UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07899
811-07885
Name of Fund: BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc.
Master Small Cap 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, BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and
Master Small Cap 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
ALTERNATIVES BLACKROCK SOLUTIONS EQUITIES
FIXED INCOME LIQUIDITY REAL ESTATE
BlackRock Small Cap Index Fund BLACKROCK
OF BLACKROCK INDEX FUNDS, INC.
ANNUAL REPORT | DECEMBER 31, 2006
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
BlackRock Small Cap Index Fund
Proxy Results
During the six-month period ended December 31, 2006, BlackRock Small Cap Index
Fund of BlackRock Index Funds, Inc. s shareholders voted on the following
proposals. On August 15, 2006 a special shareholders' meeting was adjourned with
respect to the proposals until August 31, 2006, at which time they were
approved. A description of the proposals and number of shares voted are as
follows:
- ------------------------------------------------------------------------------------------
Shares Voted Shares Voted Shares Voted
For Against Abstain
- ------------------------------------------------------------------------------------------
To approve a new investment advisory agreement
with BlackRock Advisors, Inc. 4,031,586 72,116 42,340
- ------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement
with BlackRock Advisors, Inc. 4,022,591 82,609 40,841
- ------------------------------------------------------------------------------------------
2 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
A Letter to Shareholders
Dear Shareholder
As 2007 begins, we are able to look back on 2006 as a volatile, but ultimately,
a positive year for most major markets. Returns for the annual and semi-annual
periods ended December 31, 2006 were as follows:
Total Returns as of December 31, 2006 6-month 12-month
==========================================================================================
U.S. equities (Standard & Poor's 500 Index) +12.74% +15.79%
- ------------------------------------------------------------------------------------------
Small cap U.S. equities (Russell 2000 Index) + 9.38 +18.37
- ------------------------------------------------------------------------------------------
International equities (MSCI Europe, Australasia, Far East Index) +14.69 +26.34
- ------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers Aggregate Bond Index) + 5.09 + 4.33
- ------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 4.55 + 4.84
- ------------------------------------------------------------------------------------------
High yield bonds (Credit Suisse High Yield Index) + 8.14 +11.92
- ------------------------------------------------------------------------------------------
After raising the target short-term interest rate 17 times between June 2004 and
June 2006, the Federal Reserve Board (the Fed) finally opted to pause on August
8, 2006. This left the federal funds rate at 5.25%, where it remained through
year-end. In interrupting its two-year interest rate-hiking campaign, the Fed
acknowledged that economic growth is slowing, led by a downturn in the housing
market, but has maintained a cautionary view on inflation.
Overall, it was a good 12 months for U.S. equities, despite a significant
correction in the middle of the year that was largely triggered by rising
interest rates, inflation fears, elevated oil prices and geopolitical
uncertainties. Nevertheless, strong corporate earnings, abundant liquidity and
record merger-and-acquisition activity provided a solid backdrop for stocks.
Many international equity markets (with the notable exception of Japan)
performed even better, outpacing U.S. stocks for the fifth consecutive year.
Strength was especially notable in European equities and select emerging
markets.
Bonds experienced a more modest annual return than stocks. Interest rates and
bond yields moved higher for much of the year as bond prices, which move
opposite of yields, declined. Prices began to improve in the summer as the
economy showed signs of weakening and the Fed paused. Notably, the Treasury
curve remained inverted for much of 2006. The 10-year Treasury yield ended
December at 4.71%, well below the federal funds rate.
As we begin a new year, investors are left with a few key questions: Will the
U.S. economy achieve a soft landing, will the Fed reverse its prior policy and
cut interest rates, and how might these outcomes impact the investment climate.
As you navigate the uncertainties inherent in the financial markets, we
encourage you to start the year by reviewing your investment goals with your
financial professional and making portfolio changes, as needed. For more
reflection on 2006 and our thoughts on the year ahead, please ask your financial
professional for a copy of "What's Ahead in 2007: An Investment Perspective," or
view it online at www.blackrock.com/funds. We thank you for trusting BlackRock
with your investment assets, and we look forward to continuing to serve you in
the new year and beyond.
Sincerely,
/s/ Robert C. Doll, Jr.
Robert C. Doll, Jr.
President and Director/Trustee
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 3
A Discussion With Your Fund's Portfolio Managers
During the fiscal year, the Fund generated strong positive returns similar
to that of the Russell 2000 Index, as small caps outpaced their mid- and
large-cap counterparts.
How did the Fund perform during the fiscal year in light of the existing market
conditions?
For the 12-month period ended December 31, 2006, BlackRock Small Cap Index
Fund's (formerly Merrill Lynch Small Cap Index Fund) Institutional and Investor
A Shares had total returns of +17.49% and +17.14%, respectively. For the same
period, the benchmark Russell 2000 Index returned +18.37%.
The Russell 2000 Index is a market-weighted index composed of approximately
2,000 common stocks issued by small-capitalization U.S. companies in a range of
businesses. As the value of the Russell 2000 fluctuated during the past 12
months, the Fund'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 Standard & Poor's (S&P) 500 Index advancing 15.79% to
close at 1,418. Small-cap stocks posted even stronger gains, thanks to
exceptionally strong performance in the first few months of the year.
Key highlights of the 12-month period included 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, we saw a striking shift in investor sentiment, triggered by a
deceleration in consumer spending, rising energy prices, a slump in housing
activity and uncertainty around the Fed policy and the sustainability of
economic growth. Stock market volatility took on a more negative spin and
eventually 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% and stocks
outside the United States were hit even harder. 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 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 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 (as was the trend
early in the year).
Macroeconomic uncertainty persisted in the third quarter. Investors struggled
with moderating economic activity--real gross domestic product growth was
estimated at 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 was challenging
the stability of currency markets. Moreover, tensions in the Middle East were
heating up, and economic data offered a mixed outlook for inflation.
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
4 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
high oil prices; and finally, the pervasive strength in corporate fundamentals
that included reasonably good investment levels, 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.
For the 12-month period, small-cap stocks, as measured by the Russell 2000
Index, outpaced the +15.26% return of the Russell Midcap Index and the +15.46%
return of the large cap Russell 1000 Index. Within the Russell 2000, the value
style of investing significantly outperformed the growth style for the period,
with the Russell 2000 Value Index returning +23.48% versus the +13.35% return of
the Russell 2000 Growth Index.
What changes were made to the portfolio during the period?
Throughout the period, as changes were made to the composition of the Russell
2000 Index, the Fund purchased and sold securities to maintain its objective of
replicating the risks and returns of the benchmark. On June 30, 2006, the
Russell 2000 Index underwent its annual reconstitution. To maintain the Series'
tight tracking to the benchmark, we adjusted the portfolio to be in line with
the new benchmark as of the rebalancing's effective date.
How would you characterize the Fund'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
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 18, 2007
- --------------------------------------------------------------------------------
Effective October 2, 2006, the Fund's Class A and Class I Shares were
redesignated Investor A and Institutional Shares, respectively.
- --------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 5
Performance Data
About Fund Performance
Effective October 2, 2006, the Fund's Class A and Class I Shares were
redesignated Investor A and Institutional Shares, respectively.
The Fund has multiple classes of shares:
o Institutional Shares do not incur an initial sales charge (front-end load)
or deferred sales charge and bear no ongoing distribution or service fees.
Institutional Shares are available only to eligible investors.
o Investor A Shares do not incur an initial sales charge (front-end load) or
deferred sales charge and bear no ongoing distribution fee. In addition,
Investor A Shares are subject to an ongoing service fee of .25% per year.
Performance information reflects past performance and does not guarantee future
results. Current performance may be lower or higher than the performance data
quoted. Refer to www.blackrock.com to obtain performance data current to the
most recent month-end. Performance results do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares. The Fund may charge a 2% redemption fee for sales or exchanges of shares
within 30 days of purchase or exchange. Performance data does not reflect this
potential fee. Figures shown in each of the following tables assume reinvestment
of all dividends and capital gain distributions, if any, at net asset value on
the ex-dividend date. Investment return and principal value of shares will
fluctuate so that shares, when redeemed, may be worth more or less than their
original cost. Dividends paid to each class of shares will vary because of the
different levels of service, distribution and transfer agency fees applicable to
each class, which are deducted from the income available to be paid to
shareholders. The Fund's Administrator and the Series' Investment Adviser
voluntarily waived a portion of their administrative and management fees,
respectively. Without such waivers, the Fund's performance would have been
lower.
Recent Performance Results
6-Month 12-Month Since Inception
As of December 31, 2006 Total Return Total Return Total Return
================================================================================
Institutional Shares* +8.85% +17.49% +146.93%
- --------------------------------------------------------------------------------
Investor A Shares* +8.67 +17.14 +141.00
- --------------------------------------------------------------------------------
Russell 2000(R) Index** +9.38 +18.37 +156.64
- --------------------------------------------------------------------------------
* Cumulative total investment returns are based on changes in net asset
value for the periods shown, and assume reinvestment of all dividends and
capital gains distributions at net asset value on the ex-dividend date.
The Fund's inception date is 4/09/97.
** This unmanaged Index is comprised of approximately 2,000 smaller-
capitalization common stocks from various industrial sectors. Since
inception total return is from 4/09/97.
Russell 2000 is a registered trademark of the Frank Russell Companies.
6 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Performance Data (concluded)
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Institutional
Shares and Investor A Shares compared to growth of an investment in the Russell
2000 Index. Values are from April 9, 1997 to December 2006.
Institutional Investor A Russell
Shares* Shares* 2000 Index++
4/09/97** $ 10,000 $ 10,000 $ 10,000
12/97 $ 12,704 $ 12,687 $ 12,743
12/98 $ 12,304 $ 12,253 $ 12,419
12/99 $ 14,862 $ 14,759 $ 15,059
12/00 $ 14,504 $ 14,382 $ 14,604
12/01 $ 14,777 $ 14,608 $ 14,967
12/02 $ 11,731 $ 11,577 $ 11,901
12/03 $ 17,165 $ 16,886 $ 17,525
12/04 $ 20,178 $ 19,805 $ 20,737
12/05 $ 21,017 $ 20,573 $ 21,681
12/06 $ 24,693 $ 24,100 $ 25,664
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees.
** Commencement of operations.
+ The Fund invests all of its assets in Master Small Cap Index Series of
Quantitative Master Series Trust. The Series may invest in a statistically
selected sample of the stocks included in the Russell 2000 Index and other
types of financial instruments.
++ This unmanaged Index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors.
Past performance is not indicative of future performance.
Average Annual Total Return
Institutional Shares Return
================================================================================
One Year Ended 12/31/06 +17.49%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/06 +10.82
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/06 +9.74
- --------------------------------------------------------------------------------
Investor A Shares Return
================================================================================
One Year Ended 12/31/06 +17.14%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/06 +10.53
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/06 +9.46
- --------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 7
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses related
to transactions, including sales charges, redemption fees and exchange fees; and
(b) operating expenses including advisory fees, distribution fees including
12b-1 fees, and other Fund expenses. The following example (which is based on a
hypothetical investment of $1,000 invested on July 1, 2006 and held through
December 31, 2006) is intended to assist shareholders both in calculating
expenses based on an investment in the Fund and in comparing these expenses with
similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders' ongoing
costs only and do not reflect any transactional expenses, such as sales charges,
redemption fees or exchange fees. Therefore, the second table is useful in
comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2006 to
July 1, 2006 DECEMBER 31, 2006 December 31, 2006
===========================================================================================================
Actual
===========================================================================================================
Institutional $1,000 $1,088.50 $2.60
- -----------------------------------------------------------------------------------------------------------
Investor A $1,000 $1,086.70 $3.90
===========================================================================================================
Hypothetical (5% annual return before expenses)**
===========================================================================================================
Institutional $1,000 $1,022.41 $2.52
- -----------------------------------------------------------------------------------------------------------
Investor A $1,000 $1,021.16 $3.78
- -----------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (.50% for Institutional and .75% for Investor A),
multiplied by the average account value over the period, multiplied by
182/365 (to reflect the one-half year period shown). Because the Fund is a
feeder fund, the expense table example reflects the expenses of both the
feeder fund and the master series in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating
the number of days in the most recent fiscal half year divided by 365.
8 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Statement of Assets and Liabilities BlackRock Small Cap Index Fund
As of December 31, 2006
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Master Small Cap Index Series (the "Series"), at value
(identified cost--$99,242,174) .............................................. $ 133,170,126
Prepaid expenses ............................................................. 11,521
-------------
Total assets ................................................................. 133,181,647
-------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payables:
Administrator ............................................................. $ 30,796
Distributor ............................................................... 10,871
Other affiliates .......................................................... 54 41,721
-------------
Accrued expenses and other liabilities ....................................... 25,186
-------------
Total liabilities ............................................................ 66,907
-------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets ................................................................... $ 133,114,740
=============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Shares of Common Stock, $.0001 par value,
125,000,000 shares authorized ............................................... $ 510
Investor A Shares of Common Stock, $.0001 par value,
125,000,000 shares authorized ............................................... 350
Paid-in capital in excess of par ............................................. 99,653,376
Undistributed investment income--net ......................................... $ 51,170
Accumulated realized capital losses allocated from the Series--net ........... (518,618)
Unrealized appreciation allocated from the Series--net ....................... 33,927,952
-------------
Total accumulated earnings--net .............................................. 33,460,504
-------------
Net Assets ................................................................... $ 133,114,740
=============
===================================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional--Based on net assets of $79,031,815 and 5,104,920 shares
outstanding ................................................................. $ 15.48
=============
Investor A--Based on net assets of $54,082,925 and 3,495,413 shares
outstanding ................................................................. $ 15.47
=============
See Notes to Financial Statements
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 9
Statement of Operations BlackRock Small Cap Index Fund
For the Year Ended December 31, 2006
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends ................................................................. $ 1,336,376
Interest from affiliates .................................................. 555,197
Securities lending--net ................................................... 109,088
Expenses .................................................................. (88,309)
-------------
Total income ................................................................. 1,912,352
-------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Administration fees .......................................................... $ 364,706
Service fees--Investor A ..................................................... 130,749
Printing and shareholder reports ............................................. 53,852
Transfer agent fees--Institutional ........................................... 42,312
Transfer agent fees--Investor A .............................................. 30,125
Registration fees ............................................................ 26,623
Professional fees ............................................................ 4,483
Directors' fees and expenses ................................................. 1,963
Other ........................................................................ 8,339
-------------
Total expenses ............................................................... 663,152
-------------
Investment income--net ....................................................... 1,249,200
-------------
===================================================================================================================================
Realized & Unrealized Gain Allocated from the Series--Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on investments, in-kind redemption and financial
futures contracts--net ...................................................... 9,872,452
Change in unrealized appreciation/depreciation on investments and
financial futures contracts--net ............................................ 8,107,418
-------------
Total realized and unrealized gain--net ...................................... 17,979,870
-------------
Net Increase in Net Assets Resulting from Operations ......................... $ 19,229,070
=============
See Notes to Financial Statements.
10 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Statements of Changes in Net Assets BlackRock Small Cap Index Fund
For the Year Ended
December 31,
---------------------------------
Increase (Decrease) in Net Assets: 2006 2005
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income--net ....................................................... $ 1,249,200 $ 693,074
Realized gain--net ........................................................... 9,872,452 4,314,626
Change in unrealized appreciation/depreciation--net .......................... 8,107,418 (291,948)
---------------------------------
Net increase in net assets resulting from operations ......................... 19,229,070 4,715,752
---------------------------------
===================================================================================================================================
Dividends & Distributions to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income--net:
Institutional ............................................................. (812,899) (480,662)
Investor A ................................................................ (434,263) (232,731)
Realized gain--net:
Institutional ............................................................. (5,755,828) (982,462)
Investor A ................................................................ (3,998,610) (761,082)
---------------------------------
Net decrease in net assets resulting from dividends and distributions
to shareholders ............................................................. (11,001,600) (2,456,937)
---------------------------------
===================================================================================================================================
Capital Share Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets derived from capital share
transactions ................................................................ 12,320,460 (14,238,277)
---------------------------------
===================================================================================================================================
Redemption Fee
- -----------------------------------------------------------------------------------------------------------------------------------
Redemption fee ............................................................... 108 498
---------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets ...................................... 20,548,038 (11,978,964)
Beginning of year ............................................................ 112,566,702 124,545,666
---------------------------------
End of year* ................................................................. $ 133,114,740 $ 112,566,702
=================================
* Undistributed investment income--net .................................... $ 51,170 $ 49,736
=================================
See Notes to Financial Statements.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 11
Financial Highlights BlackRock Small Cap Index Fund
Institutional
----------------------------------------------------------------
The following per share data For the Year Ended
and ratios have been derived December 31,
from information provided in ----------------------------------------------------------------
the financial statements. 2006 2005 2004 2003 2002
============================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ..... $ 14.36 $ 14.10 $ 12.06 $ 8.28 $ 10.53
----------------------------------------------------------------
Investment income--net** ............... .17 .10 .08 .06 .08
Realized and unrealized gain (loss)--net 2.34* .49* 2.04* 3.77 (2.25)
----------------------------------------------------------------
Total from investment operations ....... 2.51 .59 2.12 3.83 (2.17)
----------------------------------------------------------------
Less dividends and distributions from:
Investment income--net .............. (.17) (.11) (.08) (.05) (.08)
Realized gain--net .................. (1.22) (.22) -- -- --
----------------------------------------------------------------
Total dividends and distributions ...... (1.39) (.33) (.08) (.05) (.08)
----------------------------------------------------------------
Net asset value, end of year ........... $ 15.48 $ 14.36 $ 14.10 $ 12.06 $ 8.28
================================================================
============================================================================================================
Total Investment Return
- ------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 17.49% 4.16% 17.55% 46.32% (20.61%)
================================================================
============================================================================================================
Ratios to Average Net Assets***
- ------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .49% .53% .56% .60% .50%
================================================================
Expenses ............................... .49% .54% .56% .63% .64%
================================================================
Investment income--net ................. 1.10% .69% .64% .61% .82%
================================================================
============================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $ 79,032 $ 63,671 $ 68,024 $ 51,194 $ 30,938
================================================================
Portfolio turnover of the Series ....... 40.29% 36.63% 37.74% 28.57% 39.00%
================================================================
Investor A
----------------------------------------------------------------
The following per share data For the Year Ended
and ratios have been derived December 31,
from information provided in ----------------------------------------------------------------
the financial statements. 2006 2005 2004 2003 2002
============================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ..... $ 14.36 $ 14.10 $ 12.06 $ 8.29 $ 10.53
----------------------------------------------------------------
Investment income--net** ............... .13 .06 .05 .04 .05
Realized and unrealized gain (loss)--net 2.33* .49* 2.03* 3.76 (2.23)
----------------------------------------------------------------
Total from investment operations ....... 2.46 .55 2.08 3.80 (2.18)
----------------------------------------------------------------
Less dividends and distributions from:
Investment income--net .............. (.13) (.07) (.04) (.03) (.06)
Realized gain--net .................. (1.22) (.22) -- -- --
----------------------------------------------------------------
Total dividends and distributions ...... (1.35) (.29) (.04) (.03) (.06)
----------------------------------------------------------------
Net asset value, end of year ........... $ 15.47 $ 14.36 $ 14.10 $ 12.06 $ 8.29
================================================================
============================================================================================================
Total Investment Return
- ------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 17.14% 3.88% 17.29% 45.85% (20.75%)
================================================================
============================================================================================================
Ratios to Average Net Assets***
- ------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .74% .79% .81% .85% .75%
================================================================
Expenses ............................... .74% .80% .81% .88% .89%
================================================================
Investment income--net ................. .84% .43% .38% .36% .56%
================================================================
============================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $ 54,083 $ 48,896 $ 56,522 $ 50,280 $ 34,308
================================================================
Portfolio turnover of the Series ....... 40.29% 36.63% 37.74% 28.57% 39.00%
================================================================
* Includes redemption fee, which is less than $.01 per share.
** Based on average shares outstanding.
*** Includes the Fund's share of the Series' allocated expenses and/or
investment income--net.
See Notes to Financial Statements.
12 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements BlackRock Small Cap Index Fund
1. Significant Accounting Policies:
On September 29, 2006, Merrill Lynch Small Cap Index Fund, a series of Merrill
Lynch Index Funds, Inc., was renamed BlackRock Small Cap Index Fund (the
"Fund"), a series of BlackRock Index Funds, Inc. (the "Corporation"),
respectively. The Fund is registered under the Investment Company Act of 1940,
as amended, as a non-diversified open-end investment company. The Fund seeks to
achieve its investment objective by investing all of its assets in Master Small
Cap Index Series (the "Series") of Quantitative Master Series Trust (the
"Trust"), which has the same investment objective and strategies as the Fund.
The value of the Fund's investment in the Series reflects the Fund's
proportionate interest in the net assets of the Series. The performance of the
Fund is directly affected by the performance of the Series. The financial
statements of the Series, including the Schedule of Investments, are included
elsewhere in this report and should be read in conjunction with the Fund's
financial statements. The Fund's financial statements are prepared in conformity
with U.S. generally accepted accounting principles, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates. The percent age of the Series owned by the Fund at December 31, 2006
was 23.7%. The Fund offers two classes of shares. Effective October 2, 2006,
Class I and Class A Shares were redesignated Institutional and Investor A
Shares, respectively. Institutional and Investor A Shares are sold without the
imposition of a front-end or deferred sales charge. Both classes of shares have
identical voting, dividend, liquidation and other rights and the same terms and
conditions, except that Investor A Shares bear certain expenses related to the
account maintenance of such shares and have exclusive voting rights with respect
to matters relating to its account maintenance expenditures. Income, expenses
(other than expenses attributable to a specific class) and realized and
unrealized gains and losses are allocated daily to each class based on its
relative net assets. The following is a summary of significant accounting
policies followed by the Fund.
(a) Valuation of investments--The Fund records its investment in the Series at
fair value. Valuation of securities held by the Series is discussed in Note 1(a)
of the Series' Notes to Financial Statements, which are included elsewhere in
this report.
(b) Investment income and expenses--The Fund records daily its proportionate
share of the Series' income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
(c) Income taxes--It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to shareholders. Therefore,
no federal income tax provision is required.
(d) Prepaid registration fees--Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions--Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions--Investment transactions in the Series are
accounted for on a trade date basis.
(g) 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 Fund's 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 Fund's financial statements has not
been determined.
(h) Reclassifications--U.S. generally accepted accounting principles require
that certain components of net assets be adjusted to reflect permanent
differences between financial and tax reporting. Accordingly, during the current
year, $394,579 has been reclassified between paid-in capital in excess of par
and accumulated net realized capital losses and $604 has been reclassified
between undistributed net investment income and paid-in capital in excess of par
as a result of permanent differences attributable to disallowed loss on in-kind
withdrawal of partner and characterization of
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 13
Notes to Financial Statements (continued) BlackRock Small Cap Index Fund
corporate actions. These reclassifications have no effect on net assets or net
asset values per share.
2. 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 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. ("PNC"), 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 August 31, 2006, shareholders of the Fund approved a new Investment Advisory
Agreement for the Trust on behalf of the Series with BlackRock Advisors, LLC, an
indirect, wholly owned subsidiary of BlackRock, Inc. BlackRock Advisors, Inc.,
was recently reorganized into a limited liability company and renamed BlackRock
Advisors, LLC. The new Investment Advisory Agreement became effective on
September 29, 2006. Prior to September 29, 2006, Fund Asset Management, L.P.
("FAM") was the 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 Corporation has entered into an Administration Agreement with BlackRock
Advisors, LLC (the "Administrator"). The Fund pays a monthly fee at an annual
rate of .29% of the Fund's average daily net assets for the performance of
administrative services (other than investment advice and related portfolio
activities) necessary for the operation of the Fund. Prior to September 29,
2006, MLIM acted as the Fund's Administrator and was compensated at the same fee
rate. The Administrator (and previously MLIM) has entered into a voluntary
arrangement with the Fund under which the expenses incurred by each class of
shares of the Fund (excluding account maintenance fees ("service fees")) will
not exceed .60%. This arrangement has a one-year term and is renewable.
The Corporation has also entered into separate Distribution Agreements and
Distribution Plans with FAM Distributors, Inc. ("FAMD") and BlackRock
Distributors, Inc. ("BDI") (collectively, the "Distributor"). FAMD is a wholly
owned subsidiary of Merrill Lynch Group, Inc. and BDI is an affiliate of
BlackRock, Inc.
Pursuant to the Distribution Plans adopted by the Corporation in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Fund pays the
Distributor an ongoing service fee with respect to Investor A Shares. The fee is
accrued daily and paid monthly at the annual rate of .25% based upon the average
daily net assets of Investor A Shares.
