc. (a) 54,663
18
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,636 Keane, Inc. (a) $ 43,305
2,000 Kelly Services, Inc. Class A 57,880
2,100 Kenexa Corp. (a) 69,846
1,500 Keryx Biopharmaceuticals, Inc. (a) 19,950
1,300 Keynote Systems, Inc. (a) 13,780
3,970 Kforce, Inc. (a) 48,315
3,695 Kinder Morgan Management, LLC (a) 168,788
1,700 Kintera, Inc. (a) 2,125
3,300 Knology, Inc. (a) 35,112
1,400 Korn/Ferry International (a) 32,144
2,875 Kronos, Inc. (a) 105,627
5,551 L-1 Identity Solutions, Inc. (a) 83,987
1,300 LECG Corp. (a) 24,024
42 LQ Corp., Inc. (a) 47
3,200 Labor Ready, Inc. (a) 58,656
7,907 Lamar Advertising Co. Class A (a) 517,039
2,900 Laureate Education, Inc. (a) 141,027
8,600 Lawson Software, Inc. (a) 63,554
900 Layne Christensen Co. (a) 29,547
3,800 Learning Tree International, Inc. (a) 33,782
100 Level 8 Systems, Inc. (a) 2
2,419 Lightbridge, Inc. (a) 32,753
1,500 Lincoln Educational Services Corp. (a) 20,235
2,700 Lionbridge Technologies, Inc. (a) 17,388
5,600 LivePerson, Inc. (a) 29,400
500 Local.com Corp. (a) 2,025
2,200 LoJack Corp. (a) 37,576
1,342 LookSmart, Ltd. (a) 5,985
1,200 Luminex Corp. (a) 15,240
900 MAXIMUS, Inc. 27,702
4,400 MIVA, Inc. (a) 14,916
3,500 MPS Group, Inc. (a) 49,630
1,700 MSC.Software Corp. (a) 25,891
200 MWI Veterinary Supply, Inc. (a) 6,460
2,900 Macquarie Infrastructure Co. Trust 102,892
3,390 Macrovision Corp. (a) 95,801
2,040 Magma Design Automation, Inc. (a) 18,217
3,900 Management Network Group, Inc. (a) 5,850
1,700 Manhattan Associates, Inc. (a) 51,136
5,416 Manpower, Inc. 405,821
1,695 Mantech International Corp. Class A (a) 62,427
1,200 Mapinfo Corp. (a) 15,660
2,400 Marchex, Inc. Class B 32,112
1,200 MarketAxess Holdings, Inc. (a) 16,284
2,200 Marlin Business Services, Inc. (a) 52,866
2,087 Matria Healthcare, Inc. (a) 59,960
1,600 Maxygen, Inc. (a) 17,232
8,377 McAfee, Inc. (a) 237,739
4,100 Mechanical Technology, Inc. (a) 7,749
1,800 Medical Staffing Network Holdings, Inc. (a) 10,566
3,000 Mentor Graphics Corp. (a) 54,090
3,500 Merge Technologies, Inc. (a) 22,890
19
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
925 Metro One Telecommunications (a) $ 2,386
400 Michael Baker Corp. (a) 9,060
990 MicroStrategy, Inc. Class A (a) 112,870
7,400 Microvision, Inc. (a) 23,606
3,700 Millennium Cell, Inc. (a)(f) 3,330
5,966 Mindspeed Technologies, Inc. (a) 11,395
1,100 Mobius Management Systems, Inc. (a) 7,315
400 Moldflow Corp. (a) 5,556
1,900 Momenta Pharmaceuticals, Inc. (a) 29,887
3,600 Morgans Hotel Group Co. (a) 60,948
2,200 Morningstar, Inc. (a) 99,110
6,000 NAVTEQ Corp. (a) 209,820
3,200 NIC, Inc. (a) 15,904
2,800 NMS Communications Corp. (a) 5,740
1,900 NMT Medical, Inc. (a) 25,707
800 NVE Corp. (a)(f) 24,576
4,200 National Instruments Corp. 114,408
240 Natural Health Trends Corp. (a) 360
2,000 Nautilus, Inc. 28,000
2,800 Navigant Consulting, Inc. (a) 55,328
13 NaviSite, Inc. (a) 90
3,820 Netflix, Inc. (a) 98,785
57 NetManage, Inc. (a) 302
2,100 NetRatings, Inc. (a) 36,771
200 NetScout Systems, Inc. (a) 1,660
20 NetSol Technologies, Inc. (a) 27
4,600 NeuStar, Inc. Class A (a) 149,224
200 New Century Equity Holdings Corp. 42
3,900 New Frontier Media, Inc. 37,479
6,300 NexCen Brands, Inc. (a) 45,549
1,100 Nighthawk Radiology Holdings, Inc. (a) 28,050
2,900 NutriSystem, Inc. (a) 183,831
3,200 Odyssey Marine Exploration, Inc. (a) 9,344
1,900 Omniture, Inc. (a) 26,752
1,500 On Assignment, Inc. (a) 17,625
200 On2 Technologies, Inc. (a) 240
1,100 Online Resources Corp. (a) 11,231
60 Onvia, Inc. (a) 354
1,200 Open Solutions, Inc. (a) 45,168
13,000 OpenTV Corp. (a) 30,160
7,561 Openwave Systems, Inc. (a) 69,788
1,200 Opnet Technologies, Inc. (a) 17,340
4,500 Opsware, Inc. (a) 39,690
4,037 Option Care, Inc. 57,527
3,200 Orbital Sciences Corp. (a) 59,008
1,745 Orchid Cellmark, Inc. (a) 5,410
800 Overland Storage, Inc. (a) 3,600
700 PC Mall, Inc. (a) 7,378
1,200 PC-Tel, Inc. (a) 11,220
900 PDI, Inc. (a) 9,135
3,000 PHH Corp. (a) 86,610
4,591 PLATO Learning, Inc. (a) 24,837
20
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
600 PRA International, Inc. (a) $ 15,162
570 PRG-Schultz International, Inc. (a) 4,560
3,500 Pacific Ethanol, Inc. (a)(f) 53,830
2,000 Packeteer, Inc. (a) 27,200
2,907 Panacos Pharmaceuticals, Inc. (a) 11,655
2,300 Paxar Corp. (a) 53,038
500 Pegasystems, Inc. 4,935
2,200 People Support, Inc. (a) 46,310
3,000 Perficient, Inc. (a) 49,230
6,500 Perot Systems Corp. Class A (a) 106,535
3,795 Per-Se Technologies, Inc. (a) 105,425
120 Pfsweb, Inc. (a) 132
2,050 PharmaNet Development Group, Inc. (a) 45,244
700 Phase Forward, Inc. (a) 10,486
1,800 Phoenix Technologies Ltd. (a) 8,100
5,529 Polycom, Inc. (a) 170,901
2,300 Pomeroy IT Solutions, Inc. (a) 17,457
33 Poniard Pharmaceuticals, Inc. (a) 167
1,030 Pre-Paid Legal Services, Inc. (a)(f) 40,304
10 Prescient Applied Intelligence, Inc. (a) 1
3,133 Priceline.com, Inc. (a) 136,630
1,300 Primus Guaranty Ltd. (a) 15,015
1,600 Princeton Review, Inc. (a) 8,448
3,600 Progress Software Corp. (a) 100,548
1,800 ProQuest Co. (a) 18,810
102 Protection One, Inc. 1,142
1,700 The Providence Service Corp. (a) 42,721
1,700 QAD, Inc. 14,263
2,000 Quality Systems, Inc. 74,540
8,700 Quest Software, Inc. (a) 127,455
500 Quixote Corp. 9,835
1,500 Quovadx, Inc. (a) 4,230
5,522 R.H. Donnelley Corp. (a) 346,395
6,375 RPC, Inc. 107,610
1,700 Radiant Systems, Inc. (a) 17,748
8,600 RealNetworks, Inc. (a) 94,084
12,900 Red Hat, Inc. (a) 296,700
3,700 Redback Networks, Inc. (a) 92,278
1,700 Renaissance Learning, Inc. 30,141
7,400 Republic Services, Inc. Class A 300,958
4,200 Resources Connection, Inc. (a) 133,728
1,465 Rigel Pharmaceuticals, Inc. (a) 17,390
2,000 RightNow Technologies, Inc. (a) 34,440
5,400 Riverbed Technology, Inc. (a)(f) 165,780
2,400 Rural Cellular Corp. Class A (a) 31,536
4,100 Rural/Metro Corp. (a) 33,128
4,033 SAVVIS, Inc. (a) 143,978
2,415 The SCO Group, Inc. (a) 2,705
4,900 SM&A (a) 28,420
1,400 SPAR Group, Inc. (a) 1,694
2,009 SPSS, Inc. (a) 60,411
2,500 SRA International, Inc. Class A (a) 66,850
21
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,400 SYKES Enterprises, Inc. (a) $ 42,336
800 SYNNEX Corp. (a) 17,552
1,229 Saba Software, Inc. (a) 7,657
1,434 SafeNet, Inc. (a) 34,330
30 Salon Media Group, Inc. (a) 60
7,700 Sapient Corp. (a) 42,273
100 Scientific Learning Corp. (a) 549
1,900 SeaChange International, Inc. (a) 19,418
3,200 Secure Computing Corp. (a) 20,992
5,700 Selectica, Inc. (a) 10,089
2,800 Senomyx, Inc. (a) 36,372
666 Sequenom, Inc. (a) 3,117
20,500 The ServiceMaster Co. 268,755
98,225 Sirius Satellite Radio, Inc. (a)(f) 347,717
3,200 Sirona Dental Systems, Inc. 123,232
4,400 Sitel Corp. (a) 18,568
2,500 Smith Micro Software, Inc. (a) 35,475
6,500 Sonic Foundry, Inc. (a) 30,550
3,700 SonicWALL, Inc. (a) 31,154
3,200 Spartech Corp. 83,904
3,600 Spherion Corp. (a) 26,748
100 Standard Parking Corp. (a) 3,841
1,800 The Standard Register Co. 21,600
2,900 Stanley, Inc. (a) 49,039
800 Startek, Inc. 10,832
3,000 Stericycle, Inc. (a) 226,500
620 Stratasys, Inc. (a) 19,474
6,000 Strategic Diagnostics, Inc. (a) 22,680
1,100 Strayer Education, Inc. 116,655
3,000 SupportSoft, Inc. (a) 16,440
16,700 Sycamore Networks, Inc. (a) 62,792
2,300 Symyx Technologies Inc. (a) 49,657
11,000 Synagro Technologies, Inc. 48,620
800 Synchronoss Technologies, Inc. (a) 10,976
8,405 Synopsys, Inc. (a) 224,666
1,600 Synplicity, Inc. (a) 10,016
1,700 Syntel, Inc. 45,560
1,300 Sypris Solutions, Inc. 9,035
16,200 TIBCO Software, Inc. (a) 152,928
600 TNS, Inc. (a) 11,550
800 TRC Cos., Inc. (a) 6,904
100 Taleo Corp. Class A (a) 1,367
3,123 Talx Corp. 85,726
880 Tapestry Pharmaceuticals, Inc. (a) 1,716
15 Technology Solutions Co. (a) 103
2,300 TechTeam Global, Inc. (a) 25,875
200 TeleCommunication Systems, Inc. Class A (a) 620
4,600 TeleTech Holdings, Inc. (a) 109,848
200 Tenfold Corp. (a) 66
5,625 Tetra Tech, Inc. (a) 101,756
6,050 Tetra Technologies, Inc. (a) 154,759
1,500 TheStreet.com, Inc. 13,350
22
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,000 Thomas Group, Inc. $ 30,080
4,200 TradeStation Group, Inc. (a) 57,750
2,900 Transaction Systems Architects, Inc. Class A (a) 94,453
3,400 Trident Microsystems, Inc. (a) 61,812
4,300 Trizetto Group (a) 78,991
8,777 Tumbleweed Communications Corp. (a) 23,084
3,600 URS Corp. (a) 154,260
2,500 Ultimate Software Group, Inc. (a) 58,150
10,700 Unigene Laboratories, Inc. (a) 26,643
3,653 United Online, Inc. 48,512
600 Universal Electronics, Inc. (a) 12,612
1,255 Universal Technical Institute, Inc. (a) 27,874
16 Uphonia, Inc. (a) 0
3,600 VA Software Corp. (a) 18,108
1,700 VASCO Data Security International, Inc. (a) 20,077
6,355 ValueClick, Inc. (a) 150,169
1,900 Verint Systems, Inc. (a) 65,132
1,574 Verso Technologies, Inc. (a)(f) 1,810
65 VerticalNet, Inc. (a) 44
1,200 Vertrue, Inc. (a) 46,092
2,250 Viad Corp. 91,350
6,030 Viewpoint Corp. (a) 4,041
1,730 Vignette Corp. (a) 29,531
3,800 VistaPrint Ltd. (a) 125,818
900 Vital Images, Inc. (a) 31,320
1,600 Volt Information Sciences, Inc. (a) 80,336
3,150 Waste Connections, Inc. (a) 130,883
100 Waste Industries USA, Inc. 3,052
3,440 Watson Wyatt Worldwide, Inc. 155,316
666 Wave Systems Corp. Class A (a) 1,712
2,800 WebEx Communications, Inc. (a) 97,692
4,200 WebMD Health Corp. Class A (a) 168,084
3,200 webMethods, Inc. (a) 23,552
2,800 Websense, Inc. (a) 63,924
400 WebSideStory, Inc. (a) 5,064
2,800 Website Pros, Inc. (a) 25,340
6,350 Weight Watchers International, Inc. 333,566
500 Westaff, Inc. (a) 2,745
5,000 Wind River Systems, Inc. (a) 51,250
4,400 Wireless Facilities, Inc. (a) 12,540
3,400 Witness Systems, Inc. (a) 59,602
200 Worldgate Communications (a) 268
7,600 Wynn Resorts Ltd. 713,260
3,400 Zix Corp. (a)(f) 4,046
------------
32,270,274
- ------------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.7% 1,000 AEP Industries, Inc. (a) 53,310
1,600 AMCOL International Corp. 44,384
1,425 Aceto Corp. 12,312
3,800 Airgas, Inc. 153,976
3,200 Albemarle Corp. 229,760
1,400 Anika Therapeutics, Inc. (a) 18,578
1,200 Arch Chemicals, Inc. 39,972
23
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,500 Bio-Rad Laboratories, Inc. Class A (a) $ 123,780
2,700 Brady Corp. 100,656
4,400 Cabot Corp. 191,708
4,400 Calgon Carbon Corp. (a)(f) 27,280
10,400 Celanese Corp. Series A 269,152
10,900 Chemtura Corp. 104,967
2,300 Cytec Industries, Inc. 129,973
11,836 Entegris, Inc. (a) 128,066
3,600 Ferro Corp. 74,484
3,200 Georgia Gulf Corp. 61,792
3,400 H.B. Fuller Co. 87,788
300 Hawkins, Inc. 4,290
14,100 Huntsman Corp. (a) 267,477
550 KMG Chemicals, Inc. 5,500
1,600 Koppers Holdings, Inc. 41,712
3,382 Kronos Worldwide, Inc. 110,118
4,100 Landec Corp. (a) 44,116
3,415 Lubrizol Corp. 171,194
13,856 Lyondell Chemical Co. 354,298
1,600 MacDermid, Inc. 54,560
450 Mace Security International, Inc. (a) 1,152
1,600 Matrixx Initiatives, Inc. (a) 25,488
30,000 The Mosaic Co. (a) 640,800
8,600 Nalco Holding Co. (a) 175,956
720 NewMarket Corp. 42,516
1,900 Nuco2, Inc. (a) 46,721
2,200 OM Group, Inc. (a) 99,616
4,692 Olin Corp. 77,512
2,400 Omnova Solutions, Inc. (a) 10,992
2,000 OxiGene, Inc. (a) 9,600
400 Penford Corp. 6,920
5,500 PolyOne Corp. (a) 41,250
600 Quaker Chemical Corp. 13,242
6,400 RPM International, Inc. 133,696
4,400 Rentech, Inc. (a)(f) 16,588
1,900 Repligen Corp. (a) 5,339
3,800 Rockwood Holdings, Inc. (a) 95,988
1,600 Rogers Corp. (a) 94,640
3,900 Rollins, Inc. 86,229
2,800 SRS Labs Inc. (a) 30,296
2,500 Schawk, Inc. 48,850
3,100 Schulman A, Inc. 68,975
2,200 Sensient Technologies Corp. 54,120
400 Stepan Co. 12,668
1,300 TOR Minerals International, Inc. (a) 3,653
2,200 Terra Nitrogen Co. LP 74,910
1,600 Tredegar Corp. 36,176
1,300 Trex Co., Inc. (a)(f) 29,757
4,500 Tronox, Inc. Class A 71,955
4,800 UAP Holding Corp. 120,864
5,700 Valspar Corp. 157,548
1,900 WD-40 Co. 66,253
24
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,900 WR Grace & Co. (a) $ 77,220
4,000 Wellman, Inc. 12,760
4,500 Westlake Chemical Corp. 141,210
2,600 Zoltek Cos., Inc. (a)(f) 51,142
------------
5,587,805
- ------------------------------------------------------------------------------------------------------------------------------
Construction - 1.8% 400 Ablest, Inc. (a) 2,596
1,900 American Woodmark Corp. (f) 79,515
400 Ameron International Corp. 30,548
3,700 Apogee Enterprises, Inc. 71,447
7,800 Armstrong Holdings, Inc. (a) 2,379
3,200 Armstrong World Industries, Inc. (a) 135,648
4,200 Beacon Roofing Supply, Inc. (a) 79,044
2,564 Beazer Homes USA, Inc. 120,534
2,000 BlueLinx Holdings, Inc. 20,800
1,876 Brookfield Homes Corp. (f) 70,444
2,600 Bucyrus International, Inc. 134,576
1,900 Builders FirstSource, Inc. (a) 33,877
2,880 Building Material Holding Corp. 71,107
410 Cavco Industries, Inc. (a) 14,366
2,275 Ceradyne, Inc. (a) 128,537
3,800 Comstock Homebuilding Cos., Inc. Class A (a)(f) 21,850
500 Dominion Homes, Inc. (a)(f) 2,635
2,133 Dycom Industries, Inc. (a) 45,049
1,800 EMCOR Group, Inc. (a) 102,330
4,220 Eagle Materials, Inc. 182,431
1,700 ElkCorp 69,853
3,975 Florida Rock Industries, Inc. 171,124
2,850 Granite Construction, Inc. 143,412
400 Home Solutions of America, Inc. (a) 2,344
3,000 Hovnanian Enterprises, Inc. Class A (a) 101,700
1,400 Huttig Building Products, Inc. (a) 7,406
1,400 InfraSource Services, Inc. (a) 30,478
2,900 Insituform Technologies, Inc. Class A (a) 74,994
1,800 Interline Brands, Inc. (a) 40,446
800 International Aluminum Corp. 39,000
10,300 KBR, Inc. (a) 269,448
300 LS Starrett Co. Class A 4,875
1,850 LSI Industries, Inc. 36,722
1,380 Levitt Corp. Class A 16,891
3,316 MDC Holdings, Inc. 189,178
1,200 M/I Homes, Inc. 45,828
2,900 Martin Marietta Materials, Inc. 301,339
2,600 Mastec, Inc. (a) 30,004
1,600 Meritage Homes Corp. (a) 76,352
1,500 NCI Building Systems, Inc. (a) 77,625
419 NVR, Inc. (a) 270,255
6,400 Owens Corning, Inc. (a) 191,360
500 PGT, Inc. (a) 6,325
2,300 Palm Harbor Homes, Inc. (a) 32,246
100 Patriot Transportation Holding, Inc. (a) 9,336
500 Performance Technologies, Inc. (a) 2,995
1,400 Perini Corp. (a) 43,092
25
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
6,400 Quanta Services, Inc. (a) $ 125,888
3,400 Quest Resource Corp. (a) 34,340
3,100 Ryland Group, Inc. 169,322
8,300 SBA Communications Corp. Class A (a) 228,250
2,200 Simpson Manufacturing Co., Inc. (f) 69,630
400 Skyline Corp. 16,088
4,700 Standard-Pacific Corp. 125,913
3,300 Technical Olympic USA, Inc. 33,561
2,000 Texas Industries, Inc. 128,460
9,100 Toll Brothers, Inc. (a) 293,293
500 UMH Properties, Inc. 7,685
5,100 US Concrete, Inc. (a) 36,312
6,600 USG Corp. (a) 361,680
4,000 WCI Communities, Inc. (a) 76,720
3,500 WESCO International, Inc. (a) 205,835
4,100 Walter Industries, Inc. 110,905
5,300 Westell Technologies, Inc. Class A (a) 13,250
3,800 Williams Scotsman International, Inc. (a) 74,556
------------
5,746,029
- ------------------------------------------------------------------------------------------------------------------------------
Consumer Durables - 0.7% 1,700 American Technology Corp. (a) 6,664
1,665 Applica, Inc. (a) 13,303
5,740 Avis Budget Group, Inc. 124,501
800 Bassett Furniture Industries, Inc. 13,072
4,400 Champion Enterprises, Inc. (a) 41,184
1,000 Compx International, Inc. 20,160
700 Conn's, Inc. (a) 16,289
1,000 Design Within Reach, Inc. (a) 4,930
1,700 Emerson Radio (a) 5,355
3,000 Ethan Allen Interiors, Inc. 108,330
200 Flexsteel Industries 2,516
4,200 Furniture Brands International, Inc. 68,166
25,900 Gemstar-TV Guide International, Inc. (a) 103,859
2,300 Genlyte Group, Inc. (a) 179,653
2,920 Griffon Corp. (a) 74,460
3,000 Haverty Furniture Cos., Inc. 44,400
3,300 Helen of Troy Ltd. (a) 80,058
21,000 Hertz Global Holdings, Inc. (a) 365,190
3,400 Interface, Inc. Class A (a) 48,348
2,800 Kimball International, Inc. Class B 68,040
200 Koss Corp. 4,672
3,100 La-Z-Boy, Inc. (f) 36,797
2,000 Lifetime Brands, Inc. 32,860
500 Mac-Gray Corp. (a) 5,960
3,764 Mohawk Industries, Inc. (a) 281,773
400 National Presto Industries, Inc. 23,948
4,505 Restoration Hardware, Inc. (a) 38,338
1,700 Rockford Corp. (a) 4,233
500 The Rowe Cos. (a) 10
600 Salton, Inc. (a) 1,350
6,100 Sealy Corp. 89,975
3,150 Select Comfort Corp. (a) 54,779
1,500 Stanley Furniture Co., Inc. 32,175
26
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,200 Sturm Ruger & Co., Inc. (a) $ 40,320
5,400 Tempur-Pedic International, Inc. (a) 110,484
2,990 Toro Co. 139,424
4,300 United Rentals, Inc. (a) 109,349
642 Virco Manufacturing Corp. (a) 5,008
------------
2,399,933
- ------------------------------------------------------------------------------------------------------------------------------
Containers - 0.3% 11,700 Crown Holdings, Inc. (a) 244,764
9,900 Graphic Packaging Corp. (a) 42,867
1,500 Greif, Inc. 177,600
3,100 Mobile Mini, Inc. (a) 83,514
12,500 Owens-Illinois, Inc. (a) 230,625
3,000 Silgan Holdings, Inc. 131,760
5,300 Sonoco Products Co. 201,718
------------
1,112,848
- ------------------------------------------------------------------------------------------------------------------------------
Domestic Oil - 3.0% 6,800 Abraxas Petroleum Corp. (a) 21,012
3,200 Alon USA Energy, Inc. 84,192
1,600 Arena Resources, Inc. (a) 68,336
1,889 Atlas America, Inc. (a) 96,282
2,800 Atlas Pipeline Holdings LP 66,864
1,300 Basic Energy Services, Inc. (a) 32,045
3,800 Bill Barrett Corp. (a) 103,398
2,400 Bois d'Arc Energy, Inc. (a) 35,112
9,600 CNX Gas Corp. (a) 244,800
1,000 Callon Petroleum Co. (a) 15,030
2,800 Carrizo Oil & Gas, Inc. (a) 81,256
1,300 Clayton Williams Energy, Inc. (a) 47,203
2,000 Comstock Resources, Inc. (a) 62,120
2,700 Crosstex Energy LP (f) 107,595
4,535 Delta Petroleum Corp. (a) 104,804
9,200 Diamond Offshore Drilling, Inc. 735,448
900 Dorchester Minerals LP 19,827
4,900 Dresser-Rand Group, Inc. (a) 119,903
5,100 EXCO Resources, Inc. (a) 86,241
2,300 Edge Petroleum Corp. (a) 41,952
1,368 Enbridge Energy Management, LLC (a) 66,348
4,900 Enbridge Energy Partners LP 242,011
3,000 Encore Acquisition Co. (a) 73,590
12,100 Endeavour International Corp. (a) 27,709
3,500 Energy Partners Ltd. (a) 85,470
10,100 Energy Transfer Equity LP 317,140
5,900 FX Energy, Inc. (a) 36,403
8,000 Frontier Oil Corp. 229,920
1,300 GMX Resources Inc. (a) 46,150
5,100 Gasco Energy, Inc. (a) 12,495
10,030 Global Industries Ltd. (a) 130,791
1,730 Gulf Island Fabrication, Inc. 63,837
2,300 Gulfmark Offshore, Inc. (a) 86,043
3,700 Harvest Natural Resources, Inc. (a) 39,331
6,384 Helix Energy Solutions Group, Inc. (a) 200,266
2,300 Hercules Offshore, Inc. (a) 66,470
100 Hiland Partners LP 5,470
4,600 Holly Corp. 236,440
27
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,500 Horizon Offshore, Inc. (a) $ 57,050
2,500 Houston Exploration Co. (a) 129,450
1,200 Inergy Holdings LP 48,000
3,000 Linn Energy LLC (f) 95,850
3,900 Magellan Midstream Partners 150,540
4,099 Mariner Energy, Inc. (a) 80,340
600 MarkWest Energy Partners LP 35,790
3,100 Matrix Service Co. (a) 49,910
3,300 McMoRan Exploration Co. (a)(f) 46,926
5,100 Meridian Resource Corp. (a) 15,759
6,998 Newfield Exploration Co. (a) 321,558
700 OYO Geospace Corp. (a) 40,663
900 PYR Energy Corp. (a) 810
8,110 Patterson-UTI Energy, Inc. 188,395
13,601 PetroHawk Energy Corp. (a) 156,412