Pursuant to sub-agreements with each Distributor, broker dealers, including
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned
subsidiary of Merrill Lynch, and an affiliate of the Distributor, also provide
account maintenance services to the Fund. The ongoing service fee compensates
the Distributors and each broker-dealer (including MLPF&S) for providing account
maintenance services to Investor A shareholders.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned subsidiary of
PNC and an affiliate of the Administrator, became the Fund's transfer agent.
Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the
Corporation were officers and/or directors of MLIM, PSI, FAMD, FDS, and/or
Merrill Lynch.
Commencing September 29, 2006, certain officers and/or directors of the
Corporation are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
was $12,320,460 and $(14,238,277) for the years ended December 31, 2006 and
December 31, 2005, respectively.
Transactions in capital shares for each class were as follows:
- --------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 2,461,516 $ 38,738,205
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 403,543 6,262,248
------------------------------
Total issued ............................. 2,865,059 45,000,453
Shares redeemed .......................... (2,193,758) (34,056,513)
------------------------------
Net increase ............................. 671,301 $ 10,943,940
==============================
14 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements (concluded) BlackRock Small Cap Index Fund
- --------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ................................ 2,459,250 $ 34,087,931
Shares issued to shareholders
in reinvestment of dividends
and distributions ........................ 96,658 1,407,794
------------------------------
Total issued ............................... 2,555,908 35,495,725
Shares redeemed ............................ (2,945,115) (41,563,146)
------------------------------
Net decrease ............................... (389,207) $ (6,067,421)
==============================
- --------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- --------------------------------------------------------------------------------
Shares sold .............................. 437,777 $ 6,824,403
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 252,023 3,908,408
------------------------------
Total issued ............................. 689,800 10,732,811
Shares redeemed .......................... (600,508) (9,356,291)
------------------------------
Net increase ............................. 89,292 $ 1,376,520
==============================
- --------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2005 Shares Amount
- --------------------------------------------------------------------------------
Shares sold ................................ 535,473 $ 7,390,664
Shares issued to shareholders
in reinvestment of dividends
and distributions ........................ 59,618 868,264
------------------------------
Total issued ............................... 595,091 8,258,928
Shares redeemed ............................ (1,198,137) (16,429,784)
------------------------------
Net decrease ............................... (603,046) $ (8,170,856)
==============================
The Fund charges a 2% redemption fee on the proceeds (calculated at market
value) of a redemption (either by sale or exchange) of Fund shares made within
30 days of purchase or exchange. The redemption fee is paid to the Fund and is
intended to offset the trading costs, market impact and other costs associated
with short-term trading into and out of the Fund.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2006 and December 31, 2005 was as follows:
- --------------------------------------------------------------------------------
12/31/2006 12/31/2005
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income .................... $ 1,289,447 $ 713,393
Long-term capital gains ............ 9,712,153 1,743,544
------------------------------
Total taxable distributions ................ $11,001,600 $ 2,456,937
==============================
As of December 31, 2006, the components of accumulated earnings on a tax basis
were as follows:
- --------------------------------------------------------------------------------
Undistributed ordinary income--net ......................... $ 332,303
Undistributed long-term capital gains--net ................. 1,047,631
-----------
Total undistributed earnings--net .......................... 1,379,934
Capital loss carryforward .................................. --
Unrealized gains--net ...................................... 32,080,570*
-----------
Total accumulated earnings--net ............................ $33,460,504
===========
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales and the
realization for tax purposes of unrealized gains/losses on certain
financial futures contracts.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 15
Report of Independent Registered BlackRock Small Cap Index Fund
Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Index Funds, Inc.:
We have audited the accompanying statement of assets and liabilities of
BlackRock Small Cap Index Fund (formerly Merrill Lynch Small Cap Index Fund),
one of the series constituting BlackRock Index Funds, Inc. (formerly Merrill
Lynch Index Funds, Inc.) (the "Fund"), 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 Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. as of December 31,
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 26, 2007
Important Tax Information (unaudited)
The following information is provided with respect to the ordinary income
distributions paid by BlackRock Small Cap Index Fund of BlackRock Index Funds,
Inc. during the fiscal year ended December 31, 2006:
================================================================================
Record Date July 13, 2006 December 14, 2006
Payable Date July 19, 2006 December 18, 2006
================================================================================
Qualified Dividend
Income for Individuals 100% 61.25%*
- --------------------------------------------------------------------------------
Dividends Qualifying for the
Dividends Received Deduction
for Corporations 100% 59.19%*
- --------------------------------------------------------------------------------
Short-Term Capital Gain
Dividends for Non-U.S. Residents 47.28%** N/A
- --------------------------------------------------------------------------------
* The Fund hereby designates the percentage indicated above or the maximum
amount allowable by law.
** Represents the portion of the taxable ordinary income dividends eligible
for exemption from U.S. withholding tax for nonresident aliens and foreign
corporations.
Additionally, the Fund paid long-term capital gain distributions of $0.058851
and $1.153125 per share to shareholders of record on July 13, 2006 and December
14, 2006, respectively.
16 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Portfolio Information Master Small Cap Index Series
As of December 31, 2006
- --------------------------------------------------------------------------------
Percent of Total
Sector Representation Investments
- --------------------------------------------------------------------------------
Financial Services ........................................... 17.6%
Consumer Discretionary ....................................... 14.7
Technology ................................................... 9.8
Health Care .................................................. 8.3
Materials & Processing ....................................... 6.8
Producer Durables ............................................ 5.4
Other Energy ................................................. 3.3
Utilities .................................................... 3.2
Auto & Transportation ........................................ 2.7
Consumer Staples ............................................. 1.6
Other ........................................................ 0.2
Integrated Oils .............................................. 0.2
Short-Term Investments and
Exchange-Traded Funds ...................................... 26.2
- --------------------------------------------------------------------------------
For Series compliance purposes, the Series' sector classifications refer
to any one or more of the sector sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes
of this report, which may combine such sector sub-classifications for
reporting ease.
Proxy Results
During the six-month period ended December 31, 2006, Master Small Cap Index
Series of Quantitative Master Series Trusts' 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 Units of Units of
Interest Voted Interest Voted Interest Voted
For Against Abstain
- --------------------------------------------------------------------------------
To approve a new investment
advisory agreement with
BlackRock Advisors, Inc. 480,847,259 1,855,101 1,090,050
- --------------------------------------------------------------------------------
To approve a contingent
sub-advisory agreement
with BlackRock Advisors, Inc. 480,620,409 2,119,750 1,052,251
- --------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 17
Summary Schedule of Investments
as of DECEMBER 31, 2006 Master Small Cap Index Series
This summary schedule of investments is presented to help investors focus on the
Series' principal holdings. It includes the Series' 50 largest holdings and each
investment of any issuer that exceeds 1% of the Series' net assets. "Other
Securities" represent all issues not required to be disclosed under the rules
adopted by the Securities and Exchange Commission. A complete schedule of
investments is available without charge, upon request, by calling 800-441-7762
or on the Securities and Exchange Commission's Web site at http://www.sec.gov.
===============================================================================================================================
Shares Percent of
Industry Held Common Stocks Value Net Assets
===============================================================================================================================
Advertising Agencies 31,880 ValueClick, Inc. (a) $ 753,324 0.1%
Other Securities 2,137,385 0.4
-----------------------------
2,890,709 0.5
- -------------------------------------------------------------------------------------------------------------------------------
Aerospace Other Securities 2,745,868 0.5
- -------------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching Other Securities 643,263 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Air Transport 55,000 JetBlue Airways Corp. (a)(e) 781,000 0.1
Other Securities 3,319,994 0.6
-----------------------------
4,100,994 0.7
- -------------------------------------------------------------------------------------------------------------------------------
Aluminum Other Securities 370,684 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market Other Securities 639,196 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment Other Securities 2,332,606 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts 19,700 Navistar International Corp. (a) 658,571 0.1
Other Securities 537,528 0.1
-----------------------------
1,196,099 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Banks: New York City Other Securities 337,682 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City 17,700 First Midwest Bancorp, Inc. 684,636 0.1
Other Securities 31,147,987 5.6
-----------------------------
31,832,623 5.7
- -------------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) Other Securities 161,910 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks Other Securities 466,677 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production 23,000 ICOS Corp. (a) 777,170 0.1
Other Securities 10,593,492 1.9
-----------------------------
11,370,662 2.0
- -------------------------------------------------------------------------------------------------------------------------------
Building Materials Other Securities 2,463,019 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Building: Cement Other Securities 98,256 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing Other Securities 528,588 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous Other Securities 692,135 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard Other Securities 641,095 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Cable Television Services Other Securities 624,817 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling Other Securities 3,427,331 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Chemicals 36,000 Hercules, Inc. (a) 695,160 0.1
Other Securities 5,943,984 1.1
-----------------------------
6,639,144 1.2
- -------------------------------------------------------------------------------------------------------------------------------
Coal Other Securities 512,457 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Commercial Information Services Other Securities 1,003,261 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Communications & Media Other Securities 481,230 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Communications Technology 87,000 Brocade Communications Systems, Inc. (a) 714,270 0.1
48,400 Foundry Networks, Inc. (a) 725,032 0.1
Other Securities 12,120,320 2.2
-----------------------------
13,559,622 2.4
- -------------------------------------------------------------------------------------------------------------------------------
18 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===============================================================================================================================
Computer Services Software & Systems 12,500 Digital River, Inc. (a) $ 697,375 0.1%
10,000 Equinix, Inc. (a)(e) 756,200 0.2
18,500 Hyperion Solutions Corp. (a) 664,890 0.1
13,798 Micros Systems, Inc. (a) 727,155 0.1
39,160 Parametric Technology Corp. (a) 705,663 0.1
28,000 Sybase, Inc. (a) 691,600 0.1
Other Securities 18,526,821 3.3
-----------------------------
22,769,704 4.0
- -------------------------------------------------------------------------------------------------------------------------------
Computer Technology Other Securities 5,210,964 0.9
- -------------------------------------------------------------------------------------------------------------------------------
Construction Other Securities 2,169,725 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Consumer Electronics Other Securities 3,902,842 0.7
- -------------------------------------------------------------------------------------------------------------------------------
Consumer Products Other Securities 3,377,388 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Glass 11,700 AptarGroup, Inc. 690,768 0.1
6,075 Greif, Inc. 719,280 0.2
Other Securities 653,403 0.1
-----------------------------
2,063,451 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & Plastic Other Securities 289,695 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Copper Other Securities 379,829 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Cosmetics Other Securities 586,290 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services Other Securities 2,246,259 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing 14,960 Acuity Brands, Inc. (g) 778,518 0.1
Other Securities 2,543,895 0.5
-----------------------------
3,322,413 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains Other Securities 2,479,848 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals Other Securities 10,890,856 1.9
- -------------------------------------------------------------------------------------------------------------------------------
Education Services Other Securities 2,089,459 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics Other Securities 1,229,190 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components 15,990 General Cable Corp. (a) 698,923 0.1
Other Securities 3,809,119 0.7
-----------------------------
4,508,042 0.8
- -------------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance Other Securities 92,799 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Electronics 21,800 Flir Systems, Inc. (a) 693,894 0.1
Other Securities 2,691,602 0.5
-----------------------------
3,385,496 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, Gauges & Meters Other Securities 726,622 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems 18,080 Hologic, Inc. (a) 854,822 0.2
Other Securities 3,561,686 0.6
-----------------------------
4,416,508 0.8
- -------------------------------------------------------------------------------------------------------------------------------
Electronics: Semi-Conductors/Components Other Securities 8,747,869 1.6
- -------------------------------------------------------------------------------------------------------------------------------
Electronics: Technology Other Securities 2,453,787 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Energy Equipment Other Securities 178,350 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous 11,097 Veritas DGC, Inc. (a) 950,236 0.2
Other Securities 2,137,648 0.4
-----------------------------
3,087,884 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting Services Other Securities 1,469,726 0.3
- -------------------------------------------------------------------------------------------------------------------------------
Entertainment 13,255 Gaylord Entertainment Co. (a) 675,077 0.1
Other Securities 992,849 0.2
-----------------------------
1,667,926 0.3
- -------------------------------------------------------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 19
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===============================================================================================================================
Fertilizers Other Securities $ 361,796 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Finance Companies Other Securities 1,362,060 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan Other Securities 455,570 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Other Securities 4,536,527 0.8
Services & Systems
- -------------------------------------------------------------------------------------------------------------------------------
Financial Information Services Other Securities 1,193,689 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous Other Securities 4,089,995 0.7
- -------------------------------------------------------------------------------------------------------------------------------
Foods 17,600 NBTY, Inc. (a) 731,632 0.1
Other Securities 4,274,591 0.8
-----------------------------
5,006,223 0.9
- -------------------------------------------------------------------------------------------------------------------------------
Forest Products Other Securities 474,289 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services Other Securities 290,326 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries Other Securities 208,275 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Glass Other Securities 229,789 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Gold Other Securities 671,339 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Health Care Facilities Other Securities 3,045,898 0.5
- -------------------------------------------------------------------------------------------------------------------------------
Health Care Management Services Other Securities 3,330,138 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Health Care Services Other Securities 2,569,700 0.5
- -------------------------------------------------------------------------------------------------------------------------------
Homebuilding Other Securities 1,506,558 0.3
- -------------------------------------------------------------------------------------------------------------------------------
Hotel/Motel Other Securities 385,322 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Household Furnishings Other Securities 2,040,374 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter Devices Other Securities 2,813,820 0.5
- -------------------------------------------------------------------------------------------------------------------------------
Industrial Products Other Securities 179,140 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Insurance: Life Other Securities 2,042,142 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line Other Securities 2,346,386 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty Other Securities 6,657,005 1.2
- -------------------------------------------------------------------------------------------------------------------------------
Investment Management Companies 28,300 Waddell & Reed Financial, Inc. Class A 774,288 0.1
Other Securities 2,470,023 0.5
-----------------------------
3,244,311 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones Other Securities 570,080 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Leisure Time Other Securities 1,808,945 0.3
- -------------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering Other Securities 373,339 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural Other Securities 258,652 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling Other Securities 530,573 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Machinery: Engines Other Securities 485,690 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty Other Securities 2,205,496 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment & Services Other Securities 5,782,415 1.0
- -------------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty Other Securities 877,024 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Manufactured Housing Other Securities 414,653 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Manufacturing Other Securities 363,195 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & Supplies Other Securities 12,486,141 2.2
- -------------------------------------------------------------------------------------------------------------------------------
Medical Services Other Securities 1,162,327 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Metal Fabricating Other Securities 4,080,855 0.7
- -------------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous 13,836 Cleveland-Cliffs, Inc. 670,216 0.1
Other Securities 1,885,529 0.4
-----------------------------
2,555,745 0.5
- -------------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing Other Securities 92,701 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Business & Other Securities 86,970 0.0
Consumer Discretionary
- -------------------------------------------------------------------------------------------------------------------------------
20 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===============================================================================================================================
Miscellaneous Consumer Staples Other Securities $ 185,904 0.0%
- -------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Commodities Other Securities 968,466 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Processing Other Securities 1,280,779 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables 27,200 BE Aerospace, Inc. (a) 698,496 0.1
Other Securities 149,406 0.0
-----------------------------
847,902 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology Other Securities 305,382 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies Other Securities 1,392,739 0.3
- -------------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business Equipment 22,200 Herman Miller, Inc. 807,192 0.1
Other Securities 848,961 0.2
-----------------------------
1,656,153 0.3
- -------------------------------------------------------------------------------------------------------------------------------
Offshore Drilling Other Securities 627,509 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers Other Securities 9,545,289 1.7
- -------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic Other Securities 908,620 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated International Other Securities 146,475 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Paints & Coatings Other Securities 924,293 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Paper Other Securities 1,941,526 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Plastics Other Securities 608,128 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Pollution Control & Environmental Services Other Securities 693,952 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment Other Securities 512,025 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services Other Securities 698,445 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment 18,113 Varian Semiconductor Equipment
Associates, Inc. (a) 824,504 0.1
Other Securities 5,574,713 1.0
-----------------------------
6,399,217 1.1
- -------------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous Other Securities 2,141,762 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers Other Securities 1,704,126 0.3
- -------------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters Other Securities 2,235,799 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Railroad Equipment Other Securities 919,482 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Railroads 11,181 Florida East Coast Industries, Inc. 666,388 0.1
Other Securities 498,920 0.1
-----------------------------
1,165,308 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Real Estate Other Securities 834,493 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) 9,276 Alexandria Real Estate Equities, Inc. 931,310 0.2
15,100 First Industrial Realty Trust, Inc. 708,039 0.1
16,900 Highwoods Properties, Inc. 688,844 0.1
25,000 KKR Financial Corp. 669,750 0.1
25,559 Nationwide Health Properties, Inc. 772,393 0.1
31,600 Realty Income Corp. 875,320 0.2
Other Securities 27,737,865 5.0
-----------------------------
32,383,521 5.8
- -------------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats Other Securities 1,350,644 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial Other Securities 687,977 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer 23,400 Rent-A-Center, Inc. (a) 690,534 0.1
Other Securities 1,039,693 0.2
-----------------------------
1,730,227 0.3
- -------------------------------------------------------------------------------------------------------------------------------
Restaurants 11,218 Jack in the Box, Inc. (a) 684,747 0.1
Other Securities 7,855,135 1.4
-----------------------------
8,539,882 1.5
- -------------------------------------------------------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 21
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===============================================================================================================================
Retail 35,500 Big Lots, Inc. (a) $ 813,660 0.2%
21,100 Payless Shoesource, Inc. (a) 692,502 0.1
Other Securities 16,862,326 3.0
-----------------------------
18,368,488 3.3
- -------------------------------------------------------------------------------------------------------------------------------
Savings & Loan Other Securities 9,160,581 1.6
- -------------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers Other Securities 731,798 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services Other Securities 2,217,917 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Services: Commercial 15,718 Waste Connections, Inc. (a) 653,083 0.1
Other Securities 15,791,734 2.8
-----------------------------
16,444,817 2.9
- -------------------------------------------------------------------------------------------------------------------------------
Shipping 10,000 American Commercial Lines, Inc. (a)(g) 655,100 0.1
Other Securities 387,176 0.1
-----------------------------
1,042,276 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Shoes Other Securities 3,139,750 0.6
- -------------------------------------------------------------------------------------------------------------------------------
Steel 15,890 Chaparral Steel Co. 703,450 0.1
11,900 Oregon Steel Mills, Inc. (a) 742,679 0.1
Other Securities 1,695,448 0.3
-----------------------------
3,141,577 0.5
- -------------------------------------------------------------------------------------------------------------------------------
Sugar Other Securities 113,787 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment 27,400 Polycom, Inc. (a) 846,934 0.2
Other Securities 3,364,246 0.6
-----------------------------
4,211,180 0.8
- -------------------------------------------------------------------------------------------------------------------------------
Textile Products Other Securities 215,021 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers 17,154 Phillips-Van Heusen Corp. 860,616 0.1
Other Securities 3,739,967 0.7
-----------------------------
4,600,583 0.8
- -------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Other Securities 500,492 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities 992,177 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Toys Other Securities 804,961 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous Other Securities 953,186 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Truckers Other Securities 2,096,922 0.4
- -------------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio Other Securities 141,504 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical 21,400 PNM Resources, Inc. 665,540 0.1
27,200 Westar Energy, Inc. 706,112 0.1
Other Securities 5,836,204 1.1
-----------------------------
7,207,856 1.3
- -------------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors 25,100 Piedmont Natural Gas Co. (e) 671,425 0.1
Other Securities 3,851,936 0.7
-----------------------------
4,523,361 0.8
- -------------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous Other Securities 556,950 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications 47,100 Time Warner Telecom, Inc. Class A (a) 938,703 0.2
Other Securities 4,759,699 0.8
-----------------------------
5,698,402 1.0
- -------------------------------------------------------------------------------------------------------------------------------
Utilities: Water Other Securities 677,709 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade Other Securities 345,262 0.1
- -------------------------------------------------------------------------------------------------------------------------------
Wholesalers Other Securities 1,196,287 0.2
- -------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$331,305,141) 439,097,192 78.2
===============================================================================================================================
22 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Summary Schedule of Investments (concluded) Master Small Cap Index Series
Shares Percent of
Industry Held Exchange-Traded Funds Value Net Assets
===============================================================================================================================
169,590 iShares Russell 2000 Index Fund (e) $ 13,241,587 2.4%
- -------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$12,341,064) 13,241,587 2.4
===============================================================================================================================
Mutual Funds
===============================================================================================================================
Investment Management Companies Other Securities 104,984 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds (Cost--$92,876) 104,984 0.0
===============================================================================================================================
Rights
===============================================================================================================================
Cosmetics Other Securities 2,376 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trust (REITs) Other Securities 8,656 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost--$0) 11,032 0.0
===============================================================================================================================
Beneficial
Interest Other Interests (b)
===============================================================================================================================
Oil: Crude Producers Other Securities 0 0.0
- -------------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost--$0) 0 0.0
===============================================================================================================================
Short-Term Securities
===============================================================================================================================
$108,812,950 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.26% (c)(f) 108,812,950 19.4
34,166,480 BlackRock Liquidity Series, LLC
Money Market Series, 5.29% (c)(d)(f) 34,166,480 6.1
- -------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$142,979,430) 142,979,430 25.5
===============================================================================================================================
Total Investments (Cost--$486,718,511*) 595,434,225 106.1
Liabilities in Excess of Other Assets (34,061,648) (6.1)
-----------------------------
Net Assets $561,372,577 100.0%
=============================
* 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 ................................................ $ 491,852,083
==============
Gross unrealized appreciation ................................. $ 123,684,950
Gross unrealized depreciation ................................. (20,102,808)
--------------
Net unrealized appreciation ................................... $ 103,582,142
==============
(a) Non-income producing security.
(b) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
- --------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
- --------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series $108,171,275 $ 2,287,352
BlackRock Liquidity Series, LLC
Money Market Series $ 20,701,425 $ 417,774
- --------------------------------------------------------------------------------
(d) Security was purchased with the cash proceeds from securities loans.
(e) Security, or a portion of security, is on loan.
(f) Represents the current yield as of December 31, 2006.
(g) Security held as collateral in connection with open future contracts.
o "Other Securities" represent issues that are not identified as the 50
largest holdings of the Series and issues not exceeding 1% of net assets.
Some securities, or a portion of, in this category are either held as
collateral in connection with open financial future contracts or are out
on loan.
o For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes
of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percentage of net assets. These
industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006, were as
follows:
- --------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
- --------------------------------------------------------------------------------
274 Russell 2000 March
Index 2007 $109,431,543 $(530,243)
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 23
Statement of Assets and Liabilities Master Small Cap Index Series
As of December 31, 2006
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including securities
loaned of $32,546,712) (identified cost--$343,739,081) ...................... $ 452,454,795
Investments in affiliated securities, at value
(identified cost--$142,979,430) ............................................. 142,979,430
Cash ......................................................................... 305,104
Receivables:
Contributions ............................................................. $ 1,204,969
Dividends ................................................................. 498,496
Securities sold ........................................................... 396,086
Securities lending ........................................................ 33,821 2,133,372
-------------
Prepaid expenses and other assets ............................................ 6,410
-------------
Total assets ................................................................. 597,879,111
-------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value .................................... 34,166,480
Payables:
Withdrawals ............................................................... 1,012,161
Variation margin .......................................................... 835,700
Securities purchased ...................................................... 386,928
Other affiliates .......................................................... 4,350
Investment adviser ........................................................ 3,633 2,242,772
-------------
Accrued expenses ............................................................. 97,282
-------------
Total liabilities ............................................................ 36,506,534
-------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets ................................................................... $ 561,372,577
=============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ........................................................... $ 453,187,106
Unrealized appreciation--net ................................................. 108,185,471
-------------
Net Assets ................................................................... $ 561,372,577
=============
See Notes to Financial Statements.
24 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Statement of Operations Master Small Cap Index Series
For the Year Ended December 31, 2006
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends (net of $2,037 foreign withholding tax) ............................ $ 5,108,467
Interest from affiliates ..................................................... 2,287,352
Securities lending--net ...................................................... 417,774
-------------
Total income ................................................................. 7,813,593
-------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Professional fees ............................................................ $ 118,057
Custodian fees ............................................................... 85,333
Accounting services .......................................................... 82,261
Investment advisory fees ..................................................... 48,385
Trustees' fees and expenses .................................................. 3,674
Other ........................................................................ 8,185
-------------
Total expenses before reimbursement .......................................... 345,895
Reimbursement of expenses .................................................... (9,889)
-------------
Total expenses after reimbursement ........................................... 336,006
-------------
Investment income--net ....................................................... 7,477,587
-------------
===================================================================================================================================
Realized & Unrealized Gain (Loss)--Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on:
Investments--net .......................................................... 30,900,688
In-kind redemption--net ................................................... (1,199,610)
Financial futures contracts--net .......................................... (4,101,665) 25,599,413
-------------
Change in unrealized appreciation/depreciation on:
Investments--net .......................................................... 31,766,471
Financial futures contracts--net .......................................... (529,395) 31,237,076
---------------------------------
Total realized and unrealized gain--net ...................................... 56,836,489
-------------
Net Increase in Net Assets Resulting from Operations ......................... $ 64,314,076
=============
See Notes to Financial Statements.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 25
Statements of Changes in Net Assets Master Small Cap Index Series
For the Year Ended
December 31,
---------------------------------
Increase (Decrease) in Net Assets: 2006 2005
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income--net ....................................................... $ 7,477,587 $ 4,325,603
Realized gain--net ........................................................... 25,599,413 13,549,496
Change in unrealized appreciation/depreciation--net .......................... 31,237,076 (5,151,541)
---------------------------------
Net increase in net assets resulting from operations ......................... 64,314,076 12,723,558
---------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions .................................................. 555,696,889 267,164,255
Fair value of withdrawals .................................................... (428,783,737) (275,403,741)
---------------------------------
Net increase (decrease) in net assets derived from capital transactions ...... 126,913,152 (8,239,486)
---------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ................................................. 191,227,228 4,484,072
Beginning of year ............................................................ 370,145,349 365,661,277
---------------------------------
End of year .................................................................. $ 561,372,577 $ 370,145,349
=================================
See Notes to Financial Statements.
Financial Highlights Master Small Cap Index Series
For the Year Ended December 31,
The following ratios have been derived from ------------------------------------------------------------------------
information provided in the financial statements. 2006 2005 2004 2003 2002
================================================================================================================================
Total Investment Return
- --------------------------------------------------------------------------------------------------------------------------------
Total investment return .............. 18.13% 4.63% 18.15% 47.11% (20.19%)
========================================================================
================================================================================================================================
Ratios to Average Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of reimbursement ....... .07% .07% .08% .09% .08%
========================================================================
Expenses ............................. .07% .08% .08% .10% .14%
========================================================================
Investment income--net ............... 1.55% 1.17% 1.11% 1.13% 1.26%
========================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $561,373 $370,145 $365,661 $335,659 $181,915
========================================================================
Portfolio turnover ................... 40.29% 36.63% 37.74% 28.57% 39.00%
========================================================================
See Notes to Financial Statements.
26 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements Master Small Cap Index Series
1. Significant Accounting Policies:
Master Small Cap Index Series (the "Series"), a non-diversified investment
company, is part of Quantitative Master Series Trust (the "Trust"). The Trust is
registered under the Investment Company Act of 1940, as amended, and is
organized as a Delaware statutory trust. The Declaration of Trust permits the
Trustees to issue nontransferable interests in the Trust, subject to certain
limitations. The Series' financial statements are prepared in conformity with
U.S. generally accepted accounting principles, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates. The following is a summary of significant accounting policies
followed by the Series.
(a) Valuation of investments--Equity securities that are held by the Series that
are traded on stock exchanges or the NASDAQ 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 sales 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 Series, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Trust under the general supervision by 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 are generally 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 faith by the Board of Trustees of the Trust or
by the Manager using a pricing service and/or procedures approved by the Board
of Trustees of the Trust.
(b) Derivative financial instruments--The Series may engage in various portfolio
investment strategies both to increase the return of the Series and to hedge, or
protect, its exposure to interest rate movements and movements in the securities
markets. 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 specified 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
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 27
Notes to Financial Statements (continued) Master Small Cap Index Series
amount of cash equal to the daily fluctuation in value of the contract.
Such receipts or payments are known as variation margin and are recorded
by the Series as unrealized gains or losses. When the contract is closed,
the Series records a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the
time it was closed.
o Options--The Series may purchase and write call and put options. When the
Series writes an option, an amount equal to the premium received by the
Series is reflected as an asset and an equivalent liability. The amount of
the liability is subsequently marked-to-market to reflect the current
market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received)
is added to (or deducted from) the basis of the security acquired or
deducted from (or added to) the proceeds of the security sold. When an
option expires (or the Series enters into a closing transaction), the
Series realizes a gain or loss on the option to the extent of the premiums
received or paid (or a gain or loss to the extent that the cost of the
closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(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 the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. It is
intended that the Series' assets will be managed so an investor in the Series
can satisfy the requirements of Subchapter M of the Internal Revenue Code.
(d) Security transactions and investment income--Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
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 collects a fee from the borrower. The Series typically receives
the income on the loaned securities but does not receive the income on the
collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Series 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) 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.
28 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements (continued) Master Small Cap Index Series
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. ("PNC"), 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 for the Trust 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 Trust and the Manager became effective on September 29, 2006. Prior to
September 29, 2006, FAM was the 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' investments 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. The Manager (and previously FAM) has entered into a
contractual arrangement with the Series under which all expenses incurred by the
Series will not exceed .08%. This arrangement has a one-year term and is
renewable. The reimbursements were as follows:
- --------------------------------------------------------------------------------
For the Period For the Period
January 1, 2006 to September 30, 2006 to
September 29, 2006 December 31, 2006
Reimbursement Reimbursement
by FAM by the Manager
- --------------------------------------------------------------------------------
$1,969 $7,920
================================================================================
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-Advisor for services it provides a monthly fee
that is a percentage of the management fee paid by the Series to the Manager.
Merrill Lynch Trust Company ("MLTC"), an indirect, wholly owned subsidiary of
Merrill Lynch, is the Series' custodian.
The Trust has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), an affiliate of the Manager, or its
affiliates. As of December 31, 2006, the Series lent securities with a value of
$51,831 to MLPF&S or its affiliates. Pursuant to that order, the Trust 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 September 29, 2006, BIM was
organized as Merrill Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate
of FAM, and MLIM, LLC was the Trust's securities lending agent. BIM may, on
behalf of the Trust and the Series, invest cash collateral received by the
Series for such loans, among other things, in a private investment company
managed by the Manager or in registered money market funds advised by the
Manager or its affiliates. For the year ended December 31, 2006, BIM received
$179,594 in securities lending agent fees.
For the year ended December 31, 2006, the Series reimbursed FAM and the Manager
$7,486 and $2,091, respectively, for certain accounting services.
In addition, MLPF&S received $217 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, MLTC, Merrill Lynch, MLIM, 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 (including in-kind redemptions) of investments, excluding
short-term securities, for the year ended December 31, 2006 were $197,782,011
and $175,034,540, respectively.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 29
Notes to Financial Statements (concluded) Master Small Cap Index Series
4. Short-Term Borrowings:
The Trust, on behalf of 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 fund shareholder redemptions and for other lawful
purposes other than for leverage. The Series may borrow up to the maximum amount
allowable under the Series' current prospectus and statement of additional
information, subject to various other legal, regulatory or contractual limits.
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 funds 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.
Report of Independent Registered
Public Accounting Firm Master Small Cap Index Series
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of Master Small Cap Index Series, one of
the portfolios constituting 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 the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 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
Small Cap 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 26, 2007
30 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Disclosure of Investment Advisory Agreement
New BlackRock Investment Advisory Agreement--Matters Considered by the Boards
The following disclosure appeared in the June 30, 2006 Semi-Annual Report of the
Fund and the Series and is the discussion referred to in "New BlackRock
Sub-Advisory Agreement--Matters Considered by the Boards" and "Approvals to
Correct Fee Schedules" below. The term "Investment Adviser" as used herein
refers to Fund Asset Management, L.P.
Merrill Lynch Small Cap Index Fund (the "Fund"), a series of Merrill Lynch Index
Funds, Inc. (the "Corporation"), is a "feeder" fund that invests all of its
assets in the Master Small Cap Index Series (the "Series") of Quantitative
Master Series Trust (the "Trust"), which has the same investment objectives and
strategies as the Fund. All investments are made at the Series level.
In connection with the Transaction between Merrill Lynch and BlackRock, the
Board of Trustees of the Trust (the "trustees") considered a new investment
advisory agreement between the Trust, on behalf of Series, and BlackRock
Advisors, Inc. or its successor ("BlackRock Advisors"). If the Trust's New
Investment Advisory Agreement is approved by shareholders, then that agreement
will become effective upon the closing of the Transaction, which is expected in
the third quarter of 2006.
In addition, in connection with the Transaction, the Board of Directors of the
Corporation (the "directors") considered a new investment advisory agreement
(together with the new advisory agreement for the Trust, the "New Investment
Advisory Agreements") between the Corporation on behalf of the Fund and
BlackRock Advisors. If the Fund's New Investment Advisory Agreement is approved
by shareholders, then that agreement will become effective upon the closing of
the Transaction. Under a contractual arrangement between the Corporation on
behalf of the Fund and BlackRock Advisors, however, no management/advisory fee
will be charged to the Fund under the Fund's New Investment Advisory Agreement
so long as the Fund remains invested in the Series.
Each Board discussed the New Investment Advisory Agreements at telephonic and
in-person meetings held during April and May 2006. Each Board, including the
independent directors/trustees, approved the New Investment Advisory Agreements
on May 8, 2006.
To assist each Board in its consideration of the New Investment Advisory
Agreements, 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 directors/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 Agreements. The additional information was provided in advance of the
May 2006 meeting. In addition, the independent directors/trustees consulted with
their counsel and counsel for the Corporation and the Trust on numerous
occasions, discussing, among other things, the legal standards and certain other
considerations relevant to each Board's deliberations.
At the Board meetings, each Board discussed with Merrill Lynch management and
certain BlackRock representatives the Transaction, its strategic rationale and
BlackRock's general plans and intentions regarding the Fund and the Series. At
these Board meetings, representatives of Merrill Lynch and BlackRock made
presentations to and responded to questions from each Board. Each Board 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 directors/trustees 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 directors/trustees met in executive sessions with their counsel to
consider the New Investment Advisory Agreements.
In connection with each Board's review of the New Investment Advisory
Agreements, Merrill Lynch and/or BlackRock advised the Board 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 Fund and Series and their shareholders
by BlackRock Advisors, including compliance services;
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 Fund and the Series should benefit from having access to
BlackRock's state of the art technology and risk
31 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Disclosure of Investment Advisory Agreement (continued)
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 Boards
before making any changes;
o that BlackRock and Merrill Lynch will enter into an agreement, for an
initial three-year period and automatically renewable from year to year
thereafter, in connection with the Transaction under which Merrill
Lynch-affiliated broker-dealers will continue to offer the Fund as an
investment product;
o that BlackRock Advisors will have substantially the same access to the
Merrill Lynch sales force when distributing shares of the Fund as is
currently provided to the Investment Adviser and that other arrangements
between the Investment Adviser and Merrill Lynch sales channels will be
preserved;
o that the Fund will have access to BlackRock's network of third party
brokers, retirement plan platforms and registered investment advisers;
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 Act (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 Fund or Series
shareholders.
Each Board considered the information provided by Merrill Lynch and BlackRock
above, and, among other factors, the following:
o the potential benefits to Fund and the 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 potential for expanding distribution of Fund shares through improved
access to third party distribution;
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 Agreements,
including the fact that neither the schedule of the total advisory and
administrative fees for the Fund nor the schedule of the total advisory
fees of the Series will increase by virtue of either New Investment
Advisory Agreement, but will remain the same;
o that each Board had earlier performed a full annual review of the
investment advisory agreements currently in effect for the Series and Fund
(the "Current Investment Advisory Agreements") 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 Fund and 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 Board has considered relevant in the exercise of its
reasonable judgment; and
o that Merrill Lynch agreed to pay all expenses of the Fund and the Series
in connection with each Board's consideration of the New Investment
Advisory Agreements and related agreements and all costs of shareholder
approval of the New Investment Advisory Agreements and as a result neither
the Fund nor the Series would bear any costs in obtaining shareholder
approval of the New Investment Advisory Agreements.
Certain of these considerations are discussed in more detail below.
In its review of the New Investment Advisory Agreements, each Board assessed the
nature, scope and quality of the services to be provided to the Fund and the
Series by the personnel of BlackRock Advisors and its affiliates, including
administrative services, shareholder services, oversight of
32 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
fund accounting, marketing services and assistance in meeting legal and
regulatory requirements. In its review of the New Investment Advisory
Agreements, each 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 Fund
and the Series; (b) operating expenses of the Fund and the Series paid to third
parties; (c) the resources devoted to and compliance reports relating to the
investment objectives, policies and restrictions of the Fund and the Series, and
their compliance with their Codes 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 approval or renewal of the
Current Investment Advisory Agreements, each Board had requested and received
materials specifically relating to the Current Investment Advisory Agreements.
These materials included (a) information compiled by Lipper on the fees and
expenses and the investment performance of the Fund and 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 Agreements and
other payments received by the Investment Adviser and its affiliates from the
Fund and the Series; 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 Fund and the Series.
In its deliberations, each Board considered information received in connection
with its most recent approval of the Current Investment Advisory Agreements, in
addition to information provided by BlackRock and BlackRock Advisors in
connection with its evaluation of the terms and conditions of the New Investment
Advisory Agreements. The directors/ trustees did not identify any particular
information that was all-important or controlling, and each director/trustee
attributed different weights to the various factors. Each Board, including a
majority of the independent directors/trustees, concluded that the terms of the
New Investment Advisory Agreements are appropriate, that the fees to be paid are
reasonable in light of the services to be provided to the Fund and the Series,
and that the New Investment Advisory Agreements should be approved and
recommended to shareholders.
Nature, Quality and Extent of Services Provided--Each 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
Fund and the Series, as well as the nature, quality and extent of services
expected to be provided by BlackRock Advisors. Each Board focused primarily on
the Investment Adviser's investment advisory services and the investment
performance of the Fund and the Series, but also considered certain areas in
which both the Investment Adviser and the Fund/Series receive services as part
of the Merrill Lynch complex. Each Board compared the performance of the Fund
and 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 each 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 Agreements, each Board
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 Fund and 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 Fund and the Series.
Each Board was given information with respect to the potential benefits to the
Fund and the Series and their 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.
Each Board was advised that, as a result of Merrill Lynch's equity interest in
BlackRock after the Transaction, the Fund and the Series 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. Each Board was advised
that a revision of existing regulatory
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 33
Disclosure of Investment Advisory Agreement (continued)
relief with respect to these restrictions was being sought from the Securities
and Exchange Commission and was advised of the possibility of receipt of such
revised regulatory relief. There can be no assurance that such relief will be
obtained.
Based on its review of the materials provided and the assurances they had
received from the management of Merrill Lynch and of BlackRock, each Board
determined that the nature and quality of services to be provided to the Fund
and the Series under each New Investment Advisory Agreement were expected to be
as good or better than that provided under the Current Investment Advisory
Agreement of the Series. 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. Each Board 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, each Board concluded that, overall, it was
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 Fund/Series under the New Investment Advisory Agreement of the
Series.
Costs of Services Provided and Profitability--It was noted that, in conjunction
with the recent review of the Current Investment Advisory Agreement of the
Series, each Board had received, among other things, a report from Lipper
comparing the fees, expenses and performance of the Fund and 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. Each Board reviewed the contractual
management fee rate and actual management fee rate of the Fund/Series as a
percentage of total assets at common asset levels--the actual rate includes
advisory and the effects of any fee waivers and, for the Fund, administrative
service fees--compared to the other funds in its Lipper category. They also
compared the total expenses of the Fund and the Series to those of other
comparable funds. The information showed that the Fund and the Series had fees
and expenses within the range of fees and expenses of comparable funds. Each
Board considered the services to be provided by and the fees to be charged by
BlackRock Advisors to other funds with similar investment mandates and noted
that the fees charged by BlackRock Advisors in those cases, including fee
waivers and expense reimbursements, were generally comparable to those for the
Fund and the Series. Each Board concluded that the management fee and fee rate
and overall expense ratio of the Fund and 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 Agreements, each Board considered, among other
things, whether advisory and administrative fees or other expenses would change
as a result of the Transaction. Based on its review of the materials provided
and the fact that each New Investment Advisory Agreement, as well as a new
administrative agreement between the Corporation on behalf of the Fund and
BlackRock Advisors as administrator, is substantially similar to its
corresponding current agreement in all material respects, including the rate of
compensation, each Board determined that the Transaction should not increase the
total fees payable, including any fee waivers and expense reimbursements, for
advisory and administrative services. Each Board noted that it was not possible
to predict with certainty New BlackRock's future profitability from its
relationship with the Fund and the Series.
Each Board discussed with BlackRock Advisors its general methodology to be used
in determining New BlackRock's profitability with respect to its relationship
with the Fund and the Series. Each Board noted that it expects to receive
profitability information from New BlackRock on at least an annual basis and
thus be in a position to evaluate whether any adjustments in fees and/or fee
breakpoints of the Fund or Series would be appropriate.
Fees and Economies of Scale--Each Board considered the extent to which economies
of scale might be realized as the assets of the Fund and the Series increase and
whether there should be changes in the management fee rate or structure in order
to enable the Fund and the Series to participate in these economies of scale.
Each Board determined that changes were not currently necessary and that the
Fund and the Series appropriately participated in these economies of scale.
In reviewing the Transaction, each Board considered, among other things, whether
advisory and administrative fees or other expenses would change as a result of
the Transaction. Based on the fact that the New Investment Advisory Agreements
and the new administrative agreement are substantially similar to the Current
Investment Advisory Agreements and the current administrative agreement in all
material respects, including the rates of compensation, each Board determined
that as a result of the Transaction, neither the
34 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
total advisory and administrative fees of the Fund nor the total advisory fees
of the Series would be higher than the fees under the Current Investment
Advisory Agreements and administrative agreement. Each Board noted that in
conjunction with its most recent deliberations concerning the Current Investment
Advisory Agreements, the Board had determined that the total fees for advisory
and administrative services for the Fund and the total fees for advisory
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 of the Series, each Board had received, among other things, a
report from Lipper comparing the fees, expenses and performance 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. Each Board concluded that, because the rate for advisory
services for the Series and the rates for advisory and administrative services
for the Fund would be no higher than current fee rates, the proposed management
fee structures, including any fee waivers, were 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 each New Investment Advisory Agreement, each Board
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
Agreements. Based on its review of the materials provided, including materials
received in connection with their most recent approval of each Current
Investment Advisory Agreement, and its discussions with management of the
Investment Adviser and BlackRock, each Board 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 portfolio
transaction brokerage commissions. The Fund's Board also considered possible
benefits stemming from the proposal that PFPC Financial Services, an affiliate
of BlackRock, serve as transfer agent for the Fund following the Transaction.
Each Board 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--Each Board considered investment performance for the
Fund and the Series. Each Board compared the performance of the Fund and 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. 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 each 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. Each Board believed the
performance of the Fund and the Series was satisfactory. Also, each Board took
into account the investment performance of funds currently advised by BlackRock
Advisors. Each 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. Each 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 Fund and the Series.
Conclusion--After the independent directors of the Corporation, on behalf of the
Fund, and trustees of the Trust, on behalf of the Series, deliberated in
executive session, each entire Board, including the independent
directors/trustees, approved the New Investment Advisory Agreements, concluding
that the advisory fee rates were reasonable in relation to the services provided
and that the New Investment Advisory Agreements were in the best interests of
the shareholders. In approving the New Investment Advisory Agreements, each
Board noted that it anticipated reviewing the continuance of the agreements in
advance of the expiration of the initial two-year period.
Contingent BlackRock Sub-Advisory Agreements--Matters Considered by the Boards
At the telephonic and in-person meetings held during April and May 2006 at which
each Board discussed and approved the New Investment Advisory Agreements, the
Board of Directors of Merrill Lynch Index Funds, Inc. on behalf of the Fund,
including the independent directors, and the Board of Trustees of the Trust on
behalf of the Series, including the independent trustees, also discussed and
approved contingent sub-advisory agreements (the "Contingent Sub-Advisory
Agreements") between the Investment Adviser and BlackRock Advisors (the
"BlackRock Sub-Adviser"). The Contingent Sub-Advisory Agreements are intended to
ensure that the Fund and the Series operate with efficient portfolio management
services until the closing of the Transaction, in the event that the Boards deem
it necessary and in the best interests of the Fund and its shareholders, or the
Series and
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 35
Disclosure of Investment Advisory Agreement (concluded)
its shareholders, that the BlackRock Sub-Adviser assist in managing the
operations of the Fund or the Series during the interim period until the closing
of the Transaction. If shareholders approve the Contingent Sub-Advisory
Agreements, they will take effect only upon recommendation from the Investment
Adviser and upon subsequent approval of the Boards in the period up to the
closing of the Transaction. The effectiveness of each 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 Fund or Series expenses as a result of either Contingent
Sub-Advisory Agreement.
In making its approval at the May in-person meeting, each Board considered the
Contingent Sub-Advisory Agreements in conjunction with the New Investment
Advisory Agreements and reviewed the same information and factors discussed
above. Each Board also considered in conjunction with the Contingent
Sub-Advisory Agreements the necessity of ensuring that the Fund and the Series
operate with effective management services until the closing of the Transaction.
In reviewing the sub-advisory fee rate provided in each Contingent Sub-Advisory
Agreement, each 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 Fund/Series and the
BlackRock Sub-Adviser would provide advisory services to the Fund/Series under
each Contingent Sub-Advisory Agreement. Each 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 Fund and the Series would not
increase as a result of either Contingent Sub-Advisory Agreement. Under all of
the circumstances, each 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 Fund or Series to the Investment Adviser.
After the independent directors/trustees deliberated in executive session, each
entire Board, including the independent directors/trustees, approved each
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.
36 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Disclosure of Sub-Advisory Agreement
New BlackRock Sub-Advisory Agreement--Matters Considered by the Boards
At an in-person meeting held on August 16-17, 2006, the Board of Directors of
BlackRock Index Funds, Inc. (the "Corporation") and the Board of Trustees of
Quantitative Master Series Trust (the "Trust"), including the independent
directors/trustees, discussed and approved the sub-advisory agreement with
respect to the Series between BlackRock Advisors, LLC (previously organized as
BlackRock Advisors, Inc.) ("BlackRock Advisors") and BlackRock Investment
Management, LLC, an affiliate (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 became effective.
Pursuant to the BlackRock Sub-Advisory Agreement, the Sub-Adviser receives a
monthly fee from BlackRock Advisors at an annual rate equal to 74% of the
advisory fee received by BlackRock Advisors from the Series. BlackRock Advisors
pays the Sub-Adviser out of its own resources, and there is no increase in Fund
or 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 Boards reviewed their considerations in connection with their
approval of the New Investment Advisory Agreement in May 2006. The Boards 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. In
reviewing the sub-advisory fee rate provided for in the BlackRock Sub-Advisory
Agreement, the Boards 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 Fund and the Series and
for oversight of the Fund's and 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 Boards also took into account the fact that there is no increase
in total advisory fees paid by the Fund or the Series as a result of the
BlackRock Sub-Advisory Agreement. Based on its considerations, each Board
concluded that it was a reasonable allocation of fees for the Sub-Adviser to
receive a fee at an annual rate equal to 74% of the advisory fee paid by the
Series to BlackRock Advisors.
After the independent directors/trustees deliberated in executive session, the
entire Board of the Corporation and the entire Board of the Trust, including the
independent directors/ 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 Fund shareholders.
Approvals to Correct Fee Schedules
As discussed above, at a meeting on May 8, 2006, the Boards, including the
independent directors/trustees, approved the New Investment Advisory Agreement
between BlackRock Advisors and the Trust on behalf of the Series. The New
Investment Advisory Agreement as approved by the Board contained an advisory fee
schedule for the Series that was the same as the fee schedule set forth in the
investment advisory agreements in effect for the Series and the Fund at that
time (the "Current Investment Advisory Agreements"). At a shareholder meeting on
August 15, 2006, the shareholders of the Fund approved a new investment advisory
agreement between BlackRock Advisors and the Trust on behalf of the Series, but
in a form that contained an incorrect advisory fee schedule for the Series. The
proxy statement sent to Fund shareholders in connection with the shareholder
meeting (the "Proxy Statement") stated in several places that the advisory fees
payable by the Series under the New Investment Advisory Agreement would be the
same as the fees payable under the Series' Current Investment Advisory
Agreements. However, subsequent to the shareholder meeting, it was discovered
that the advisory fee schedule for the Series was incorrectly presented in an
appendix in the Proxy Statement as lower than the fee schedule then in effect.