2,800 Petroquest Energy, Inc. (a) 35,672
7,975 Pioneer Natural Resources Co. 316,528
5,184 Plains Exploration & Production Co. (a) 246,396
4,000 Pogo Producing Co. 193,760
8,800 Pride International, Inc. (a) 264,088
4,080 Quicksilver Resources, Inc. (a) 149,287
1,900 Rosetta Resources, Inc. (a) 35,473
4,400 St. Mary Land & Exploration Co. 162,096
2,679 Stone Energy Corp. (a) 94,703
1,500 Suburban Propane Partners LP 57,015
1,400 Sunoco Logistics Partners LP 70,784
5,826 Superior Energy Services, Inc. (a) 190,394
200 Superior Well Services, Inc. (a) 5,112
6,400 Syntroleum Corp. (a) 22,144
4,600 TEPPCO Partners LP 185,426
4,600 Teekay Shipping Corp. 200,652
5,200 Tesoro Corp. 342,004
5,000 Todco Class A (a) 170,850
3,900 Tri-Valley Corp. (a)(f) 37,011
10,500 Ultra Petroleum Corp. (a) 501,375
1,300 Union Drilling, Inc. (a) 18,304
2,200 Universal Compression Holdings, Inc. (a) 136,642
5,600 Vaalco Energy, Inc. (a) 37,800
2,800 Valero LP 156,156
500 Valley National Gases, Inc. (a) 13,225
4,600 W&T Offshore, Inc. 141,312
4,800 Warren Resources, Inc. (a) 56,256
5,800 Western Refining, Inc. 147,668
1,800 Whiting Petroleum Corp. (a) 83,880
------------
9,628,770
- ------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine - 8.9% 1,100 ABIOMED, Inc. (a) 15,510
2,200 ABX Air, Inc. (a) 15,246
3,000 AMERIGROUP Corp. (a) 107,670
900 ATS Medical, Inc. (a) 1,863
4,050 AVANIR Pharmaceuticals Class A (a)(f) 9,355
3,100 AVI BioPharma, Inc. (a) 9,858
2,300 Abaxis, Inc. (a) 44,275
28
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
11,052 Abraxis BioScience, Inc. (a) $ 302,162
1,700 Acadia Pharmaceuticals, Inc. (a) 14,943
1,600 Accelrys, Inc. (a) 9,616
2,500 Acorda Therapeutics, Inc. (a) 39,600
3,000 Adams Respiratory Therapeutics, Inc. (a) 122,430
5,400 Adolor Corp. (a) 40,608
1,100 Advanced Magnetics, Inc. (a) 65,692
3,735 Advanced Medical Optics, Inc. (a) 131,472
1,400 Advancis Pharmaceutical Corp. (a) 5,432
1,400 Air Methods Corp. (a) 39,088
2,000 Albany Molecular Research, Inc. (a) 21,120
2,900 Alexion Pharmaceuticals, Inc. (a) 117,131
3,600 Alexza Pharmaceuticals, Inc. (a) 41,004
5,300 Align Technology, Inc. (a) 74,041
5,400 Alkermes, Inc. (a) 72,198
2 Allegro Biodiesel Corp. (a) 5
3,300 Alliance Imaging, Inc. (a) 21,945
6,800 Allos Therapeutics (a) 39,712
4,445 Allscripts Healthcare Solutions, Inc. (a) 119,971
4,700 Alpharma, Inc. Class A 113,270
500 Altus Pharmaceuticals, Inc. (a) 9,425
2,267 Amedisys, Inc. (a) 74,505
800 America Service Group, Inc. (a) 12,776
800 American Dental Partners, Inc. (a) 15,112
6,200 American Medical Systems Holdings, Inc. (a) 114,824
3,000 Amsurg Corp. (a) 69,000
9,600 Amylin Pharmaceuticals, Inc. (a) 346,272
1,700 Anadys Pharmaceuticals, Inc. (a) 8,364
400 Anesiva, Inc. (a) 2,800
513 AngioDynamics, Inc. (a) 11,024
3,200 Antigenics, Inc. (a) 5,856
4,300 Applera Corp. - Celera Genomics Group (a) 60,157
2,300 Apria Healthcare Group, Inc. (a) 61,295
1,640 Aradigm Corp. (a) 1,345
1,900 Arcadia Resources, Inc. (a) 3,914
4,240 Arena Pharmaceuticals, Inc. (a) 54,738
3,600 Ariad Pharmaceuticals, Inc. (a) 18,504
2,430 Arqule, Inc. (a) 14,386
4,300 Array Biopharma, Inc. (a) 55,556
2,400 Arrow International, Inc. 84,912
2,600 ArthroCare Corp. (a) 103,792
1,100 Aspect Medical Systems, Inc. (a) 20,691
7,100 Assisted Living Concepts, Inc. (a) 70,219
4,000 Atherogenics, Inc. (a)(f) 39,640
3,500 Auxilium Pharmaceuticals, Inc. (a) 51,415
4,400 Avant Immunotherapeutics, Inc. (a) 5,896
1,000 Avigen, Inc. (a) 5,280
388 BSML, Inc. (a) 660
1,700 Barrier Therapeutics, Inc. (a) 12,818
4,100 Beckman Coulter, Inc. 245,180
900 Bentley Pharmaceuticals, Inc. (a) 9,153
1,700 BioCryst Pharmaceuticals, Inc. (a) 19,652
29
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
5,400 Bioenvision, Inc. (a) $ 25,056
2,400 Biolase Technology, Inc. (a)(f) 21,000
6,900 BioMarin Pharmaceuticals, Inc. (a) 113,091
16,816 Biopure Corp. (a)(f) 8,072
1,800 Bio-Reference Labs, Inc. (a) 40,482
2,596 Bioscript, Inc. (a) 8,982
1,760 Biosite, Inc. (a) 85,976
900 BioSphere Medical, Inc. (a) 6,012
1,800 BioVeris Corp. (a) 24,696
900 Bradley Pharmaceuticals, Inc. (a) 18,522
4,900 CV Therapeutics, Inc. (a) 68,404
600 Cadence Pharmaceuticals, Inc. (a) 7,392
16,300 Calypte Biomedical Corp. (a) 1,141
1,200 Cambrex Corp. 27,264
400 Caraco Pharmaceutical Laboratories Ltd. (a) 5,600
510 Cardiac Science Corp. (a) 4,116
2,900 CardioDynamics International Corp. (a) 3,016
1,476 Cardiotech International, Inc. (a) 2,878
15,800 Cell Therapeutics, Inc. (a)(f) 27,650
3,500 Centene Corp. (a) 85,995
3,900 Cephalon, Inc. (a) 274,599
1,400 Cerus Corp. (a) 8,204
3,192 Charles River Laboratories International, Inc. (a) 138,054
900 Cholestech Corp. (a) 16,578
1,700 Ciphergen Biosystems, Inc. (a) 1,479
11,200 Clarient, Inc. (a) 19,264
58 Clinical Data, Inc. (a) 931
200 Coley Pharmaceutical Group, Inc. (a) 1,938
2,500 Collagenex Pharmaceuticals, Inc. (a) 34,925
7,400 Columbia Laboratories, Inc. (a) 37,740
6,400 Community Health Systems, Inc. (a) 233,728
1,800 Conceptus, Inc. (a) 38,322
2,050 CONMED Corp. (a) 47,396
3,200 Conor Medsystems, Inc. (a) 100,256
3,143 Cooper Cos., Inc. 139,863
142 CorAutus Genetics, Inc. (a) 54
1,500 Corvel Corp. (a) 71,355
600 Cotherix, Inc. (a) 8,094
3,300 Covance, Inc. (a) 194,403
2,400 CryoLife, Inc. (a) 18,360
4,500 Cubist Pharmaceuticals, Inc. (a) 81,495
3,300 Curis, Inc. (a) 4,158
1,500 Cutera, Inc. (a) 40,500
1,500 Cyberonics, Inc. (a)(f) 30,960
2,000 Cynosure, Inc. Class A (a) 31,660
3,900 Cypress Bioscience, Inc. (a) 30,147
930 Cytogen Corp. (a) 2,167
1,700 Cytokinetics, Inc. (a) 12,716
7,900 Cytyc Corp. (a) 223,570
800 DJO, Inc. (a) 34,256
7,050 Dade Behring Holdings, Inc. 280,660
1,400 Datascope Corp. 51,016
30
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
7,200 DaVita, Inc. (a) $ 409,536
900 Daxor Corp. (a) 13,365
7,930 Dendreon Corp. (a) 33,068
9,900 Dentsply International, Inc. 295,515
5,600 Depomed, Inc. (a) 19,320
3,000 DexCom, Inc. (a) 29,580
1,300 Dialysis Corp. of America (a) 16,523
2,200 Digene Corp. (a) 105,424
10,100 Discovery Laboratories, Inc. (a)(f) 23,836
5,200 Dov Pharmaceutical, Inc. (a) 1,404
7,800 Durect Corp. (a) 34,632
1,300 Dusa Pharmaceuticals, Inc. (a) 5,590
4 Dynacq Healthcare, Inc. (a) 6
4,700 Dynavax Technologies (a) 43,146
4,566 EPIX Pharmaceuticals, Inc. (a) 31,505
600 E-Z-EM, Inc. (a) 10,482
4,100 Edwards Lifesciences Corp. (a) 192,864
200 Emeritus Corp. (a) 4,970
4,800 Emisphere Technologies, Inc. (a) 25,392
10,600 Endo Pharmaceuticals Holdings, Inc. (a) 292,348
6,200 Endologix, Inc. (a) 21,700
4,300 Entremed, Inc. (a) 6,794
1,373 Enzo Biochem, Inc. (a)(f) 19,593
6,300 Enzon Pharmaceuticals, Inc. (a) 53,613
673 EpiCept Corp. (a) 962
725 Escalon Medical Corp. (a) 1,921
3,781 ev3, Inc. (a) 65,147
1,600 Exact Sciences Corp. (a) 4,528
700 Exactech, Inc. (a) 9,961
17,300 Fonar Corp. (a) 4,844
2,100 FoxHollow Technologies, Inc. (a) 45,318
1,000 GTx, Inc. (a) 17,840
3,400 Genaera Corp. (a) 1,258
1,900 Gene Logic, Inc. (a) 2,926
1,060 Genelabs Technologies, Inc. (a) 1,505
74,940 Genentech, Inc. (a) 6,079,882
1,950 Genesis HealthCare Corp. (a) 92,098
2,100 Genitope Corp. (a) 7,392
2,700 Genomic Health, Inc. (a) 50,220
2,600 Gen-Probe, Inc. (a) 136,162
7,800 Genta, Inc. (a) 3,451
3,800 Geron Corp. (a)(f) 33,364
1,200 Greatbatch, Inc. (a) 32,304
2,900 HMS Holdings Corp. (a) 43,935
2,200 Haemonetics Corp. (a) 99,044
7,800 Halozyme Therapeutics, Inc. (a) 62,790
3,800 Hansen Medical, Inc. (a) 43,852
5,700 Health Grades Inc. (a) 25,422
6,280 Health Net, Inc. (a) 305,585
3,051 Healthcare Services Group 88,357
3,900 HealthExtras, Inc. (a) 93,990
4,800 HealthSouth Corp. (a) 108,720
31
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,800 HealthSpring, Inc. (a) $ 97,680
1,900 HealthTronics, Inc. (a) 12,654
2,900 Healthways, Inc. (a) 138,359
1,300 Hemispherx Biopharma, Inc. (a)(f) 2,860
5,000 Henry Schein, Inc. (a) 244,900
4,400 Herbalife Ltd. (a) 176,704
4,045 Hillenbrand Industries, Inc. 230,282
775 Hi-Tech Pharmacal Co., Inc. (a) 9,432
2,300 Hollis-Eden Pharmaceuticals (a) 12,098
2,900 Hologic, Inc. (a) 137,112
4,600 Hooper Holmes, Inc. 15,226
10,600 Human Genome Sciences, Inc. (a) 131,864
2,900 Hydron Technologies, Inc. (a) 406
4,600 ICOS Corp. (a) 155,434
1,600 ICU Medical, Inc. (a) 65,088
3,000 II-VI, Inc. (a) 83,820
2,700 Idexx Laboratories, Inc. (a) 214,110
1,100 I-Flow Corp. (a) 16,445
5,921 ImClone Systems, Inc. (a) 158,446
5,437 Immucor, Inc. (a) 158,924
4,000 Immunicon Corp. (a)(f) 13,280
2,900 ImmunoGen, Inc. (a) 14,703
3,200 Immunomedics, Inc. (a)(f) 11,616
7,200 Incyte Corp. (a) 42,048
5,800 Indevus Pharmaceuticals, Inc. (a) 41,180
4,200 Insmed, Inc. (a) 3,696
6,400 Inspire Pharmaceuticals, Inc. (a) 40,640
1,900 Integra LifeSciences Holdings Corp. (a) 80,921
3,300 InterMune, Inc. (a) 101,475
1,700 IntraLase Corp. (a) 38,046
2,600 Introgen Therapeutics, Inc. (a)(f) 11,440
1,950 Intuitive Surgical, Inc. (a) 187,005
1,900 Invacare Corp. 46,645
1,828 Inverness Medical Innovations, Inc. (a) 70,744
6,600 Isis Pharmaceuticals, Inc. (a) 73,392
4,600 Ista Pharmaceuticals, Inc. (a) 32,614
2,300 KV Pharmaceutical Co. Class A (a) 54,694
1,500 Kendle International, Inc. (a) 47,175
1,600 Kensey Nash Corp. (a) 50,880
2,190 Kindred Healthcare, Inc. (a) 55,297
4,515 Kinetic Concepts, Inc. (a) 178,568
1,700 Kosan Biosciences, Inc. (a) 9,435
3,600 Kyphon, Inc. (a) 145,440
1,950 LCA-Vision, Inc. (f) 67,002
200 LHC Group, Inc. (a) 5,702
740 La Jolla Pharmaceutical Co. (a) 2,242
1,210 Lakeland Industries, Inc. (a) 16,492
400 Landauer, Inc. 20,988
300 Langer, Inc. (a) 1,377
800 Lectec Corp. (a) 520
2,700 Lexicon Genetics, Inc. (a) 9,747
3,000 LifeCell Corp. (a) 72,420
32
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
700 Lifecore Biomedical, Inc. (a) $ 12,481
2,945 LifePoint Hospitals, Inc. (a) 99,246
7,300 Ligand Pharmaceuticals, Inc. Class B (a) 79,935
6,300 Lincare Holdings, Inc. (a) 250,992
4,540 MGI Pharma, Inc. (a) 83,581
3,079 Magellan Health Services, Inc. (a) 133,074
3,100 Mannatech, Inc. 45,663
6,300 MannKind Corp. (a) 103,887
2,200 Martek Biosciences Corp. (a) 51,348
9,800 Medarex, Inc. (a) 144,942
1,900 MedCath Corp. (a) 51,984
600 Medical Action Industries, Inc. (a) 19,344
4,370 Medicines Co. (a) 138,616
3,400 Medicis Pharmaceutical Corp. Class A 119,442
2,100 Medifast, Inc. (a) 26,418
2,030 Medis Technologies Ltd. (a)(f) 35,383
700 Medivation, Inc. (a) 11,074
300 Medwave, Inc. (a) 174
2,600 Mentor Corp. 127,062
1,350 Meridian Bioscience, Inc. 33,115
1,568 Merit Medical Systems, Inc. (a) 24,837
2,700 Metabolix, Inc. (a) 51,138
300 Metropolitan Health Networks, Inc. (a) 945
533 Micromet, Inc. (a) 1,599
2,600 Microtek Medical Holdings, Inc. (a) 11,960
800 Micrus Endovascular Corp. (a) 15,264
16,438 Millennium Pharmaceuticals, Inc. (a) 179,174
1,500 Mine Safety Appliances Co. 54,975
1,000 Molecular Devices Corp. (a) 21,070
1,700 Molina Healthcare, Inc. (a) 55,267
6,760 Monogram Biosciences, Inc. (a) 12,033
1,800 Myriad Genetics, Inc. (a) 56,340
4,000 NBTY, Inc. (a) 166,280
6,040 NPS Pharmaceuticals, Inc. (a) 27,361
3,500 Nabi Biopharmaceuticals (a) 23,730
150 National Dentex Corp. (a) 2,625
400 National Healthcare Corp. 22,080
400 Natrol, Inc. (a) 824
1,100 Natus Medical, Inc. (a) 18,271
7,200 Nektar Therapeutics (a) 109,512
4,486 Neopharm, Inc. (a) 7,492
1,900 Neose Technologies, Inc. (a) 4,237
4,245 Neurocrine Biosciences, Inc. (a) 44,233
2,400 Neurogen Corp. (a) 14,280
1,700 NEUROmetrix, Inc. (a) 25,347
2,900 New River Pharmaceuticals, Inc. (a)(f) 158,659
3,000 Northfield Laboratories, Inc. (a)(f) 12,210
3,500 Novavax, Inc. (a) 14,350
2,600 Noven Pharmaceuticals, Inc. (a) 66,170
1,400 Nutraceutical International Corp. (a) 21,434
3,200 NuVasive, Inc. (a) 73,920
8,621 Nuvelo, Inc. (a) 34,484
33
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,367 OSI Pharmaceuticals, Inc. (a) $ 152,758
4,500 Oakley, Inc. 90,270
3,850 Odyssey HealthCare, Inc. (a) 51,051
6,400 Omnicare, Inc. 247,232
1,600 Omrix Biopharmaceuticals, Inc. (a) 48,416
3,700 Onyx Pharmaceuticals, Inc. (a) 39,146
4,775 OraSure Technologies, Inc. (a) 39,442
4,100 Orthologic Corp. (a) 5,863
5,920 Orthovita, Inc. (a) 21,490
550 Oscient Pharmaceuticals Corp. (a) 2,783
1,300 Osiris Therapeutics, Inc. (a) 32,916
3,300 Osteotech, Inc. (a) 18,645
2,300 Owens & Minor, Inc. 71,921
5,500 PDL BioPharma, Inc. (a) 110,770
5,400 PSS World Medical, Inc. (a) 105,462
4,500 Pain Therapeutics, Inc. (a) 40,050
2,300 Par Pharmaceutical Cos., Inc. (a) 51,451
2,600 Parexel International Corp. (a) 75,322
1,180 Pediatric Services of America, Inc. (a) 15,316
3,400 Pediatrix Medical Group, Inc. (a) 166,260
2,900 Penwest Pharmaceuticals Co. (a) 48,198
20,800 Peregrine Pharmaceuticals, Inc. (a) 23,920
6,400 Perrigo Co. 110,720
3,100 PetMed Express, Inc. (a) 41,385
6,100 Pharmaceutical Product Development, Inc. 196,542
700 Pharmacopeia Drug Discovery, Inc. (a) 2,982
2,290 Pharmacyclics, Inc. (a) 11,610
2,900 Pharmion Corp. (a) 74,646
1,140 Pharmos Corp. (a) 2,098
2,423 PolyMedica Corp. 97,913
3,000 Pozen, Inc. (a) 50,970
620 Praecis Pharmaceuticals, Inc. (a) 3,044
2,500 Prestige Brands Holdings, Inc. (a) 32,550
2,400 Progenics Pharmaceuticals, Inc. (a) 61,776
800 ProxyMed, Inc. (a) 3,696
125 Psychemedics Corp. 2,406
3,232 Psychiatric Solutions, Inc. (a) 121,265
2,700 QMed, Inc. (a) 12,420
1,900 Quidel Corp. (a) 25,878
2,000 Radiation Therapy Services, Inc. (a) 63,040
1,600 Regeneration Technologies, Inc. (a) 9,376
3,200 Regeneron Pharmaceuticals, Inc. (a) 64,224
1,900 RehabCare Group, Inc. (a) 28,215
1,800 Renovis, Inc. (a) 5,688
1,200 Res-Care, Inc. (a) 21,780
4,800 Resmed, Inc. (a) 236,256
4,400 Respironics, Inc. (a) 166,100
1,300 Retractable Technologies, Inc. (a) 3,666
7,700 Rita Medical Systems, Inc. (a) 35,420
550 RadNet, Inc. (a) 2,519
4,003 Salix Pharmaceuticals Ltd. (a) 48,717
4,500 Sangamo Biosciences, Inc. (a) 29,700
34
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,700 Santarus, Inc. (a) $ 21,141
3,084 Savient Pharmaceuticals, Inc. (a) 34,572
5,700 Sciclone Pharmaceuticals, Inc. (a) 18,354
2,850 Sciele Pharma, Inc. (a) 68,400
3,600 Seattle Genetics, Inc. (a) 19,188
6,755 Sepracor, Inc. (a) 415,973
5,100 Sierra Health Services, Inc. (a) 183,804
3,515 Sirna Therapeutics, Inc. (a) 45,730
200 Somaxon Pharmaceuticals, Inc. (a) 2,838
3,500 Sonic Innovations, Inc. (a) 18,235
1,800 SonoSite, Inc. (a) 55,674
1,900 Sparta Surgical Corp. (a) 0
500 Spectranetic Corp. (a) 5,645
16 Spectrum Pharmaceuticals, Inc. (a) 88
2,400 Staar Surgical Co. (a) 16,824
10,000 Star Scientific, Inc. (a)(f) 32,500
5,400 StemCells, Inc. (a) 14,310
2,600 Stereotaxis, Inc. (a) 26,832
2,800 Steris Corp. 70,476
3,500 Sun Healthcare Group, Inc. (a) 44,205
3,000 Sunrise Senior Living, Inc. (a) 92,160
3,130 SuperGen, Inc. (a) 15,900
2,300 SurModics, Inc. (a) 71,576
300 Symbion, Inc. (a) 5,553
900 Symmetry Medical, Inc. (a) 12,447
2,100 Synovis Life Technologies, Inc. (a) 20,895
8,500 SyntheMed, Inc. (a) 7,140
3,800 Tanox, Inc. (a) 75,620
850 Targeted Genetics Corp. (a) 4,565
2,500 Techne Corp. (a) 138,625
5,030 Telik, Inc. (a)(f) 22,283
2,600 Tercica, Inc. (a) 13,000
1,900 Theragenics Corp. (a) 5,890
3,200 Theravance, Inc. (a) 98,848
6,600 Third Wave Technologies, Inc. (a) 31,746
3,100 Thoratec Corp. (a) 54,498
7,300 Threshold Pharmaceuticals, Inc. (a) 27,010
2,800 Titan Pharmaceuticals, Inc. (a) 9,296
375 TorreyPines Therapeutics, Inc. (a) 2,768
900 Transgenomic, Inc. (a) 378
4,446 Triad Hospitals, Inc. (a) 185,976
2,900 Trimeris, Inc. (a) 36,859
700 Tripos, Inc. (a) 473
300 Trubion Pharmaceuticals, Inc. (a) 5,403
800 US Physical Therapy, Inc. (a) 9,800
1,800 USANA Health Sciences, Inc. (a) 92,988
3,900 United Surgical Partners International, Inc. (a)(f) 110,565
2,000 United Therapeutics Corp. (a) 108,740
1,500 Universal Display Corp. (a) 22,515
3,700 Universal Health Services, Inc. Class B 205,091
1,700 Urologix, Inc. (a) 3,961
1,100 Utah Medical Products, Inc. 36,289
35
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,940 VCA Antech, Inc. (a) $ 126,829
3,500 Valeant Pharmaceuticals International 60,340
193 Valentis, Inc. (a) 62
2,300 Vanda Pharmaceuticals, Inc. (a) 56,695
7,120 Varian Medical Systems, Inc. (a) 338,698
2,300 Vasomedical, Inc. (a) 191
2,900 Ventana Medical Systems, Inc. (a) 124,787
6,762 Vertex Pharmaceuticals, Inc. (a) 253,034
2,600 ViaCell, Inc. (a) 12,272
1,800 Viasys Healthcare, Inc. (a) 50,076
1,000 Vical, Inc. (a) 6,430
3,300 Vion Pharmaceuticals, Inc. (a) 4,323
1,390 Viragen, Inc. (a)(f) 222
3,700 ViroPharma, Inc. (a) 54,168
1,205 VistaCare, Inc. Class A (a) 12,231
700 Vital Signs, Inc. 34,944
7,400 Vivus, Inc. (a) 26,788
60 Vnus Medical Technologies, Inc. (a) 533
1,400 Volcano Corp. (a) 22,946
15,700 Warner Chilcott Ltd. (a) 216,974
1,600 West Pharmaceutical Services, Inc. 81,968
1,400 Wright Medical Group, Inc. (a) 32,592
15,800 XOMA Ltd. (a)(f) 34,760
800 Xenoport, Inc. (a) 19,640
2,700 Zila, Inc. (a) 6,858
1,055 Zoll Medical Corp. (a) 61,443
3,000 ZymoGenetics, Inc. (a) 46,710
------------
28,996,130
- ------------------------------------------------------------------------------------------------------------------------------
Electronics - 5.6% 7,300 8x8, Inc. (a)(f) 8,541
56 ACE*COMM Corp. (a) 68
4,700 AMIS Holdings, Inc. (a) 49,679
3,100 APAC Customer Services, Inc. (a) 11,625
1,800 ATMI, Inc. (a) 54,954
10,500 AVX Corp. 155,295
1,200 AXT, Inc. (a) 5,664
2,400 Actel Corp. (a) 43,584
3,500 Acuity Brands, Inc. 182,140
5,400 Acxiom Corp. 138,510
400 Advanced Analogic Technologies, Inc. (a) 2,156
2,200 Advanced Energy Industries, Inc. (a) 41,514
11,863 Agere Systems, Inc. (a)(l) 227,414
2,200 Agilysys, Inc. 36,828
1,400 Alliance Fiber Optic Products, Inc. (a) 2,814
2,362 Alliant Techsystems, Inc. (a) 184,685
8,400 Altair Nanotechnologies, Inc. (a) 21,924
1,650 American Physicians Capital, Inc. (a) 66,066
900 American Science & Engineering, Inc. (a) 53,559
100 American Technical Ceramics Corp. (a) 1,628
11,110 Amkor Technology, Inc. (a) 103,767
600 Ampex Corp. (a) 12,486
4,705 Amphenol Corp. Class A 292,086
100 Amtech Systems, Inc. (a) 765
36
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,000 Anadigics, Inc. (a) $ 26,580
2,200 Anaren, Inc. (a) 39,072
9,700 Andrew Corp. (a) 99,231
2,300 Anixter International, Inc. (a) 124,890
25,500 Applied Micro Circuits Corp. (a) 90,780
9,100 Arris Group, Inc. (a) 113,841
6,200 Arrow Electronics, Inc. (a) 195,610
4,300 Asyst Technologies, Inc. (a) 31,433
2,400 Atheros Communications, Inc. (a) 51,168
26,100 Atmel Corp. (a) 157,905
2,200 Audiovox Corp. Class A (a) 30,998
12,400 Avanex Corp. (a)(f) 23,436
3,556 Avid Technology, Inc. (a) 132,497
7,664 Avnet, Inc. (a) 195,662
900 Aware, Inc. (a) 4,797
7,500 Axcelis Technologies, Inc. (a) 43,725
1,500 Axsys Technologies, Inc. (a) 26,355
400 Badger Meter, Inc. 11,080
600 Bel Fuse, Inc. 20,874
2,800 Belden CDT, Inc. 109,452
2,135 Bell Microproducts, Inc. (a) 15,052
3,700 Benchmark Electronics, Inc. (a) 90,132
4,400 Bookham, Inc. (a) 17,908
4,480 Broadwing Corp. (a) 69,978
5,482 Brooks Automation, Inc. (a) 78,941
5,300 Bruker BioSciences Corp. (a) 39,803
1,800 C&D Technologies, Inc. (f) 8,532
2,800 C-COR, Inc. (a) 31,192
22,100 CMGI, Inc. (a) 29,614
2,200 CTS Corp. 34,540
2,600 Cabot Microelectronics Corp. (a) 88,244
18,400 Cadence Design Systems, Inc. (a) 329,544
1,300 CalAmp Corp. (a) 10,972
4,000 California Micro Devices CP (a) 17,520
2,385 Caliper Life Sciences, Inc. (a) 13,642
2,800 Candela Corp. (a) 34,636
5,300 Captaris, Inc. (a) 41,181
3,200 Cepheid, Inc. (a) 27,200
1,103 Ceva, Inc. (a) 7,136
700 Champion Industries, Inc. 6,013
2,300 Checkpoint Systems, Inc. (a) 46,460
5,100 Cirrus Logic, Inc. (a) 35,088
2,200 Coherent, Inc. (a) 69,454
1,300 Cohu, Inc. 26,208
2,400 CommScope, Inc. (a) 73,152
1,800 Comtech Telecommunications Corp. (a) 68,526
27,548 Conexant Systems, Inc. (a) 56,198
4,600 Cox Radio, Inc. Class A (a) 74,980
10,100 Credence Systems Corp. (a) 52,520
3,400 Cree, Inc. (a)(f) 58,888
2,305 Cymer, Inc. (a) 101,305
9,700 Cypress Semiconductor Corp. (a) 163,639
37
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,627 DDi Corp. (a) $ 26,114
2,600 DSP Group, Inc. (a) 56,420
700 DTS, Inc. (a) 16,933
3,100 Daktronics, Inc. 114,235
100 Dataram Corp. 419
3,600 DealerTrack Holdings, Inc. (a) 105,912
2,500 Diodes, Inc. (a) 88,700
1,600 Dionex Corp. (a) 90,736
8,500 Dolby Laboratories, Inc. Class A (a) 263,670
600 Ducommun, Inc. (a) 13,728
1,400 Dynamics Research Corp. (a) 13,650
3,700 EFJ, Inc. (a) 24,938
700 EMS Technologies, Inc. (a) 14,021
4,000 ESS Technology, Inc. (a) 4,120
382 Eagle Broadband, Inc. (a) 180
300 Eagle Test Systems, Inc. (a) 4,374
2,500 Electro Scientific Industries, Inc. (a) 50,350
1,700 Electroglas, Inc. (a) 4,233
5,000 Electronics for Imaging, Inc. (a) 132,900
20 eMagin Corp. (a) 21
1,900 Emcore Corp. (a) 10,507
1,400 Empire Resources, Inc. 15,316
4,300 Emulex Corp. (a) 83,893
1,000 EndWare Corp. (a) 10,830
3,800 Energizer Holdings, Inc. (a) 269,762
3,200 Energy Conversion Devices, Inc. (a) 108,736
1,800 EnerSys (a) 28,800
4,700 Exar Corp. (a) 61,100
1,100 Excel Technology, Inc. (a) 28,149
7,287 Exide Technologies (a) 31,698
3,400 FEI Co. (a) 89,658
5,300 FSI International, Inc. (a) 27,931
5,600 Fairchild Semiconductor International, Inc. (a) 94,136
1,600 Faro Technologies, Inc. (a) 38,464
6,200 First Solar, Inc. (a) 184,760
4,500 Flir Systems, Inc. (a) 143,235
1,000 Flotek Industries, Inc. (a) 28,050
3,200 Formfactor, Inc. (a) 119,200
2,900 FuelCell Energy, Inc. (a)(f) 18,734
2,400 GTC Biotherapeutics, Inc. (a) 2,640
2,900 General Cable Corp. (a) 126,759
2,200 Genesis Energy LP 42,856
3,200 Genesis Microchip, Inc. (a) 32,448
4,000 Getty Images, Inc. (a) 171,280
4,700 Glenayre Technologies, Inc. (a) 11,985
4,300 Harmonic, Inc. (a) 31,261
8,390 Harris Corp. 384,765
1,520 Harvard Bioscience, Inc. (a) 7,798
5,400 Hearst-Argyle Television, Inc. 137,700
2,275 Herley Industries, Inc. (a) 36,832
447 Hifn, Inc. (a) 2,387
2,200 Hittite Microwave Corp. (a) 71,104
38
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,400 Houston Wire & Cable Co. (a)(f) $ 50,160
800 Hungarian Telephone & Cable (a) 12,080
2,895 Hutchinson Technology, Inc. (a) 68,235
4,300 INVESTools, Inc. (a) 59,297
4,300 ION Media Networks, Inc. (a) 2,150
2,800 IRIS International, Inc. (a) 35,420
1,900 IXYS Corp. (a) 16,910
3,800 Ikanos Communications, Inc. (a) 33,022
3,400 Illumina, Inc. (a) 133,654
3,600 Infosonics Corp. (a)(f) 17,676
3,935 Innovex, Inc. (a) 6,847
2,600 Integrated Silicon Solutions, Inc. (a) 14,950
5,900 Interactive Data Corp. 141,836
3,400 International Rectifier Corp. (a) 131,002
9,415 Intersil Corp. Class A 225,207
2,000 Itron, Inc. (a) 103,680
2,600 Ixia (a) 24,960
1,200 Keithley Instruments, Inc. 15,780
2,800 Kemet Corp. (a) 20,440
2,600 Komag, Inc. (a) 98,488
4,200 Kopin Corp. (a) 14,994
5,800 Kulicke & Soffa Industries, Inc. (a) 48,720
100 LCC International, Inc. Class A (a) 422
7,900 Lam Research Corp. (a) 399,898
7,270 Lattice Semiconductor Corp. (a) 47,110
900 LeCroy Corp. (a) 10,359
6,100 Leadis Technology, Inc. (a) 28,609
100 Lightpath Technologies, Inc. Class A (a) 470
2,570 Littelfuse, Inc. (a) 81,932
13,300 MEMC Electronic Materials, Inc. (a) 520,562
5,253 MKS Instruments, Inc. (a) 118,613
7,287 MRV Communications, Inc. (a) 25,796
1,900 MTS Systems Corp. 73,378
40,700 Marvell Technology Group Ltd. (a)(h) 781,033
5,200 Mattson Technology, Inc. (a) 48,464
2,200 Maxwell Technologies, Inc. (a) 30,690
1,400 Mercury Computer Systems, Inc. (a) 18,704
4,600 Methode Electronics, Inc. 49,818
2,500 Mettler Toledo International, Inc. (a) 197,125
4,117 Microsemi Corp. (a) 80,899
2,000 Microtune, Inc. (a) 9,400
1,700 Mobility Electronics, Inc. (a) 5,695
100 Monolithic Power Systems, Inc. (a) 1,111
1,855 MoSys, Inc. (a) 17,159
1,100 Multi-Fineline Electronix, Inc. (a) 22,319
25 M-Wave, Inc. (a) 57
2,900 NU Horizons Electronics Corp. (a) 29,841
4,225 Nanogen, Inc. (a) 7,858
2,000 Nanometrics, Inc. (a) 15,820
3,000 Nanophase Technologies Corp. (a) 17,910
3,700 Napco Security Systems, Inc. (a)(f) 21,719
320 Neomagic Corp. (a) 1,878
39
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,000 Neoware Systems, Inc. (a) $ 13,210
2,800 NETGEAR, Inc. (a) 73,500
4,700 NetList, Inc. (a) 45,684
600 Netlogic Microsystems, Inc. (a) 13,014
1,300 Newport Corp. (a) 27,235
13,335 Nuance Communications, Inc. (a) 152,819
25,850 ON Semiconductor Corp. (a) 195,684
800 OSI Systems, Inc. (a) 16,744
2,800 Omni Energy Services Corp. (a) 27,412
5,000 Omnivision Technologies, Inc. (a) 68,250
2,600 Oplink Communications, Inc. (a) 53,456
400 Optical Communication Products, Inc. (a) 656
300 PDF Solutions, Inc. (a) 4,335
1,500 PLX Technology, Inc. (a) 19,560
1,600 Palomar Medical Technologies, Inc. (a)(f) 81,072
1,150 Park Electrochemical Corp. 29,498
800 ParkerVision, Inc. (a)(f) 8,920
7,400 Pemstar, Inc. (a) 28,490
1,500 Pericom Semiconductor Corp. (a) 17,205
1,600 Photon Dynamics, Inc. (a) 18,704
3,300 Pixelworks, Inc. (a) 7,557
900 Planar Systems, Inc. (a) 8,703
1,600 Plantronics, Inc. 33,920
3,000 Plexus Corp. (a) 71,640
2,800 PortalPlayer, Inc. (a) 37,660
600 Powell Industries, Inc. (a) 18,942
1,000 Power Integrations, Inc. (a) 23,450
5,100 Power-One, Inc. (a) 37,128
4,200 Powerwave Technologies, Inc. (a) 27,090
400 Preformed Line Products Co. 14,100
8,400 Quantum Corp. (a) 19,488
200 QuickLogic Corp. (a) 594
6,835 RF Micro Devices, Inc. (a) 46,410
900 Radisys Corp. (a) 15,003
8,300 Rambus, Inc. (a)(f) 157,119
1,900 Raven Industries, Inc. 50,920
700 Rex Stores Corp. (a) 12,418
800 Richardson Electronics Ltd. 7,288
1,500 Rofin-Sinar Technologies, Inc. (a) 90,690
2,928 Rudolph Technologies, Inc. (a) 46,614
5,900 SAFLINK Corp. (a)(f) 708
800 SCM Microsystems, Inc. (a) 2,520
1,200 Sagemark Cos. Ltd. (a) 780
41,132 Seagate Technology 1,089,998
1,100 Semitool, Inc. (a) 14,641
4,200 Semtech Corp. (a) 54,894
5,500 Sigmatel, Inc. (a) 24,090
1,200 Sigmatron International, Inc. (a) 11,040
4,700 Silicon Image, Inc. (a) 59,784
3,600 Silicon Laboratories, Inc. (a) 124,740
6,000 Silicon Storage Technology, Inc. (a) 27,060
4,900 SimpleTech, Inc. (a) 62,132
40
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,000 Sirenza Microdevices, Inc. (a) $ 31,440
3,900 Sirf Technology Holdings, Inc. (a) 99,528
13,100 Skyworks Solutions, Inc. (a) 92,748
2,300 Smart Modular Technologies WWH, Inc. (a) 30,958
9,000 Spansion LLC Class A (a) 133,740
1,300 SpectraLink Corp. (a) 11,180
3,100 Spectrum Brands, Inc. (a) 33,790
3,100 Staktek Holdings, Inc. (a) 15,965
2,100 Standard Microsystems Corp. (a) 58,758
9,600 Stratex Networks, Inc. (a) 46,368
5,500 SunPower Corp. Class A (a)(f) 204,435
200 Suntron Corp. (a) 210
432 Superconductor Technologies, Inc. (a) 765
1,900 Superior Essex, Inc. (a) 63,175
1,500 Supertex, Inc. (a) 58,875
4,176 Symmetricom, Inc. (a) 37,250
2,400 Synaptics, Inc. (a) 71,256
5,500 Syntax-Brillian Corp. (a)(f) 47,245
2,300 TTM Technologies, Inc. (a) 26,059
4,730 Taser International, Inc. (a)(f) 35,948
1,900 Technitrol, Inc. 45,391
300 Techwell, Inc. (a) 4,818
841 Tegal Corp. (a) 5,130
5,600 Tekelec (a) 83,048
3,300 Telkonet, Inc. (a)(f) 8,811
75 Terabeam, Inc. (a) 149
3,900 Tessera Technologies, Inc. (a) 157,326
5,500 Therma-Wave, Inc. (a) 6,545
3,265 Thomas & Betts Corp. (a) 154,369
800 Tollgrade Communications, Inc. (a) 8,456
11,200 Transmeta Corp. (a) 12,432
5,200 TranSwitch Corp. (a) 7,280
9,645 TriQuint Semiconductor, Inc. (a) 43,403
200 Tvia, Inc. (a) 212
1,500 Tweeter Home Entertainment Group, Inc. (a) 3,180
3,400 Ultra Clean Holdings, Inc. (a) 41,990
2,800 Ultralife Batteries, Inc. (a) 30,828
1,700 Ultratech, Inc. (a) 21,216
1,300 United Industrial Corp. 65,975
600 Unitil Corp. 15,210
6,300 Valence Technology, Inc. (a)(f) 10,395
2,050 Varian, Inc. (a) 91,820
3,100 Varian Semiconductor Equipment Associates, Inc. (a) 141,112
1,400 Viasat, Inc. (a) 41,734
2,400 Vicor Corp. 26,664
1,300 Virage Logic Corp. (a) 12,077
8,361 Vishay Intertechnology, Inc. (a) 113,208
300 Volterra Semiconductor Corp. (a) 4,500
66 Vyyo, Inc. (a) 295
3,600 WJ Communications, Inc. (a) 5,652
104 Wave Wireless Corp. (a) 0
11,700 Western Digital Corp. (a) 239,382
41
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
5,117 Zebra Technologies Corp. Class A (a) $ 178,020
7,424 Zhone Technologies, Inc. (a)(f) 9,651
3,361 Zoran Corp. (a) 49,003
------------
18,297,465
- ------------------------------------------------------------------------------------------------------------------------------
Energy & Raw Materials - 3.5% 1,000 APCO Argentina, Inc. 87,470
800 Adams Resources & Energy, Inc. 24,080
3,000 Alliance Resource Partners LP 103,560
3,200 Alpha Natural Resources, Inc. (a) 45,536
4,000 Amerigas Partners LP 130,120
7,700 Arch Coal, Inc. 231,231
1,600 Atlas Pipeline Partners LP 76,800
1,800 Atwood Oceanics, Inc. (a) 88,146
600 Barnwell Industries, Inc. 14,370
3,900 Berry Petroleum Co. Class A 120,939
6,600 Boardwalk Pipeline Partners LP 203,412
5,500 Brigham Exploration Co. (a) 40,205
1,800 Bristow Group, Inc. (a) 64,962
2,700 Bronco Drilling Co., Inc. (a) 46,413
3,900 Buckeye GP Holdings LP 63,882
2,100 Buckeye Partners LP 97,608
2,450 CARBO Ceramics, Inc. 91,556
1,700 CREDO Petroleum Corp. (a) 20,383
3,920 Cabot Oil & Gas Corp. Class A 237,748
1,400 Calumet Specialty Products Partners LP 56,056
7,000 Cameron International Corp. (a) 371,350
5,600 Canyon Resources Corp. (a) 4,760
5,816 Cimarex Energy Co. 212,284
3,100 Compass Minerals International, Inc. 97,836
3,600 Crosstex Energy, Inc. 114,084
1,200 Dawson Geophysical Co. (a) 43,716
6,000 Denbury Resources, Inc. (a) 166,740
1,800 Double Eagle Pete & Mining Co. (a) 44,154
3,400 Dril-Quip, Inc. (a) 133,144
8,420 ENSCO International, Inc. 421,505
7,300 Enterprise GP Holdings LP 269,881
29,805 Enterprise Products Partners LP 863,749
3,900 The Exploration Co. of Delaware, Inc. (a) 52,026
3,500 FMC Technologies, Inc. (a) 215,705
4,300 Ferrellgas Partners LP 91,934
2,900 Forest Oil Corp. (a) 94,772
4,000 Foundation Coal Holdings, Inc. 127,040
2,300 Goodrich Petroleum Corp. (a) 83,214
6,900 Grant Prideco, Inc. (a) 274,413
10,600 Grey Wolf, Inc. (a) 72,716
3,949 Hanover Compressor Co. (a) 74,597
3,100 Headwaters, Inc. (a) 74,276
5,400 Helmerich & Payne, Inc. 132,138
1,200 Holly Energy Partners LP 48,300
2,000 Hydril Co. (a) 150,380
4,700 ICO Inc. (a) 26,508
4,300 Inergy LP 128,183
2,900 James River Coal Co. (a)(f) 26,912
42
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
6,500 Joy Global, Inc. $ 314,210
16,300 Kinder Morgan Energy Partners LP 780,770
3,700 Kirby Corp. (a) 126,281
1,500 Lufkin Industries, Inc. 87,120
600 MAXXAM, Inc. (a) 17,442
5,700 Massey Energy Co. 132,411
7,650 McDermott International, Inc. (a) 389,079
3,300 NL Industries, Inc. 34,122
2,200 Natural Gas Services Group (a) 30,580
1,300 Natural Resource Partners LP 75,335
5,200 Newpark Resources, Inc. (a) 37,492
9,680 Noble Energy, Inc. 474,998
2,300 Oil States International, Inc. (a) 74,129
4,100 Parallel Petroleum Corp. (a) 72,037
8,400 Parker Drilling Co. (a) 68,628
800 Penn Virginia Corp. 56,032
1,800 Penn Virginia Resource Partners LP 46,818
1,680 Petroleum Development Corp. (a) 72,324
3,000 Pioneer Drilling Co. (a) 39,840
7,041 Plains All American Pipeline LP 360,499
5,700 Prolong International Corp. (a) 12
3,212 Quantum Fuel Systems Technologies Worldwide, Inc. (a)(f) 5,140
100 RGC Resources, Inc. 2,535
9,000 Range Resources Corp. 247,140
1,777 SEACOR Holdings, Inc. (a) 176,172
907 Solexa, Inc. (a) 11,927
9,100 Southwestern Energy Co. (a) 318,955
1,900 Swift Energy Co. (a) 85,139
2,100 TC PipeLines LP 75,600
3,855 Tidewater, Inc. 186,428
4,200 USEC, Inc. (a) 53,424
3,200 Unit Corp. (a) 155,040
4,200 Valero GP Holdings LLC 104,244
2,300 W-H Energy Services, Inc. (a) 111,987
500 Westmoreland Coal Co. (a) 9,835
2,400 Williams Partners LP 92,880
2,400 World Fuel Services Corp. 106,704
1,300 Xanser Corp. (a) 6,318
------------
11,300,421
- ------------------------------------------------------------------------------------------------------------------------------
Energy & Utilities - 3.5% 5,500 AGL Resources, Inc. 214,005
1,100 ATG, Inc. (a) 0
3,500 Active Power, Inc. (a) 9,170
1,800 Allete, Inc. 83,772
6,000 Alliant Energy Corp. 226,620
1,850 American States Water Co. 71,447
6,517 Aqua America, Inc. 148,457
13,110 Aquila, Inc. (a) 61,617
225 Artesian Resources Corp. Class A 4,423
6,300 Atmos Energy Corp. 201,033
200 Atrion Corp. 15,550
3,900 Aventine Renewable Energy Holdings, Inc. (a) 91,884
4,400 Avista Corp. 111,364
43
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
200 BIW Ltd. $ 3,140
3,500 Basin Water, Inc. (a) 23,695
7,730 Beacon Power Corp. (a)(f) 7,653
2,600 Black Hills Corp. 96,044
900 CH Energy Group, Inc. 47,520
900 California Water Service Group 36,360
800 Cascade Natural Gas Corp. 20,736
2,766 Catalytica Energy Systems, Inc. (a) 5,726
2,000 Central Vermont Public Service Corp. 47,100
1,300 Chesapeake Utilities Corp. 39,845
2,900 Cleco Corp. 73,167
600 Connecticut Water Service, Inc. 13,650
100 Contango Oil & Gas Co. (a) 2,384
2,100 Copano Energy LLC 125,265
300 DCP Midstream Partners LP 10,365
7,935 DPL, Inc. 220,434
100 Delta Natural Gas Co., Inc. 2,508
3,000 Duquesne Light Holdings, Inc. 59,550
3,100 El Paso Electric Co. (a) 75,547
2,900 The Empire District Electric Co. 71,601
5,100 Energen Corp. 239,394
7,600 Energy East Corp. 188,480
7,700 Energy Transfer Partners LP 416,570
200 Energy West, Inc. 2,220
450 EnergySouth, Inc. 18,045
7,680 Equitable Resources, Inc. 320,640
4,700 Evergreen Energy, Inc. (a)(f) 46,483
199 Florida Public Utilities Co. 2,637
100 GeoMet, Inc. (a) 1,040
2,100 Global Partners LP 54,558
5,800 Great Plains Energy, Inc. 184,440
1,000 Green Mountain Power Corp. 33,890
4,420 Hawaiian Electric Industries, Inc. 120,003
2,800 IDACORP, Inc. 108,220
1,200 The Laclede Group, Inc. 42,036
9,425 MDU Resources Group, Inc. 241,657
800 MGE Energy, Inc. 29,264
3,100 Magellan Midstream Holdings LP (f) 69,130
300 MarkWest Hydrocarbon, Inc. 14,565
766 Middlesex Water Co. 14,347
19,200 Mirant Corp. (a) 606,144
9,900 Mueller Water Products, Inc. Series A (f) 147,213
9,730 NRG Energy, Inc. (a) 544,977
5,800 NSTAR 199,288
5,850 National Fuel Gas Co. 225,459
2,440 New Jersey Resources Corp. 118,535
8,000 Northeast Utilities 225,280
1,600 Northwest Natural Gas Co. 67,904
2,000 NorthWestern Corp. 70,760
5,200 OGE Energy Corp. 208,000
5,700 ONEOK Partners LP (f) 361,038
5,990 Oneok, Inc. 258,289
44
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,700 Ormat Technologies, Inc. $ 62,594
1,300 Otter Tail Corp. 40,508
4,800 PNM Resources, Inc. 149,280
177 Pennichuck Corp. 3,581
12,473 Pepco Holdings, Inc. 324,423
4,500 Piedmont Natural Gas Co. (f) 120,375
2,600 Pike Electric Corp. (a) 42,458
4,200 Portland General Electric Co. 114,450
8,200 Puget Energy, Inc. 207,952
3,800 Regency Energy Partners LP 103,170
19,800 Reliant Energy, Inc. (a) 281,358
6,200 SCANA Corp. 251,844
5,800 SEMCO Energy, Inc. (a) 35,380
600 SJW Corp. 23,256
11,300 Sierra Pacific Resources (a) 190,179
1,600 South Jersey Industries, Inc. 53,456
7,454 Southern Union Co. 208,339
2,400 Southwest Gas Corp. 92,088
1,571 Southwest Water Co. 21,617
600 Streicher Mobile Fueling, Inc. (a) 840
2,400 Transmeridian Exploration, Inc. (a) 8,280
7,360 UGI Corp. 200,781
1,833 UIL Holdings Corp. 77,334
3,200 Unisource Energy Corp. 116,896
3,400 Vectren Corp. 96,152
1,200 Venoco, Inc. (a) 21,072
4,250 VeraSun Energy Corp. (a)(f) 83,938
2,740 Veritas DGC, Inc. (a) 234,626
3,200 WGL Holdings, Inc. 104,256
3,000 WPS Resources Corp. 162,090
4,625 Westar Energy, Inc. 120,065
6,280 Wisconsin Energy Corp. 298,049
------------
11,252,825
- ------------------------------------------------------------------------------------------------------------------------------
Food & Agriculture - 2.8% 400 Alico, Inc. 20,252
3,200 American Italian Pasta Co. Class A (a)(f) 28,480
1,600 The Andersons, Inc. 67,824
500 Bridgford Foods Corp. (a) 3,135
8,800 Bunge Ltd. 638,088
9,300 Burger King Holdings, Inc. (a) 196,230
4,800 CF Industries Holdings, Inc. 123,072
200 Cagle's, Inc. Class A (a) 1,630
4,102 Chiquita Brands International, Inc. 65,509
400 Coca-Cola Bottling Co. Consolidated 27,372
300 Consolidated-Tomoka Land Co. 21,720
5,200 Corn Products International, Inc. 179,608
1,200 Cuisine Solutions, Inc. (a) 6,840
500 Dairy Mart Convenience Stores (a) 0
3,500 Darling International, Inc. (a) 19,285
14,000 Del Monte Foods Co. 154,420
2,280 Delta & Pine Land Co. 92,226
900 Eden Bioscience Corp. (a) 477
400 Embrex, Inc. (a) 6,752
45
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
300 Farmer Bros. Co. $ 6,405
100 Fisher Communications, Inc. (a) 4,421
3,812 Flowers Foods, Inc. 102,886
4,500 Fresh Del Monte Produce, Inc. 67,095
700 Gehl Co. (a) 19,271
600 Golden Enterprises, Inc. 1,902
1,100 Green Mountain Coffee Roasters, Inc. (a) 54,153
1,000 Griffin Land & Nurseries, Inc. (a) 32,450
3,539 Hain Celestial Group, Inc. (a) 110,452
4,100 Hines Horticulture, Inc. (a) 6,929
8,286 Hormel Foods Corp. 309,399
1,512 Imperial Sugar Co. New Shares (f) 36,606
2,100 Ingles Markets, Inc. Class A 62,559
3,765 Ionatron, Inc. (a)(f) 15,436
1,000 J&J Snack Foods Corp. 41,400
2,919 The J.M. Smucker Co. 141,484
700 John B. Sanfilippo & Son, Inc. (a) 8,582
3,100 Jones Soda Co. (a) 38,130
119,580 Kraft Foods, Inc. (f) 4,269,006
1,800 Lance, Inc. 36,144
3,400 Lifeway Foods, Inc. (a) 31,790
1,700 MGP Ingredients, Inc. 38,437
400 Maui Land & Pineapple Co., Inc. (a) 13,568
700 Monterey Gourmet Foods, Inc. (a) 3,059
2,020 Nash Finch Co. 55,146
875 Neogen Corp. (a) 19,425
5,900 NitroMed, Inc. (a) 14,455
2,000 The Pantry, Inc. (a) 93,680
1,900 Peet's Coffee & Tea, Inc. (a) 49,856
8,227 PepsiAmericas, Inc. 172,602
3,400 Performance Food Group Co. (a) 93,976
4,200 Pilgrim's Pride Corp. 123,606
1,800 Pioneer Cos., Inc. (a) 51,588
1,900 Premium Standard Farms, Inc. 35,283
2,032 Ralcorp Holdings, Inc. (a) 103,408
1,424 Rocky Mountain Chocolate Factory, Inc. 20,933
2,150 Sanderson Farms, Inc. 65,124
4,200 Schiff Nutrition International, Inc. (a) 27,930
3,800 The Scotts Miracle-Gro Co. 196,270
100 Seaboard Corp. 176,500
200 Seneca Foods Corp. (a) 4,860
1,800 Smart & Final, Inc. (a) 34,020
6,500 Smithfield Foods, Inc. (a) 166,790
114 SoftBrands, Inc. (a) 194
1,700 Spartan Stores, Inc. 35,581
2,000 Susser Holdings Corp. (a) 36,000
400 Tasty Baking Co. 3,596