The lower fee schedule that was presented showed the fees presently being
charged to the Series due to fee waivers currently in effect.
At a September 22, 2006 meeting, the Board of the Trust considered ratification
and approval of an investment advisory agreement between BlackRock Advisors and
the Trust on behalf of the Series in the form approved by shareholders with the
lower, incorrect advisory fee schedule. After discussion, the Trustees, and
separately the non-interested trustees present in person at the meeting,
ratified and approved an investment advisory agreement on behalf of the Series
with the lower fee schedule that was approved by shareholders.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 37
Disclosure of Sub-Advisory Agreement (concluded)
The Boards also discussed the BlackRock Sub-Advisory Agreement between BlackRock
Advisors and BlackRock Investment Management, LLC with respect to the Series.
The Boards reviewed and reaffirmed their considerations in connection with their
approval of the BlackRock Sub-Advisory Agreement at the August 16-17, 2006
meeting. The Directors/Trustees, and separately the non-interested
directors/trustees present, in person, at the meeting, then ratified and
approved the BlackRock Sub-Advisory Agreement with respect to the Series as
previously approved at the August 16-17, 2006 meeting.
38 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
Officers and Directors/Trustees
Number of
Funds and
Portfolios in Other Public
Fund Complex Directorships
Position(s) Length of Overseen by Held by
Held with Time Director/ Director/
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Interested Director/Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. P.O. Box 9011 President 2005 to Vice Chairman and Director of BlackRock, Inc., 122 Funds None
Doll, Jr.* Princeton, NJ and present Global Chief Investment Officer for Equities, 168 Portfolios
08543-9011 Director/ Chairman of the BlackRock Retail Operating
Age: 52 Trustee 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; Chief Investment Officer of
OppenheimerFunds, Inc. in 1999 and Executive Vice
President thereof from 1991 to 1999.
------------------------------------------------------------------------------------------------------------------------
* Mr. Doll is a director, trustee or member of an advisory board of certain other investment companies for which
BlackRock Advisors, LLC and its affiliates act as investment adviser. Mr. Doll is an "interested person," as
defined in the Investment Company Act, of the Fund based on his positions with BlackRock, Inc. and its affiliates.
Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they
turn 72. As Fund/Trust President, Mr. Doll serves at the pleasure of the Board of Directors/Trustees.
====================================================================================================================================
Independent Directors/Trustees*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. P.O. Box 9095 Director/ 2002 to General Partner of The Burton Partnership, Limited 21 Funds Knology, Inc.
Burton Princeton, NJ Trustee present Partnership (an investment partnership) since 1979; 38 Portfolios (telecommuni-
08543-9095 Managing General Partner of The South Atlantic cations);
Age: 62 Venture Funds since 1983; Member of the Investment Symbion, Inc.
Advisory Council of the Florida State Board of (health care)
Administration since 2001. and Capital
Southwest
(financial)
- ------------------------------------------------------------------------------------------------------------------------------------
John P.O. Box 9095 Director/ 2005 to President and Chief Executive Officer of Allmerica 21 Funds Cabot
Francis Princeton, NJ Trustee present Financial Corporation (financial services holding 38 Portfolios Corporation
O'Brien 08543-9095 company) from 1995 to 2002 and Director from (chemicals);
Age: 63 1995 to 2003; President of Allmerica Investment LKQ Corpora-
Management Co., Inc. (investment adviser) from 1989 tion (auto
to 2002, Director from 1989 to 2002 and Chairman of parts manufa-
the Board from 1989 to 1990; President, Chief cturing) and
Executive Officer and Director of First Allmerica TJX Com-
Financial Life Insurance Company from 1989 to 2002 panies, Inc.
and Director of various other Allmerica Financial (retailer)
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.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 39
Officers and Directors/Trustees (concluded)
Number of
Funds and
Portfolios in Other Public
Fund Complex Directorships
Position(s) Length of Overseen by Held by
Held with Time Director/ Director/
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Independent Directors/Trustees* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O. Box 9095 Director/ 2003 to Director, Ruckleshaus Institute and Haub School 21 Funds None
Walsh Princeton, NJ Trustee present of Natural Resources at the University of Wyoming 38 Portfolios
08543-9095 since 2006; Consultant with Putnam Investments
Age: 65 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 Director/ 1998 to Managing Director of FGW Associates since 1997; 21 Funds Watson
Weiss ** Princeton, NJ Trustee present Vice President, Planning, Investment and Development 38 Portfolios Pharma-
08543-9095 of Warner Lambert Co. from 1979 to 1997; Director of ceuticals,
Age: 65 the Michael J. Fox Foundation for Parkinson's Inc. (pharma-
Research since 2000; Director of BTG International ceutical
Plc (a global technology commercialization company) company)
since 2001.
------------------------------------------------------------------------------------------------------------------------
* Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they
turn 72.
** Chairman of the Board of Directors/Trustees and the Audit Committee.
- ------------------------------------------------------------------------------------------------------------------------------------
Position(s) Length of
Held with Time
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Trust Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. P.O. Box 9011 Vice 1997 to Managing Director of BlackRock, Inc. since 2006; Managing Director of Merrill Lynch
Burke Princeton, NJ President present Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P. ("FAM") in 2006;
08543-9011 and and 1999 First Vice President of MLIM and FAM from 1997 to 2005 and Treasurer thereof from
Age: 46 Treasurer to 1999 to 2006; Vice President of MLIM and FAM from 1990 to 1997.
present
- ------------------------------------------------------------------------------------------------------------------------------------
Debra L. P.O. Box 9011 Vice 2005 to Director of BlackRock, Inc. since 2006; Director of MLIM from 1999 to 2006.
Jelilian Princeton, NJ President present
08543-9011
Age: 39
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey L. P.O. Box 9011 Vice 2005 to Director of BlackRock, Inc. since 2006; Director of MLIM from 2004 to 2006; Vice
Russo Princeton, NJ President present President of MLIM from 1994 to 2004.
08543-9011
Age: 39
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey P.O. Box 9011 Fund Chief 2004 to Managing Director of BlackRock, Inc. and Fund Chief Compliance Officer since 2006;
Hiller Princeton, NJ Compliance present Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice President and
08543-9011 Officer Chief Compliance Officer of MLIM (Americas Region) from 2004 to 2006; Chief
Age: 55 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; Senior Counsel in the Securities and
Exchange Commission's Division of Enforcement in Washington, D.C. from 1990 to
1995.
- ------------------------------------------------------------------------------------------------------------------------------------
Alice A. P.O. Box 9011 Secretary 2004 to Director of BlackRock, Inc. since 2006; Director (Legal Advisory) of MLIM from 2002
Pellegrino Princeton, NJ present to 2006; Vice President of MLIM from 1999 to 2002; Attorney associated with MLIM
08543-9011 from to 1997 to 2006; Secretary of MLIM, FAM, FAM Distributors, Inc. and Princeton
Age: 46 Services from 2004 to 2006.
------------------------------------------------------------------------------------------------------------------------
* Officers of the Fund/Trust serve at the pleasure of the Board of Directors/Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors/Trustees is available in the Fund's Statement of Additional
Information, which can be obtained without charge by calling 1-800-441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
Merrill Lynch Trust Company, FSB
1300 Merrill Lynch Drive
3rd Floor--MSC 0303
Pennington, NJ 08534
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
40 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
BlackRock Funds
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund
investors and individual clients (collectively, "Clients") and to safeguarding
their nonpublic personal information. The following information is provided to
help you understand what personal information BlackRock collects, how we protect
that information and why in certain cases we share such information with select
parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal nonpublic information from and about you
from different sources, including the following: (i) information we receive from
you or, if applicable, your financial intermediary, on applications, forms or
other documents; (ii) information about your transactions with us, our
affiliates, or others; (iii) information we receive from a consumer reporting
agency; and (iv) from visits to our Web sites.
BlackRock does not sell or disclose to nonaffiliated third parties any nonpublic
personal information about its Clients, except as permitted by law or as is
necessary to service Client accounts. These nonaffiliated third parties are
required to protect the confidentiality and security of this information and to
use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that may
be of interest to you. In addition, BlackRock restricts access to nonpublic
personal information about its Clients to those BlackRock employees with a
legitimate business need for the information. BlackRock maintains physical,
electronic and procedural safeguards that are designed to protect the nonpublic
personal information of its Clients, including procedures relating to the proper
storage and disposal of such information.
Availability of Additional Information
Electronic copies of most financial reports and prospectuses are available on
the Fund's Web site or shareholders can sign up for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment
advisers, banks or brokerages may offer this service. Shareholders Who Hold
Accounts Directly with BlackRock:
1) Access the BlackRock Web site at http://www.blackrock.com/edelivery
2) Select eDelivery under the More Information section
3) Log into your account
The Fund will mail only one copy of shareholder documents, including
prospectuses, annual and semi-annual reports and proxy statements, to
shareholders with multiple accounts at the same address. This practice is
commonly called "householding" and it is intended to reduce expenses and
eliminate duplicate mailings of shareholder documents. Mailings of your
shareholder documents may be householded indefinitely unless you instruct us
otherwise. If you do not want the mailing of these documents to be combined with
those for other members of your household, please contact the Fund at (800)
441-7762.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 41
BlackRock Funds (concluded)
Availability of Additional Information (concluded)
Availability of Proxy Voting Policies and Procedures
The Fund has delegated proxy voting responsibilities to BlackRock and its
affiliates, subject to the general oversight of the Fund's Board of
Directors/Trustees. A description of the policies and procedures that BlackRock
and its affiliates use to determine how to vote proxies relating to portfolio
securities is available without charge, upon request, on our Web site at
www.blackrock.com, by calling (800) 441-7762, or on the Web site of the
Securities and Exchange Commission (the"Commission") at http://www.sec.gov.
Availability of Proxy Voting Record
Information on how proxies relating to the Fund's voting securities were voted
(if any) by BlackRock during the most recent 12-month period ended June 30 is
available, upon request and without charge, on our Web site at
www.blackrock.com, by calling (800) 441-7762 or on the Web site of the
Commission at http://www.sec.gov.
Availability of Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and
third quarters of its fiscal year with the Commission on Form N-Q. The Fund's
Forms N-Q are available on the Commission's Web site at http://www.sec.gov and
may be reviewed and copied at the Commission's Public Reference Room in
Washington, D.C. Information regarding the operation of the Public Reference
Room may be obtained by calling (800) SEC-0330. The Fund's Forms N-Q may also be
obtained upon request, without charge, by calling (800) 441-7762.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 8:00 AM - 6:00 PM EST to get information about your
account balances, recent transactions and share prices. You can also reach us on
the Web at www.blackrock.com.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50
or more automatically deducted from their checking or savings account and
invested in any of the BlackRock portfolios.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and
receive periodic payments of $50 or more from their BlackRock portfolios, as
long as their account is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover,
Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
42 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006
A World-Class Mutual Fund Family
BlackRock now offers an expanded lineup of open-end mutual funds. Our range
includes more than 85 funds crossing all investment styles and managed by
experts in equity, fixed income and tax-exempt investing.
Equity Portfolios
BlackRock All-Cap Global Resources Portfolio
BlackRock Aurora Portfolio
BlackRock Asset Allocation Portfolio+
BlackRock Balanced Capital Fund+
BlackRock Basic Value Fund
BlackRock Developing Capital Markets Fund
BlackRock Equity Dividend Fund
BlackRock EuroFund
BlackRock Focus Twenty Fund
BlackRock Focus Value Fund
BlackRock Fundamental Growth Fund
BlackRock Global Allocation Fund+
BlackRock Global Dynamic Equity Fund
BlackRock Global Financial Services Fund
BlackRock Global Growth Fund
BlackRock Global Opportunities Portfolio
BlackRock Global Resources Portfolio*
BlackRock Global Science & Technology Opportunities Portfolio
BlackRock Global SmallCap Fund
BlackRock Global Technology Fund
BlackRock Global Value Fund
BlackRock Healthcare Fund
BlackRock Health Sciences Opportunities Portfolio
BlackRock Index Equity Portfolio*
BlackRock International Fund
BlackRock International Index Fund
BlackRock International Opportunities Portfolio*
BlackRock International Value Fund
BlackRock Investment Trust
BlackRock Large Cap Core Fund
BlackRock Large Cap Growth Fund
BlackRock Large Cap Value Fund
BlackRock Latin America Fund
BlackRock Capital Appreciation Portfolio
BlackRock Mid-Cap Growth Equity Portfolio
BlackRock Mid-Cap Value Equity Portfolio
BlackRock Mid Cap Value Opportunities Fund
BlackRock Natural Resources Trust
BlackRock Pacific Fund
BlackRock Small Cap Core Equity Portfolio
BlackRock Small Cap Growth Equity Portfolio
BlackRock Small Cap Growth Fund II
BlackRock Small Cap Index Fund
BlackRock Small Cap Value Equity Portfolio*
BlackRock Small/Mid-Cap Growth Portfolio
BlackRock S&P 500 Index Fund
BlackRock U.S. Opportunities Portfolio
BlackRock Utilities and Telecommunications Fund
BlackRock Value Opportunities Fund
Fixed Income Portfolios
BlackRock Bond Fund
BlackRock Enhanced Income Portfolio
BlackRock GNMA Portfolio
BlackRock Government Income Portfolio
BlackRock High Income Fund
BlackRock High Yield Bond Portfolio
BlackRock Inflation Protected Bond Portfolio
BlackRock Intermediate Bond Portfolio
BlackRock Intermediate Bond Portfolio II
BlackRock Intermediate Government Bond Portfolio
BlackRock International Bond Portfolio
BlackRock Low Duration Bond Portfolio
BlackRock Managed Income Portfolio
BlackRock Real Investment Fund
BlackRock Short-Term Bond Fund
BlackRock Total Return Portfolio
BlackRock Total Return Portfolio II
BlackRock World Income Fund
Municipal Bond Portfolios
BlackRock AMT-Free Municipal Bond Portfolio
BlackRock California Insured Municipal Bond Fund
BlackRock Delaware Municipal Bond Portfolio
BlackRock Florida Municipal Bond Fund
BlackRock High Yield Municipal Fund
BlackRock Intermediate Municipal Fund
BlackRock Kentucky Municipal Bond Portfolio
BlackRock Municipal Insured Fund
BlackRock National Municipal Fund
BlackRock New Jersey Municipal Bond Fund
BlackRock New York Municipal Bond Fund
BlackRock Ohio Municipal Bond Portfolio
BlackRock Pennsylvania Municipal Bond Fund
BlackRock Short-Term Municipal Fund
Money Market Portfolios
BlackRock Money Market Portfolio
BlackRock Municipal Money Market Portfolio@
BlackRock NC Municipal MM Portfolio@
BlackRock NJ Municipal MM Portfolio@
BlackRock OH Municipal MM Portfolio@
BlackRock PA Municipal MM Portfolio@
BlackRock Summit Cash Reserves Fund*
BlackRock U.S. Treasury MM Portfolio
BlackRock VA Municipal MM Portfolio@
* See the prospectus for information on specific limitations on investments
in the fund.
+ Mixed asset fund.
@ Tax-exempt fund.
BlackRock mutual funds are distributed by BlackRock Distributors, Inc. and
certain funds are also distributed by FAM Distributors, Inc. You should consider
the investment objectives, risks, charges and expenses of the funds under
consideration carefully before investing. Each fund's prospectus contains this
and other information and is available at www.blackrock.com or by calling
800-882-0052 or from your financial advisor. The prospectus should be read
carefully before investing.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 43
This report is transmitted to shareholders only. It is not authorized for use as
an offer of sale or a solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. Past performance
results shown in this report should not be considered a representation of future
performance. Investment return and principal value of shares will fluctuate so
that shares, when redeemed, may be worth more or less than their original cost.
Statements and other information herein are as dated and are subject to change.
BlackRock Index Funds, Inc.
P.O. Box 9011
Princeton, NJ 08543-9011
BLACKROCK
#Index 3-12/06
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
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc.
(a) Audit Fees - Fiscal Year Ending December 31, 2006 - $6,500
Fiscal Year Ending December 31, 2005 - $6,500
(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 - $6,000
Fiscal Year Ending December 31, 2005 - $5,700
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
Master Small Cap Index Series of Quantitative Master Series Trust
(a) Audit Fees - Fiscal Year Ending December 31, 2006 - $43,400
Fiscal Year Ending December 31, 2005 - $43,000
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2006 - $24,000
Fiscal Year Ending December 31, 2005 - $21,600
The nature of the services relate to 17f-2 custody counts.
(c) Tax Fees - Fiscal Year Ending December 31, 2006 - $17,000
Fiscal Year Ending December 31, 2005 - $16,200
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 - Attached hereto
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
Advertising Agencies 14,100 24/7 Real Media, Inc. (a) $ 127,605
- - 0.5% 10,835 Advo, Inc. 353,221
25,400 aQuantive, Inc. (a) 626,364
14,600 Catalina Marketing Corp. 401,500
9,500 inVentiv Health, Inc. (a) 335,825
6,500 Marchex, Inc. Class B 86,970
14,200 Valassis Communications, Inc. (a) 205,900
31,880 ValueClick, Inc. (a) 753,324
-------------
2,890,709
- ---------------------------------------------------------------------------------------------------------------
Aerospace - 0.5% 4,600 Argon ST, Inc. (a) 99,084
15,268 Curtiss-Wright Corp. 566,137
7,926 Heico Corp. 307,767
5,500 K&F Industries Holdings, Inc. (a) 124,905
5,400 Ladish Co., Inc. (a) 200,232
3,200 MTC Technologies, Inc. (a) 75,360
11,613 Moog, Inc. Class A (a) 443,500
16,535 Orbital Sciences Corp. (a) 304,905
10,934 Teledyne Technologies, Inc. (a) 438,781
2,200 TransDigm Group, Inc. (a) 58,322
2,500 United Industrial Corp. 126,875
-------------
2,745,868
- ---------------------------------------------------------------------------------------------------------------
Agriculture, Fishing 1,200 Alico, Inc. (h) 60,756
& Ranching - 0.1% 3,600 The Andersons, Inc. 152,604
10,628 Delta & Pine Land Co. 429,903
-------------
643,263
- ---------------------------------------------------------------------------------------------------------------
Air Transport - 0.7% 10,968 AAR Corp. (a)(h) 320,156
17,300 ABX Air, Inc. (a) 119,889
28,820 AirTran Holdings, Inc. (a)(e) 338,347
12,599 Alaska Air Group, Inc. (a) 497,660
7,500 Atlas Air Worldwide Holdings, Inc. (a) 333,750
7,385 Bristow Group, Inc. (a) 266,525
9,995 EGL, Inc. (a) 297,651