500 Tejon Ranch Co. (a) 27,920
4,600 Terra Industries, Inc. (a) 55,108
2,780 Tootsie Roll Industries, Inc. 90,906
1,812 TreeHouse Foods, Inc. (a) 56,534
3,700 United Natural Foods, Inc. (a) 132,904
46
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,800 Wild Oats Markets, Inc. (a) $ 40,264
800 Willamette Valley Vineyards, Inc. (a) 5,440
500 Zanett, Inc. (a) 695
800 Zapata Corp. (a) 5,600
------------
9,100,678
- ------------------------------------------------------------------------------------------------------------------------------
Gold - 0.1% 1,200 Aurora Oil & Gas Corp. (a) 3,852
5,580 Meridian Gold, Inc. (a) 155,068
4,100 NGAS Resources, Inc. (a)(f) 26,158
2,535 Royal Gold, Inc. (f) 91,209
3,500 US Gold Corp. (a)(f) 17,675
------------
293,962
- ------------------------------------------------------------------------------------------------------------------------------
Insurance - 4.4% 1,300 21st Century Holding Co. 30,875
5,200 21st Century Insurance Group 91,780
700 ACA Capital Holdings, Inc. (a) 10,822
2,600 Affirmative Insurance Holdings, Inc. 42,302
4,900 Alfa Corp. 92,169
632 Alleghany Corp. (a) 229,795
3,600 Allied World Assurance Holdings Ltd. 157,068
4,200 American Equity Investment Life Holding Co. 54,726
6,750 American Financial Group, Inc. 242,392
1,700 American National Insurance Co. 193,987
2,900 Amerisafe, Inc. (a) 44,834
500 Amtrust Financial Services, Inc. 4,275
4,805 Arch Capital Group Ltd. (a) 324,866
1,800 Argonaut Group, Inc. (a) 62,748
4,700 Arthur J. Gallagher & Co. 138,885
5,600 Aspen Insurance Holdings Ltd. 147,616
9,505 Assurant, Inc. 525,151
4,100 Assured Guaranty Ltd. 109,060
700 Atlantic American Corp. (a) 2,072
10,000 Axis Capital Holdings Ltd. 333,700
950 Baldwin & Lyons, Inc. Class B 24,263
1,780 Bristol West Holdings, Inc. 28,177
7,500 Brown & Brown, Inc. 211,575
18,629 CNA Financial Corp. (a) 751,121
1,500 CNA Surety Corp. (a) 32,250
1,000 Clark, Inc. 16,630
4,100 Commerce Group, Inc. 121,975
12,600 Conseco, Inc. (a) 251,748
3,200 Crawford & Co. Class B 23,360
2,950 Delphi Financial Group Class A 119,357
2,600 Direct General Corp. 53,664
100 Donegal Group, Inc. Class A 1,959
3,000 eHealth, Inc. (a) 60,330
1,900 EMC Insurance Group, Inc. 64,828
5,100 Endurance Specialty Holdings Ltd. 186,558
3,700 Erie Indemnity Co. Class A 214,526
3,500 Everest Re Group Ltd. 343,385
1,200 FBL Financial Group, Inc. Class A 46,896
400 FMS Financial Corp. 12,680
1,500 FPIC Insurance Group, Inc. (a) 58,455
13,564 Fidelity National Title Group, Inc. Class A 323,908
47
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
6,635 First American Corp. $ 269,912
2,700 First Mercury Financial Corp. (a) 63,504
400 First United Corp. 8,712
4,500 Fremont General Corp. 72,945
3,210 Great American Financial Resources, Inc. 73,990
7,750 HCC Insurance Holdings, Inc. 248,697
3,100 The Hanover Insurance Group, Inc. 151,280
2,000 Harleysville Group, Inc. 69,640
1,900 Hilb Rogal & Hobbs Co. 80,028
2,400 Horace Mann Educators Corp. 48,480
5,700 IPC Holdings, Ltd. 179,265
720 Independence Holding Co. 15,718
2,000 Infinity Property & Casualty Corp. 96,780
6,000 Isolagen, Inc. (a) 17,580
1,500 KMG America Corp (a) 14,385
400 Kansas City Life Insurance Co. 19,928
1,600 LandAmerica Financial Group, Inc. 100,976
700 Markel Corp. (a) 336,070
5,700 Max Re Capital Ltd. 141,474
3,900 Meadowbrook Insurance Group, Inc. (a) 38,571
1,600 Mercer Insurance Group, Inc. 32,256
100 Merchants Group, Inc. 3,235
3,700 Mercury General Corp. 195,101
6,300 Montpelier Re Holdings Ltd. 117,243
500 NYMAGIC, Inc. 18,300
3,200 National Atlantic Holdings Corp. (a) 37,312
500 National Interstate Corp. 12,150
1,000 National Medical Health Card Systems, Inc. (a) 11,810
10,500 Nationwide Financial Services, Inc. Class A 569,100
700 Navigators Group, Inc. (a) 33,726
5,900 Odyssey Re Holdings Corp. 220,070
3,900 Ohio Casualty Corp. 116,259
12,112 Old Republic International Corp. 281,967
8,400 OneBeacon Insurance Group Ltd. (a) 235,200
4,695 PMA Capital Corp. Class A (a) 43,288
5,400 The PMI Group, Inc. 254,718
3,600 PartnerRe Ltd. 255,708
250 Penn Treaty American Corp. (a) 1,923
5,800 Philadelphia Consolidated Holding Co. (a) 258,448
5,500 The Phoenix Cos., Inc. 87,395
2,100 Pico Holdings, Inc. (a) 73,017
3,200 Platinum Underwriters Holdings Ltd. 99,008
1,700 Presidential Life Corp. 37,315
2,800 ProAssurance Corp. (a) 139,776
3,800 Protective Life Corp. 180,500
1,100 RLI Corp. 62,062
200 RTW, Inc. (a) 1,804
5,344 Radian Group, Inc. 288,095
4,500 Reinsurance Group of America, Inc. 250,650
5,600 RenaissanceRe Holdings Ltd. 336,000
400 SCPIE Holdings, Inc. (a) 10,456
1,700 Safety Insurance Group, Inc. 86,207
48
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
5,600 Scottish Re Group Ltd. $ 29,904
2,900 SeaBright Insurance Holdings, Inc. (a) 52,229
5,800 Security Capital Assurance Ltd. 161,414
2,200 Selective Insurance Group 126,038
3,000 Stancorp Financial Group, Inc. 135,150
1,825 State Auto Financial Corp. 63,382
900 Stewart Information Services Corp. 39,024
2,300 Tower Group, Inc. 71,461
4,631 Transatlantic Holdings, Inc. 287,585
1,600 Triad Guaranty, Inc. (a) 87,792
2,100 USI Holdings Corp. (a) 32,256
300 Unico American Corp. (a) 3,924
1,300 United America Indemnity, Ltd. (a) 32,929
2,700 United Fire & Casualty Co. 95,175
3,800 Unitrin, Inc. 190,418
5,800 Universal American Financial Corp. (a) 108,112
10,790 W.R. Berkley Corp. 372,363
3,000 WellCare Health Plans, Inc. (a) 206,700
2,450 Zenith National Insurance Corp. 114,930
------------
14,395,588
- ------------------------------------------------------------------------------------------------------------------------------
International Oil - 0.3% 2,700 ATP Oil & Gas Corp. (a) 106,839
16,489 GlobalSantaFe Corp. 969,223
4,700 Sulphco, Inc. (a)(f) 22,184
------------
1,098,246
- ------------------------------------------------------------------------------------------------------------------------------
Liquor - 0.1% 1,900 Boston Beer Co., Inc. Class A (a) 68,362
3,312 Central European Distribution Corp. (a) 98,366
2,300 National Beverage Corp. 32,269
100 Pyramid Breweries, Inc. (a) 307
------------
199,304
- ------------------------------------------------------------------------------------------------------------------------------
Media - 2.3% 2,300 ACCO Brands Corp. (a) 60,881
1,000 Acme Communications, Inc. (a) 5,020
2,250 America's Car Mart, Inc. (a) 26,685
1,400 Banta Corp. 50,960
4,500 Beasley Broadcasting Group, Inc. Class A 43,065
6,480 Belo Corp. Class A 119,038
16,800 Blockbuster, Inc. Class A (a) 88,872
8,700 CNET Networks, Inc. (a) 79,083
50 CTN Media Group, Inc. (a) 0
19,500 Cablevision Systems Corp. Class A 555,360
600 Cadmus Communications Corp. 14,652
2,300 Carmike Cinemas, Inc. (f) 46,897
38,400 Charter Communications, Inc. Class A (a) 117,504
7,100 Citadel Broadcasting Corp. 70,716
1,500 Consolidated Graphics, Inc. (a) 88,605
7,100 Crown Media Holdings, Inc. Class A (a) 25,773
5,365 Cumulus Media, Inc. Class A (a) 55,742
2,500 Document Security Systems, Inc. (a)(f) 27,725
8,600 DreamWorks Animation SKG, Inc. Class A (a) 253,614
32,865 EchoStar Communications Corp. Class A (a) 1,249,856
4,400 Emmis Communications Corp. Class A 36,256
3,400 Entercom Communications Corp. 95,812
6,500 Entravision Communications Corp. Class A (a) 53,430
49
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
7,280 Gartner, Inc. Class A (a) $ 144,071
4,200 GateHouse Media, Inc. 77,952
2,220 Gaylord Entertainment Co. (a) 113,065
2,200 Gray Television, Inc. 16,126
80 iBEAM Broadcasting Corp. (a) 0
11,700 Idearc Inc. (a) 335,205
20 Intraware, Inc. (a) 131
4,400 John Wiley & Sons, Inc. Class A 169,268
4,500 Journal Communications, Inc. Class A 56,745
5,200 Journal Register Co. 37,960
2,900 The Knot, Inc. (a) 76,096
2,400 Lee Enterprises, Inc. 74,544
26,141 Liberty Global, Inc. (a) 762,010
3,922 Liberty Global, Inc. Series C (a) 109,816
3,200 Lin TV Corp. Class A (a) 31,840
4,000 Live Nation (a) 89,600
400 Loral Space & Communications Ltd. (a) 16,288
3,600 Martha Stewart Living Omnimedia, Inc. Class A (f) 78,840
5,100 McClatchy Co. Class A 220,830
800 Media General, Inc. Class A 29,736
10,900 Mediacom Communications Corp. Class A (a) 87,636
5,600 Navarre Corp. (a)(f) 22,288
1,400 Network Equipment Technologies, Inc. (a) 8,148
2,500 Nexstar Broadcasting Group, Inc. Class A (a) 11,500
10,600 Palatin Technologies, Inc. (a) 21,624
1,700 Penton Media, Inc. (a) 1,301
2,100 Playboy Enterprises, Inc. Class B (a) 24,066
15,534 Primedia, Inc. (a) 26,252
9,800 Radio One, Inc. Class A (a) 65,954
3,300 The Reader's Digest Association, Inc. Class A 55,110
12,400 Regal Entertainment Group Series A 264,368
2,900 Regent Communications, Inc. (a) 8,207
1,500 Rewards Network, Inc. (a) 10,425
1,425 Saga Communications, Inc. Class A (a) 13,694
1,600 Salem Communications Corp. Class A 19,120
3,510 Scholastic Corp. (a) 125,798
9,100 Sinclair Broadcast Group, Inc. Class A 95,550
6,730 Source Interlink Cos., Inc. (a) 54,917
5,100 Spanish Broadcasting System, Inc. Class A (a) 20,961
4,980 Sun-Times Media Group, Inc. 24,452
9,965 TiVo, Inc. (a) 51,021
320 Triple Crown Media, Inc. (a) 2,477
600 United Capital Corp. (a) 17,718
9,900 Univercell Holdings, Inc. (a) 74
2,000 Valassis Communications, Inc. (a) 29,000
2,300 ValueVision Media, Inc. Class A (a) 30,222
2,100 WPT Enterprises, Inc. (a) 8,106
625 Washington Post Class B 466,000
3,600 Westwood One, Inc. 25,416
6,900 WorldSpace, Inc. Class A (a)(f) 24,150
20,675 XM Satellite Radio Holdings, Inc. Class A (a) 298,754
2,400 Young Broadcasting, Inc. Class A (a) 6,768
------------
7,526,746
- ------------------------------------------------------------------------------------------------------------------------------
50
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
Miscellaneous - 0.9% 5,400 Alliance Holdings GP LP $ 106,704
2,200 Coinstar, Inc. (a) 67,254
4,600 Complete Production Services, Inc. (a) 97,520
4,600 Delek US Holdings, Inc. 75,394
2,400 DynCorp. International, Inc. (a) 38,088
1,300 Gerber Scientific, Inc. (a) 16,328
3,100 Goodman Global, Inc. (a) 53,320
6,800 International Coal Group, Inc. (a) 37,060
10,407 Liberty Media Holding Corp. - Capital (a) 1,019,678
48,836 Liberty Media Holding Corp. - Interactive (a) 1,053,393
100 Nextest Systems Corp. (a) 1,127
500 Northstar Neuroscience, Inc. (a) 7,190
500 Pegasus Wireless Corp. (a)(f) 695
2,700 Penson Worldwide, Inc. (a) 74,007
2,900 Smith & Wesson Holding Corp. (a) 29,986
1,500 Teekay LNG Partners LP 49,965
2,200 Visicu, Inc. (a) 24,640
------------
2,752,349
- ------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance - 10.5% 1,210 1st Source Corp. 38,877
4,050 AG Edwards, Inc. 256,324
2,900 Acacia Research - Acacia Technologies (a) 38,802
2,247 Accredited Home Lenders Holding Co. (a) 61,298
3,900 Advance America, Cash Advance Centers, Inc. 57,135
2,700 Advanta Corp. Class B 117,801
2,500 Affiliated Managers Group (a) 262,825
1,400 Agree Realty Corp. 48,118
5,600 AllianceBernstein Holding LP 450,240
1,500 Amcore Financial, Inc. 49,005
2,300 American Campus Communities, Inc. 65,481
11,200 American Financial Realty Trust 128,128
2,944 American Home Mortgage Investment Corp. 103,393
6,650 AmeriCredit Corp. (a) 167,380
100 Ampal American Israel Class A (a) 479
1,600 Anchor Bancorp Wisconsin, Inc. 46,112
5,900 Ashford Hospitality Trust, Inc. 73,455
2,100 Asset Acceptance Capital Corp. (a) 35,322
1,900 Asta Funding, Inc. 57,836
6,050 Astoria Financial Corp. 182,468
74 Atlantic Coast Federal Corp. 1,349
2,600 Atlantis Plastics, Inc. (a) 8,476
300 BNP Residential Properties, Inc. 7,245
4,201 BOK Financial Corp. 230,971
1,900 BP Prudhoe Bay Royalty Trust 146,262
1,100 Bancorp Rhode Island, Inc. 47,575
900 Bank of the Ozarks, Inc. 29,754
3,735 BankUnited Financial Corp. Class A 104,431
1,500 Banner Corp. 66,510
95 Berkshire Hathaway, Inc. Class A (a)(f) 10,449,050
476 Berkshire Hathaway, Inc. Class B (a) 1,745,016
1,400 Berkshire Hills Bancorp, Inc. 46,844
9,300 BlackRock, Inc. (b) 1,412,670
3,796 CVB Financial Corp. 54,890
2,400 Calamos Asset Management, Inc. Class A 64,392
51
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
500 Camco Financial Corp. $ 6,375
540 Capital Corp. of the West 17,329
4,600 Capital Lease Funding, Inc. 53,360
1,900 Capital Trust, Inc. 94,886
11,641 CapitalSource, Inc. 317,916
515 Cascade Financial Corp. 8,781
1,700 Cash America International, Inc. 79,730
1,822 Cathay General Bancorp 62,877
3,600 CBOT Holdings, Inc. Class A (a) 545,292
2,676 Central Pacific Financial Corp. 103,722
3,100 Cenveo, Inc. (a) 65,720
800 Charter Financial Corp. 41,216
4,600 CharterMac 98,762
1,600 Citizens First Bancorp, Inc. 49,184
2,890 Citizens, Inc. (a)(f) 19,074
760 Coastal Financial Corp. 12,700
3,400 Cohen & Steers, Inc. 136,578
1,000 Columbia Equity Trust, Inc. 19,110
4,100 CompuCredit Corp. (a) 163,221
3,650 Corrections Corp. of America (a) 165,089
10,380 Covanta Holding Corp. (a) 228,775
2,400 Cowen Group, Inc. (a) 50,760
1,056 Cross Timbers Royalty Trust 53,444
3,000 Deerfield Triarc Capital Corp. 50,790
4,200 Delta Financial Corp. 42,546
3,700 Dime Community Bancshares, Inc. 51,837
2,300 Downey Financial Corp. 166,934
6,900 ECC Capital Corp. 8,211
629 ESB Financial Corp. 6,932
300 Eastern Virginia Bankshares, Inc. 6,750
6,600 Eaton Vance Corp. 217,866
2,900 Encore Capital Group, Inc. (a) 36,540
100 Enstar Group, Inc. (a) 9,590
2,500 ePlus, Inc. (a) 26,125
3,400 eSpeed, Inc. Class A (a) 29,682
700 Evercore Partners, Inc. Class A (a) 25,795
2,800 Extra Space Storage, Inc. 51,128
4,000 Ezcorp, Inc. (a) 65,000
900 The FINOVA Group, Inc. (a) 54
2,250 Fidelity Bankshares, Inc. 89,257
1,600 Financial Federal Corp. 47,056
2,400 First Albany Cos., Inc. (a) 5,568
2,561 First Community Bancorp, Inc. 133,863
500 First Defiance Financial Corp. 15,150
800 First Financial Corp. 28,360
1,400 First Financial Holdings, Inc. 54,852
2,150 First Indiana Corp. 54,524
6,400 The First Marblehead Corp. 349,760
615 First Place Financial Corp. 14,446
1,600 FirstFed Financial Corp. (a) 107,152
3,600 Flagstar Bancorp, Inc. 53,424
2,950 Flushing Financial Corp. 50,356
52
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,200 Franklin Street Properties Corp. $ 67,360
9,710 Friedman Billings Ramsey Group, Inc. Class A 77,680
300 Frontline Capital Group (a) 0
2,700 GAMCO Investors, Inc. Class A 103,842
2,400 GFI Group, Inc. (a) 149,424
1,155 Giant Industries, Inc. (a) 86,567
3,957 Glacier Bancorp, Inc. 96,697
600 Gramercy Capital Corp. 18,534
2,300 Great Lakes Bancorp, Inc. (a) 32,292
1,500 Greenhill & Co., Inc. 110,700
900 HMN Financial, Inc. 31,059
1,400 Heartland Payment Systems, Inc. 39,550
420 Heritage Financial Corp. 10,303
4,100 Hersha Hospitality Trust 46,494
3,300 HomeBanc Corp. 13,959
4,000 Hugoton Royalty Trust 98,400
1,000 IBERIABANK Corp. 59,050
3,600 ITC Holdings Corp. 143,640
300 ITLA Capital Corp. 17,373
242 Independence Federal Savings Bank (a) 2,410
2,524 Independent Bank Corp. 63,832
4,600 IndyMac Bancorp, Inc. 207,736
800 InnSuites Hospitality Trust 1,000
4,400 IntercontinentalExchange, Inc. (a) 474,760
1,000 International Assets Holding Corp., Inc. (a)(f) 28,480
3,656 International Bancshares Corp. 113,007
1,900 International Securities Exchange, Inc. 88,901
800 Interpool, Inc. 18,688
3,000 Investment Technology Group, Inc. (a) 128,640
4,500 Investors Financial Services Corp. 192,015
3,200 Jackson Hewitt Tax Service, Inc. 108,704
6,100 Jefferies Group, Inc. New Shares 163,602
6,000 John D Oil & Gas Co. (a) 3,120
3,300 KBW, Inc. (a) 96,987
4,400 KKR Financial Corp. 117,876
1,690 KNBT Bancorp, Inc. 28,274
8,200 Knight Capital Group, Inc. Class A (a) 157,194
3,600 LaBranche & Co., Inc. (a) 35,388
2,781 Ladenburg Thalmann Financial Services, Inc. (a) 3,393
3,600 Lazard Ltd. Class A 170,424
12,504 Leucadia National Corp. 352,613
1,000 Lincoln Bancorp 19,990
1,000 Lipid Sciences, Inc. (a) 1,350
1,979 MAF Bancorp, Inc. 88,442
3,450 MB Financial, Inc. 129,755
900 MCF Corp. (a) 4,275
200 Malan Realty Investors, Inc. 0
10,000 Mastercard, Inc. Class A (f) 984,900
300 Maxus Realty Trust, Inc. 3,975
1,200 McGrath RentCorp 36,756
3,300 Medallion Financial Corp. 40,821
5,000 Medical Properties Trust, Inc. 76,500
53
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
500 MicroFinancial, Inc. $ 1,945
110 Mid Penn Bancorp, Inc. 2,810
600 The Midland Co. 25,170
5,300 MoneyGram International, Inc. 166,208
400 Monmouth Capital Corp. 2,168
2,200 Monmouth Real Estate Investment Corp. Class A 18,590
1,700 MortgageIT Holdings, Inc. 25,075
300 MutualFirst Financial, Inc. 6,360
400 NASB Financial, Inc. 16,492
11,500 NYSE Group, Inc. (a)(f) 1,117,800
8,700 The NASDAQ Stock Market, Inc. (a) 267,873
2,690 Nastech Pharmaceutical Co., Inc. (a) 40,700
2,500 National Financial Partners Corp. 109,925
120 National Security Group, Inc. 2,070
200 National Western Life Insurance Co. Class A 46,028
3,100 Nelnet, Inc. Class A (a) 84,816
20,164 New York Community Bancorp, Inc. 324,640
400 North American Scientific, Inc. (a) 436
2,600 Northwest Bancorp, Inc. 71,396
5,200 Nuveen Investments, Inc. Class A 269,776
6,400 Nymex Holdings, Inc. (a) 793,664
1,400 Oak Hill Financial, Inc. 39,228
5,700 Ocwen Financial Corp. (a) 90,402
700 One Liberty Properties, Inc. 17,591
1,700 Opteum, Inc. 12,920
5,500 optionsXpress Holdings, Inc. 124,795
600 PAB Bankshares, Inc. 12,822
2,125 PMC Commercial Trust 31,896
321 PVF Capital Corp. 3,371
1,400 PW Eagle, Inc. (f) 48,300
4,110 Pacific Capital Bancorp 138,014
2,308 Partners Trust Financial Group, Inc. 26,865
1,245 Piper Jaffray Cos. (a) 81,112
1,700 Portfolio Recovery Associates, Inc. (a) 79,373
500 Provident Financial Holdings, Inc. 15,245
2,889 Provident Financial Services, Inc. 52,378
2,800 R-G Financial Corp. Class B 21,420
6,150 Raymond James Financial, Inc. 186,407
675 Renasant Corp. 20,675
1,000 Resource America, Inc. Class A 26,400
200 Riverview Bancorp, Inc. 3,040
300 Roberts Realty Investors, Inc. (a) 2,367
400 Roma Financial Corp. (a) 6,624
3,000 Rome Bancorp, Inc. 38,250
6,160 SEI Investments Co. 366,890
1,510 SWS Group, Inc. 53,907
3,700 Sanders Morris Harris Group, Inc. 47,249
2,103 Santander BanCorp 37,539
300 Security Bank Corp. 6,846
3,300 Siebert Financial Corp. 12,771
3,600 Specialty Underwriters' Alliance, Inc. (a) 30,240
54
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,762 Sterling Financial Corp., Pennsylvania $ 41,707
3,743 Sterling Financial Corp., Washington 126,560
1,232 Student Loan Corp. 255,394
300 Supertel Hospitality, Inc. 2,079
42,180 TD Ameritrade Holding Corp. 682,472
100 TF Financial Corp. 3,095
1,879 Tarragon Corp. 22,867
2,800 Thomas Weisel Partners Group, Inc. (a) 59,080
1,100 TierOne Corp. 34,771
1,500 Transnational Financial Network, Inc. (a) 1,095
1,600 United Community Banks, Inc. 51,712
1,000 United PanAm Financial Corp. (a) 13,760
100 Value Line, Inc. 4,545
3,800 ViewPoint Financial Group (a) 64,372
10,252 W Holding Co., Inc. 61,102
1,600 WP Carey & Co. LLC 48,112
1,800 WP Stewart & Co. Ltd. 28,512
200 WVS Financial Corp. 3,280
5,100 Waddell & Reed Financial, Inc. Class A 139,536
3,861 Washington Federal, Inc. 90,849
2,600 Washington Group International, Inc. (a) 155,454
600 Wauwatosa Holdings, Inc. (a) 10,692
151 Wayne Savings Bancshares, Inc. 2,182
3,273 Webster Financial Corp. 159,461
2,000 Wellsford Real Properties, Inc. (a) 15,040
502 Wesco Financial Corp. 230,920
840 West Bancorp., Inc. 14,935
900 Wheeling-Pittsburgh Corp. (a) 16,857
742 White Mountains Insurance Group, Inc. 429,937
200 Willis Lease Finance Corp. (a) 2,064
1,398 Willow Grove Bancorp, Inc. 20,858
2,556 Winthrop Realty Trust, Inc. 17,509
1,800 World Acceptance Corp. (a) 84,510
1,900 Wright Express Corp. (a) 59,223
------------
33,979,516
- ------------------------------------------------------------------------------------------------------------------------------
Motor Vehicles - 0.9% 2,200 AO Smith Corp. 82,632
2,800 ASV, Inc. (a)(f) 45,556
100 Accuride Corp. (a) 1,126
2,905 Aftermarket Technology Corp. (a) 61,818
5,100 American Axle & Manufacturing Holdings, Inc. 96,849
1,700 Arctic Cat, Inc. 29,903
2,300 ArvinMeritor, Inc. 41,929
2,900 BorgWarner, Inc. 171,158
2,000 CSK Auto Corp. (a) 34,300
700 Cascade Corp. 37,030
1,100 Coachmen Industries, Inc. 12,100
100 Commercial Vehicle Group, Inc. (a) 2,180
4,400 Donaldson Co., Inc. 152,724
1,300 Dorman Products, Inc. (a) 14,079
3,300 Dura Automotive Systems, Inc. Class A (a) 1,617
3,300 Federal-Mogul Corp. (a) 1,911
3,690 Fleetwood Enterprises, Inc. (a) 29,188
55
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,100 FortuNet, Inc. (a) $ 21,252
650 Fuel Systems Solutions, Inc. (a) 14,352
10,590 Gentex Corp. 164,780
1,300 Group 1 Automotive, Inc. 67,236
1,800 H&E Equipment Services, Inc. (a) 44,586
2,700 Hayes Lemmerz International, Inc. (a) 10,557
2,100 Keystone Automotive Industries, Inc. (a) 71,379
4,200 LKQ Corp. (a) 96,558
2,000 The Lamson & Sessions Co. (a) 48,520
3,845 Lear Corp. 113,543
1,000 Lithia Motors, Inc. Class A 28,760
2,100 MarineMax, Inc. (a) 54,453
900 Midas, Inc. (a) 20,700
1,900 Modine Manufacturing Co. 47,557
1,800 Monaco Coach Corp. 25,488
750 Monro Muffler, Inc. 26,325
2,120 Myers Industries, Inc. 33,199
850 Noble International Ltd. 17,042
3,900 Oshkosh Truck Corp. 188,838
3,300 Polaris Industries, Inc. (f) 154,539
447 Proliance International, Inc. (a) 2,056
1,000 Rush Enterprises, Inc. Class A (a) 16,920
1,700 Sonic Automotive, Inc. 49,368
3,450 Spartan Motors, Inc. 52,371
1,300 Standard Motor Products, Inc. 19,474
1,300 Stoneridge, Inc. (a) 10,647
1,510 Superior Industries International, Inc. (f) 29,098
5,900 TRW Automotive Holdings Corp. (a) 152,633
3,685 Thor Industries, Inc. 162,103
2,600 Titan International, Inc. 52,390
6,500 United Auto Group, Inc. 153,205
7,500 Visteon Corp. (a) 63,600
2,500 Winnebago Industries, Inc. (f) 82,275
------------
2,911,904
- ------------------------------------------------------------------------------------------------------------------------------
Non-Durables - 1.8% 3,600 AFC Enterprises, Inc. (a) 63,612
18,444 Activision, Inc. (a)(l) 317,975
1,900 American Greetings Class A 45,353
5,465 Applebee's International, Inc. 134,822
1,100 BJ's Restaurants, Inc. (a) 22,231
1,230 Benihana, Inc. Class A (a) 37,761
1,700 Blue Nile, Inc. (a)(f) 62,713
3,000 Bob Evans Farms, Inc. 102,660
210 Bowl America, Inc. Class A 3,328
6,300 Brinker International, Inc. 190,008
2,600 Buca, Inc. (a) 12,506
1,100 Buffalo Wild Wings, Inc. (a) 58,520
2,415 CBRL Group, Inc. 108,095
2,250 CEC Entertainment, Inc. (a) 90,562
2,700 CKE Restaurants, Inc. 49,680
3,800 Cabela's, Inc. Class A (a)(f) 91,694
2,300 California Pizza Kitchen, Inc. (a) 76,613
2,400 Centillium Communications, Inc. (a) 5,136
56
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,800 Champps Entertainment, Inc. (a) $ 19,460
3,517 The Cheesecake Factory, Inc. (a) 86,518
3,800 Cheniere Energy, Inc. (a) 109,706
200 Churchill Downs, Inc. 8,548
700 Coinmach Service Corp. Class A 8,330
5,500 Cosi, Inc. (a) 27,995
9,900 Denny's Corp. (a) 46,431
3,000 Domino's Pizza, Inc. 84,000
3,300 Dover Motorsports, Inc. 17,523
1,200 Drew Industries, Inc. (a) 31,212
1,200 EMAK Worldwide, Inc. (a) 7,080
2,500 Famous Dave's of America, Inc. (a) 41,175
1,100 Forward Industries, Inc. (a) 4,609
1,400 Gaming Partners International Corp. 25,186
1,500 Handleman Co. 10,155
2,918 Hibbett Sporting Goods, Inc. (a) 89,087
4,300 Hollywood Media Corp. (a) 18,103
900 IHOP Corp. 47,430
2,800 International Speedway Corp. Class A 142,912
3,100 Isle of Capri Casinos, Inc. (a) 82,398
2,200 Jack in the Box, Inc. (a) 134,288
2,813 Jakks Pacific, Inc. (a) 61,436
300 Kreisler Manufacturing Corp. (a) 2,925
3,700 Krispy Kreme Doughnuts, Inc. (a) 41,070
1,900 Lancaster Colony Corp. 84,189
1,700 Landry's Restaurants, Inc. 51,153
300 Lazare Kaplan International, Inc. (a) 2,985
2,500 Leapfrog Enterprises, Inc. (a) 23,700
800 Lenox Group, Inc. (a) 5,120
2,400 Lodgenet Entertainment Corp. (a) 60,072
1,700 Luby's, Inc. (a) 18,513
1,500 Majesco Entertainment Co. (a) 1,980
5,200 Marvel Entertainment, Inc. (a) 139,932
2,400 Metal Management, Inc. 90,840
6,000 Midway Games, Inc. (a)(f) 41,880
2,600 Movado Group, Inc. 75,400
3,005 O'Charleys, Inc. (a) 63,946
3,600 OSI Restaurant Partners, Inc. 141,120
2,295 PF Chang's China Bistro, Inc. (a) 88,082
2,800 Panera Bread Co. Class A (a) 156,548
3,300 Papa John's International, Inc. (a) 95,733
900 Peco II, Inc. (a) 855
6,100 Penn National Gaming, Inc. (a) 253,882
1,670 RC2 Corp. (a) 73,480
3,300 Rare Hospitality International, Inc. (a) 108,669
1,800 Red Robin Gourmet Burgers, Inc. (a) 64,530
3,100 Regis Corp. 122,574
2,600 Ruby Tuesday, Inc. 71,344
1,300 Russ Berrie & Co., Inc. (a) 20,085
3,400 Samsonite Corp. 3,366
20,800 Service Corp. International 213,200
400 Servotronics, Inc. (a) 3,316
57
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,900 Shutterfly, Inc. (a) $ 41,760
5,937 Sonic Corp. (a) 142,191
2,800 Sotheby's Holdings, Inc. Class A 86,856
900 The Steak n Shake Co. (a) 15,840
510 Steinway Musical Instruments, Inc. (a) 15,836
6,400 Stewart Enterprises, Inc. Class A 40,000
5,150 THQ, Inc. (a) 167,478
6,000 Take-Two Interactive Software, Inc. (a) 106,560
5,400 The Topps Co., Inc. 48,060
3,300 Traffix, Inc. 18,084
2,400 Trans World Entertainment Corp. (a) 15,792
4,600 Triarc Cos. 92,000
3,000 Trump Entertainment Resorts, Inc. (a) 54,720
2,155 Tupperware Corp. 48,725
9,400 Warner Music Group Corp. 215,730
7,000 World Wrestling Entertainment, Inc. 114,100
3,090 Youbet.com, Inc. (a) 11,309
------------
5,932,381
- ------------------------------------------------------------------------------------------------------------------------------
Non-Ferrous Metals - 0.8% 800 AM Castle & Co. 20,360
7,600 Advanced Environmental Recycling Technologies, Inc. Class A (a) 15,352
1,900 Brush Engineered Materials, Inc. (a) 64,163
2,700 Century Aluminum Co. (a) 120,555
23,500 Coeur d'Alene Mines Corp. (a) 116,325
6,500 Commercial Metals Co. 167,700
2,427 Encore Wire Corp. (f) 53,418
11,200 Hecla Mining Co. (a) 85,792
1,400 Kaiser Aluminum Corp. (a) 78,372
1,100 Minerals Technologies, Inc. 64,669
3,100 Mueller Industries, Inc. 98,270
1,900 RTI International Metals, Inc. (a) 148,618
3,824 Reliance Steel & Aluminum Co. 150,589
20,600 Southern Copper Corp. (f) 1,110,134
5,284 Stillwater Mining Co. (a) 65,997
10,800 Titanium Metals Corp. (a) 318,708
900 Wolverine Tube, Inc. (a) 1,098
------------
2,680,120
- ------------------------------------------------------------------------------------------------------------------------------
Optical Photo & Equipment - 0.1% 1,000 CPI Corp. 46,490
1,100 Cyberoptics Corp. (a) 13,937
1,200 Imation Corp. 55,716
8,530 Ingram Micro, Inc. Class A (a) 174,097
2,095 LaserCard Corp. (a) 22,437
200 Meade Instruments Corp. (a) 394
1,900 Photronics, Inc. (a) 31,046
100 StockerYale, Inc. (a) 128
1,000 Zygo Corp. (a) 16,450
------------
360,695
- ------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.4% 4,300 Bowater, Inc. 96,750
200 Buckeye Technologies, Inc. (a) 2,396
604 CSS Industries, Inc. 21,363
1,700 Caraustar Industries, Inc. (a) 13,753
1,200 Chesapeake Corp. 20,424
700 Deltic Timber Corp. 39,046
58
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
480 Kadant, Inc. (a) $ 11,702
2,654 Longview Fibre Co. 58,255
7,700 Louisiana-Pacific Corp. 165,781
1,000 Lydall, Inc. (a) 10,810
1,700 Neenah Paper, Inc. 60,044
1,400 P.H. Glatfelter Co. 21,700
5,100 Packaging Corp. of America 112,710
900 Pope & Talbot, Inc. (a) 4,923
1,359 Potlatch Corp. 59,551
4,071 Rayonier, Inc. 167,115
1,400 Rock-Tenn Co. Class A 37,954
21,080 Smurfit-Stone Container Corp. (a) 222,605
1,900 Universal Forest Products, Inc. 88,578
3,100 Wausau Paper Corp. 46,469
------------
1,261,929
- ------------------------------------------------------------------------------------------------------------------------------
Producer Goods - 3.2% 4,323 AGCO Corp. (a) 133,754
500 Aaon, Inc. 13,140
1,800 Actuant Corp. Class A 85,770
4,400 Aeroflex, Inc. (a) 51,568
2,400 Akorn, Inc. (a) 15,000
700 Alamo Group, Inc. 16,422
1,900 Albany International Corp. Class A 62,529
115 Allied Motion Technologies, Inc. (a) 777
1,000 Allis-Chalmers Energy, Inc. (a) 23,040
1,200 American Vanguard Corp. 19,080
5,700 Ametek, Inc. 181,488
2,700 Applied Industrial Technologies, Inc. 71,037
2,800 AptarGroup, Inc. 165,312
14 Arotech Corp. (a) 43
1,500 Astec Industries, Inc. (a) 52,650
6,000 BE Aerospace, Inc. (a) 154,080
1,900 Baldor Electric Co. 63,498
4,900 Barnes Group, Inc. 106,575
1,200 Blount International, Inc. (a) 16,152
2,700 Blyth, Inc. 56,025
4,500 Briggs & Stratton Corp. 121,275
600 CIRCOR International, Inc. 22,074
1,100 Cantel Medical Corp. (a) 17,809
6,000 Capstone Turbine Corp. (a)(f) 7,380
200 Catalyst Semiconductor, Inc. (a) 688
3,600 Chart Industries, Inc. (a) 58,356
1,100 Cherokee International Corp. (a) 4,400
100 Chicago Rivet & Machine Co. 2,100
3,000 Clarcor, Inc. 101,430
4,185 Cognex Corp. 99,687
1,100 Columbus McKinnon Corp. (a) 23,122
1,900 Comfort Systems USA, Inc. 24,016
360 Concord Camera Corp. (a) 1,620
1,900 Cryo-Cell International, Inc. (a) 4,332
600 Culp, Inc. (a) 3,090
2,500 Curtiss-Wright Corp. 92,700
2,000 Diamond Management & Technology Consultants, Inc. 24,880
59
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
300 Directed Electronics, Inc. (a) $ 3,435
5,500 Distributed Energy Systems Corp. (a)(f) 19,800
1,300 Dynamic Materials Corp. 36,478
300 The Eastern Co. 5,817
5,300 Evergreen Solar, Inc. (a)(f) 40,121
1,800 FMC Corp. 137,790
1,600 The Fairchild Corp. (a) 3,504
10,090 Fastenal Co. 362,029
4,220 Fedders Corp. (a) 4,220
2,500 Federal Signal Corp. 40,100
1,700 Flanders Corp. (a) 16,830
2,800 Flowserve Corp. (a) 141,316
5,340 Foster Wheeler Ltd. (a) 294,448
900 Franklin Electric Co., Inc. 46,251
3,700 Gardner Denver, Inc. (a) 138,047
156 The Gorman-Rupp Co. 5,777
3,887 Graco, Inc. 154,003
5,800 GrafTech International Ltd. (a) 40,136
700 HI Shear Technology Corp. 6,370
3,000 HNI Corp. 133,230
200 Hardinge, Inc. 3,012
2,200 Harsco Corp. 167,420
3,590 Herman Miller, Inc. 130,532
4,600 Hexcel Corp. (a) 80,086
2,900 Hubbell, Inc. Class B 131,109
100 Hurco Companies, Inc. (a) 3,178
3,250 IDEX Corp. 154,082
100 Ibis Technology Corp. (a) 147
400 Inplay Technologies, Inc. (a) 560
500 IntriCon Corp. (a) 2,485
4,500 Jacuzzi Brands, Inc. (a) 55,935
4,675 Jarden Corp. (a) 162,643
2,500 Kaydon Corp. 99,350
2,800 Kennametal, Inc. 164,780
2,700 Knoll, Inc. 59,400
600 LB Foster Co. Class A (a) 15,546
1,100 LaBarge, Inc. (a) 14,773
1,500 Ladish Co., Inc. (a) 55,620
534 Lawson Products, Inc. 24,505
5,000 Lennox International, Inc. 153,050
2,482 Libbey, Inc. 30,628
2,295 Lincoln Electric Holdings, Inc. 138,664
1,500 Lindsay Manufacturing Co. 48,975
3,200 Liquidity Services, Inc. (a) 55,072
2,600 Lone Star Technologies, Inc. (a) 125,866
3,300 MSC Industrial Direct Co. Class A 129,195
1,700 Magnetek, Inc. (a) 9,605
4,300 Manitowoc Co. 255,549
900 Material Sciences Corp. (a) 11,646
1,400 Matthews International Corp. Class A 55,090
2,700 Merix Corp. (a) 25,083
3,360 Micrel, Inc. (a) 36,221
60
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
900 Middleby Corp. (a) $ 94,203
4,356 Milacron, Inc. (a) 3,485
900 Modtech Holdings, Inc. (a) 4,455
2,425 Moog, Inc. Class A (a) 92,611
400 NACCO Industries, Inc. Class A 54,640
1,700 NATCO Group, Inc. Class A (a) 54,196
3,700 NN, Inc. 45,991
2,300 Nordson Corp. 114,609
3,700 Oceaneering International, Inc. (a) 146,890
4,500 PainCare Holdings, Inc. (a) 4,950
6,250 Pentair, Inc. 196,250
5,207 Plug Power, Inc. (a) 20,255
1,600 Possis Medical, Inc. (a) 21,568
7,650 Precision Castparts Corp. 598,842
3,140 Presstek, Inc. (a) 19,970
2,300 RBC Bearings, Inc. (a) 65,918
1,000 Reddy Ice Holdings, Inc. 25,820
2,505 Regal-Beloit Corp. 131,538
800 Research Frontiers, Inc. (a)(f) 4,376
700 Riviera Holdings Corp. (a) 16,912
1,700 Robbins & Myers, Inc. 78,064
1,020 Ronson Corp. (a) 2,020
4,500 Roper Industries, Inc. 226,080
470 SI International, Inc. (a) 15,237
3,348 SPX Corp. 204,764
7,000 Safeguard Scientifics, Inc. (a) 16,940
2,300 Sauer-Danfoss, Inc. 74,175
500 Sequa Corp. Class A (a) 57,530
5,600 The Shaw Group, Inc. (a) 187,600
1,700 Somanetics Corp. (a) 38,811
1,800 Sonic Solutions, Inc. (a) 29,340
200 Spectrum Control, Inc. (a) 1,944
700 Standex International Corp. 21,091
9,000 Steelcase, Inc. Class A 163,440
300 Strattec Security Corp. (a) 13,980
1,500 Sun Hydraulics, Inc. 30,765
1,800 T-3 Energy Services, Inc. (a) 39,690
1,165 TRM Corp. (a) 2,493
1,400 Team, Inc. (a) 48,762
1,500 Technology Research Corp. 6,270
2,700 Tecumseh Products Co. Class A (a) 45,630
1,900 Teleflex, Inc. 122,664
1,200 Tennant Co. 34,800
2,600 Tenneco, Inc. (a) 64,272
8,000 ThermoGenesis Corp. (a) 34,240
4,400 Timken Co. 128,392
4,400 Trinity Industries, Inc. 154,880
1,700 Triumph Group, Inc. 89,131
1,900 TurboChef Technologies, Inc. (a) 32,338
200 Twin Disc, Inc. 7,100
2,100 Tyler Technologies, Inc. (a) 29,526
8,140 Valhi, Inc. 211,477
61
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,100 Valmont Industries, Inc. $ 61,039
1,200 Watsco, Inc. 56,592
3,400 Watts Water Technologies, Inc. Class A 139,774
1,800 Woodward Governor Co. 71,478
1,100 X-Rite, Inc. 13,530
------------
10,199,746
- ------------------------------------------------------------------------------------------------------------------------------
Railroads & Shipping - 0.6% 2,700 Alexander & Baldwin, Inc. 119,718
1,900 American Commercial Lines, Inc. (a) 124,469
4,600 Diamondhead Casino Corp. (a) 13,018
100 Double Hull Tankers, Inc. 1,619
4,700 Eagle Bulk Shipping, Inc. (f) 81,498
100 Excel Maritime Carriers Ltd. (a) 1,461
1,800 Florida East Coast Industries, Inc. 107,280
1,300 FreightCar America, Inc. 72,085
3,700 GATX Corp. 160,321
600 Genco Shipping & Trading Ltd. 16,764
2,100 General Maritime Corp. 73,899
1,950 Genesee & Wyoming, Inc. Class A (a) 51,168
1,700 Greenbrier Cos., Inc. 51,000
3,200 Horizon Lines, Inc. Class A 86,272
1,000 Hornbeck Offshore Services, Inc. (a) 35,700
300 International Shipholding Corp. (a) 4,047
5,900 Kansas City Southern (a) 170,982
2,000 Martin Midstream Partners LP 66,480
5,300 OMI Corp. New Shares 112,201
2,100 Overseas Shipholding Group 118,230
2,200 RailAmerica, Inc. (a) 35,376
1,600 Saia, Inc. (a) 37,136
5,500 Ship Finance International Ltd. 130,680
1,800 Trico Marine Services, Inc. (a) 68,958
2,200 Westinghouse Air Brake Technologies Corp. 66,836
------------
1,807,198
- ------------------------------------------------------------------------------------------------------------------------------
Real Property - 6.1% 4,800 AMB Property Corp. 281,328
600 AMREP Corp. (f) 73,500
3,500 Acadia Realty Trust 87,570
2,400 Affordable Residential Communities Inc. (a) 27,960
1,795 Alesco Financial, Inc. 19,207
300 Alexander's, Inc. (a) 125,895
1,600 Alexandria Real Estate Equities, Inc. 160,640
400 American Land Lease, Inc. 10,604
500 American Mortgage Acceptance Co. 8,440
4,000 American Real Estate Partners LP 342,920
500 American Realty Investors, Inc. (a) 3,935
4,400 Amerivest Properties, Inc. 1,760
12,000 Annaly Capital Management, Inc. 166,920
3,800 Anthracite Capital, Inc. 48,374
2,700 Anworth Mortgage Asset Corp. 25,677
2,300 Arbor Realty Trust, Inc. 69,207
3,200 Associated Estates Realty Corp. 43,968
5,045 AvalonBay Communities, Inc. 656,102
500 Avatar Holdings, Inc. (a)(f) 40,425
4,135 BRE Properties 268,858
62
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,000 BRT Realty Trust $ 55,300
2,500 Big 5 Sporting Goods Corp. 61,050
3,200 BioMed Realty Trust, Inc. 91,520
6,314 Brandywine Realty Trust 209,941
15,300 Brookfield Properties Corp. 601,749
4,300 CBL & Associates Properties, Inc. 186,405
3,800 CBRE Realty Finance, Inc. 59,698
400 California Coastal Communities, Inc. 8,580
3,957 Camden Property Trust 292,224
2,500 Capstead Mortgage Corp. 20,750
1,100 Cedar Shopping Centers, Inc. 17,501
600 CentraCore Properties Trust 19,398
3,200 Colonial Properties Trust 150,016
3,400 Corporate Office Properties Trust 171,598
3,000 Cousins Properties, Inc. 105,810
7,700 Crescent Real Estate EQT Co. 152,075
3,100 Crystal River Capital, Inc. 79,143
5,983 Developers Diversified Realty Corp. 376,630
3,200 DiamondRock Hospitality Co. 57,632
2,100 Digital Realty Trust, Inc. 71,883
9,500 Douglas Emmett, Inc. 252,605
10,475 Duke Realty Corp. 428,428
1,200 Eastgroup Properties, Inc. 64,272
3,500 Education Realty Trust, Inc. 51,695
1,800 Entertainment Properties Trust 105,192
5,100 Equity Inns, Inc. 81,396
1,600 Equity Lifestyle Properties, Inc. 87,088
3,955 Equity One, Inc. 105,440
1,600 Essex Property Trust, Inc. 206,800
3,740 Federal Realty Investment Trust 317,900
5,500 FelCor Lodging Trust, Inc. 120,120
6,100 Fieldstone Investment Corp. 26,718
1,327 First Acceptance Corp. (a) 14,225
3,600 First Industrial Realty Trust, Inc. 168,804
1,200 First Potomac Realty Trust 34,932
6,800 Forest City Enterprises, Inc. Class A 397,120
2,300 GMH Communities Trust 23,345
17,530 General Growth Properties, Inc. 915,592
1,200 Getty Realty Corp. 37,080
2,100 Gladstone Commercial Corp. 42,294
2,700 Glimcher Realty Trust 72,117
4,400 Global Signal, Inc. 231,748
4,200 Government Properties Trust, Inc. 44,520
322 Grubb & Ellis Co. (a) 3,709
14,700 HRPT Properties Trust 181,545
13,000 Health Care Property Investors, Inc. 478,660
6,653 Health Care REIT, Inc. 286,199
3,900 Healthcare Realty Trust, Inc. 154,206
100 Heartland Partners LP Class A (a) 36
2,900 Highland Hospitality Corp. 41,325
2,250 Highwoods Properties, Inc. 91,710
63
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
2,700 Home Properties, Inc. $ 160,029
3,705 Hospitality Properties Trust 176,099
38,158 Host Marriott Corp. 936,779
1,600 Housevalues, Inc. (a) 9,008
5,500 IMPAC Mortgage Holdings, Inc. 48,400
6,000 Inland Real Estate Corp. 112,320
2,500 Innkeepers USA Trust 38,750
2,700 Investors Real Estate Trust 27,702
9,700 iStar Financial, Inc. 463,854
100 JER Investors Trust, Inc. 2,067
2,500 Jones Lang LaSalle, Inc. 230,425
2,800 Kilroy Realty Corp. 218,400
1,700 Kite Realty Group Trust 31,654
900 LTC Properties, Inc. 24,579
3,000 LaSalle Hotel Properties 137,550
4,400 Lexington Corporate Properties Trust 98,648
5,760 Liberty Property Trust 283,046
3,800 LoopNet, Inc. (a) 56,924