13,000 ExpressJet Holdings, Inc. (a) 105,300
15,455 Frontier Airlines Holdings, Inc. (a)(e) 114,367
55,000 JetBlue Airways Corp. (a)(e) 781,000
11,456 Mesa Air Group, Inc. (a) 98,178
3,700 PHI, Inc. (a) 121,101
9,300 Republic Airways Holdings, Inc. (a) 156,054
21,600 Skywest, Inc. 551,016
-------------
4,100,994
- ---------------------------------------------------------------------------------------------------------------
Aluminum - 0.1% 8,302 Century Aluminum Co. (a) 370,684
- ---------------------------------------------------------------------------------------------------------------
Auto Parts: After 6,843 Aftermarket Technology Corp. (a) 145,619
Market - 0.1% 5,550 Commercial Vehicle Group, Inc. (a) 120,990
6,200 Keystone Automotive Industries, Inc. (a) 210,738
8,399 Superior Industries International, Inc. 161,849
-------------
639,196
- ---------------------------------------------------------------------------------------------------------------
Auto Parts: Original 16,400 American Axle & Manufacturing Holdings, Inc. 311,436
Equipment - 0.4% 22,300 ArvinMeritor, Inc. 406,529
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
4,700 Fuel Systems Solutions, Inc. (a) $ 103,776
21,400 Lear Corp. 631,942
3,600 Noble International Ltd. 72,180
13,700 Quantum Fuel Systems Technologies Worldwide, Inc. (a)(e) 21,920
2,173 Sauer-Danfoss, Inc. 70,079
14,300 Tenneco, Inc. (a) 353,496
42,600 Visteon Corp. (a) 361,248
-------------
2,332,606
- ---------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts 4,500 Accuride Corp. (a) 50,670
- - 0.2% 2,000 Miller Industries, Inc. (a) 48,000
11,594 Modine Manufacturing Co. 290,198
19,700 Navistar International Corp. (a) 658,571
9,845 Wabash National Corp. 148,660
-------------
1,196,099
- ---------------------------------------------------------------------------------------------------------------
Banks: New York City 10,900 Signature Bank (a) 337,682
- - 0.1%
- ---------------------------------------------------------------------------------------------------------------
Banks: Outside New 3,784 1st Source Corp. 121,580
York City - 5.7% 5,521 Alabama National Bancorp. 379,458
8,218 Amcore Financial, Inc. 268,482
5,550 AmericanWest Bancorp 134,421
3,900 Ameris Bancorp 109,902
2,682 Arrow Financial Corp. 66,433
1,300 BancTrust Financial Group, Inc. 33,176
2,190 Bancfirst Corp. 118,260
2,715 The Bancorp, Inc. (a) 80,364
4,982 Bank of Granite Corp. 94,509
3,500 Bank of the Ozarks, Inc. 115,710
7,400 BankFinancial Corp. 131,794
3,113 Banner Corp. 138,030
13,233 Boston Private Financial Holdings, Inc. 373,303
18,150 CVB Financial Corp. 262,449
5,129 Cadence Financial Corp. 111,145
1,500 Camden National Corp. 69,180
3,021 Capital City Bank Group, Inc. 106,641
2,900 Capital Corp. of the West 93,061
3,400 Capitol Bancorp Ltd. 157,080
7,700 Cardinal Financial Corp. 78,925
7,625 Cascade Bancorp (e) 235,689
18,244 Cathay General Bancorp 629,600
18,200 Centennial Bank Holdings, Inc. (a) 172,172
5,700 Center Financial Corp. 136,629
900 Centerstate Banks of Florida, Inc. 18,810
11,148 Central Pacific Financial Corp. 432,096
7,748 Chemical Financial Corp. 258,008
14,582 Chittenden Corp. 447,522
15,600 Citizens Banking Corp. 413,400
6,093 City Holding Co. 249,143
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
3,299 CityBank $ 117,592
1,700 Clifton Savings Bancorp, Inc. 20,723
4,526 CoBiz, Inc. 99,753
1,700 Columbia Bancorp 44,965
6,341 Columbia Banking System, Inc. 222,696
2,100 Community Bancorp (a) 63,399
11,800 Community Bank System, Inc. 271,400
7,299 Community Banks, Inc. 202,620
4,723 Community Trust Bancorp, Inc. 196,146
12,104 Corus Bankshares, Inc. (e) 279,239
30,000 Doral Financial Corp. (e) 86,100
1,100 Enterprise Financial Services Corp. 35,838
1,800 FNB Corp. 74,790
1,685 Farmers Capital Bank Corp. 57,223
22,200 First BanCorp 211,566
2,836 First Bancorp 61,938
3,814 First Busey Corp. 87,913
11,923 First Charter Corp. 293,306
22,340 First Commonwealth Financial Corp. 300,026
9,011 First Community Bancorp, Inc. 471,005
2,994 First Community Bancshares, Inc. 118,443
10,787 First Financial Bancorp 179,172
5,853 First Financial Bankshares, Inc. 245,007
4,244 First Financial Corp. 150,450
5,846 First Merchants Corp. 158,953
17,700 First Midwest Bancorp, Inc. 684,636
2,600 First Regional Bancorp (a) 88,634
1,200 First South Bancorp, Inc. (e) 38,268
7,600 First State Bancorp. 188,100
24,600 FirstMerit Corp. 593,844
9,800 Franklin Bank Corp. (a) 201,292
14,866 Frontier Financial Corp. 434,533
2,200 GB&T Bancshares, Inc. 48,774
14,465 Glacier Bancorp, Inc. 353,512
18,100 Greater Bay Bancorp 476,573
2,800 Greene County Bancshares, Inc. 111,244
9,754 Hancock Holding Co. 515,401
15,604 Hanmi Financial Corp. 351,558
9,136 Harleysville National Corp. 176,416
3,100 Heartland Financial USA, Inc. 89,435
3,900 Heritage Commerce Corp. 103,896
4,745 Independent Bank Corp./MA 170,962
9,245 Independent Bank Corp./MI 233,806
5,874 Integra Bank Corp. 161,652
4,600 Interchange Financial Services Corp. 105,754
15,100 International Bancshares Corp. 466,741
2,500 Intervest Bancshares Corp. (a) 86,025
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
16,200 Investors Bancorp, Inc. (a) $ 254,826
6,648 Irwin Financial Corp. 150,444
4,196 Lakeland Bancorp, Inc. 62,520
3,800 Lakeland Financial Corp. 97,014
7,883 MB Financial, Inc. 296,480
3,277 MBT Financial Corp. 50,204
4,531 Macatawa Bank Corp. 96,329
5,319 MainSource Financial Group, Inc. 90,109
3,630 Mercantile Bank Corp. 136,851
1 Mercantile Bankshares Corp. 47
300 MetroCorp Bancshares, Inc. 6,312
7,050 Mid-State Bancshares 256,550
5,980 Midwest Banc Holdings, Inc. 142,025
10,213 NBT Bancorp, Inc. 260,534
9,100 Nara Bancorp, Inc. 190,372
14,190 National Penn Bancshares, Inc. 287,348
1,155 Northern Empire Bancshares (a) 34,119
21,295 Old National Bancorp 402,901
5,776 Old Second Bancorp, Inc. 169,237
2,741 Omega Financial Corp. 87,493
6,618 Oriental Financial Group 85,703
15,662 Pacific Capital Bancorp 525,930
3,815 Park National Corp. 377,685
3,310 Peoples Bancorp, Inc. 98,307
4,100 Pinnacle Financial Partners, Inc. (a) 136,038
6,600 Piper Jaffray Cos. (a) 429,990
5,650 Placer Sierra Bancshares 134,301
2,100 Preferred Bank 126,189
2,480 Premierwest Bancorp 39,432
6,796 PrivateBancorp, Inc. 282,917
9,700 Prosperity Bancshares, Inc. 334,747
12,024 Provident Bankshares Corp. 428,054
8,811 R-G Financial Corp. Class B 67,404
3,498 Renasant Corp. 107,144
27,959 Republic Bancorp, Inc. 376,328
2,433 Republic Bancorp, Inc. Class A 61,044
1,333 Royal Bancshares of Pennsylvania Class A 35,044
8,263 S&T Bancorp, Inc. 286,478
2,346 SCBT Financial Corp. 97,899
10,900 SVB Financial Group (a) 508,158
2,730 SY Bancorp, Inc. 76,440
4,614 Sandy Spring Bancorp, Inc. 176,163
1,403 Santander BanCorp 25,044
4,258 Seacoast Banking Corp. of Florida 105,598
2,800 Security Bank Corp. 63,896
1,300 Shore Bancshares, Inc. 39,143
300 Sierra Bancorp 8,802
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
4,100 Simmons First National Corp. Class A $ 129,355
1,000 Smithtown Bancorp, Inc. 27,120
5,123 Southside Bancshares, Inc. 131,815
6,200 Southwest Bancorp, Inc. 172,732
2,400 State National Bancshares, Inc. 92,376
25,914 Sterling Bancshares, Inc. 337,400
8,102 Sterling Financial Corp. 191,774
3,300 Suffolk Bancorp 125,829
4,829 Sun Bancorp, Inc. (a) 101,747
1,700 Superior Bancorp (a) 19,278
16,416 Susquehanna Bancshares, Inc. 441,262
900 Taylor Capital Group, Inc. 32,949
9,761 Texas Capital Bancshares, Inc. (a) 194,049
2,540 Tompkins Trustco, Inc. 115,443
3,600 Trico Bancshares 97,956
23,761 TrustCo Bank Corp. NY 264,222
15,527 Trustmark Corp. 507,888
33,900 UCBH Holdings, Inc. 595,284
9,652 UMB Financial Corp. 352,395
3,496 USB Holding Co., Inc. 84,254
20,180 Umpqua Holdings Corp. 593,897
4,200 Union Bankshares Corp. 128,478
12,900 United Bankshares, Inc. 498,585
10,200 United Community Banks, Inc. 329,664
500 United Security Bancshares 12,050
2,650 Univest Corp. of Pennsylvania 80,772
4,500 Vineyard National Bancorp 103,590
6,868 Virginia Commerce Bancorp (a) 136,536
3,300 Virginia Financial Group, Inc. 92,367
3,600 Washington Trust Bancorp, Inc. 100,404
6,963 WesBanco, Inc. 233,469
5,554 West Bancorp., Inc. 98,750
4,900 West Coast Bancorp 169,736
11,283 Westamerica Bancorp. 571,258
3,200 Western Alliance Bancorp (a) 111,264
7,300 Wilshire Bancorp, Inc. 138,481
8,900 Wintrust Financial Corp. 427,378
3,100 Yardville National Bancorp 116,932
-------------
31,832,623
- ---------------------------------------------------------------------------------------------------------------
Beverage: Brewers 4,500 Boston Beer Co., Inc. Class A (a) 161,910
(Wineries) - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks 1,187 Coca-Cola Bottling Co. Consolidated 81,226
- - 0.1% 1,610 Farmer Bros. Co. 34,373
800 Green Mountain Coffee Roasters, Inc. (a) 39,384
9,800 Jones Soda Co. (a) 120,540
2,590 National Beverage Corp. 36,338
5,900 Peet's Coffee & Tea, Inc. (a) 154,816
-------------
466,677
- ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
Biotechnology 11,700 ADVENTRX Pharmaceuticals, Inc. (a) $ 34,515
Research & Production 11,700 AVI BioPharma, Inc. (a) 37,206
- - 2.0% 7,700 Acadia Pharmaceuticals, Inc. (a) 67,683
3,300 Advanced Magnetics, Inc. (a) 197,076
8,087 Albany Molecular Research, Inc. (a) 85,399
9,680 Alexion Pharmaceuticals, Inc. (a) 390,975
9,700 Alnylam Pharmaceuticals, Inc. (a) 207,580
1,000 Altus Pharmaceuticals, Inc. (a) 18,850
11,300 American Oriental Bioengineering, Inc. (a) 131,871
23,900 Applera Corp. - Celera Genomics Group (a)(h) 334,361
14,200 Arena Pharmaceuticals, Inc. (a) 183,322
19,719 Ariad Pharmaceuticals, Inc. (a) 101,356
15,900 Array Biopharma, Inc. (a) 205,428
9,620 Arthrocare Corp. (a) 384,030
16,800 Bioenvision, Inc. (a) 77,952
19,524 Cell Genesys, Inc. (a)(e) 66,186
3,900 Coley Pharmaceutical Group, Inc. (a) 37,791
5,900 Combinatorx, Inc. (a) 51,094
3,600 Cotherix, Inc. (a) 48,564
19,067 Cubist Pharmaceuticals, Inc. (a) 345,303
11,600 Cypress Bioscience, Inc. (a) 89,668
5,200 Cytokinetics, Inc. (a) 38,896
6,524 Digene Corp. (a) 312,630
7,778 Diversa Corp. (a) 84,625
18,500 deCODE genetics, Inc. (a) 83,805
16,196 Encysive Pharmaceuticals, Inc. (a) 68,185
11,100 Enzon Pharmaceuticals, Inc. (a) 94,461
26,418 Exelixis, Inc. (a) 237,762
8,300 Genitope Corp. (a) 29,216
3,900 Genomic Health, Inc. (a) 72,540
32,400 Genta, Inc. (a)(e) 14,337
20,929 Geron Corp. (a)(e) 183,757
7,400 Hana Biosciences, Inc. (a) 47,138
41,100 Human Genome Sciences, Inc. (a) 511,284
23,000 ICOS Corp. (a) 777,170
5,700 Idenix Pharmaceuticals, Inc. (a)(e) 49,533
30,524 Incyte Corp. (a) 178,260
7,000 Integra LifeSciences Holdings Corp. (a) 298,130
10,414 InterMune, Inc. (a)(e) 320,230
4,700 Kendle International, Inc. (a) 147,815
4,900 Kensey Nash Corp. (a) 155,820
13,000 Keryx Biopharmaceuticals, Inc. (a) 172,900
19,605 Lexicon Genetics, Inc. (a) 70,774
7,050 MannKind Corp. (a)(e) 116,254
11,400 Martek Biosciences Corp. (a) 266,076
6,301 Maxygen, Inc. (a) 67,862
4,200 Metabasis Therapeutics, Inc. (a) 31,584
5,500 Momenta Pharmaceuticals, Inc. (a)(e) 86,515
55,400 Monogram Biosciences, Inc. (a) 98,612
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
12,300 Myriad Genetics, Inc. (a) $ 384,990
20,823 NPS Pharmaceuticals, Inc. (a) 94,328
19,054 Nabi Biopharmaceuticals (a) 129,186
9,000 Nastech Pharmaceutical Co., Inc. (a) 136,170
10,200 Neurocrine Biosciences, Inc. (a) 106,284
10,400 Northfield Laboratories, Inc. (a)(e) 42,328
16,400 Nuvelo, Inc. (a) 65,600
18,100 OSI Pharmaceuticals, Inc. (a) 633,138
6,000 PRA International, Inc. (a) 151,620
13,500 Panacos Pharmaceuticals, Inc. (a) 54,135
74,000 Peregrine Pharmaceuticals, Inc. (a)(e) 85,100
7,550 PharmaNet Development Group, Inc. (a) 166,629
8,600 Progenics Pharmaceuticals, Inc. (a) 221,364
7,870 Rigel Pharmaceuticals, Inc. (a) 93,417
13,900 Sangamo Biosciences, Inc. (a) 91,740
17,128 Savient Pharmaceuticals, Inc. (a) 192,005
9,800 Sirna Therapeutics, Inc. (a) 127,498
5,400 Solexa, Inc. (a) 71,010
7,745 Tanox, Inc. (a) 154,126
18,732 Telik, Inc. (a)(e) 82,983
5,638 Trimeris, Inc. (a) 71,659
21,700 Viropharma, Inc. (a) 317,688
11,900 Zymogenetics, Inc. (a) 185,283
-------------
11,370,662
- ---------------------------------------------------------------------------------------------------------------
Building Materials 2,700 Ameron International Corp. 206,199
- - 0.4% 2,900 BlueLinx Holdings, Inc. 30,160
8,200 Building Material Holding Corp. 202,458
6,312 LSI Industries, Inc. 125,293
7,268 NCI Building Systems, Inc. (a) 376,119
13,532 Simpson Manufacturing Co., Inc. (e) 428,288
6,945 Texas Industries, Inc. 446,077
3,809 Trex Co., Inc. (a)(e) 87,188
9,565 Watsco, Inc. 451,085
5,600 Zoltek Cos., Inc. (a)(e) 110,152
-------------
2,463,019
- ---------------------------------------------------------------------------------------------------------------
Building: Cement - 0.0% 13,800 US Concrete, Inc. (a) 98,256
- ---------------------------------------------------------------------------------------------------------------
Building: Heating & 1,700 Aaon, Inc. 44,676
Plumbing - 0.1% 7,900 Interline Brands, Inc. (a) 177,513
24,650 Jacuzzi Brands, Inc. (a) 306,399
-------------
528,588
- ---------------------------------------------------------------------------------------------------------------
Building: Miscellaneous 4,000 Builders FirstSource, Inc. (a) 71,320
- - 0.1% 11,600 Comfort Systems USA, Inc. 146,624
5,200 Drew Industries, Inc. (a) 135,252
5,700 Goodman Global, Inc. (a) 98,040
9,447 Griffon Corp. (a) 240,899
-------------
692,135
- ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
Building: Roofing & 16,050 Beacon Roofing Supply, Inc. (a) $ 302,061
Wallboard - 0.1% 8,251 ElkCorp 339,034
-------------
641,095
- ---------------------------------------------------------------------------------------------------------------
Cable Television 150,200 Charter Communications, Inc. Class A (a)(e) 459,612
Services - 0.1% 4,898 Crown Media Holdings, Inc. Class A (a) 17,780
28,794 TiVo, Inc. (a)(e) 147,425
-------------
624,817
- ---------------------------------------------------------------------------------------------------------------
Casinos & Gambling 8,600 Ameristar Casinos, Inc. 264,364
- - 0.6% 11,491 Aztar Corp. (a) 625,340
16,500 Bally Technologies, Inc. (a) 308,220
3,800 Century Casinos, Inc. (a) 42,408
1,732 Churchill Downs, Inc. 74,026
6,505 Dover Downs Gaming & Entertainment, Inc. 86,972
6,475 Isle of Capri Casinos, Inc. (a) 172,105
5,800 Lakes Entertainment, Inc. (a) 62,582
9,900 MTR Gaming Group, Inc. (a) 120,978
12,674 Magna Entertainment Corp. Class A (a) 57,160
2,700 Monarch Casino & Resort, Inc. (a) 64,476
11,100 Multimedia Games, Inc. (a) 106,560
15,164 Pinnacle Entertainment, Inc. (a) 502,535
14,100 Progressive Gaming International Corp. (a) 127,887
2,100 Riviera Holdings Corp. (a) 50,736
10,600 Shuffle Master, Inc. (a)(e) 277,720
10,800 Trump Entertainment Resorts, Inc. (a) 196,992
8,212 WMS Industries, Inc. (a) 286,270
-------------
3,427,331
- ---------------------------------------------------------------------------------------------------------------
Chemicals - 1.2% 4,233 American Vanguard Corp. (e) 67,305
7,656 Arch Chemicals, Inc. 255,021
2,200 Balchem Corp. 56,496
16,500 CF Industries Holdings, Inc. 423,060
9,300 Cabot Microelectronics Corp. (a) 315,642
12,601 Calgon Carbon Corp. (a)(e) 78,126
8,485 Cambrex Corp. 192,779
6,600 China BAK Battery, Inc. (a) 43,032
14,100 EnerSys (a) 225,600
12,164 Energy Conversion Devices, Inc. (a) 413,333
10,337 Georgia Gulf Corp. 199,607
36,000 Hercules, Inc. (a) 695,160
3,800 Innospec, Inc. 176,890
8,367 MacDermid, Inc. 285,315
5,941 Medis Technologies Ltd. (a)(e) 103,552
2,434 NL Industries, Inc. 25,168
5,700 NewMarket Corp. 336,585
6,365 Nuco2, Inc. (a) 156,515
9,000 OM Group, Inc. (a) 407,520
9,400 Omnova Solutions, Inc. (a) 43,052
3,700 Pioneer Cos., Inc. (a) 106,042
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
29,367 PolyOne Corp. (a) $ 220,253
10,400 Rockwood Holdings, Inc. (a) 262,704
11,006 Schulman A, Inc. 244,884
9,500 Senomyx, Inc. (a) 123,405
3,355 Stepan Co. 106,253
9,400 Tronox, Inc. Class A 150,306
6,300 Tronox, Inc. Class B 99,477
15,900 UAP Holding Corp. 400,362
21,500 WR Grace & Co. (a) 425,700
-------------
6,639,144
- ---------------------------------------------------------------------------------------------------------------
Coal - 0.1% 16,400 Alpha Natural Resources, Inc. (a) 233,372
36,000 International Coal Group, Inc. (a) 196,200
6,600 James River Coal Co. (a) 61,248
1,100 Westmoreland Coal Co. (a) 21,637
-------------
512,457
- ---------------------------------------------------------------------------------------------------------------
Commercial Information 11,058 Arbitron, Inc. 480,360
Services - 0.2% 143,100 CMGI, Inc. (a) 191,754
10,661 infoUSA, Inc. 126,973
6,200 LECG Corp. (a) 114,576
8,574 ProQuest Co. (a) 89,598
-------------
1,003,261
- ---------------------------------------------------------------------------------------------------------------
Communications & Media 20,200 Entravision Communications Corp. Class A (a) 166,044
- - 0.1% 78,600 Gemstar-TV Guide International, Inc. (a) 315,186
-------------
481,230
- ---------------------------------------------------------------------------------------------------------------
Communications 135,800 3Com Corp. (a) 558,138
Technology - 2.4% 21,300 Adtran, Inc. 483,510
7,722 Anaren, Inc. (a) 137,143
10,972 Anixter International, Inc. (a) 595,780
17,000 Atheros Communications, Inc. (a) 362,440
43,900 Avanex Corp. (a)(e) 82,971
18,050 Avocent Corp. (a) 610,992
3,059 Bel Fuse, Inc. 106,423
6,488 Black Box Corp. 272,431
24,150 Broadwing Corp. (a) 377,223
87,000 Brocade Communications Systems, Inc. (a) 714,270
300 CPI International, Inc. (a) 4,500
15,200 CSG Systems International, Inc. (a) 406,296
4,300 Carrier Access Corp. (a) 28,208
7,000 Cbeyond Communications, Inc. (a) 214,130
4,500 Cogent Communications Group, Inc. (a) 72,990
18,388 CommScope, Inc. (a)(h) 560,466
6,900 Comtech Group, Inc. (a)(e) 125,511
8,525 Comtech Telecommunications Corp. (a) 324,547
8 CycleLogic, Inc. (a) 0
7,700 Digi International, Inc. (a) 106,183
13,900 Ditech Networks, Inc. (a) 96,188
3,400 EMS Technologies, Inc. (a) 68,102
9,813 Echelon Corp. (a) 78,504
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
46,100 Extreme Networks, Inc. (a) $ 193,159
72,300 Finisar Corp. (a)(e) 233,529
48,400 Foundry Networks, Inc. (a) 725,032
23,496 Harmonic, Inc. (a) 170,816
5,100 ID Systems, Inc. (a) 95,982
11,100 InPhonic, Inc. (a)(e) 123,099
7,177 Inter-Tel, Inc. 159,042
16,400 InterVoice, Inc. (a) 125,624
12,129 Ixia (a) 116,438
15,700 j2 Global Communications, Inc. (a)(e) 427,825
2,700 Loral Space & Communications Ltd. (a) 109,944
9,700 Netgear, Inc. (a) 254,625
7,900 Novatel Wireless, Inc. (a) 76,393
7,002 Oplink Communications, Inc. (a) 143,961
4,183 Optical Communication Products, Inc. (a) 6,860
18,300 Redback Networks, Inc. (a) 456,402
14,838 Secure Computing Corp. (a) 97,337
7,900 Sirenza Microdevices, Inc. (a) 62,094
80,000 Sonus Networks, Inc. (a) 527,200
7,410 Standard Microsystems Corp. (a) 207,332
28,200 Stratex Networks, Inc. (a) 136,206
58,400 Sycamore Networks, Inc. (a) 219,584
6,300 Syniverse Holdings, Inc. (a) 94,437
66,000 TIBCO Software, Inc. (a) 623,040
12,020 Talx Corp. 329,949
16,800 Tekelec (a) 249,144
8,930 Terremark Worldwide, Inc. (a) 60,010
2,540 Ulticom, Inc. (a) 24,359
37,300 UTstarcom, Inc. (a)(e) 326,375
7,001 Viasat, Inc. (a) 208,700
13,500 Vonage Holdings Corp. (a) 93,690
13,231 WebEx Communications, Inc. (a) 461,630
25,275 Zhone Technologies, Inc. (a)(e) 32,858
-------------
13,559,622
- ---------------------------------------------------------------------------------------------------------------
Computer Services 17,400 @Road, Inc. (a) 127,020
Software & Systems 2,300 Access Integrated Technologies, Inc. (a) 20,056
- - 4.0% 14,400 Actuate Corp. (a) 85,536
18,002 Agile Software Corp. (a) 110,712
9,400 Altiris, Inc. (a) 238,572
8,100 American Reprographics Co. (a) 269,811
5,900 Ansoft Corp. (a) 164,020
11,832 Ansys, Inc. (a) 514,574
23,680 Ariba, Inc. (a) 183,283
31,400 Art Technology Group, Inc. (a) 73,162
16,908 Aspen Technology, Inc. (a) 186,326
7,800 Audible, Inc. (a)(e) 61,854
59,000 BearingPoint, Inc. (a) 464,330
13,626 Blackbaud, Inc. 354,276
10,300 Blackboard, Inc. (a) 309,412
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
6,300 Blue Coat Systems, Inc. (a) $ 150,885
24,667 Borland Software Corp. (a) 134,188
9,900 Bottomline Technologies, Inc. (a) 113,355
9,400 CACI International, Inc. Class A (a) 531,100
6,900 COMSYS IT Partners, Inc. (a) 139,449
20,600 Chordiant Software, Inc. (a) 68,186
17,302 Ciber, Inc. (a) 117,308
10,200 Concur Technologies, Inc. (a) 163,608
6,500 Convera Corp. (a)(e) 29,835
9,300 Covansys Corp. (a) 213,435
2,100 DealerTrack Holdings, Inc. (a) 61,782
11,864 Dendrite International, Inc. (a) 127,063
12,500 Digital River, Inc. (a) 697,375
26,607 Digitas, Inc. (a) 356,800
7,045 EPIQ Systems, Inc. (a) 119,554
17,439 Electronics for Imaging, Inc. (a) 463,529
8,600 Emageon, Inc. (a) 132,096
17,400 Epicor Software Corp. (a) 235,074
10,000 Equinix, Inc. (a)(e) 756,200
5,900 eCollege.com, Inc. (a) 92,335
17,979 Gartner, Inc. Class A (a) 355,804