5,670 Luminent Mortgage Capital, Inc. 55,056
4,800 MFA Mortgage Investments, Inc. 36,912
3,900 The Macerich Co. 337,623
3,200 Mack-Cali Realty Corp. 163,200
2,500 Maguire Properties, Inc. 100,000
2,100 Mid-America Apartment Communities, Inc. 120,204
5,000 The Mills Corp. 100,000
1,100 Mission West Properties 14,410
10,424 Move, Inc. (a) 57,436
1,600 National Health Investors, Inc. 52,800
700 National Health Realty, Inc. 16,800
5,191 National Retail Properties, Inc. 119,133
4,500 Nationwide Health Properties, Inc. 135,990
4,445 New Century Financial Corp. 140,418
5,800 New Plan Excel Realty Trust 159,384
2,605 Newcastle Investment Corp. 81,589
400 Newkirk Realty Trust, Inc. 7,216
6,000 NorthStar Realty Finance Corp. 99,420
3,600 NovaStar Financial, Inc. (f) 95,940
3,400 Omega Healthcare Investors, Inc. 60,248
1,800 Origen Financial, Inc. 12,330
900 Orleans Homebuilders, Inc. 16,920
1,200 PS Business Parks, Inc. 84,852
1,500 Parkway Properties, Inc. 76,515
2,599 Pennsylvania Real Estate Investment Trust 102,349
2,500 Post Properties, Inc. 114,250
2,700 RAIT Investment Trust 93,096
1,600 Ramco-Gershenson Properties Trust 61,024
1,300 Reading International, Inc. Class A (a) 10,777
7,000 Realty Income Corp. 193,900
6,570 Reckson Associates Realty Corp. 299,592
1,600 Redwood Trust, Inc. 92,928
3,600 Regency Centers Corp. 281,412
3,500 SL Green Realty Corp. 464,730
64
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,100 Saul Centers, Inc. $ 60,709
5,900 Senior Housing Properties Trust 144,432
900 Sovran Self Storage, Inc. 51,552
3,800 Spirit Finance Corp. 47,386
5,800 The St. Joe Co. (f) 310,706
1,600 Stonemor Partners LP 40,016
3,500 Strategic Hotel Capital, Inc. 76,265
200 Stratus Properties, Inc. (a) 6,400
2,000 Sun Communities, Inc. 64,720
3,200 Sunstone Hotel Investors, Inc. 85,536
2,700 Tanger Factory Outlet Centers, Inc. 105,516
3,700 Taubman Centers, Inc. 188,182
6,855 Thornburg Mortgage, Inc. 172,266
1,900 Toreador Resources Corp. (a) 48,963
100 Transcontinental Realty Investors, Inc. (a) 1,390
3,700 Trustreet Properties, Inc. 62,345
8,765 United Dominion Realty Trust, Inc. 278,639
1,300 Universal Health Realty Income Trust 50,674
1,300 Urstadt Biddle Properties, Inc. 22,815
900 Urstadt Biddle Properties, Inc. Class A 17,181
5,000 U-Store-It Trust 102,750
8,300 Ventas, Inc. 351,256
2,300 Washington Real Estate Investment Trust 92,000
4,975 Weingarten Realty Investors 229,397
4,000 Winston Hotels, Inc. 53,000
1,049 ZipRealty, Inc. (a)(f) 7,857
------------
19,905,655
- ------------------------------------------------------------------------------------------------------------------------------
Retail - 2.8% 1,000 1-800 Contacts, Inc. (a) 16,310
4,170 1-800-FLOWERS.COM, Inc. Class A (a) 25,687
3,066 99 Cents Only Stores (a) 37,313
2,700 AC Moore Arts & Crafts, Inc. (a) 58,509
2,475 Aaron Rents, Inc. 71,231
4,800 Abercrombie & Fitch Co. Class A 334,224
5,400 Advance Auto Parts 192,024
3,200 Allion Healthcare, Inc. (a) 22,912
1,300 Alloy, Inc. (a) 14,963
12,765 American Eagle Outfitters, Inc. 398,396
4,975 AnnTaylor Stores Corp. (a) 163,379
200 Arden Group, Inc. Class A 24,762
3,600 Asbury Automotive Group, Inc. 84,816
3,000 BJ's Wholesale Club, Inc. (a) 93,330
3,300 Barnes & Noble, Inc. 131,043
251 Blair Corp. 8,220
1,100 Bluegreen Corp. (a) 14,113
2,500 The Bombay Co., Inc. (a) 3,200
1,800 The Bon-Ton Stores, Inc. 62,370
2,300 Books-A-Million, Inc. 52,164
4,700 Borders Group, Inc. 105,045
2,956 Brightpoint, Inc. (a) 39,758
1,300 Build-A-Bear Workshop, Inc. (a) 36,426
5,700 Carmax, Inc. (a) 305,691
4,600 Casey's General Stores, Inc. 108,330
65
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
3,900 Casual Male Retail Group, Inc. (a) $ 50,895
2,750 The Cato Corp. Class A 63,002
2,300 Central Garden and Pet Co. (a) 111,366
2,300 Charlotte Russe Holding, Inc. (a) 70,725
7,255 Charming Shoppes, Inc. (a) 98,160
9,400 Chico's FAS, Inc. (a) 194,486
2,305 The Children's Place Retail Stores, Inc. (a) 146,414
2,238 Christopher & Banks Corp. 41,761
4,700 Claire's Stores, Inc. 155,758
6,670 Coldwater Creek, Inc. (a) 163,548
2,600 Color Kinetics, Inc. (a) 55,510
2,800 Cost Plus, Inc. (a) 28,840
200 DEB Shops, Inc. 5,280
2,500 DSW, Inc. Class A (a) 96,425
2,299 dELiA*s, Inc. (a) 24,117
6,505 Dollar Tree Stores, Inc. (a) 195,801
5,206 Dress Barn, Inc. (a) 121,456
3,400 drugstore.com, Inc. (a) 12,444
4,600 Escala Group, Inc. (a)(f) 35,374
2,400 The Finish Line, Inc. Class A 34,272
200 Flanigan's Enterprises, Inc. 2,084
10,200 Foot Locker, Inc. 223,686
4,450 Fred's, Inc. 53,578
3,900 GameStop Corp. Class A (a) 214,929
1,400 Gander Mountain Co. (a)(f) 12,614
2,200 Genesco, Inc. (a) 82,060
2,400 Great Atlantic & Pacific Tea Co. 61,776
2,400 Guitar Center, Inc. (a) 109,104
2,600 Gymboree Corp. (a) 99,216
4,250 HOT Topic, Inc. (a) 56,695
4,500 Hancock Fabrics, Inc. (a) 15,480
6,200 Hanesbrands, Inc. (a) 146,444
3,800 Insight Enterprises, Inc. (a) 71,706
1,200 Jamba, Inc. (a) 12,084
1,365 Jo-Ann Stores, Inc. (a) 33,579
1,100 Kirkland's, Inc. (a) 5,522
2,200 Longs Drug Stores Corp. 93,236
3,200 Men's Wearhouse, Inc. 122,432
4,995 Movie Gallery, Inc. (a) 17,582
5,710 O'Reilly Automotive, Inc. (a) 183,064
1,300 Overstock.com, Inc. (a)(f) 20,540
3,000 PC Connection, Inc. (a) 44,490
5,200 PEP Boys-Manny, Moe & Jack 77,272
9,500 PetSmart, Inc. 274,170
4,925 Pacific Sunwear of California, Inc. (a) 96,432
5,400 Pathmark Stores, Inc. (a) 60,210
2,600 Payless Shoesource, Inc. (a) 85,332
7,000 Pier 1 Imports, Inc. 41,650
850 PriceSmart, Inc. (a) 15,224
3,100 Rent-A-Center, Inc. (a) 91,481
2,200 Retail Ventures, Inc. (a) 41,888
66
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
31,900 Rite Aid Corp. (a) $ 173,536
9,300 Ross Stores, Inc. 272,490
2,000 Ruddick Corp. 55,500
200 Ruth's Chris Steak House, Inc. (a) 3,656
9,400 Saks, Inc. 167,508
9,370 Sally Beauty Co., Inc. (a) 73,086
2,400 School Specialty, Inc. (a) 89,976
1,000 Sharper Image Corp. (a) 9,250
700 Shoe Carnival, Inc. (a) 22,120
2,150 Stamps.com, Inc. (a) 33,863
2,300 Stein Mart, Inc. 30,498
3,800 Systemax, Inc. (a) 66,310
4,800 Talbots, Inc. 115,680
2,900 Texas Roadhouse, Inc. Class A (a) 38,454
3,500 Tractor Supply Co. (a) 156,485
4,100 Tuesday Morning Corp. 63,755
2,800 Tween Brands, Inc. (a) 111,804
1,200 Unifirst Corp. 46,092
1,800 United Stationers, Inc. (a) 84,042
9,500 Urban Outfitters, Inc. (a) 218,785
500 VSI Holdings, Inc. (a) 0
1,800 Weis Markets, Inc. 72,198
1,600 West Marine, Inc. (a) 27,632
4,475 The Wet Seal, Inc. Class A (a) 29,848
7,700 Williams-Sonoma, Inc. 242,088
2,700 Wilsons The Leather Experts, Inc. (a) 5,508
2,300 Yankee Candle Co., Inc. 78,844
3,100 Zale Corp. (a) 87,451
2,500 Zumiez, Inc. (a) 73,850
------------
9,025,719
- ------------------------------------------------------------------------------------------------------------------------------
Soaps & Cosmetics - 0.3% 7,270 Alberto-Culver Co. 155,941
7,100 Bare Escentuals, Inc. (a) 220,597
1,700 Chattem, Inc. (a) 85,136
3,600 Church & Dwight Co., Inc. 153,540
1,900 Elizabeth Arden, Inc. (a) 36,195
1,400 Inter Parfums, Inc. 26,866
4,300 Nu Skin Enterprises, Inc. Class A 78,389
1,100 Parlux Fragrances, Inc. (a)(f) 6,127
2,400 Physicians Formula Holdings, Inc. (a) 44,856
3,600 Playtex Products, Inc. (a) 51,804
24,292 Revlon, Inc. Class A (a) 31,094
500 Steiner Leisure Ltd. (a) 22,750
------------
913,295
- ------------------------------------------------------------------------------------------------------------------------------
Steel - 0.5% 6,500 AK Steel Holding Corp. (a) 109,850
200 Ampco-Pittsburgh Corp. 6,696
2,100 Carpenter Technology Corp. 215,292
3,000 Chaparral Steel Co. 132,810
3,300 Cleveland-Cliffs, Inc. 159,852
1,400 Cold Metal Products, Inc. (a) 1
600 Friedman Industries 7,260
1,700 Gibraltar Industries, Inc. 39,967
1,600 Northwest Pipe Co. (a) 53,792
67
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
605 Olympic Steel, Inc. $ 13,449
500 Omega Flex, Inc. 10,340
2,100 Oregon Steel Mills, Inc. (a) 131,061
2,250 Quanex Corp. 77,828
1,700 Ryerson, Inc. 42,653
2,850 Schnitzer Steel Industries, Inc. Class A 113,145
400 Shiloh Industries, Inc. 7,580
6,480 Steel Dynamics, Inc. 210,276
1,500 Steel Technologies, Inc. 26,325
1,100 Universal Stainless & Alloy Products, Inc. (a) 36,828
6,600 Worthington Industries, Inc. 116,952
------------
1,511,957
- ------------------------------------------------------------------------------------------------------------------------------
Telephone - 2.3% 5,400 Acme Packet, Inc. (a) 111,456
5,380 Adtran, Inc. 122,126
7,800 Airspan Networks, Inc. (a) 28,860
4,900 Alaska Communications Systems Group, Inc. 74,431
29,453 American Tower Corp. Class A (a)(l) 1,098,008
4,705 Applied Digital Solutions, Inc. (a) 8,469
600 Applied Innovation, Inc. (a) 1,926
2,600 Applied Signal Technology, Inc. 36,556
500 Atlantic Tele-Network, Inc. 14,650
8,000 Autobytel, Inc. (a) 28,000
2,900 Boston Communications Group (a) 7,250
2,500 CT Communications, Inc. 57,300
2,000 Carrier Access Corp. (a) 13,120
5,900 Centennial Communications Corp. 42,421
10,200 Cincinnati Bell, Inc. (a) 46,614
2,000 Commonwealth Telephone Enterprises, Inc. 83,720
3,000 Consolidated Communications Holdings, Inc. 62,700
12,386 Covad Communications Group, Inc. (a) 17,093
15,440 Crown Castle International Corp. (a) 498,712
2,799 D&E Communications, Inc. 35,407
2,000 Ditech Networks, Inc. (a) 13,840
13,300 Dobson Communications Corp. Class A (a) 115,577
2,215 Equinix, Inc. (a) 167,498
12,200 Extreme Networks, Inc. (a) 51,118
2,100 FairPoint Communications, Inc. 39,795
1 Fibernet Telecom Group, Inc. (a) 7
6,900 FiberTower Corp. (a)(f) 40,572
18,100 Finisar Corp. (a) 58,463
4,500 Fusion Telecommunications International, Inc. (a) 5,265
3,400 General Communication, Inc. Class A (a) 53,482
2,000 GeoEye, Inc. (a) 38,700
3,295 Global Crossing Ltd. (a) 80,892
7,100 Globalstar, Inc. (a) 98,761
6 GoAmerica, Inc. (a) 49
800 HickoryTech Corp. 5,720
800 Hughes Communications, Inc. (a) 37,400
10,100 ICO Global Communications Holdings Ltd. (a) 46,157
1,600 ID Systems, Inc. (a) 30,112
4,600 IDT Corp. Class B (a) 60,168
200 Ibasis, Inc. (a) 1,696
68
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
4,200 InPhonic, Inc. (a) $ 46,578
2,400 Inter-Tel, Inc. 53,184
4,200 Interdigital Communications Corp. (a) 140,910
3,800 Iowa Telecommunications Services, Inc. 74,898
1,500 iPCS, Inc. (a) 83,040
2,200 j2 Global Communications, Inc. (a) 59,950
4,900 Leap Wireless International, Inc. (a) 291,403
80,380 Level 3 Communications, Inc. (a)(f) 450,128
300 NET2000 Communications, Inc. (a) 0
11,400 NII Holdings, Inc. (a) 734,616
4,300 NTELOS Holdings Corp. (a) 76,884
22,155 NTL, Inc. 559,192
600 North Pittsburgh Systems, Inc. 14,484
3,086 Novatel Wireless, Inc. (a) 29,842
200 Occam Networks, Inc. (a) 3,300
247 Optical Cable Corp. (a) 1,124
600 Optium Corp. (a) 14,964
29,100 Primus Telecommunications GP (a)(f) 11,931
1,400 RCN Corp. (a) 42,210
14,400 Sonus Networks, Inc. (a) 94,896
390 Stratos International, Inc. (a) 2,964
4,200 SunCom Wireless Holdings, Inc. Class A (a) 2,940
800 SureWest Communications 22,032
3,200 Syniverse Holdings, Inc. (a) 47,968
3,100 Telephone & Data Systems, Inc. 168,423
3,300 Telephone & Data Systems, Inc. (Special Shares) 163,680
200 Telular Corp. (a) 724
2,700 Terremark Worldwide, Inc. (a) 18,144
7,100 Time Warner Telecom, Inc. Class A (a) 141,503
175 Tut Systems, Inc. (a) 196
6,100 US Cellular Corp. (a) 424,499
500 US LEC Corp. Class A (a) 4,655
2,800 USA Mobility, Inc. 62,636
1,700 Ulticom, Inc. (a) 16,303
6,100 UTStarcom, Inc. (a)(f) 53,375
13,000 Vonage Holdings Corp. (a) 90,220
1,500 Warwick Valley Telephone Co. 26,610
------------
7,364,497
- ------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Goods - 0.1% 200 American Biltrite, Inc. (a) 1,836
1,100 Bandag, Inc. 55,473
2,200 Carlisle Cos., Inc. 172,700
6,100 Cooper Tire & Rubber Co. 87,230
1,000 SRI/Surgical Express, Inc. (a) 5,490
400 Synergetics USA, Inc. (a) 1,748
------------
324,477
- ------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 5,500 Alliance One International, Inc. (a) 38,830
7,800 Loews Corp. - Carolina Group 504,816
1,100 M&F Worldwide Corp. (a) 27,786
900 Schweitzer-Mauduit International, Inc. 23,445
2,045 Universal Corp. 100,225
5,183 Vector Group Ltd. 91,998
------------
787,100
- ------------------------------------------------------------------------------------------------------------------------------
69
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
Travel & Recreation - 2.4% 100 Aldila, Inc. $ 1,491
4,038 All-American SportPark, Inc. (a) 691
1,200 Ambassadors Group, Inc. 36,420
1,700 Amerco, Inc. (a) 147,917
100 American Classic Voyages Co. (a) 0
3,600 Ameristar Casinos, Inc. 110,664
2,200 Aztar Corp. (a) 119,724
3,000 Bally Technologies, Inc. (a)(f) 56,040
2,500 Bally Total Fitness Holding Corp. (a) 6,125
5,200 Boyd Gaming Corp. 235,612
600 Buckhead America Corp. (a) 6
4,600 CKX, Inc. (a) 53,958
3,700 Callaway Golf Co. 53,317
2,700 Cedar Fair, LP 75,114
600 Central Parking Corp. 10,800
4,800 Choice Hotels International, Inc. 202,080
3,800 Dick's Sporting Goods, Inc. (a) 186,162
2,100 Dollar Thrifty Automotive Group (a) 95,781
3,416 Dover Downs Gaming & Entertainment, Inc. 45,672
4,100 Empire Resorts, Inc. (a) 35,588
23,577 Expedia, Inc. (a) 494,645
1,000 Full House Resorts, Inc. (a) 3,780
100 Golf Galaxy, Inc. (a) 1,864
1,800 Great Wolf Resorts, Inc. (a) 25,128
800 Hudson Hotels Corp. (a) 0
3,800 Interstate Hotels & Resorts, Inc. (a) 28,348
1,392 K2, Inc. (a) 18,360
25,200 Las Vegas Sands Corp. (a) 2,254,896
1,700 Life Time Fitness, Inc. (a) 82,467
1,100 Lodgian, Inc. (a) 14,960
19,900 MGM Mirage (a) 1,141,265
3,400 MTR Gaming Group, Inc. (a) 41,548
1,500 Marcus Corp. 38,370
700 Marine Products Corp. 8,218
1,100 Monarch Casino & Resort, Inc. (a) 26,268
2,700 Multimedia Games, Inc. (a) 25,920
3,500 Orient Express Hotels Ltd. Class A 165,620
3,400 Pinnacle Entertainment, Inc. (a) 112,676
4,550 Pool Corp. 178,224
2,300 President Casinos, Inc. (a) 575
4,200 Progressive Gaming International Corp. (a) 38,094
300 Red Lion Hotels Corp. (a) 3,822
15,600 Royal Caribbean Cruises Ltd. (f) 645,528
6,800 Scientific Games Corp. Class A (a) 205,564
3,143 Shuffle Master, Inc. (a)(f) 82,347
6,800 Silverleaf Resorts, Inc. (a) 30,464
9,300 Six Flags, Inc. (a)(f) 48,732
200 Sonesta International Hotels Class A 4,200
2,600 Speedway Motorsports, Inc. 99,840
4,500 Station Casinos, Inc. 367,515
400 Town Sports International Holdings, Inc. (a) 6,592
70
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------
1,100 Travelzoo, Inc. (a) $ 32,945
1,900 Vail Resorts, Inc. (a) 85,158
1,800 WMS Industries, Inc. (a) 62,748
------------
7,849,843
- ------------------------------------------------------------------------------------------------------------------------------
Trucking & Freight - 1.0% 2,500 Arkansas Best Corp. 90,000
300 BancTrust Financial Group, Inc. 7,656
10,700 CH Robinson Worldwide, Inc. 437,523
2,425 Celadon Group, Inc. (a) 40,619
2,100 Con-way, Inc. 92,484
2,700 Covenant Transport, Inc. Class A (a) 30,780
12,010 Expeditors International Washington, Inc. 486,405
2,600 Forward Air Corp. 75,218
1,900 Frozen Food Express Industries 16,340
2,400 HUB Group, Inc. Class A (a) 66,120
6,208 Heartland Express, Inc. 93,244
4,800 Hythiam, Inc. (a)(f) 44,352
9,800 JB Hunt Transport Services, Inc. 203,546
4,500 Knight Transportation, Inc. 76,725
6,910 Laidlaw International, Inc. 210,271
4,800 Landstar System, Inc. 183,264
1,237 Marten Transport Ltd. (a) 22,674
3,162 Old Dominion Freight Line, Inc. (a) 76,109
400 PAM Transportation Services (a) 8,808
3,100 Pacer International, Inc. 92,287
1,100 Quality Distribution, Inc. (a) 14,652
3,300 Sirva, Inc. (a) 11,484
5,370 Swift Transportation Co., Inc. (a) 141,070
1,000 TAL International Group, Inc. 26,690
1,900 U.S. Xpress Enterprises, Inc. Class A (a) 31,293
700 USA Truck, Inc. (a) 11,235
5,900 UTI Worldwide, Inc. 176,410
900 Universal Truckload Services, Inc. (a) 21,375
1,800 Wabash National Corp. 27,180
6,100 Werner Enterprises, Inc. 106,628
4,129 YRC Worldwide, Inc. (a) 155,787
------------
3,078,229
- ------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $221,434,947) - 92.5% 300,020,418
- ------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ------------------------------------------------------------------------------------------------------------------------------
Telephone - 0.0% 50 ATSI Communications, Inc. Series H (a)(g) 15
- ------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost - $200) - 0.0% 15
- ------------------------------------------------------------------------------------------------------------------------------
Rights
- ------------------------------------------------------------------------------------------------------------------------------
Miscellaneous - 0.0% 2,400 Affordable Residential Communities Inc. (j) 2,120
- ------------------------------------------------------------------------------------------------------------------------------
Soaps & Cosmetics - 0.0% 24,292 Revlon, Inc. (k) 1,215
- ------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $0) - 0.0% 3,335
- ------------------------------------------------------------------------------------------------------------------------------
Warrants (i)
- ------------------------------------------------------------------------------------------------------------------------------
Telephone - 0.0% 121 Optical Cable Corp. (expires 10/24/2007) 0
- ------------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost - $0) - 0.0% 0
- ------------------------------------------------------------------------------------------------------------------------------
Other Interests (d)
- ------------------------------------------------------------------------------------------------------------------------------
Energy & Utilities - 0.0% 600 PetroCorp Inc. (Escrow Shares) 0
- ------------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost - $0) - 0.0% 0
- ------------------------------------------------------------------------------------------------------------------------------
71
Master Extended Market Index Series
Schedule of Investments as of December 31, 2006
Beneficial
Interest Short-Term Securities Value
- ------------------------------------------------------------------------------------------------------------------------------
$22,707,376 BlackRock Liquidity Series, LLC
Cash Sweep Series I, 5.26% (b)(e) $ 22,707,376
24,052,760 BlackRock Liquidity Series, LLC
Money Market Series, 5.29% (b)(c)(e) 24,052,760
- ------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $46,760,136) - 14.4% 46,760,136
- ------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $268,195,283*) - 106.9% 346,783,904
Liabilities in Excess of Other Assets - (6.9%) (22,441,200)
------------
Net Assets - 100.0% $324,342,704
============
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 268,944,166
=============
Gross unrealized appreciation $ 90,562,019
Gross unrealized depreciation (12,722,281)
-------------
Net unrealized appreciation $ 77,839,738
=============
(a) Non-income producing security.
(b) 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:
--------------------------------------------------------------------------
Interest/
Net Dividend
Affiliate Activity Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series I
$ 5,100,910 $ 1,647,232
BlackRock Liquidity Series, LLC
Money Market Series
$ 9,225,626 $ 209,192
BlackRock, Inc. 5,200 $ 9,240
--------------------------------------------------------------------------
(c) Security was purchased with the cash proceeds from securities loans.
(d) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(e) Represents the current yield as of December 31, 2006.
(f) Security, or a portion of security, is on loan.
(g) Convertible security.
(h) Depositary receipts.
(i) Warrants entitle the Series to purchase a predetermined number of shares
of common stock and are non-income producing. The purchase price and
number of shares are subject to adjustment under certain conditions until
the expiration date.
(j) The rights may be exercised until 1/23/2007.
(k) The rights may be exercised until 1/19/2007.
(l) All or portion of security held as collateral in connection with open
financial futures contracts.
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
----------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
----------------------------------------------------------------------------------------
20 Russell 2000 Index March 2007 $ 7,993,560 $ (44,560)
37 S&P MidCap 400 Ind March 2007 15,235,607 (226,557)
----------------------------------------------------------------------------------------
Total Unrealized Depreciation - Net $ (271,117)
==========
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.
See Notes to Financial Statements.
72
Master Extended Market Index Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2006
- ----------------------------------------------------------------------------------------------------------------------------------
Assets: Investments in unaffiliated securities, at value (including securities loaned
of $23,420,252) (identified cost-$220,353,407) .............................. $298,611,098
Investments in affiliated securities, at value (identified cost-$47,841,876) . 48,172,806
Receivables:
Contributions ....................................................... $ 1,077,366
Securities sold ..................................................... 531,469
Dividends ........................................................... 299,703
Securities lending .................................................. 23,020 1,931,558
-----------
Prepaid expenses ............................................................. 2,888
------------
Total assets ................................................................. 348,718,350
------------
- ----------------------------------------------------------------------------------------------------------------------------------
Liabilities: Bank overdraft ............................................................... 665
Collateral on securities loaned, at value .................................... 24,052,760
Payables:
Variation margin .................................................... 162,854
Withdrawals ......................................................... 96,362
Securities purchased ................................................ 17,473
Investment adviser .................................................. 6,933
Other affiliates .................................................... 2,759 286,381
-----------
Accrued expenses ............................................................. 35,840
------------
Total liabilities ............................................................ 24,375,646
------------
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets: Net assets ................................................................... $324,342,704
============
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets Investors' capital ........................................................... $246,025,200
Consist of: Unrealized appreciation-net .................................................. 78,317,504
------------
Net assets ................................................................... $324,342,704
============
- ----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
73
Master Extended Market Index Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2006
- -----------------------------------------------------------------------------------------------------------------------------
Investment Dividends (net of $3,168 foreign withholding tax and including
Income: $9,240 from affiliates) ............................................... $ 3,130,899
Interest from affiliates ............................................... 1,647,232
Securities lending-net ................................................. 209,192
------------
Total income ........................................................... 4,987,323
------------
- -----------------------------------------------------------------------------------------------------------------------------
Expenses: Professional fees ...................................................... $ 66,872
Custodian fees ......................................................... 47,594
Accounting services .................................................... 47,253
Investment advisory fees ............................................... 28,768
Printing and shareholder reports ....................................... 17,598
Trustees' fees and expenses ............................................ 3,911
Other .................................................................. 9,972
-----------
Total expenses ......................................................... 221,968
------------
Investment income-net .................................................. 4,765,355
------------
- -----------------------------------------------------------------------------------------------------------------------------
Realized & Realized gain on:
Unrealized Gain Investments-net ..................................................... 18,662,347
(Loss) - Net: Financial futures contracts-net ..................................... 1,328,111 19,990,458
-----------
Change in unrealized appreciation/depreciation on:
Investments-net ..................................................... 17,392,028
Financial futures contracts-net ..................................... (82,596) 17,309,432
----------- ------------
Total realized and unrealized gain-net ................................. 37,299,890
------------
Net Increase in Net Assets Resulting from Operations ................... $ 42,065,245
============
- -----------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
74
Master Extended Market Index Series
STATEMENTS OF CHANGES IN NET ASSETS
For the
Year Ended
December 31,
-------------------------------------
Increase (Decrease) in Net Assets: 2006 2005
- -----------------------------------------------------------------------------------------------------------------------------------
Operations: Investment income-net ............................................ $ 4,765,355 $ 2,855,354
Realized gain-net ................................................ 19,990,458 9,649,115
Change in unrealized appreciation/depreciation-net ............... 17,309,432 10,728,501
------------- -------------
Net increase in net assets resulting from operations ............. 42,065,245 23,232,970
------------- -------------
- -----------------------------------------------------------------------------------------------------------------------------------
Capital Proceeds from contributions ...................................... 112,081,318 81,418,423
Transactions: Fair value of withdrawals ........................................ (82,758,542) (69,688,115)
------------- -------------
Net increase in net assets derived from capital transactions ..... 29,322,776 11,730,308
------------- -------------
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets: Total increase in net assets ..................................... 71,388,021 34,963,278
Beginning of year ................................................ 252,954,683 217,991,405
------------- -------------
End of year ...................................................... $ 324,342,704 $ 252,954,683
============= =============
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
75
Master Extended Market Index Series
FINANCIAL HIGHLIGHTS
The following ratios have been For the Year Ended December 31,
derived from information provided ---------------------------------------------------------------
in the financial statements. 2006 2005 2004 2003 2002
- ------------------------------------------------------------------------ ----------------------------------------------------
Total Investment Total investment return ................. 15.92% 10.58% 18.43% 44.11% (17.77%)
Return: ======== ======== ======== ======== =======
- -------------------------------------------------------------------------------------------------------------------------------
Ratios to Expenses, net of reimbursement .......... .08% .07% .09% .12% .08%
Average Net ======== ======== ======== ======== =======
Assets: Expenses ................................ .08% .07% .09% .13% .15%
======== ======== ======== ======== =======
Investment income-net ................... 1.66% 1.25% 1.08% 1.09% 1.11%
======== ======== ======== ======== =======
- -------------------------------------------------------------------------------------------------------------------------------
Supplemental Net assets, end of year (in thousands) .. $324,343 $252,955 $217,991 $172,482 $93,763
Data: ======== ======== ======== ======== =======
Portfolio turnover ...................... 24.48% 18.09% 22.90% 14.53% 28.14%
======== ======== ======== ======== =======
- -------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
76
Master Extended Market Index Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Extended Market Index Series (the "Series"), a diversified, open-end
management 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 financial statements of the Series 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 Global 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 Capital
Market 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 or purchased are valued at the last sale price in the case of
exchange-traded options. Options traded in the OTC market are valued at the last
asked price (options written) or the last bid price (options purchased). Swap
agreements are valued based upon quoted fair valuations received daily by the
Series 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 BlackRock Advisors, LLC
(the "Manager"), an indirect, wholly owned subsidiary of BlackRock, Inc.
believes that this method no longer produces fair valuations. Valuation of other
short-term investment vehicles is generally based on the net asset value of the
underlying investment vehicle or amortized cost.
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 Trust, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Trust under the general supervision of the Board of
Trustees of the Trust. 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,
money market instruments and certain fixed income securities 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 Series are determined as of such times. Foreign currency
exchange rates will generally be determined as of 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 will be valued
at their fair value as determined in good
77
faith by the Trust's Board of Trustees or by the Manager 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 techniques 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 financial futures
contracts. Financial 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, 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 loss or gain to the extent the cost of
the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(c) Income taxes - The Series is classified as a partnership for federal income
tax purposes. As 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 applicable foreign tax laws, 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.
(d) Security transactions and investment income - Security transactions are
recorded on the dates the transactions are entered into (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.
Interest income is recognized on the accrual basis.
(e) 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 receives 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 terminable at any time and the
borrower, after notice, is required to return borrowed
78
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 could
experience delays and costs in gaining access to the collateral. 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.
(f) Bank overdraft - The Series recorded a bank overdraft, which resulted from
management estimates of available cash.
(g) Recent accounting pronouncements - In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet in
connection with accounting for uncertainties in income tax positions taken or
expected to be taken by an entity including mutual funds before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
the last net asset value calculation in the first required financial statement
reporting period for fiscal years beginning after December 15, 2006. The impact
on the Series' financial statements, if any, is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting Standards No.
157, "Fair Value Measurements" ("FAS 157"), was issued and is effective for
fiscal years beginning after November 15, 2007. FAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the implications of
FAS 157. At this time, its impact on the Series' financial statements has not
been determined.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. ("MLIM"), and its affiliates, including Fund Asset
Management, L.P. ("FAM") with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc., has
approximately a 34% economic and voting interest. The new company operates under
the BlackRock name and is governed by a board of directors with a majority of
independent members.
On September 29, 2006, shareholders of the Investors of the Series approved a
new Investment Advisory Agreement with the Manager. BlackRock Advisors, Inc. was
recently reorganized into a limited liability company and renamed BlackRock
Advisors, LLC. The new Investment Advisory Agreement between the Series and the
Manager became effective on September 29, 2006. Prior to September 29, 2006, FAM
was the Series' Manager. The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly owned subsidiary of Merrill Lynch, which is the
limited partner.
The Manager is responsible for the management of the Series' portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Series. For such services, the
Series pays a monthly fee at an annual rate of .01% of the average daily value
of the Series' net assets. In addition, the Manager has entered into a
Sub-Advisory Agreement with BlackRock Investment Management, LLC ("BIM"), an
affiliate of the Manager, under which the Manager pays the Sub-Adviser for
services it provides a monthly fee that is a percentage of the management fee
paid by the Series to the Manager.
The Trust, on behalf of the Series, has received an exemptive order from the
Securities and Exchange Commission permitting the Series to lend its portfolio
securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a
subsidiary of Merrill Lynch, or its affiliates. As of December 31, 2006, the
Series lent securities with a value of $295,791 to MLPF&S or its affiliates.
Pursuant to that order, the Series also has retained BIM as the securities
lending agent for a fee based on a share of the returns on investment of cash
collateral. Prior to
79
September 29, 2006, BIM was organized as Merrill Lynch Investment Managers, LLC
("MLIM, LLC"), an affiliate of FAM, and MLIM, LLC was the securities lending
agent. BIM, may, on behalf of the Series, invest cash collateral received by the
Series for such loans, among other things, in a private investment company
managed by Manager or in registered money market funds advised by the Manager or
its affiliates. For the year ended December 31, 2006, BIM received $90,319 in
securities lending agent fees from the Series.
For the year ended December 31, 2006, the Series reimbursed FAM and the Manager
$4,721 and $1,374, respectively, for certain accounting services.
In addition, MLPF&S received $5,398 in commissions on the execution of portfolio
security transactions for the Series for the year ended December 31, 2006.
Prior to September 29, 2006, certain officers and/or trustees of the Trust were
officers and/or directors of FAM, PSI, Merrill Lynch, and/or MLIM, LLC.
Commencing September 29, 2006, certain officers and/or trustees of the Trust are
officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2006 were $93,131,641 and $62,582,541, respectively.
4. Short-Term Borrowings:
The Series, along with certain other funds managed by the Manager and its
affiliates (or 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 Series 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. On November
22, 2006, the credit agreement was renewed for one year under substantially the
same terms. The Series pays a commitment fee of .06% 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 Series rate plus .35% 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, 2006.
80
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Investors and Board of Trustees of
Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Extended Market Index Series, one of the
portfolios constituting the Quantitative Master Series Trust (the "Trust"), as
of December 31, 2006, 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 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, 2006, 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
Extended Market Index Series of the Quantitative Master Series Trust as of
December 31, 2006, 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 accounting principles generally accepted in the United
States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 16, 2007
81
QUANTITATIVE MASTER SERIES TRUST
Master Extended Market Index Series
BlackRock Investment Advisory Agreement - Matters Considered by the Board
The following disclosure appeared in the June 30, 2006 Semi-Annual Report of the
Series and is the discussion referred to in "New BlackRock Sub-Advisory
Agreement - Matters Considered by the Board" below.
New BlackRock Investment Advisory Agreement - Matters Considered by the Board
In connection with the Transaction between Merrill Lynch and BlackRock,
the Trust's Board of Trustees considered a new investment advisory agreement
(the "New Investment Advisory Agreement") between the Trust and BlackRock
Advisors, Inc. ("BlackRock Advisors"). If the New Investment Advisory Agreement
is approved by shareholders, it will become effective upon the closing of the
Transaction, which is expected in the third quarter of 2006.
The Board discussed the New Investment Advisory Agreement at telephonic
and in-person meetings held during April and May 2006. The Board, including the
independent trustees, approved the New Investment Advisory Agreement on May 8,
2006.
To assist the Board in its consideration of the New Investment Advisory
Agreement, BlackRock provided materials and information about BlackRock,
including its financial condition and asset management capabilities and
organization, and Merrill Lynch provided materials and information about the
Transaction. The independent trustees, through their independent legal counsel,
also requested and received additional information from Merrill Lynch and
BlackRock in connection with their consideration of the New Investment Advisory
Agreement. The additional information was provided in advance of the May 2006
meeting. In addition, the independent trustees consulted with their counsel and
counsel for the Trust on numerous occasions, discussing, among other things, the
legal standards and certain other considerations relevant to the trustees'
deliberations.
At the Board meetings, the trustees discussed with Merrill Lynch
management and certain BlackRock representatives the Transaction, its strategic
rationale and BlackRock's general plans and intentions regarding the Series and
the Trust. At these Board meetings, representatives of Merrill Lynch and
BlackRock made presentations to and responded to questions from the Board. The
trustees also inquired about the plans for and anticipated roles and
responsibilities of certain employees and officers of the Investment Adviser and
certain affiliates being transferred to BlackRock in connection with the
Transaction. The independent trustees of the Board also conferred separately and
with their counsel about the Transaction and other matters related to the
Transaction on a number of occasions, including in connection with the April and
May 2006 meetings. After the presentations and after reviewing the written
materials provided, the independent trustees met in executive sessions with
their counsel to consider the New Investment Advisory Agreement.
In connection with the Board's review of the New Investment Advisory
Agreement, Merrill Lynch and/or BlackRock advised the trustees about a variety
of matters. The advice included the following, among other matters:
o that there is not expected to be any diminution in the nature,
quality and extent of services provided to the Series and its
shareholders by BlackRock Advisors, including compliance services;
82
o that operation of New BlackRock as an independent investment
management firm will enhance its ability to attract and retain
talented professionals;
o that the Series should benefit from having access to BlackRock's
state of the art technology and risk management analytic tools,
including investment tools, provided under the BlackRock
Solutions(R) brand name;
o that BlackRock has no present intention to alter any applicable
expense waivers or reimbursements currently in effect and, while it
reserves the right to do so in the future, it would seek the
approval of the Board before making any changes;
o that in connection with the Transaction, Merrill Lynch and BlackRock
have agreed to conduct, and use reasonable best efforts to cause
their respective affiliates to conduct, their respective businesses
in compliance with the conditions of Section 15(f) of the Investment
Company Act of 1940 (the "1940 Act") in relation to any public funds
advised by BlackRock or the Investment Adviser (or its affiliates),
respectively; and
o that Merrill Lynch and BlackRock would derive benefits from the
Transaction and that, as a result, they have a different financial
interest in the matters that were being considered than do Series
shareholders.
The trustees considered the information provided by Merrill Lynch and
BlackRock above, and, among other factors, the following:
o the potential benefits to Series shareholders from being part of a
combined fund family with BlackRock-sponsored funds, including
possible economies of scale and access to investment opportunities;
o the reputation, financial strength and resources of BlackRock and
its investment advisory subsidiaries and the anticipated financial
strength and resources of New BlackRock;
o the compliance policies and procedures of BlackRock Advisors;
o the terms and conditions of the New Investment Advisory Agreement,
including the fact that the schedule of the Series' total advisory
fees will not increase by virtue of the New Investment Advisory
Agreement, but will remain the same;
o that in May and August 2005, the Board had performed a full annual
review of the investment advisory agreement currently in effect for
the Series (the "Current Investment Advisory Agreement") as required
by the 1940 Act and has determined that the Investment Adviser has
the capabilities, resources and personnel necessary to provide the
advisory and administrative services currently provided to the
Series; and that the advisory and/or management fees paid by the
Series, taking into account any applicable agreed-upon fee waivers
and breakpoints, represent reasonable compensation to the Investment
Adviser in light of the services provided, the costs to the
Investment Adviser of providing those services, economies of scale,
the fees and other expenses paid by similar funds (including
information provided by Lipper Inc. ["Lipper"]), and such other
matters as the trustees have considered relevant in the exercise of
their reasonable judgment; and
o that Merrill Lynch agreed to pay all expenses of the Series in
connection with the Board's consideration of the New Investment
Advisory Agreement and
83
related agreements and all costs of shareholder approval of the New
Investment Advisory Agreement and as a result the Series would bear
no costs in obtaining shareholder approval of the New Investment
Advisory Agreement.
Certain of these considerations are discussed in more detail below.
In its review of the New Investment Advisory Agreement, the Board assessed
the nature, scope and quality of the services to be provided to the Series by
the personnel of BlackRock Advisors and its affiliates, including administrative
services, shareholder services, oversight of fund accounting, marketing services
and assistance in meeting legal and regulatory requirements. In its review of
the New Investment Advisory Agreement, the Board also considered a range of
information in connection with its oversight of the services to be provided by
BlackRock Advisors and its affiliates. Among the matters considered were: (a)
fees (in addition to management fees) to be paid to BlackRock Advisors and its
affiliates by the Series; (b) operating expenses of the Series paid to third
parties; (c) the resources devoted to and compliance reports relating to the
investment objective, policies and restrictions of the Series, and its
compliance with the Trust's Code of Ethics and BlackRock Advisors' compliance
policies and procedures; and (d) the nature, cost and character of
non-investment management services to be provided by BlackRock Advisors and its
affiliates.