18,500 Hyperion Solutions Corp. (a) 664,890
8,200 Infocrossing, Inc. (a)(e) 133,660
26,700 Informatica Corp. (a) 326,007
2,400 Integral Systems, Inc. 55,608
12,400 Internet Capital Group, Inc. (a) 127,224
16,825 Interwoven, Inc. (a) 246,823
3,100 i2 Technologies, Inc. (a)(e) 70,742
4,100 iGate Corp. (a) 28,208
9,208 JDA Software Group, Inc. (a) 126,794
6,600 Jupitermedia Corp. (a) 52,272
9,300 Kanbay International, Inc. (a) 267,561
13,658 Keane, Inc. (a) 162,667
39,000 Lawson Software, Inc. (a) 288,210
16,500 Lionbridge Technologies, Inc. (a) 106,260
16,300 Macrovision Corp. (a) 460,638
9,100 Magma Design Automation, Inc. (a) 81,263
8,739 Manhattan Associates, Inc. (a) 262,869
4,800 Mantech International Corp. Class A (a) 176,784
6,700 Mapinfo Corp. (a) 87,435
25,700 Mentor Graphics Corp. (a) 463,371
7,856 Mercury Computer Systems, Inc. (a) 104,956
9,400 Merge Technologies, Inc. (a) 61,476
3,000 MicroStrategy, Inc. Class A (a) 342,030
13,798 Micros Systems, Inc. (a) 727,155
6,100 Ness Technologies, Inc. (a) 86,986
5,685 Netscout Systems, Inc. (a) 47,186
39,795 Nuance Communications, Inc. (a) 456,051
27,933 Openwave Systems, Inc. (a) 257,822
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
2,600 Opnet Technologies, Inc. (a) $ 37,570
25,300 Opsware, Inc. (a) 223,146
4,800 PDF Solutions, Inc. (a) 69,360
11,207 Packeteer, Inc. (a) 152,415
39,160 Parametric Technology Corp. (a) 705,663
1,300 Pegasystems, Inc. 12,831
15,508 Progress Software Corp. (a) 433,138
3,300 QAD, Inc. 27,687
24,600 Quest Software, Inc. (a) 360,390
37,900 RealNetworks, Inc. (a) 414,626
4,600 RightNow Technologies, Inc. (a) 79,212
12,080 SAVVIS, Inc. (a) 431,256
4,300 SI International, Inc. (a) 139,406
7,389 SPSS, Inc. (a) 222,187
12,100 SRA International, Inc. Class A (a) 323,554
9,961 SYKES Enterprises, Inc. (a) 175,712
2,200 SYNNEX Corp. (a) 48,268
8,299 SafeNet, Inc. (a) 198,678
25,792 Sapient Corp. (a) 141,598
10,000 Sigma Designs, Inc. (a) 254,500
8,200 Smith Micro Software, Inc. (a) 116,358
24,341 SonicWALL, Inc. (a) 204,951
28,000 Sybase, Inc. (a) 691,600
1,483 Syntel, Inc. 39,744
2,000 Taleo Corp. Class A (a) 27,340
11,885 Transaction Systems Architects, Inc. Class A (a) 387,094
16,608 Trizetto Group (a) 305,089
10,900 Tyler Technologies, Inc. (a) 153,254
8,000 Ultimate Software Group, Inc. (a) 186,080
15,900 VA Software Corp. (a) 79,977
7,900 VASCO Data Security International, Inc. (a) 93,299
4,200 Verint Systems, Inc. (a) 143,976
10,380 Vignette Corp. (a) 177,187
15,202 Websense, Inc. (a) 347,062
27,700 Wind River Systems, Inc. (a) 283,925
11,200 Witness Systems, Inc. (a) 196,336
22,320 webMethods, Inc. (a) 164,275
15,508 Zoran Corp. (a) 226,107
-------------
22,769,704
- ---------------------------------------------------------------------------------------------------------------
Computer Technology 36,100 Adaptec, Inc. (a) 168,226
- - 0.9% 9,700 Advanced Analogic Technologies, Inc. (a) 52,283
26,700 Emulex Corp. (a) 520,917
9,109 FalconStor Software, Inc. (a) 78,793
83,600 Gateway, Inc. (a) 168,036
10,017 Hutchinson Technology, Inc. (a) 236,101
11,100 Imation Corp. 515,373
16,009 Intermec, Inc. (a) 388,538
9,500 Komag, Inc. (a) 359,860
57,000 McData Corp. (a) 316,350
12,300 Mobility Electronics, Inc. (a) 41,205
5,900 Neoware Systems, Inc. (a) 77,939
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
28,888 Palm, Inc. (a) $ 407,032
27,000 Perot Systems Corp. Class A (a) 442,530
58,400 Quantum Corp (a) 135,488
9,800 Rackable Systems, Inc. (a) 303,506
11,400 Radiant Systems, Inc. (a) 119,016
5,742 Radisys Corp. (a) 95,719
31,800 Safeguard Scientifics, Inc. (a) 76,956
3,700 Stratasys, Inc. (a) 116,217
7,900 Synaptics, Inc. (a) 234,551
19,600 Trident Microsystems, Inc. (a) 356,328
-------------
5,210,964
- ---------------------------------------------------------------------------------------------------------------
Construction - 0.4% 5,251 Brookfield Homes Corp. (e) 197,175
9,936 EMCOR Group, Inc. (a) 564,862
11,871 Granite Construction, Inc. 597,349
6,000 Perini Corp. (a) 184,680
2,100 Sterling Construction Co., Inc. (a) 45,696
9,700 Washington Group International, Inc. (a) 579,963
-------------
2,169,725
- ---------------------------------------------------------------------------------------------------------------
Consumer Electronics 52,600 CNET Networks, Inc. (a) 478,134
- - 0.7% 92,800 Covad Communications Group, Inc. (a) 128,064
5,400 DTS, Inc. (a) 130,626
5,400 Directed Electronics, Inc. (a) 61,830
41,700 Earthlink, Inc. (a) 296,070
9,900 Infospace, Inc. (a) 203,049
8,790 Internap Network Services Corp. (a) 174,657
17,500 Ipass, Inc. (a) 102,900
8,000 LoJack Corp. (a) 136,640
11,274 Midway Games, Inc. (a)(e) 78,693
10,300 NIC, Inc. (a) 51,191
13,100 Netflix, Inc. (a)(e) 338,766
4,100 Parkervision, Inc. (a)(e) 45,715
8,200 Sohu.com, Inc. (a) 196,800
19,637 THQ, Inc. (a) 638,595
21,700 Take-Two Interactive Software, Inc. (a)(e) 385,392
20,350 United Online, Inc. 270,248
4,186 Universal Electronics, Inc. (a) 87,990
7,700 WebSideStory, Inc. (a) 97,482
-------------
3,902,842
- ---------------------------------------------------------------------------------------------------------------
Consumer Products - 0.6% 16,100 American Greetings Class A 384,307
8,200 Blyth, Inc. 170,150
2,091 CSS Industries, Inc. 73,959
2,000 Citi Trends, Inc. (a) 79,280
5,200 Mannatech, Inc. (e) 76,596
9,873 Matthews International Corp. Class A 388,503
12,263 Nautilus, Inc. (e) 171,682
7,900 Oakley, Inc. 158,474
16,876 Playtex Products, Inc. (a) 242,846
6,200 RC2 Corp. (a) 272,800
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
11,200 Spectrum Brands, Inc. (a)(e) $ 122,080
15,991 The Topps Co., Inc. 142,320
22,174 Tupperware Corp. 501,354
2,400 USANA Health Sciences, Inc. (a) 123,984
13,683 Yankee Candle Co., Inc. 469,053
-------------
3,377,388
- ---------------------------------------------------------------------------------------------------------------
Containers & Packaging: 11,700 AptarGroup, Inc. 690,768
Metals & Glass - 0.4% 6,075 Greif, Inc. 719,280
12,842 Mobile Mini, Inc. (a) 345,963
7,000 Silgan Holdings, Inc. 307,440
-------------
2,063,451
- ---------------------------------------------------------------------------------------------------------------
Containers & Packaging: 1,400 AEP Industries, Inc. (a) 74,634
Paper & Plastic - 0.1% 19,100 Graphic Packaging Corp. (a) 82,703
8,452 Myers Industries, Inc. 132,358
-------------
289,695
- ---------------------------------------------------------------------------------------------------------------
Copper - 0.1% 11,982 Mueller Industries, Inc. 379,829
- ---------------------------------------------------------------------------------------------------------------
Cosmetics - 0.1% 8,193 Elizabeth Arden, Inc. (a) 156,077
1,500 Inter Parfums, Inc. 28,785
18,226 Nu Skin Enterprises, Inc. Class A 332,260
1,500 Parlux Fragrances, Inc. (a)(e) 8,355
47,510 Revlon, Inc. Class A (a) 60,813
-------------
586,290
- ---------------------------------------------------------------------------------------------------------------
Diversified Financial 40,400 The BISYS Group, Inc. (a) 521,564
Services - 0.4% 900 Clayton Holdings, Inc. (a) 16,839
12,600 Euronet Worldwide, Inc. (a) 374,094
18,200 F.N.B. Corp. 332,514
6,300 Greenhill & Co., Inc. (e) 464,940
6,600 Huron Consulting Group, Inc. (a) 299,244
5,600 Rewards Network, Inc. (a) 38,920
12,900 USI Holdings Corp. (a) 198,144
-------------
2,246,259
- ---------------------------------------------------------------------------------------------------------------
Diversified Materials & 14,960 Acuity Brands, Inc. (h) 778,518
Processing - 0.6% 12,514 Barnes Group, Inc. 272,179
14,294 Brady Corp. 532,880
16,410 Clarcor, Inc. 554,822
29,562 Hexcel Corp. (a) 514,674
3,200 Koppers Holdings, Inc. 83,424
22,814 Olin Corp. 376,887
9,245 Tredegar Corp. 209,029
-------------
3,322,413
- ---------------------------------------------------------------------------------------------------------------
Drug & Grocery Store 432 Arden Group, Inc. Class A 53,486
Chains - 0.4% 18,307 Casey's General Stores, Inc. 431,130
5,831 Great Atlantic & Pacific Tea Co. 150,090
5,164 Ingles Markets, Inc. Class A 153,836
10,083 Longs Drug Stores Corp. 427,318
5,477 Nash Finch Co. 149,522
20,842 Pathmark Stores, Inc. (a) 232,388
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
11,969 Ruddick Corp. $ 332,140
4,329 Smart & Final, Inc. (a) 81,818
7,000 Spartan Stores, Inc. 146,510
4,100 Weis Markets, Inc. 164,451
10,929 Wild Oats Markets, Inc. (a) 157,159
-------------
2,479,848
- ---------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals 13,650 AVANIR Pharmaceuticals Class A (a)(e) 31,531
- - 1.9% 10,500 Adams Respiratory Therapeutics, Inc. (a) 428,505
15,100 Adolor Corp. (a) 113,552
9,900 Akorn, Inc. (a) 61,875
30,600 Alkermes, Inc. (a) 409,122
13,425 Alpharma, Inc. Class A 323,542
6,300 Anadys Pharmaceuticals, Inc. (a) 30,996
14,800 Atherogenics, Inc. (a)(e) 146,668
4,700 Auxilium Pharmaceuticals, Inc. (a) 69,043
6,100 Bentley Pharmaceuticals, Inc. (a) 62,037
9,500 BioCryst Pharmaceuticals, Inc. (a) 109,820
30,348 BioMarin Pharmaceuticals, Inc. (a) 497,404
5,000 Bradley Pharmaceuticals, Inc. (a) 102,900
16,800 CV Therapeutics, Inc. (a) 234,528
1,200 Caraco Pharmaceutical Laboratories Ltd. (a) 16,800
4,900 Chattem, Inc. (a) 245,392
28,500 Dendreon Corp. (a)(e) 118,845
18,300 Depomed, Inc. (a) 63,135
17,800 Durect Corp. (a)(e) 79,032
11,000 Emisphere Technologies, Inc. (a) 58,190
10,795 Enzo Biochem, Inc. (a)(e) 154,045
1,000 GTx, Inc. (a) 17,840
3,100 Hi-Tech Pharmacal Co., Inc. (a) 37,727
19,900 Indevus Pharmaceuticals, Inc. (a) 141,290
23,089 Isis Pharmaceuticals, Inc. (a) 256,750
12,900 KV Pharmaceutical Co. Class A (a) 306,762
27,800 MGI Pharma, Inc. (a) 511,798
38,700 Medarex, Inc. (a) 572,373
15,927 Medicines Co. (a) 505,204
17,000 Medicis Pharmaceutical Corp. Class A 597,210
28,200 Nektar Therapeutics (a)(e) 428,922
4,500 New River Pharmaceuticals, Inc. (a)(e) 246,195
26,200 Novavax, Inc. (a) 107,420
9,331 Noven Pharmaceuticals, Inc. (a) 237,474
15,100 Onyx Pharmaceuticals, Inc. (a) 159,758
14,500 Pain Therapeutics, Inc. (a) 129,050
10,100 Par Pharmaceutical Cos., Inc. (a) 225,937
6,500 Penwest Pharmaceuticals Co. (a) 108,030
28,315 Perrigo Co. 489,850
9,300 Pharmion Corp. (a) 239,382
4,900 Pozen, Inc. (a) 83,251
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
8,100 Quidel Corp. (a) $ 110,322
14,019 Regeneron Pharmaceuticals, Inc. (a) 281,361
6,600 Renovis, Inc. (a) 20,856
17,700 Salix Pharmaceuticals Ltd. (a) 215,409
12,600 Santarus, Inc. (a) 98,658
10,700 Sciele Pharma, Inc. (a) 256,800
3,500 Somaxon Pharmaceuticals, Inc. (a) 49,665
17,082 SuperGen, Inc. (a) 86,777
7,346 United Therapeutics Corp. (a)(e) 399,402
29,400 Valeant Pharmaceuticals International 506,856
4,300 Xenoport, Inc. (a) 105,565
-------------
10,890,856
- ---------------------------------------------------------------------------------------------------------------
Education Services - 9,404 Bright Horizons Family Solutions, Inc. (a) 363,559
0.4% 30,000 Corinthian Colleges, Inc. (a) 408,900
19,300 DeVry, Inc. 540,400
3,200 Educate, Inc. (a) 22,784
2,149 Renaissance Learning, Inc. 38,102
5,220 Strayer Education, Inc. 553,581
7,300 Universal Technical Institute, Inc. (a) 162,133
-------------
2,089,459
- ---------------------------------------------------------------------------------------------------------------
Electrical & Electronics 20,329 Benchmark Electronics, Inc. (a) 495,214
- - 0.2% 4,700 OSI Systems, Inc. (a) 98,371
15,398 Plexus Corp. (a) 367,704
13,700 TTM Technologies, Inc. (a) 155,221
7,507 Universal Display Corp. (a)(e) 112,680
-------------
1,229,190
- ---------------------------------------------------------------------------------------------------------------
Electrical Equipment & 6,881 AO Smith Corp. 258,450
Components - 0.8% 14,400 American Superconductor Corp. (a)(e) 141,264
10,171 Baldor Electric Co. 339,915
11,408 CTS Corp. 179,106
9,518 Cohu, Inc. 191,883
3,400 Color Kinetics, Inc. (a) 72,590
6,960 Franklin Electric Co., Inc. 357,674
15,990 General Cable Corp. (a) 698,923
7,816 Genlyte Group, Inc. (a) 610,508
8,460 Littelfuse, Inc. (a) 269,705
10,800 MKS Instruments, Inc. (a) 243,864
2,431 Powell Industries, Inc. (a) 76,747
22,200 Power-One, Inc. (a) 161,616
8,100 Sonic Solutions, Inc. (a) 132,030
19,700 Taser International, Inc. (a)(e) 149,720
12,561 Technitrol, Inc. 300,082
6,179 Triumph Group, Inc. 323,965
-------------
4,508,042
- ---------------------------------------------------------------------------------------------------------------
Electrical: Household 1,550 National Presto Industries, Inc. 92,799
Appliance - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Electronics - 0.6% 23,812 Aeroflex, Inc. (a) 279,077
11,863 Agilysys, Inc. 198,587
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
13,300 Avid Technology, Inc. (a) $ 495,558
11,998 Daktronics, Inc. (h) 442,126
21,800 Flir Systems, Inc. (a) 693,894
7,472 II-VI, Inc. (a) 208,768
21,700 Kopin Corp. (a) 77,469
49,366 MRV Communications, Inc. (a)(e) 174,756
11,780 Methode Electronics, Inc. 127,577
2,100 Multi-Fineline Electronix, Inc. (a) 42,609
6,749 Park Electrochemical Corp. 173,112
26,900 Semtech Corp. (a) 351,583
3,067 Supertex, Inc. (a) 120,380
-------------
3,385,496
- ---------------------------------------------------------------------------------------------------------------
Electronics: Instruments, 8,982 Itron, Inc. (a) 465,627
Gauges & Meters - 0.1% 3,200 Measurement Specialties, Inc. (a) 69,248
1,800 OYO Geospace Corp. (a) 104,562
5,300 Zygo Corp. (a) 87,185
-------------
726,622
- ---------------------------------------------------------------------------------------------------------------
Electronics: Medical 23,200 Affymetrix, Inc. (a) 534,992
Systems - 0.8% 3,972 Analogic Corp. 222,988
5,200 Aspect Medical Systems, Inc. (a) 97,812
6,587 Bruker BioSciences Corp. (a) 49,468
7,500 Candela Corp. (a) 92,775
5,370 Datascope Corp. 195,683
15,850 eResearch Technology, Inc. (a) 106,670
6,200 Greatbatch, Inc. (a) 166,904
8,272 Haemonetics Corp. (a) 372,405
11,100 HealthTronics, Inc. (a) 73,926
18,080 Hologic, Inc. (a) 854,822
13,300 Illumina, Inc. (a) 522,823
7,200 IntraLase Corp. (a) 161,136
9,351 Luminex Corp. (a) 118,758
8,000 Natus Medical, Inc. (a) 132,880
5,000 Neurometrix, Inc. (a)(e) 74,550
6,800 NxStage Medical, Inc. (a) 56,984
6,300 Quality Systems, Inc. 234,801
5,400 Sirona Dental Systems, Inc. 207,954
1,100 Visicu, Inc. (a) 12,320
2,161 Zoll Medical Corp. (a) 125,857
-------------
4,416,508
- ---------------------------------------------------------------------------------------------------------------
Electronics: 13,100 AMIS Holdings, Inc. (a) 138,467
Semi-Conductors/ 11,516 Actel Corp. (a)(h) 209,131
Components - 1.6% 32,400 Amkor Technology, Inc. (a)(h) 302,616
13,300 Anadigics, Inc. (a) 117,838
87,700 Applied Micro Circuits Corp. (a) 312,212
26,800 Bookham, Inc. (a)(e) 109,076
27,700 Cirrus Logic, Inc. (a)(h) 190,576
152,300 Conexant Systems, Inc. (a) 310,692
9,783 DSP Group, Inc. (a) 212,291
7,575 Diodes, Inc. (a) 268,761
10,327 Exar Corp. (a) 134,251
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
3,673 Excel Technology, Inc. (a) $ 93,992
7,920 First Solar, Inc. (a) 236,016
15,700 Formfactor, Inc. (a) 584,825
13,700 Genesis Microchip, Inc. (a) 138,918
3,600 Hittite Microwave Corp. (a) 116,352
5,993 IXYS Corp. (a) 53,338
5,200 Ikanos Communications, Inc. (a) 45,188
38,000 Lattice Semiconductor Corp. (a) 246,240
18,200 MIPS Technologies, Inc. (a) 151,060
22,000 Micrel, Inc. (a) 237,160
22,390 Microsemi Corp. (a) 439,964
16,800 Microtune, Inc. (a) 78,960
29,000 Mindspeed Technologies, Inc. (a)(e) 55,390
4,600 MoSys, Inc. (a) 42,550
4,800 Monolithic Power Systems, Inc. (a) 53,328
4,700 Netlogic Microsystems, Inc. (a) 101,943
600 Nextest Systems Corp. (a) 6,762
48,200 ON Semiconductor Corp. (a) 364,874
17,300 Omnivision Technologies, Inc. (a)(e) 236,145
7,400 PLX Technology, Inc. (a) 96,496
9,493 Pericom Semiconductor Corp. (a) 108,885
10,600 Portalplayer, Inc. (a) 142,570
59,600 RF Micro Devices, Inc. (a) 404,684
25,876 Silicon Image, Inc. (a) 329,143
28,658 Silicon Storage Technology, Inc. (a) 129,248
15,800 Sirf Technology Holdings, Inc. (a) 403,216
59,433 Skyworks Solutions, Inc. (a) 420,786
2,600 Sunpower Corp. Class A (a)(e) 96,642
14,600 Tessera Technologies, Inc. (a) 588,964
54,800 Transmeta Corp. (a) 60,828
38,300 Transwitch Corp. (a)(e) 53,620
52,636 TriQuint Semiconductor, Inc. (a) 236,862
2,100 Virage Logic Corp. (a) 19,509
4,500 Volterra Semiconductor Corp. (a) 67,500
-------------
8,747,869
- ---------------------------------------------------------------------------------------------------------------
Electronics: Technology 2,700 3D Systems Corp. (a)(e) 43,092
- - 0.4% 11,000 Acacia Research - Acacia Technologies (a) 147,180
3,400 American Science & Engineering, Inc. (a) 202,334
12,423 Checkpoint Systems, Inc. (a) 250,945
13,400 Cogent, Inc. (a) 147,534
11,580 Coherent, Inc. (a)(h) 365,581
4,952 Cubic Corp. 107,458
5,226 EDO Corp. 124,065
4,500 Eagle Test Systems, Inc. (a) 65,610
8,000 Essex Corp. (a) 191,280
4,600 Gerber Scientific, Inc. (a) 57,776
6,750 Herley Industries, Inc. (a) 109,283
5,650 Innovative Solutions & Support, Inc. (a) 96,219
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
6,000 Ionatron, Inc. (a)(e) $ 24,600
26,600 Kemet Corp. (a) 194,180
6,200 Maxwell Technologies, Inc. (a)(e) 86,490
7,900 Scansource, Inc. (a) 240,160
-------------
2,453,787
- ---------------------------------------------------------------------------------------------------------------
Energy Equipment - 0.0% 27,000 Capstone Turbine Corp. (a)(e) 33,210
4,100 Metretek Technologies, Inc. (a) 50,512
24,326 Plug Power, Inc. (a)(e) 94,628
-------------
178,350
- ---------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 3,300 Alon USA Energy, Inc. 86,823
0.6% 10,240 Aventine Renewable Energy Holdings, Inc. (a) 241,254
9,900 Crosstex Energy, Inc. 313,731
3,500 Dawson Geophysical Co. (a) 127,505
22,500 Evergreen Energy, Inc. (a)(e) 222,525
22,900 Evergreen Solar, Inc. (a)(e) 173,353
16,926 FuelCell Energy, Inc. (a)(e) 109,342
220 Markwest Hydrocarbon, Inc. 10,681
4,900 Matrix Service Co. (a) 78,890
1,700 Ormat Technologies, Inc. 62,594
6,000 Pacific Ethanol, Inc. (a)(e) 92,280
5,858 Penn Virginia Corp. 410,294
43,800 Rentech, Inc. (a)(e) 165,126
12,500 Syntroleum Corp. (a) 43,250
11,097 Veritas DGC, Inc. (a) 950,236
-------------
3,087,884
- ---------------------------------------------------------------------------------------------------------------
Engineering & 5,800 Clean Harbors, Inc. (a) 280,778
Contracting Services - 12,802 Dycom Industries, Inc. (a) 270,378
0.3% 2,200 ENGlobal Corp. (a) 14,146
7,700 Infrasource Services, Inc. (a) 167,629
2,800 Integrated Electrical Services, Inc. (a) 49,812
4,100 Layne Christensen Co. (a) 134,603
31,050 SAIC, Inc. (a) 552,380
-------------
1,469,726
- ---------------------------------------------------------------------------------------------------------------
Entertainment - 0.3% 5,900 Carmike Cinemas, Inc. 120,301
5,240 Dover Motorsports, Inc. 27,824
13,255 Gaylord Entertainment Co. (a) 675,077
22,000 Live Nation (a) 492,800
7,072 Lodgenet Entertainment Corp. (a) 177,012
4,555 Speedway Motorsports, Inc. 174,912
-------------
1,667,926
- ---------------------------------------------------------------------------------------------------------------
Fertilizers - 0.1% 30,200 Terra Industries, Inc. (a) 361,796
- ---------------------------------------------------------------------------------------------------------------
Finance Companies - 0.2% 6,542 Accredited Home Lenders Holding Co. (a) 178,466
4,800 Asta Funding, Inc. 146,112
2,069 Credit Acceptance Corp. (a) 68,960
12,100 International Securities Exchange, Inc. 566,159
3,500 MVC Capital, Inc. 46,760
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
2,300 United PanAm Financial Corp. (a) $ 31,648
6,900 World Acceptance Corp. (a) 323,955
-------------
1,362,060
- ---------------------------------------------------------------------------------------------------------------
Finance: Small Loan - 20,800 Advance America, Cash Advance Centers, Inc. 304,720
0.1% 5,300 Dollar Financial Corp. (a) 147,658
200 QC Holdings, Inc. 3,192
-------------
455,570
- ---------------------------------------------------------------------------------------------------------------
Financial Data 6,500 Advent Software, Inc. (a) 229,385
Processing Services & 750 Cass Information Systems, Inc. 27,135
Systems - 0.8% 7,989 CompuCredit Corp. (a) 318,042
9,700 Cybersource Corp. (a) 106,894
15,100 Deluxe Corp. 380,520
11,530 Digital Insight Corp. (a) 443,790
14,788 eFunds Corp. (a) 406,670
7,923 eSpeed, Inc. Class A (a) 69,168
3,300 Heartland Payment Systems, Inc. (e) 93,225
17,000 Hypercom Corp. (a) 107,950
28,600 Jack Henry & Associates, Inc. 612,040
7,882 John H. Harland Co. 395,676
9,649 Kronos, Inc. (a) 354,504
5,300 Online Resources Corp. (a) 54,113
7,900 Open Solutions, Inc. (a) 297,356
6,900 TNS, Inc. (a) 132,825
8,100 TradeStation Group, Inc. (a) 111,375
12,700 Wright Express Corp. (a) 395,859
-------------
4,536,527
- ---------------------------------------------------------------------------------------------------------------