In the period prior to the Board meetings to consider renewal of the
Current Investment Advisory Agreement, the Board had requested and received
materials specifically relating to the Current Investment Advisory Agreement.
These materials included (a) information compiled by Lipper on the fees and
expenses and the investment performance of the Series as compared to a
comparable group of funds as classified by Lipper; (b) a discussion by the
portfolio management team for the Series on investment strategies used by the
Series during its most recent fiscal year; (c) information on the profitability
to the Investment Adviser of the Current Investment Advisory Agreement and other
payments received by the Investment Adviser and its affiliates from the Series
and the Trust; and (d) information provided by the Investment Adviser concerning
services related to the valuation and pricing of portfolio holdings of the
Series, allocation of brokerage fees, portfolio turnover statistics, and direct
and indirect benefits to the Investment Adviser and its affiliates from their
relationship with the Series and the Trust.
In their deliberations, the trustees considered information received in
connection with their most recent continuation of the Current Investment
Advisory Agreement, in addition to information provided by BlackRock and
BlackRock Advisors in connection with their evaluation of the terms and
conditions of the New Investment Advisory Agreement. The trustees did not
identify any particular information that was all-important or controlling, and
each trustee attributed different weights to the various factors. The trustees,
including a majority of the independent trustees, concluded that the terms of
the New Investment Advisory Agreement are appropriate, that the fees to be paid
are reasonable in light of the services to be provided to the Series, and that
the New Investment Advisory Agreement should be approved and recommended to
Series shareholders.
Nature, Quality and Extent of Services Provided. The Board reviewed the
nature, extent and quality of services provided by the Investment Adviser,
including the investment advisory services and the resulting performance of the
Series, as well as the nature, quality and extent of services expected to be
provided by BlackRock Advisors. The Board focused primarily on the Investment
Adviser's investment advisory services and the investment performance of the
Series, but also considered certain areas in which both the Investment Adviser
and the Series receive services as part of the Merrill Lynch complex. The Board
compared the performance of the Series - both including and excluding the
effects of fees and expenses - to the performance of a comparable group of
funds, and the performance of a relevant index or combination of indexes. While
the Board reviews performance data at least quarterly, consistent with the
Investment Adviser's investment goals, the Board attaches more importance to
performance over relatively long periods of time, typically three to five years.
In evaluating the nature, quality and extent of the services to be
provided by BlackRock Advisors under the New Investment Advisory Agreement, the
trustees
84
considered, among other things, the expected impact of the Transaction on the
operations, facilities, organization and personnel of BlackRock Advisors and how
it would affect the Series; the ability of BlackRock Advisors to perform its
duties after the Transaction; and any anticipated changes to the current
investment and other practices of the Series.
The trustees were given information with respect to the potential benefits
to the Series and its shareholders from having access to BlackRock's state of
the art technology and risk management analytic tools, including the investment
tools provided under the BlackRock Solutions brand name.
The trustees were advised that, as a result of Merrill Lynch's equity
interest in BlackRock after the Transaction, the Trust will continue to be
subject to restrictions concerning certain transactions involving Merrill Lynch
affiliates (for example, transactions with a Merrill Lynch broker-dealer acting
as principal) absent revised or new regulatory relief. The trustees were advised
that a revision of existing regulatory relief with respect to these restrictions
was being sought from the Securities and Exchange Commission and were advised of
the possibility of receipt of such revised regulatory relief. There can be no
assurance that such relief will be obtained.
Based on their review of the materials provided and the assurances they
had received from the management of Merrill Lynch and of BlackRock, the trustees
determined that the nature and quality of services to be provided to the Series
under the New Investment Advisory Agreement were expected to be as good or
better than that provided under the Current Investment Advisory Agreement. It
was noted, however, that it is expected that there will be changes in personnel
following the Transaction and the combination of the operations of the
Investment Adviser and its affiliates with those of BlackRock. The trustees
noted that if current portfolio managers or other personnel cease to be
available, the Board would consider all available options, which could include
seeking the investment advisory or other services of BlackRock affiliates.
Accordingly, the trustees concluded that, overall, they were satisfied at the
present time with assurances from BlackRock and BlackRock Advisors as to the
expected nature, extent and quality of the services to be provided to the Series
under the New Investment Advisory Agreement.
Costs of Services Provided and Profitability. It was noted that, in
conjunction with the recent review of the Current Investment Advisory Agreement,
the trustees had received, among other things, a report from Lipper comparing
the fees, expenses and performance of the Series to those of a peer group
selected by Lipper, and information as to the fees charged by the Investment
Adviser or its affiliates to other registered investment company clients for
investment management services. The Board reviewed the contractual management
fee rate and actual management fee rate of the Series as a percentage of total
assets at common asset levels - the actual rate includes advisory fees and the
effects of any fee waivers - compared to the other funds in its Lipper category.
They also compared the total expenses of the Series to those of other comparable
funds. The information showed that the Series had fees and expenses within the
range of fees and expenses of comparable funds. The Board concluded that the
management fee and fee rate and overall expense ratio of the Series are
reasonable compared to those of other comparable funds.
In evaluating the costs of the services to be provided by BlackRock
Advisors under the New Investment Advisory Agreement, the trustees considered,
among other things, whether advisory fees or other expenses would change as a
result of the Transaction. Based on their review of the materials provided and
the fact that the New Investment Advisory Agreement is substantially similar to
the Current Investment Advisory Agreement in all material respects, including
the rates of compensation, the trustees determined that the Transaction should
not increase the total fees payable, including any fee waivers and expense
reimbursements, for advisory and administrative services. The trustees noted
that it was not possible to predict with certainty New BlackRock's future
profitability from its relationship with the Series.
The trustees discussed with BlackRock Advisors its general methodology to
be used in determining New BlackRock's profitability with respect to its
relationship with the Series and the Trust. The trustees noted that they expect
to receive profitability information from New BlackRock on at least an annual
basis and thus be
85
in a position to evaluate whether any adjustments in fees and/or fee breakpoints
of the Series would be appropriate.
Fees and Economies of Scale. The Board considered the extent to which
economies of scale might be realized as the assets of the Series increase and
whether there should be changes in the management fee rate or structure in order
to enable the Series to participate in these economies of scale. The Board
determined that changes were not currently necessary and that the Series
appropriately participated in these economies of scale.
In reviewing the Transaction, the trustees considered, among other things,
whether advisory fees or other expenses would change as a result of the
Transaction. Based on the fact that the New Investment Advisory Agreement is
substantially similar to the Current Investment Advisory Agreement in all
material respects, including the rate of compensation, the trustees determined
that as a result of the Transaction, the total advisory fees of the Series would
be no higher than the fees under the Current Investment Advisory Agreement. The
trustees noted that in conjunction with their most recent deliberations
concerning the Current Investment Advisory Agreement, the trustees had
determined that the total fees for advisory and administrative services for the
Series were reasonable in light of the services provided. It was noted that in
conjunction with the recent review of the Current Investment Advisory Agreement,
the trustees had received, among other things, a report from Lipper comparing
the fees, expenses and performance of the Series to those of a peer group
selected by Lipper, and information as to the fees charged by the Investment
Adviser to other registered investment company clients for investment management
services. The trustees concluded that, because the rates for advisory for the
Series would be no higher than its current fee rates, the proposed management
fee structure, including any fee waivers, was reasonable and that no additional
changes were currently necessary.
Fall-Out Benefits. In evaluating the fall-out benefits to be received by
BlackRock Advisors under the New Investment Advisory Agreement, the trustees
considered whether the Transaction would have an impact on the fall-out benefits
received by the Investment Adviser by virtue of the Current Investment Advisory
Agreement. Based on their review of the materials provided, including materials
received in connection with their most recent approval or continuance of the
Current Investment Advisory Agreement, and their discussions with management of
the Investment Adviser and BlackRock, the trustees determined that those
benefits could include increased ability for BlackRock to distribute shares of
its funds and other investment products and to obtain research services using
the Series' portfolio transaction brokerage commissions. The trustees noted that
any benefits were difficult to quantify with certainty at this time, and
indicated that they would continue to evaluate them going forward.
Investment Performance. The trustees considered investment performance for
the Series. The trustees compared the Series' performance -- both including and
excluding the effects of fees and expenses -- to the performance of a comparable
group of funds, and the performance of a relevant index or combination of
indexes. The comparative information received from Lipper showed Series
performance at various levels within the range of performance of comparable
funds over different time periods. While the Board reviews performance data at
least quarterly, consistent with the Investment Adviser's investment goals, the
Board attaches more importance over relatively long periods of time, typically
three to five years. The trustees believed the performance of the Series was
satisfactory. Also, the trustees took into account the investment performance of
funds currently advised by BlackRock Advisors. The Board considered comparative
information from Lipper which showed that the performance of the funds advised
by BlackRock Advisors was within the range of performance of comparable funds
over different time periods. The Board noted BlackRock's considerable investment
management experience and capabilities, but was unable to predict what effect,
if any, consummation of the Transaction would have on the future performance of
the Series.
Conclusion. After the independent trustees of the Trust deliberated in
executive session, the entire Board, including the independent trustees,
approved the New Investment Advisory Agreement on behalf of the Series,
concluding that the
86
advisory fee rate was reasonable in relation to the services provided and that
the New Investment Advisory Agreement was in the best interests of the
shareholders. In approving the New Investment Advisory Agreement, the Board
noted that it anticipated reviewing the continuance of the agreement in advance
of the expiration of the initial two-year period.
Contingent BlackRock Sub-Advisory Agreement - Matters Considered by the Board
At the telephonic and in-person meetings held during April and May 2006 at
which the Board discussed and approved the New Investment Advisory Agreement,
the Board of Trustees, including the independent trustees, also discussed and
approved a contingent sub-advisory agreement (the "Contingent Sub-Advisory
Agreement") between the Investment Adviser and BlackRock Advisors (the
"BlackRock Sub-Adviser"). The Contingent Sub-Advisory Agreement is intended to
ensure that the Series operates with efficient portfolio management services
until the closing of the Transaction, in the event that the Board deems it
necessary and in the best interests of a series and its shareholders that the
BlackRock Sub-Adviser assist in managing the operations of the series during the
interim period until the closing of the Transaction. If shareholders approve the
Contingent Sub-Advisory Agreement, it will take effect only upon recommendation
from the Investment Adviser and upon subsequent approval of the Board in the
period up to the closing of the Transaction. The effectiveness of the Contingent
Sub-Advisory Agreement, therefore, would be contingent on further Board approval
after shareholders approve it. Pursuant to each Contingent Sub-Advisory
Agreement, the BlackRock Sub-Adviser would receive a monthly fee from the
Investment Adviser equal to 50% of the advisory fee received by the Adviser. The
Investment Adviser would pay the BlackRock Sub-Adviser out of its own resources.
There would be no increase in Series expenses as a result of the Contingent
Sub-Advisory Agreement.
In making its approval at the May in-person meeting, the Board considered
the Contingent Sub-Advisory Agreement in conjunction with the New Investment
Advisory Agreement and reviewed the same information and factors discussed
above. The Board also considered in conjunction with the Contingent Sub-Advisory
Agreement the necessity of ensuring that the Series operates with effective
management services until the closing of the Transaction. In reviewing the
sub-advisory fee rate provided in the Contingent Sub-Advisory Agreement, the
Board took note of the fact that both the Investment Adviser and the BlackRock
Sub-Adviser would have significant responsibilities under their respective
advisory agreements. The Investment Adviser would remain responsible for
oversight of the operations and administration of the Series and the BlackRock
Sub-Adviser would provide advisory services to the Series under the Contingent
Sub-Advisory Agreement. The Board also took into account the expected short
duration of the term of any Contingent Sub-Advisory Agreement and the fact that
total advisory fees paid by the Series would not increase as a result of the
Contingent Sub-Advisory Agreement. Under all of the circumstances, the Board
concluded that it was a reasonable allocation of fees for the BlackRock
Sub-Adviser to receive 50% of the advisory fee paid by the Series to the
Investment Adviser.
After the independent trustees deliberated in executive session, the entire
Board, including the independent trustees, approved the Contingent Sub-Advisory
Agreement, concluding that the advisory fee was reasonable in relation to the
services provided and that the Contingent Sub-Advisory Agreement was in the best
interests of shareholders.
New BlackRock Sub-Advisory Agreement - Matters Considered by the Board
At an in-person meeting held on August 16-17, 2006, the Board of Trustees,
including the independent trustees, discussed and approved the sub-advisory
agreement between BlackRock Advisors, LLC (previously organized as BlackRock
Advisors, Inc.) ("BlackRock Advisors") and BlackRock Investment Management, LLC
(the "Sub-Adviser") (the "BlackRock Sub-Advisory Agreement"). The BlackRock
Sub-Advisory Agreement became effective on September 29, 2006, at the same time
the New Investment Advisory Agreement with BlackRock Advisors (which had been
approved by the Series' shareholders) became effective.
Pursuant to the BlackRock Sub-Advisory Agreement, the Sub-Adviser receives a
monthly fee from BlackRock Advisors equal to 74% of the advisory fee received by
BlackRock Advisors from the Series. BlackRock Advisors pays the Sub-Adviser out
of its own
87
resources, and there is no increase in Series expenses as a result of the
BlackRock Sub-Advisory Agreement.
In approving the BlackRock Sub-Advisory Agreement at the August in-person
meeting, the Board reviewed its considerations in connection with its approval
of the New Investment Advisory Agreement in May 2006. The Board relied on the
same information and considered the same factors as those discussed above in
connection with the approval of the New Investment Advisory Agreement, and came
to the same conclusions. In reviewing the sub-advisory fee rate provided for in
the BlackRock Sub-Advisory Agreement, the Board noted the fact that both
BlackRock Advisors and the Sub-Adviser have significant responsibilities under
their respective advisory agreements. Under the New Investment Advisory
Agreement, BlackRock Advisors remains responsible for the overall management of
the Series and for oversight of the Series' operations and administration. Under
the BlackRock Sub-Advisory Agreement, the Sub-Adviser provides advisory services
to the Series and is responsible for the day-to-day management of the Series'
portfolio. The Board also took into account the fact that there is no increase
in total advisory fees paid by the Series as a result of the BlackRock
Sub-Advisory Agreement. Based on its considerations, the Board concluded that it
was a reasonable allocation of fees for the Sub-Adviser to receive 74% of the
advisory fee paid by the Series to BlackRock Advisors.
After the independent trustees deliberated in executive session, the entire
Board, including the independent trustees, approved the BlackRock Sub-Advisory
Agreement, concluding that the sub-advisory fee was reasonable in relation to
the services provided and that the BlackRock Sub-Advisory Agreement was in the
best interests of the Series' shareholders.
88
Officers and Trustees
Number of
Funds and
Portfolios
in Fund Other Public
Position(s) Length Complex Directorships Held
Held with Of Time Principal Occupation(s) During Past 5 Overseen by by
Name Address & Age Trust Served Years Trustee Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Interested Trustees
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. P.O. Box 9011 President 2005 to Vice Chairman and Director of 122 Funds None
Doll, Jr.* Princeton, NJ and present BlackRock, Inc., Global Chief 168
08543-9011 Trustee Investment Officer for Equities, Portfolios
Age: 52 Chairman of the BlackRock Retail
Operating Committee, and member of the
BlackRock Executive Committee since
2006; President of the funds advised by
Merrill Lynch Investment Managers, L.P.
("MLIM") and its affiliates
("MLIM/FAM-advised funds") from 2005 to
2006 and Chief Investment Officer
thereof from 2001 to 2006; President of
MLIM and Fund Asset Management, L.P.
("FAM") from 2001 to 2006; Co-Head
(Americas Region) thereof from 2000 to
2001 and Senior Vice President from
1999 to 2001; President and Director of
Princeton Services, Inc. ("Princeton
Services") and President of Princeton
Administrators, L.P. ("Princeton
Administrators") from 2001 to 2006.
* Mr. Doll is a director, trustee or member of an advisory board of certain other investment companies for which
BlackRock Advisors, LLC and its affiliates act as investment adviser. Mr. Doll is an "interested person," as
described in the Investment Company Act, of the Trust based on his positions with BlackRock, Inc. and its affiliates.
Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. As
Trust President, Mr. Doll serves at the pleasure of the Board of Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Trustees*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. P.O. Box 9095 Trustee 2002 to General Partner of The Burton 21 Funds Knology, Inc.,
Burton Princeton, NJ present Partnership, Limited partnership (an 38 Portfolios (telecommunications);
08543-9095 investment partnership) since 1979; Symbion, Inc.
Age: 62 Managing General Partner of The South (healthcare) and
Atlantic Venture Funds since 1983; Capital Southwest
Member of the Investment Advisory (financial)
Council of the Florida State Board of
Administration since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
John P.O. Box 9095 Trustee 2005 to President and Chief Executive Officer 21 Funds Cabot Corporation
Francis Princeton, NJ present of Allmerica Financial Corporation 38 Portfolios (chemicals); LKQ
O'Brien 08543-9095 (financial services holding company) Corporation (auto
Age: 63 from 1995 to 2002 and Director from parts
1995 to 2003; President of Allmerica manufacturing); and
Investment Management Co., Inc. TJX Companies, Inc.
(investment adviser) from 1989 to 2002; (retailer)
Director from 1989 to 2002 and Chairman
of the Board from 1989 to 1990;
President, Chief Executive Officer and
Director of First Allmerica Financial
Life Insurance Company from 1989 to
2002 and Director of various other
Allmerica Financial companies until
2002; Director from 1989 to 2006,
Member of the Governance Nominating
Committee from 2004 to 2006, Member of
the Compensation Committee from 1989 to
2006 and Member of the Audit Committee
from 1990 to 2004 of ABIOMED; Director,
Member of the Governance and Nomination
Committee and Member of the Audit
Committee of Cabot Corporation since
1990; Director and Member of the Audit
Committee and Compensation Committee of
LKQ Corporation since 2003; Lead
Director of TJX Companies, Inc. since
1996; Trustee of the Woods Hole
Oceanographic Institute since 2003;
Director, Ameresco, Inc. since 2006;
Director, Boston Lyric Opera since 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
89
Officers and Trustees (continued)
Number of
Funds and
Portfolios
in Fund Other Public
Position(s) Length Complex Directorships Held
Held with Of Time Principal Occupation(s) During Past 5 Overseen by by
Name Address & Age Trust Served Years Trustee Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Trustees (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O. Box 9095 Trustee 2003 to Director, Ruckleshaus Institute and 21 Funds None
Walsh Princeton, NJ present Haub School of Natural Resources at the 38 Portfolios
08543-9095 University of Wyoming since 2006;
Age: 65 Consultant with Putnam Investments from
1993 to 2003; and employed in various
capacities therewith from 1973 to 1992;
Director, Massachusetts Audubon Society
from 1990 to 1997; Director, The
National Audubon Society from 1998 to
2005; Director, The American Museum of
Fly Fishing since 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. P.O. Box 9095 Trustee 2000 to Managing Director of FGW Associates 21 Funds Watson
Weiss** Princeton, NJ present since 1997; Vice President, Planning, 38 Portfolios Pharmaceuticals,
08543-9095 Investment and Development of Warner Inc.
Age: 65 Lambert Co. from 1979 to 1997; Director (pharmaceutical
of the Michael J. Fox Foundation for company)
Parkinson's Research since 2000;
Director of BTG International Plc (a
global technology commercialization
company) since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
* Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72
** Chairman of the Board of Trustees and the Audit Committee
- ------------------------------------------------------------------------------------------------------------------------------------
Trust Officers
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. P.O. Box 9011 Vice 1997 to Managing Director of BlackRock, Inc.
Burke Princeton, NJ President present since 2006; Managing Director of
08543-9011 and and 1999 Merrill Lynch Investment Managers, L.P.
Age: 46 Treasurer to and Fund Asset Management, L.P. in
present 2006; First Vice President of MLIM and
FAM from 1997 to 2005 and Treasurer
thereof from 1999 to 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
Debra L. P.O. Box 9011 Vice 2005 to Director of BlackRock, Inc. since 2006;
Jelilian Princeton, NJ President present Director of MLIM from 1999 to 2006.
08543-9011
Age: 39
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey L. P.O. Box 9011 Vice 2005 to Director of BlackRock, Inc. since 2006;
Russo Princeton, NJ President present Director of MLIM from 2004 to 2006;
08543-9011 Vice President of MLIM from 1994 to
Age: 39 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey P.O Box 9011 Fund Chief 2004 to Managing Director of BlackRock, Inc.
Hiller Princeton, NJ Compliance present and Fund Chief Compliance Officer since
08534 Officer 2006; Chief Compliance Officer of the
Age: 55 MLIM/FAM-advised funds and First Vice
President and Chief Compliance Officer
of MLIM (Americas Region) from 2004 to
2006; Chief Compliance Officer of the
IQ Funds since 2004; Global Director of
Compliance at Morgan Stanley 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.
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90
Officers and Trustees (concluded)
Position(s) Length
Held with Of Time Principal Occupation(s) During Past
Name Address & Age Trust Served 5 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Trust Officers (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Alice A. P.O. Box 9011 Secretary 2004 to Director of BlackRock, Inc. since
Pellegrino Princeton, NJ present 2006; Director (Legal Advisory) of
08543-9011 MLIM from 2002 to 2006; Vice
Age: 46 President of MLIM from 1999 to 2002;
Attorney associated with MLIM from
1997 to 2006; Secretary of MLIM,
FAM, FAM Distributors, Inc. and
Princeton Services from 2004 to 2006.
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* Officers of the Trust serve at the pleasure of the Board of Trustees.
Further information about the Trust's Officers and Trustees is available
in the Trust's Statement of Additional Information, which can be obtained
without charge by calling 1-800-441-7762.
Custodian
JPMorgan Chase Bank
3 Chase MetroTech Center
Brooklyn, NY 11245
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Availability of Quarterly Schedule of Investments
The Series 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 Series' Forms N-Q are
available on the SEC's Web site at http://www.sec.gov. The Series' 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.
A description of the policies and procedures that the Series uses to determine
how to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-441-7762; (2) at
www.blackrock.com; and (3) on the Securities and Exchange Commission's Web site
at http://www.sec.gov. Information about how the Series voted proxies relating
to securities held in the Series' portfolio during the most recent 12-month
period ended December 31st is available (1) at www.blackrock.com; and (2) on the
Securities and Exchange Commission's Web site at http://www.sec.gov.
91
Proxy Results
During the six-month period ended December 31, 2006, Master Extended Market
Index Series of Quantitative Master Series Trust's interest holders voted on the
following proposals, which were approved at a special interest holders' meeting
on September 29, 2006. A description of the proposals and number of units of
interest voted are as follows:
- ---------------------------------------------------------------------------------------------------------------------
Units of Interest Units of Interest Units of Interest
Voted For Voted Against Voted Abstain
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement with 294,816,395 0 0
BlackRock Advisors, Inc.
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
To approve a contingent subadvisory agreement with 294,816,395 0 0
BlackRock Advisors, Inc.
- ---------------------------------------------------------------------------------------------------------------------
92
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 at
www.blackrock.com.
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 (resigned as of May 1, 2006), (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
(a) Audit Fees - Fiscal Year Ending December 31, 2006 - $45,500
Fiscal Year Ending December 31, 2005 - $45,000
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2006 - $0
Fiscal Year Ending December 31, 2005 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2006 - $9,200
Fiscal Year Ending December 31, 2005 - $8,700
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2006 - $0
Fiscal Year Ending December 31, 2005 - $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, 2006 - $3,071,450
Fiscal Year Ending December 31, 2005 - $5,577,771
(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) - $1,739,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
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) - As of September 29, 2006, with the conclusion of the combination of
Merrill Lynch's asset management business with BlackRock, the registrant
was migrated to BlackRock's trading and compliance monitoring systems,
and various personnel changes occurred. In conjunction with these
business improvements, there were no changes in the registrants internal
control over financial reporting (as defined in Rule 30a-3(d) under Act
(17 CFR 270.30a-3(d)) that occurred during the last fiscal half-year of
the period covered by this report that has materially affected, or is
reasonably likely to 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.
Master Extended Market Index Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
------------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Master Extended Market Index Series of Quantitative Master Series Trust
Date: February 20, 2007
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
Master Extended Market Index Series of Quantitative Master Series Trust
Date: February 20, 2007
By: /s/ Donald C. Burke
------------------------------------
Donald C. Burke,
Chief Financial Officer of
Master Extended Market Index Series of Quantitative Master Series Trust
Date: February 20, 2007