Financial Information 4,100 Bankrate, Inc. (a)(e) 155,595
Services - 0.2% 13,400 INVESTools, Inc. (a) 184,786
10,600 Interactive Data Corp. 254,824
3,700 Morningstar, Inc. (a) 166,685
36,200 Move, Inc. (a) 199,462
25,622 S1 Corp. (a) 141,177
8,200 TheStreet.com, Inc. 72,980
400 Value Line, Inc. 18,180
-------------
1,193,689
- ---------------------------------------------------------------------------------------------------------------
Financial Miscellaneous 7,500 Advanta Corp. Class B 327,225
- - 0.7% 5,300 Asset Acceptance Capital Corp. (a) 89,146
8,819 Cash America International, Inc. 413,611
600 Enstar Group, Inc. (a) 57,540
4,900 Federal Agricultural Mortgage Corp. Class B 132,937
8,600 Financial Federal Corp. 252,926
10,800 First Cash Financial Services, Inc. (a) 279,396
9,600 Global Cash Access, Inc. (a) 155,808
9,200 Harris & Harris Group, Inc. (a)(e) 111,228
5,099 LandAmerica Financial Group, Inc. 321,798
7,400 Medallion Financial Corp. 91,538
6,100 Portfolio Recovery Associates, Inc. (a) 284,809
4,200 Sanders Morris Harris Group, Inc. 53,634
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
20,036 Sotheby's Holdings, Inc. Class A $ 621,517
8,316 Sterling Bancorp 163,825
6,822 Stewart Information Services Corp. 295,802
2,833 Stifel Financial Corp. (a) 111,139
3,076 Triad Guaranty, Inc. (a) 168,780
2,191 WSFS Financial Corp. 146,644
600 Wauwatosa Holdings, Inc. (a) 10,692
-------------
4,089,995
- ---------------------------------------------------------------------------------------------------------------
Foods - 0.9% 12,600 Chiquita Brands International, Inc. 201,222
6,900 Diamond Foods, Inc. 131,169
16,384 Flowers Foods, Inc. 442,204
11,057 Hain Celestial Group, Inc. (a) 345,089
4,300 J&J Snack Foods Corp. 178,020
9,600 Lance, Inc. 192,768
3,300 M&F Worldwide Corp. (a) 83,358
863 Maui Land & Pineapple Co., Inc. (a) 29,273
5,000 Medifast, Inc. (a) 62,900
17,600 NBTY, Inc. (a) 731,632
10,100 Performance Food Group Co. (a) 279,164
12,800 Pilgrim's Pride Corp. 376,704
3,000 Premium Standard Farms, Inc. 55,710
9,595 Ralcorp Holdings, Inc. (a) 488,290
6,550 Sanderson Farms, Inc. 198,400
112 Seaboard Corp. 197,680
14,657 Sensient Technologies Corp. 360,562
10,877 Tootsie Roll Industries, Inc. 355,678
9,500 TreeHouse Foods, Inc. (a) 296,400
-------------
5,006,223
- ---------------------------------------------------------------------------------------------------------------
Forest Products - 0.1% 3,209 Deltic Timber Corp. 178,998
6,334 Universal Forest Products, Inc. 295,291
-------------
474,289
- ---------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing 9,100 Ennis, Inc. 222,586
Services - 0.1% 5,645 The Standard Register Co. 67,740
-------------
290,326
- ---------------------------------------------------------------------------------------------------------------
Funeral Parlors & 33,324 Stewart Enterprises, Inc. Class A 208,275
Cemeteries - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Glass - 0.0% 11,900 Apogee Enterprises, Inc. 229,789
- ---------------------------------------------------------------------------------------------------------------
Gold - 0.1% 97,100 Coeur d'Alene Mines Corp. (a) 480,645
5,300 Royal Gold, Inc. (e) 190,694
-------------
671,339
- ---------------------------------------------------------------------------------------------------------------
Health Care Facilities - 3,800 Capital Senior Living Corp. (a) 40,432
0.5% 8,800 Five Star Quality Care, Inc. (a) 98,120
7,300 Genesis HealthCare Corp. (a) 344,779
8,990 Kindred Healthcare, Inc. (a) 226,997
6,350 LCA-Vision, Inc. (e) 218,186
3,700 Medcath Corp. (a) 101,232
1,800 National Healthcare Corp. 99,360
17,400 Psychiatric Solutions, Inc. (a) 652,848
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
5,000 Radiation Therapy Services, Inc. (a) $ 157,600
5,800 Res-Care, Inc. (a) 105,270
10,200 Sun Healthcare Group, Inc. (a) 128,826
13,674 Sunrise Senior Living, Inc. (a) 420,065
15,950 United Surgical Partners International, Inc. (a) 452,183
-------------
3,045,898
- ---------------------------------------------------------------------------------------------------------------
Health Care Management 16,400 AMERIGROUP Corp. (a) 588,596
Services - 0.6% 14,141 Allscripts Healthcare Solutions, Inc. (a) 381,666
11,300 Amsurg Corp. (a) 259,900
12,400 Centene Corp. (a) 304,668
4,100 Computer Programs & Systems, Inc. 139,359
2,485 Corvel Corp. (a) 118,211
16,431 Eclipsys Corp. (a) 337,821
4,700 Healthspring, Inc. (a) 95,645
7,200 Horizon Health Corp. (a) 140,904
3,900 Molina Healthcare, Inc. (a) 126,789
7,700 Omnicell, Inc. (a) 143,451
12,237 Per-Se Technologies, Inc. (a) 339,944
10,800 Phase Forward, Inc. (a) 161,784
5,500 Vital Images, Inc. (a) 191,400
-------------
3,330,138
- ---------------------------------------------------------------------------------------------------------------
Health Care Services - 6,500 Adeza Biomedical Corp. (a) 96,915
0.5% 3,600 Alliance Imaging, Inc. (a) 23,940
5,866 Amedisys, Inc. (a) 192,815
13,400 Apria Healthcare Group, Inc. (a) 357,110
4,600 Bio-Reference Labs, Inc. (a) 103,454
10,912 Gentiva Health Services, Inc. (a) 207,983
11,025 Healthcare Services Group 319,284
11,700 Healthways, Inc. (a) 558,207
12,700 Hythiam, Inc. (a)(e) 117,348
2,000 LHC Group, Inc. (a) 57,020
7,900 Matria Healthcare, Inc. (a) 226,967
500 Nighthawk Radiology Holdings, Inc. (a) 12,750
11,000 Odyssey HealthCare, Inc. (a) 145,860
5,200 Symbion, Inc. (a) 96,252
5,300 VistaCare, Inc. Class A (a) 53,795
-------------
2,569,700
- ---------------------------------------------------------------------------------------------------------------
Homebuilding - 0.3% 17,000 Hovnanian Enterprises, Inc. Class A (a) 576,300
5,460 Levitt Corp. Class A 66,830
4,900 M/I Homes, Inc. 187,131
7,500 Meritage Homes Corp. (a) 357,900
700 Orleans Homebuilders, Inc. 13,160
6,062 Technical Olympic USA, Inc. 61,651
12,700 WCI Communities, Inc. (a)(e) 243,586
-------------
1,506,558
- ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
Hotel/Motel - 0.1% 6,500 Lodgian, Inc. (a) $ 88,400
6,379 Marcus Corp. 163,175
7,900 Morgans Hotel Group Co. (a) 133,747
-------------
385,322
- ---------------------------------------------------------------------------------------------------------------
Household Furnishings - 4,900 American Woodmark Corp. (e) 205,065
0.4% 9,900 Ethan Allen Interiors, Inc. 357,489
14,100 Furniture Brands International, Inc. 228,843
8,836 Haverty Furniture Cos., Inc. 130,773
1,600 Hooker Furniture Corp. 25,056
17,200 La-Z-Boy, Inc. (e) 204,164
5,000 Lifetime Brands, Inc. 82,150
4,700 Sealy Corp. 69,325
17,900 Select Comfort Corp. (a) 311,281
4,800 Stanley Furniture Co., Inc. 102,960
15,800 Tempur-Pedic International, Inc. (a) 323,268
-------------
2,040,374
- ---------------------------------------------------------------------------------------------------------------
Identification Control & 9,912 Advanced Energy Industries, Inc. (a) 187,039
Filter Devices - 0.5% 15,341 Asyst Technologies, Inc. (a) 112,143
3,100 Badger Meter, Inc. 85,870
8,132 ESCO Technologies, Inc. (a) 369,518
7,600 Flanders Corp. (a) 75,240
2,219 The Gorman-Rupp Co. 82,027
22,228 L-1 Identity Solutions, Inc. (a)(h) 336,310
9,826 Mine Safety Appliances Co. 360,123
11,982 Paxar Corp. (a) 276,305
7,700 RAE Systems, Inc. (a) 24,640
3,912 Robbins & Myers, Inc. 179,639
9,727 Veeco Instruments, Inc. (a) 182,187
5,996 Vicor Corp. 66,616
8,436 Watts Water Technologies, Inc. Class A 346,804
10,517 X-Rite, Inc. 129,359
-------------
2,813,820
- ---------------------------------------------------------------------------------------------------------------
Industrial Products - 7,000 Smith & Wesson Holding Corp. (a) 72,380
0.0% 4,000 TAL International Group, Inc. 106,760
-------------
179,140
- ---------------------------------------------------------------------------------------------------------------
Insurance: Life - 0.4% 21,500 American Equity Investment Life Holding Co. 280,145
14,005 Delphi Financial Group Class A 566,642
2,780 Great American Financial Resources, Inc. 64,079
1,042 Kansas City Life Insurance Co. 51,912
662 National Western Life Insurance Co. Class A 152,353
35,700 The Phoenix Cos., Inc. 567,273
6,793 Presidential Life Corp. 149,106
11,300 Universal American Financial Corp. (a) 210,632
-------------
2,042,142
- ---------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line - 10,240 Alfa Corp. 192,614
0.4% 2,986 CNA Surety Corp. (a) 64,199
7,409 Crawford & Co. Class B 54,086
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
2,000 EMC Insurance Group, Inc. $ 68,240
3,225 FBL Financial Group, Inc. Class A 126,033
8,400 HealthExtras, Inc. (a) 202,440
11,006 Hilb Rogal & Hobbs Co. 463,573
16,668 Horace Mann Educators Corp. 336,694
1,240 Independence Holding Co. 27,069
11,100 Meadowbrook Insurance Group, Inc. (a) 109,779
2,297 Pico Holdings, Inc. (a) 79,867
13,255 Zenith National Insurance Corp. 621,792
-------------
2,346,386
- ---------------------------------------------------------------------------------------------------------------
Insurance: 10,100 21st Century Insurance Group 178,265
Property-Casualty - 1.2% 4,550 Affirmative Insurance Holdings, Inc. 74,028
4,756 American Physicians Capital, Inc. (a) 190,430
11,566 Argonaut Group, Inc. (a) 403,191
4,032 Baldwin & Lyons, Inc. Class B 102,977
4,500 Bristol West Holdings, Inc. 71,235
17,200 Commerce Group, Inc. 511,700
3,400 Darwin Professional Underwriters, Inc. (a) 79,730
4,700 Direct General Corp. 97,008
3,244 Donegal Group, Inc. Class A 63,550
4,500 FPIC Insurance Group, Inc. (a) 175,365
3,500 First Acceptance Corp. (a) 37,520
20,900 Fremont General Corp. 338,789
4,362 Harleysville Group, Inc. 151,885
6,600 Infinity Property & Casualty Corp. 319,374
1,500 James River Group, Inc. (a)(e) 48,480
2,858 The Midland Co. 119,893
500 NYMAGIC, Inc. 18,300
4,100 National Interstate Corp. 99,630
4,100 Navigators Group, Inc. (a) 197,538
2,500 Odyssey Re Holdings Corp. 93,250
21,515 Ohio Casualty Corp. 641,362
10,206 PMA Capital Corp. Class A (a) 94,099
10,523 ProAssurance Corp. (a) 525,308
6,754 RLI Corp. 381,061
1,900 SCPIE Holdings, Inc. (a) 49,666
5,500 Safety Insurance Group, Inc. 278,905
7,800 SeaBright Insurance Holdings, Inc. (a) 140,478
9,854 Selective Insurance Group 564,536
3,512 State Auto Financial Corp. 121,972
6,500 Tower Group, Inc. 201,955
8,100 United Fire & Casualty Co. 285,525
-------------
6,657,005
- ---------------------------------------------------------------------------------------------------------------
Investment Management 24,856 Apollo Investment Corp. 556,782
Companies - 0.6% 14,139 Ares Capital Corp. 270,196
8,800 Calamos Asset Management, Inc. Class A 236,104
500 Capital Southwest Corp. 63,120
2,500 Cohen & Steers, Inc. 100,425
2,796 GAMCO Investors, Inc. Class A 107,534
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
20,200 MCG Capital Corp. $ 410,464
8,723 NGP Capital Resources Co. 146,110
12,000 National Financial Partners Corp. 527,640
3,200 Technology Investment Capital Corp. 51,648
28,300 Waddell & Reed Financial, Inc. Class A 774,288
-------------
3,244,311
- ---------------------------------------------------------------------------------------------------------------
Jewelry, Watches & 16,000 Fossil, Inc. (a) 361,280
Gemstones - 0.1% 7,200 Movado Group, Inc. 208,800
-------------
570,080
- ---------------------------------------------------------------------------------------------------------------
Leisure Time - 0.3% 9,400 Bally Total Fitness Holding Corp. (a)(e) 23,030
24,000 Callaway Golf Co. 345,840
8,500 Great Wolf Resorts, Inc. (a) 118,660
12,800 K2, Inc. (a) 168,832
9,600 Life Time Fitness, Inc. (a) 465,696
19,900 Six Flags, Inc. (a)(e) 104,276
2,300 Steinway Musical Instruments, Inc. (a) 71,415
9,556 Vail Resorts, Inc. (a) 428,300
4,800 West Marine, Inc. (a) 82,896
-------------
1,808,945
- ---------------------------------------------------------------------------------------------------------------
Machinery & Engineering 14,190 Applied Industrial Technologies, Inc. 373,339
- - 0.1%
- ---------------------------------------------------------------------------------------------------------------
Machinery: Agricultural 3,450 Gehl Co. (a) 94,978
- - 0.1% 5,013 Lindsay Manufacturing Co. 163,674
-------------
258,652
- ---------------------------------------------------------------------------------------------------------------
Machinery: Construction 7,600 ASV, Inc. (a)(e) 123,652
& Handling - 0.1% 5,417 Astec Industries, Inc. (a) 190,137
1,587 NACCO Industries, Inc. Class A 216,784
-------------
530,573
- ---------------------------------------------------------------------------------------------------------------
Machinery: Engines - 17,000 Briggs & Stratton Corp. 458,150
0.1% 4,500 Raser Techonologies, Inc. (a)(e) 27,540
-------------
485,690
- ---------------------------------------------------------------------------------------------------------------
Machinery: 8,300 Actuant Corp. Class A 395,495
Industrial/Specialty - 5,000 Columbus McKinnon Corp. (a) 105,100
0.4% 1,400 DXP Enterprises, Inc. (a) 49,056
6,700 EnPro Industries, Inc. (a) 222,507
3,970 Kadant, Inc. (a) 96,789
2,200 Middleby Corp. (a) 230,274
9,310 Nordson Corp. 463,917
7,328 Tecumseh Products Co. Class A (a) 123,843
5,174 Tennant Co. 150,046
9,279 Woodward Governor Co. 368,469
-------------
2,205,496
- ---------------------------------------------------------------------------------------------------------------
Machinery: Oil Well 2,800 Allis-Chalmers Energy, Inc. (a) 64,512
Equipment & Services - 2,800 Basic Energy Services, Inc. (a) 69,020
1.0% 7,502 CARBO Ceramics, Inc. 280,350
7,300 Complete Production Services, Inc. (a)(h) 154,760
6,376 Dril-Quip, Inc. (a) 249,684
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
5,917 Gulf Island Fabrication, Inc. $ 218,337
32,443 Hanover Compressor Co. (a) 612,848
7,140 Hornbeck Offshore Services, Inc. (a) 254,898
6,449 Hydril Co. (a) 484,900
22,346 Input/Output, Inc. (a) 304,576
5,500 Lufkin Industries, Inc. 319,440
5,800 NATCO Group, Inc. Class A (a) 184,904
28,320 Newpark Resources, Inc. (a) 204,187
15,700 Oil States International, Inc. (a) 506,011
34,281 Parker Drilling Co. (a) 280,076
10,200 RPC, Inc. 172,176
8,900 Sulphco, Inc. (a)(e) 42,008
2,100 Superior Well Services, Inc. (a)(e) 53,676
400 T-3 Energy Services, Inc. (a) 8,820
5,100 Trico Marine Services, Inc. (a) 195,381
1,900 Union Drilling, Inc. (a) 26,752
9,826 Universal Compression Holdings, Inc. (a) 610,293
9,957 W-H Energy Services, Inc. (a) 484,806
-------------
5,782,415
- ---------------------------------------------------------------------------------------------------------------
Machinery: Specialty - 10,300 Bucyrus International, Inc. 533,128
0.2% 4,000 Cascade Corp. 211,600
4,441 Semitool, Inc. (a) 59,110
4,300 TurboChef Technologies, Inc. (a)(e) 73,186
-------------
877,024
- ---------------------------------------------------------------------------------------------------------------
Manufactured Housing - 1,300 Cavco Industries, Inc. (a) 45,552
0.1% 24,127 Champion Enterprises, Inc. (a) 225,829
3,905 Palm Harbor Homes, Inc. (a)(e) 54,748
2,201 Skyline Corp. 88,524
-------------
414,653
- ---------------------------------------------------------------------------------------------------------------
Manufacturing - 0.1% 15,259 Federal Signal Corp. 244,754
3,931 Standex International Corp. 118,441
-------------
363,195
- ---------------------------------------------------------------------------------------------------------------
Medical & Dental 7,700 Abaxis, Inc. (a) 148,225
Instruments & Supplies - 5,600 Abiomed, Inc. (a) 78,960
2.2% 17,700 Align Technology, Inc. (a) 247,269
21,600 American Medical Systems Holdings, Inc. (a) 400,032
3,400 Angiodynamics, Inc. (a) 73,066
6,608 Arrow International, Inc. 233,791
5,800 Bio-Rad Laboratories, Inc. Class A (a) 478,616
5,149 Biosite, Inc. (a) 251,529
17,300 Cepheid, Inc. (a) 147,050
6,600 Cerus Corp. (a) 38,676
6,100 Conceptus, Inc. (a) 129,869
10,428 Conmed Corp. (a) 241,095
9,800 Conor Medsystems, Inc. (a) 307,034
8,169 Cyberonics, Inc. (a)(e) 168,608
7,100 DJO, Inc. (a) 304,022
7,500 DexCom, Inc. (a) 73,950
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
3,000 ev3, Inc. (a) $ 51,690
5,500 FoxHollow Technologies, Inc. (a) 118,690
7,600 I-Flow Corp. (a) 113,620
5,650 ICU Medical, Inc. (a) 229,842
7,700 IRIS International, Inc. (a) 97,405
21,543 Immucor, Inc. (a) 629,702
9,822 Invacare Corp. 241,130
8,640 Inverness Medical Innovations, Inc. (a) 334,368
14,600 Kyphon, Inc. (a) 589,840
2,678 Landauer, Inc. 140,515
10,200 Lifecell Corp. (a) 246,228
1,600 Medical Action Industries, Inc. (a) 51,584
13,044 Mentor Corp. 637,460
6,700 Meridian Bioscience, Inc. 164,351
11,110 Merit Medical Systems, Inc. (a) 175,982
6,937 Molecular Devices Corp. (a) 146,163
500 Northstar Neuroscience, Inc. (a) 7,190
12,800 NuVasive, Inc. (a) 295,680
17,059 OraSure Technologies, Inc. (a) 140,907
12,698 Owens & Minor, Inc. 397,066
23,473 PSS World Medical, Inc. (a) 458,428
5,300 Palomar Medical Technologies, Inc. (a)(e) 268,551
8,529 PolyMedica Corp. 344,657
6,315 SonoSite, Inc. (a) 195,323
12,200 Spectranetic Corp. (a) 137,738
10,200 Stereotaxis, Inc. (a) 105,264
21,400 Steris Corp. 538,638
6,183 SurModics, Inc. (a) 192,415
10,000 Symmetry Medical, Inc. (a) 138,300
24,100 ThermoGenesis Corp. (a) 103,148
17,547 Thoratec Corp. (a) 308,476
9,160 Ventana Medical Systems, Inc. (a) 394,155
9,700 Viasys Healthcare, Inc. (a) 269,854
1,524 Vital Signs, Inc. 76,078
9,876 West Pharmaceutical Services, Inc. 505,947
12,800 Wright Medical Group, Inc. (a) 297,984
600 Young Innovations, Inc. 19,980
-------------
12,486,141
- ---------------------------------------------------------------------------------------------------------------
Medical Services - 0.2% 4,600 Air Methods Corp. (a) 128,432
11,400 Magellan Health Services, Inc. (a) 492,708
11,371 Option Care, Inc. 162,037
9,297 Parexel International Corp. (a) 269,334
7,395 RehabCare Group, Inc. (a) 109,816
-------------
1,162,327
- ---------------------------------------------------------------------------------------------------------------
Metal Fabricating - 0.7% 1,500 Ampco-Pittsburgh Corp. 50,220
3,900 CIRCOR International, Inc. 143,481
300 Compx International, Inc. 6,048
3,200 Dynamic Materials Corp. 89,792
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
8,450 Encore Wire Corp. (e) $ 185,984
5,800 Insteel Industries, Inc. 103,182
10,426 Kaydon Corp. 414,329
4,600 LB Foster Co. Class A (a) 119,186
9,558 Lone Star Technologies, Inc. (a) 462,703
32,660 Mueller Water Products, Inc. Series A 485,654
5,765 NN, Inc. 71,659
12,010 Quanex Corp. 415,426
8,100 RBC Bearings, Inc. (a) 232,146
6,913 RTI International Metals, Inc. (a) 540,735
8,293 Ryerson, Inc. 208,071
7,500 Superior Essex, Inc. (a) 249,375
5,458 Valmont Industries, Inc. 302,864
-------------
4,080,855
- ---------------------------------------------------------------------------------------------------------------
Metals & Minerals 2,500 AM Castle & Co. 63,625
Miscellaneous - 0.5% 6,873 AMCOL International Corp. 190,657
7,211 Brush Engineered Materials, Inc. (a) 243,515
13,836 Cleveland-Cliffs, Inc. 670,216
9,100 Compass Minerals International, Inc. 287,196
31,244 GrafTech International Ltd. (a) 216,208
43,900 Hecla Mining Co. (a) 336,274
6,653 Minerals Technologies, Inc. 391,130
12,564 Stillwater Mining Co. (a) 156,924
-------------
2,555,745
- ---------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain 4,100 MGP Ingredients, Inc. 92,701
Processing - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous Business & 2,600 Core-Mark Holdings Co., Inc. (a) 86,970
Consumer Discretionary -
0.0%
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer 7,200 Reddy Ice Holdings, Inc. 185,904
Staples - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous Materials 8,450 Ceradyne, Inc. (a) 477,425
& Commodities - 0.2% 11,779 Symyx Technologies Inc. (a) 254,309
6,789 WD-40 Co. 236,732
-------------
968,466
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous Materials 8,938 Insituform Technologies, Inc. Class A (a) 231,137
& Processing - 0.2% 9,800 Metal Management, Inc. 370,930
5,255 Rogers Corp. (a) 310,833
27,459 USEC, Inc. (a) 349,278
1,900 Xerium Technologies, Inc. 18,601
-------------
1,280,779
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous Producer 27,200 BE Aerospace, Inc. (a) 698,496
Durables - 0.1% 11,100 Blount International, Inc. (a) 149,406
-------------
847,902
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous Technology 6,500 IHS, Inc. Class A (a) 256,620
- - 0.1% 2,700 iRobot Corp. (a) 48,762
-------------
305,382
- ---------------------------------------------------------------------------------------------------------------
Multi-Sector Companies - 4,800 Compass Diversified Trust 82,320
0.3% 18,471 GenCorp, Inc. (a)(e) 258,963
4,200 GenTek Inc. (a) 145,278
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
7,594 Kaman Corp. Class A $ 170,030
8,099 Lancaster Colony Corp. 358,867
6,500 Raven Industries, Inc. 174,200
1,765 Sequa Corp. Class A (a) 203,081
-------------
1,392,739
- ---------------------------------------------------------------------------------------------------------------
Office Furniture & 14,300 ACCO Brands Corp. (a)(h) 378,521
Business Equipment - 22,200 Herman Miller, Inc. 807,192
0.3% 8,274 Kimball International, Inc. Class B 201,058
9,400 Knoll, Inc. 206,800
9,840 Presstek, Inc. (a) 62,582
-------------
1,656,153
- ---------------------------------------------------------------------------------------------------------------
Offshore Drilling - 0.1% 8,554 Atwood Oceanics, Inc. (a) 418,889
3,000 Bois d'Arc Energy, Inc. (a) 43,890
5,700 Hercules Offshore, Inc. (a) 164,730
-------------
627,509
- ---------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 7,400 ATP Oil & Gas Corp. (a) 292,818
1.7% 2,800 Arena Resources, Inc. (a) 119,588
6,650 Atlas America, Inc. (a) 338,950
18,100 Aurora Oil & Gas Corp. (a) 58,101
13,002 Berry Petroleum Co. Class A 403,192
8,600 Bill Barrett Corp. (a) 234,006
19,300 Brigham Exploration Co. (a) 141,083
6,000 Bronco Drilling Co., Inc. (a) 103,140
5,600 Callon Petroleum Co. (a) 84,168
5,600 Carrizo Oil & Gas, Inc. (a) 162,512
2,400 Clayton Williams Energy, Inc. (a) 87,144
13,657 Comstock Resources, Inc. (a) 424,186
800 Delek US Holdings, Inc. 13,112
13,900 EXCO Resources, Inc. (a) 235,049
7,300 Edge Petroleum Corp. (a) 133,152
18,800 Encore Acquisition Co. (a) 461,164
14,300 Energy Partners Ltd. (a) 349,206
12,000 The Exploration Co. of Delaware, Inc. (a) 160,080
21,900 Gasco Energy, Inc. (a)(e) 53,655
5,700 GeoGlobal Resources, Inc. (a) 44,745
4,200 Goodrich Petroleum Corp. (a) 151,956
61,643 Grey Wolf, Inc. (a) 422,871
1,000 Gulfport Energy Corp. (a) 13,590
12,700 Harvest Natural Resources, Inc. (a) 135,001
8,983 Houston Exploration Co. (a) 465,140
23,200 Mariner Energy, Inc. (a) 454,720
9,900 McMoRan Exploration Co. (a)(e) 140,778
27,511 Meridian Resource Corp. (a) 85,009
12,800 Parallel Petroleum Corp. (a) 224,896
45,062 PetroHawk Energy Corp. (a) 518,213
6,300 Petroleum Development Corp. (a) 271,215
13,000 Petroquest Energy, Inc. (a) 165,620
12,300 Pioneer Drilling Co. (a) 163,344
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
8,900 Quest Resource Corp. (a) $ 89,890
4,949 Resource America, Inc. Class A 130,654
15,600 Rosetta Resources, Inc. (a) 291,252
8,578 Stone Energy Corp. (a) 303,232
9,217 Swift Energy Co. (a) 413,014
4,300 Toreador Resources Corp. (a) 110,811
20,000 Transmeridian Exploration, Inc. (a) 69,000
6,210 VeraSun Energy Corp. (a)(e) 122,648
16,400 Warren Resources, Inc. (a) 192,208
6,500 Western Refining, Inc. 165,490
11,710 Whiting Petroleum Corp. (a) 545,686
-------------
9,545,289
- ---------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic 19,500 Delta Petroleum Corp. (a)(e) 450,645
- - 0.2% 3,400 GMX Resources Inc. (a) 120,700
4,500 Giant Industries, Inc. (a) 337,275
-------------
908,620
- ---------------------------------------------------------------------------------------------------------------
Oil: Integrated 21,700 Vaalco Energy, Inc. (a) 146,475
International - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Paints & Coatings - 0.2% 16,576 Ferro Corp. 342,957
20,380 H.B. Fuller Co. 526,212
1,693 Kronos Worldwide, Inc. 55,124
-------------
924,293
- ---------------------------------------------------------------------------------------------------------------
Paper - 0.4% 9,726 Albany International Corp. Class A 320,083
16,800 Bowater, Inc. 378,000
7,698 Buckeye Technologies, Inc. (a) 92,222
9,974 Caraustar Industries, Inc. (a) 80,690
8,892 Chesapeake Corp. 151,342
8,600 Mercer International, Inc.-Sbi (a)(e) 102,082
4,700 Neenah Paper, Inc. 166,004
14,101 P.H. Glatfelter Co. 218,566
8,080 Rock-Tenn Co. Class A 219,049
14,242 Wausau Paper Corp. 213,488
-------------
1,941,526
- ---------------------------------------------------------------------------------------------------------------
Plastics - 0.1% 5,600 The Lamson & Sessions Co. (a) 135,856
4,300 PW Eagle, Inc. (e) 148,350
12,354 Spartech Corp. 323,922
-------------
608,128
- ---------------------------------------------------------------------------------------------------------------
Pollution Control & 5,600 American Ecology Corp. 103,656
Environmental Services - 4,300 Basin Water, Inc. (a)(e) 29,111
0.1% 19,000 Darling International, Inc. (a) 104,690
14,546 Headwaters, Inc. (a) 348,522
3,100 Team, Inc. (a) 107,973
-------------
693,952
- ---------------------------------------------------------------------------------------------------------------
Power Transmission 9,751 Regal-Beloit Corp. 512,025
Equipment - 0.1%
- ---------------------------------------------------------------------------------------------------------------
Printing & Copying 12,882 Bowne & Co., Inc. 205,339
Services - 0.1% 16,900 Cenveo, Inc. (a) 358,280
6,900 Schawk, Inc. 134,826
-------------
698,445
- ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
Production Technology 12,457 ATMI, Inc. (a)(h) $ 380,312
Equipment - 1.1% 37,800 Axcelis Technologies, Inc. (a) 220,374
23,678 Brooks Automation, Inc. (a) 340,963
14,556 Cognex Corp. 346,724
40,468 Credence Systems Corp. (a) 210,434
12,000 Cymer, Inc. (a)(h) 527,400
6,331 Dionex Corp. (a) 359,031
11,161 Electro Scientific Industries, Inc. (a) 224,783
16,700 Emcore Corp. (a)(e) 92,351
43,499 Entegris, Inc. (a) 470,659
7,690 Esterline Technologies Corp. (a) 309,369
9,255 FEI Co. (a) 244,054
8,000 Intevac, Inc. (a) 207,600
22,256 Kulicke & Soffa Industries, Inc. (a) 186,950
24,503 LTX Corp. (a) 137,217
6,200 MTS Systems Corp. 239,444
20,299 Mattson Technology, Inc. (a) 189,187
7,462 Photon Dynamics, Inc. (a) 87,231
11,979 Photronics, Inc. (a) 195,737
5,600 Rofin-Sinar Technologies, Inc. (a) 338,576
10,073 Rudolph Technologies, Inc. (a) 160,362
8,490 Ultratech, Inc. (a) 105,955
18,113 Varian Semiconductor Equipment Associates, Inc. (a) 824,504
-------------
6,399,217
- ---------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous 8,394 Banta Corp. 305,542
- - 0.4% 4,000 Consolidated Graphics, Inc. (a) 236,280
2,150 Courier Corp. 83,785
5,940 GateHouse Media, Inc. 110,246
7,982 Martha Stewart Living Omnimedia, Inc. Class A 174,806
9,907 Playboy Enterprises, Inc. Class B (a) 113,534
56,100 Primedia, Inc. (a) 94,809
2,800 Private Media Group, Inc. (a) 11,284
34,900 The Reader's Digest Association, Inc. Class A 582,830
11,960 Scholastic Corp. (a) 428,646
-------------
2,141,762
- ---------------------------------------------------------------------------------------------------------------
Publishing: Newspapers - 29,800 Belo Corp. Class A 547,426
0.3% 11,100 Journal Communications, Inc. Class A 139,971
14,033 Journal Register Co. 102,441
14,700 Lee Enterprises, Inc. 456,582
8,400 Media General, Inc. Class A 312,228
29,629 Sun-Times Media Group, Inc. 145,478
-------------
1,704,126
- ---------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters 15,700 CKX, Inc. (a) 184,161
- - 0.4% 11,700 Citadel Broadcasting Corp. 116,532
17,800 Cox Radio, Inc. Class A (a) 290,140
16,000 Cumulus Media, Inc. Class A (a) 166,240
12,000 Emmis Communications Corp. Class A 98,880
9,500 Entercom Communications Corp. 267,710
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
1,500 Fisher Communications, Inc. (a) $ 66,315
18,200 Gray Television, Inc. 133,406
11,000 Lin TV Corp. Class A (a) 109,450
4,200 Outdoor Channel Holdings, Inc. (a) 53,886
24,200 Radio One, Inc. Class D (a) 163,108
3,183 Salem Communications Corp. Class A 38,037
19,064 Sinclair Broadcast Group, Inc. Class A 200,172
14,884 Spanish Broadcasting System, Inc. Class A (a) 61,173
18,900 Westwood One, Inc. 133,434
9,396 World Wrestling Entertainment, Inc. 153,155
-------------
2,235,799
- ---------------------------------------------------------------------------------------------------------------
Railroad Equipment - 1,700 American Railcar Industries, Inc. 57,868
0.2% 4,700 Freightcar America, Inc. 260,615
4,500 Greenbrier Cos., Inc. 135,000
15,339 Westinghouse Air Brake Technologies Corp. 465,999
-------------
919,482
- ---------------------------------------------------------------------------------------------------------------
Railroads - 0.2% 11,181 Florida East Coast Industries, Inc. 666,388
11,475 Genesee & Wyoming, Inc. Class A (a) 301,104
12,302 RailAmerica, Inc. (a) 197,816
-------------
1,165,308
- ---------------------------------------------------------------------------------------------------------------
Real Estate - 0.1% 1,200 AMREP Corp. (e) 147,000
1,800 Avatar Holdings, Inc. (a)(e) 145,530
5,500 Bluegreen Corp. (a) 70,565
3,200 California Coastal Communities, Inc. (a) 68,640
1,800 Consolidated-Tomoka Land Co. 130,320
4,800 Housevalues, Inc. (a)(e) 27,024
5,200 Newkirk Realty Trust, Inc. 93,808
2,715 Tejon Ranch Co. (a) 151,606
-------------
834,493
- ---------------------------------------------------------------------------------------------------------------
Real Estate Investment 10,001 Acadia Realty Trust 250,225
Trusts (REITs) - 5.8% 9,800 Affordable Residential Communities Inc. (a) 114,170
3,800 Agree Realty Corp. 130,606
567 Alexander's, Inc. (a) 237,942
9,276 Alexandria Real Estate Equities, Inc. 931,310
7,250 American Campus Communities, Inc. 206,408
39,600 American Financial Realty Trust (h) 453,024
13,987 American Home Mortgage Investment Corp. (h) 491,223
22,200 Anthracite Capital, Inc. (h) 282,606
14,400 Anworth Mortgage Asset Corp. 136,944
5,500 Arbor Realty Trust, Inc. 165,495
19,000 Ashford Hospitality Trust, Inc. (h) 236,550
20,720 BioMed Realty Trust, Inc. 592,592
14,700 Capital Lease Funding, Inc. 170,520
2,700 Capital Trust, Inc. 134,838
7,300 Cedar Shopping Centers, Inc. 116,143
3,500 CentraCore Properties Trust 113,155
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
12,000 Corporate Office Properties Trust (h) $ 605,640
12,100 Cousins Properties, Inc. 426,767
24,200 Crescent Real Estate EQT Co. (h) 477,950
14,600 Deerfield Triarc Capital Corp. 247,178
19,300 DiamondRock Hospitality Co. 347,593
6,840 Digital Realty Trust, Inc. 234,133
7,027 Eastgroup Properties, Inc. 376,366
11,200 Education Realty Trust, Inc. 165,424
8,580 Entertainment Properties Trust 501,415
17,240 Equity Inns, Inc. 275,150
6,494 Equity Lifestyle Properties, Inc. 353,468
11,000 Equity One, Inc. 293,260
14,750 Extra Space Storage, Inc. 269,335
18,470 FelCor Lodging Trust, Inc. 403,385
20,000 Fieldstone Investment Corp. 87,600
15,100 First Industrial Realty Trust, Inc. 708,039
6,800 First Potomac Realty Trust 197,948
15,500 Franklin Street Properties Corp. 326,275
46,600 Friedman Billings Ramsey Group, Inc. Class A 372,800
12,590 GMH Communities Trust 127,789
5,200 Getty Realty Corp. 160,680
11,656 Glimcher Realty Trust 311,332
3,950 Gramercy Capital Corp. 122,016
15,000 Healthcare Realty Trust, Inc. 593,100
13,600 Hersha Hospitality Trust 154,224
17,300 Highland Hospitality Corp. 246,525
16,900 Highwoods Properties, Inc. 688,844
10,720 Home Properties, Inc. 635,374
17,000 HomeBanc Corp. 71,910
24,100 IMPAC Mortgage Holdings, Inc. 212,080
21,400 Inland Real Estate Corp. 400,608
13,692 Innkeepers USA Trust 212,226
14,800 Investors Real Estate Trust 151,848
6,000 JER Investors Trust, Inc. 124,020
25,000 KKR Financial Corp. 669,750
7,240 Kite Realty Group Trust 134,809
6,800 LTC Properties, Inc. 185,708
13,320 LaSalle Hotel Properties 610,722
21,332 Lexington Corporate Properties Trust 478,263
25,990 Longview Fibre Co. 570,481
17,200 Luminent Mortgage Capital, Inc. 167,012
25,100 MFA Mortgage Investments, Inc. 193,019
13,700 Maguire Properties, Inc. 548,000
16,200 Medical Properties Trust, Inc. 247,860
8,529 Mid-America Apartment Communities, Inc. 488,200
17,600 The Mills Corp. 352,000
9,250 MortgageIT Holdings, Inc. 136,438
7,429 National Health Investors, Inc. 245,157
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
17,775 National Retail Properties, Inc. $ 407,936
25,559 Nationwide Health Properties, Inc. 772,393
13,900 Newcastle Investment Corp. 435,348
13,400 NorthStar Realty Finance Corp. 222,038
10,400 Novastar Financial, Inc. (e) 277,160
18,400 Omega Healthcare Investors, Inc. 326,048
5,308 PS Business Parks, Inc. 375,329
3,804 Parkway Properties, Inc. 194,042
11,632 Pennsylvania Real Estate Investment Trust 458,068
13,386 Post Properties, Inc. 611,740
13,247 Potlatch Corp. 580,484
16,620 RAIT Investment Trust 573,058
7,000 Ramco-Gershenson Properties Trust 266,980
31,600 Realty Income Corp. 875,320
6,195 Redwood Trust, Inc. 359,806
12,500 Republic Property Trust (e) 144,250
3,422 Saul Centers, Inc. 188,860
20,214 Senior Housing Properties Trust 494,839
6,704 Sovran Self Storage, Inc. 384,005
33,300 Spirit Finance Corp. 415,251
24,900 Strategic Hotel Capital, Inc. 542,571
7,243 Sun Communities, Inc. 234,383
18,900 Sunstone Hotel Investors, Inc. 505,197
9,822 Tanger Factory Outlet Centers, Inc. 383,844
2,875 Tarragon Corp. 34,989
21,400 Trustreet Properties, Inc. 360,590
13,470 U-Store-It Trust 276,809
3,927 Universal Health Realty Income Trust 153,074
6,700 Urstadt Biddle Properties, Inc. Class A 127,903
15,065 Washington Real Estate Investment Trust 602,600
8,255 Winston Hotels, Inc. 109,379
2,300 Winthrop Realty Trust, Inc. 15,755
-------------
32,383,521
- ---------------------------------------------------------------------------------------------------------------
Recreational Vehicles & 5,643 Arctic Cat, Inc. 99,260
Boats - 0.2% 20,199 Fleetwood Enterprises, Inc. (a) 159,774
2,075 Marine Products Corp. 24,361
8,524 Monaco Coach Corp. 120,700
12,700 Polaris Industries, Inc. (e) 594,741
10,690 Winnebago Industries, Inc. (e) 351,808
-------------
1,350,644
- ---------------------------------------------------------------------------------------------------------------
Rental & Leasing 3,853 Electro Rent Corp. (a) 64,345
Services: Commercial - 4,800 H&E Equipment Services, Inc. (a) 118,896
0.1% 2,000 Interpool, Inc. 46,720
2,000 Marlin Business Services, Inc. (a) 48,060
6,210 McGrath RentCorp 190,212
11,200 Williams Scotsman International, Inc. (a) 219,744
-------------
687,977
- ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
Rental & Leasing 13,493 Aaron Rents, Inc. $ 388,329
Services: Consumer - 3,400 Amerco, Inc. (a) 295,834
0.3% 7,795 Dollar Thrifty Automotive Group (a) 355,530
23,400 Rent-A-Center, Inc. (a) 690,534
-------------
1,730,227
- ---------------------------------------------------------------------------------------------------------------
Restaurants - 1.5% 11,100 AFC Enterprises, Inc. (a) 196,137
22,500 Applebee's International, Inc. 555,075
3,800 BJ's Restaurants, Inc. (a) 76,798
13,380 Bob Evans Farms, Inc. 457,864
3,225 Buffalo Wild Wings, Inc. (a) 171,570
9,000 CBRL Group, Inc. 402,840
10,550 CEC Entertainment, Inc. (a) 424,637
18,400 CKE Restaurants, Inc. 338,560
6,700 California Pizza Kitchen, Inc. (a) 223,177
8,200 Chipotle Mexican Grill, Inc. Class B (a) 426,400
7,200 Cosi, Inc. (a) 36,648
30,100 Denny's Corp. (a) 141,169
11,250 Domino's Pizza, Inc. 315,000
5,848 IHOP Corp. 308,190
11,218 Jack in the Box, Inc. (a) 684,747
17,400 Krispy Kreme Doughnuts, Inc. (a)(e) 193,140
5,496 Landry's Restaurants, Inc. 165,375
6,800 Luby's, Inc. (a) 74,052
2,400 McCormick & Schmick's Seafood Restaurants, Inc. (a) 57,696
600 Morton's Restaurant Group, Inc. (a) 9,990
10,184 O'Charleys, Inc. (a) 216,716
7,608 PF Chang's China Bistro, Inc. (a) 291,995
7,696 Papa John's International, Inc. (a) 223,261
12,777 Rare Hospitality International, Inc. (a) 420,747
6,300 Red Robin Gourmet Burgers, Inc. (a) 225,855
17,800 Ruby Tuesday, Inc. 488,432
7,800 Ruth's Chris Steak House, Inc. (a) 142,584
23,320 Sonic Corp. (a) 558,514
8,228 The Steak n Shake Co. (a) 144,813
15,000 Texas Roadhouse, Inc. Class A (a) 198,900
18,450 Triarc Cos. 369,000
-------------
8,539,882
- ---------------------------------------------------------------------------------------------------------------
Retail - 3.3% 7,924 1-800-FLOWERS.COM, Inc. Class A (a) 48,812
13,500 99 Cents Only Stores (a) 164,295
6,700 AC Moore Arts & Crafts, Inc. (a) 145,189
17,250 Aeropostale, Inc. (a) 532,508
5,050 America's Car Mart, Inc. (a) 59,893
2,500 Asbury Automotive Group, Inc. 58,900
9,000 Big 5 Sporting Goods Corp. 219,780
35,500 Big Lots, Inc. (a) 813,660
60,400 Blockbuster, Inc. Class A (a) 319,516
5,800 Blue Nile, Inc. (a)(e) 213,962
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
3,100 The Bon-Ton Stores, Inc. $ 107,415
6,600 Books-A-Million, Inc. 149,688
19,500 Borders Group, Inc. 435,825
9,018 Brown Shoe Co., Inc. 430,519
2,249 The Buckle, Inc. 114,362
3,800 Build-A-Bear Workshop, Inc. (a)(e) 106,476
6,700 bebe Stores, Inc. 132,593
13,934 CSK Auto Corp. (a) 238,968
8,500 Cabela's, Inc. Class A (a)(e) 205,105
3,850 Cache, Inc. (a) 97,174
12,400 Casual Male Retail Group, Inc. (a) 161,820
10,995 The Cato Corp. Class A 251,895
6,100 Central Garden and Pet Co. (a) 295,362
6,100 Charlotte Russe Holding, Inc. (a) 187,575
40,840 Charming Shoppes, Inc. (a) 552,565
7,385 The Children's Place Retail Stores, Inc. (a) 469,095
11,528 Christopher & Banks Corp. 215,112
1,500 Conn's, Inc. (a) 34,905
9,276 Cost Plus, Inc. (a) 95,543
500 DEB Shops, Inc. 13,200
16,790 Dress Barn, Inc. (a) 391,711
6,709 dELiA*s, Inc. (a) 70,377
18,700 drugstore.com, Inc. (a) 68,442
10,200 Ezcorp, Inc. (a) 165,750
3,900 FTD Group, Inc. (a) 69,771
15,635 Fred's, Inc. 188,245
11,300 GSI Commerce, Inc. (a) 211,875
7,500 Gaiam, Inc. (a) 102,600
7,338 Genesco, Inc. (a) 273,707
17,400 Global Imaging Systems, Inc. (a) 381,930
7,732 Group 1 Automotive, Inc. 399,899
7,939 Guitar Center, Inc. (a) 360,907
10,258 Gymboree Corp. (a) 391,445
15,581 HOT Topic, Inc. (a) 207,851
13,575 Hibbett Sporting Goods, Inc. (a) 414,445
18,098 Insight Enterprises, Inc. (a) 341,509
7,605 Jo-Ann Stores, Inc. (a) 187,083
5,133 Jos. A. Bank Clothiers, Inc. (a) 150,654
1,288 Lawson Products, Inc. 59,106
5,300 Lithia Motors, Inc. Class A 152,428
6,700 MarineMax, Inc. (a) 173,731
15,100 Men's Wearhouse, Inc. 577,726
4,900 New York & Co. (a) 64,092
4,800 Overstock.com, Inc. (a)(e) 75,840
15,510 PEP Boys-Manny, Moe & Jack 230,479
22,500 Pacific Sunwear of California, Inc. (a) 440,550
8,100 The Pantry, Inc. (a) 379,404
21,100 Payless Shoesource, Inc. (a) 692,502
8,200 PetMed Express, Inc. (a) 109,470
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
27,599 Pier 1 Imports, Inc. $ 164,214
9,316 Priceline.com, Inc. (a) 406,271
13,300 Restoration Hardware, Inc. (a) 113,183
6,700 Retail Ventures, Inc. (a) 127,568
8,800 Rush Enterprises, Inc. Class A (a) 148,896
3,747 Russ Berrie & Co., Inc. (a) 57,891
7,254 School Specialty, Inc. (a) 271,952
8,700 Sonic Automotive, Inc. 252,648
8,400 Stage Stores, Inc. 255,276
7,303 Stamps.com, Inc. (a) 115,022
7,824 Stein Mart, Inc. 103,746
7,300 Talbots, Inc. 175,930
10,390 Tuesday Morning Corp. 161,565
10,366 Tween Brands, Inc. (a) 413,914
13,980 United Natural Foods, Inc. (a) 502,162
9,856 ValueVision Media, Inc. Class A (a) 129,508
3,100 Volcom, Inc. (a) 91,667
18,300 The Wet Seal, Inc. Class A (a) 122,061
15,300 Zale Corp. (a) 431,613
4,000 Zumiez, Inc. (a) 118,160
-------------
18,368,488
- ---------------------------------------------------------------------------------------------------------------
Savings & Loan - 1.6% 6,237 Anchor Bancorp Wisconsin, Inc. 179,750
8,750 BFC Financial Corp. (a) 55,912
23,438 Bank Mutual Corp. 283,834
18,142 BankAtlantic Bancorp, Inc. Class A 250,541
9,073 BankUnited Financial Corp. Class A 253,681
2,600 Berkshire Hills Bancorp, Inc. 86,996
23,487 Brookline Bancorp, Inc. 309,324
500 Charter Financial Corp. 25,760
1,500 Citizens First Bancorp, Inc. 46,110
4,842 Coastal Financial Corp. 80,910
9,549 Dime Community Bancshares, Inc. 133,781
6,400 Downey Financial Corp. 464,512
9,522 Fidelity Bankshares, Inc. 377,738
3,826 First Financial Holdings, Inc. 149,903
5,800 First Indiana Corp. 147,088
39,653 First Niagara Financial Group, Inc. 589,244
3,100 First Place Financial Corp. 72,819
8,150 First Republic Bank 318,502
4,800 FirstFed Financial Corp. (a) 321,456
11,250 Flagstar Bancorp, Inc. 166,950
7,875 Flushing Financial Corp. 134,426
2,978 Great Southern Bancorp, Inc. 87,881
3,750 Horizon Financial Corp. 90,225
3,050 IBERIABANK Corp. 180,102
1,800 ITLA Capital Corp. 104,238
9,100 KNBT Bancorp, Inc. 152,243
6,600 Kearny Financial Corp. 105,996
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
10,960 MAF Bancorp, Inc. $ 489,802
300 NASB Financial, Inc. 12,369
20,811 Netbank, Inc. 96,563
34,900 NewAlliance Bancshares, Inc. 572,360
4,867 Northwest Bancorp, Inc. 133,648
3,296 OceanFirst Financial Corp. 75,577
13,965 Ocwen Financial Corp. (a) 221,485
8,211 PFF Bancorp, Inc. 283,362
14,228 Partners Trust Financial Group, Inc. 165,614
3,000 Pennfed Financial Services, Inc. 57,960
23,958 Provident Financial Services, Inc. 434,359
12,689 Provident New York Bancorp 190,081
3,200 Rockville Financial, Inc. 57,120
12,953 Sterling Financial Corp. 437,941
4,200 Texas United Bancshares, Inc. 144,228
5,800 TierOne Corp. 183,338
8,561 United Community Financial Corp. 104,787
34,533 W Holding Co., Inc. 205,817
400 Westfield Financial, Inc. 13,840
7,400 Willow Grove Bancorp, Inc. 110,408
-------------
9,160,581
- ---------------------------------------------------------------------------------------------------------------
Scientific Equipment & 12,835 Newport Corp. (a) 268,893
Suppliers - 0.1% 10,335 Varian, Inc. (a) 462,905
-------------
731,798
- ---------------------------------------------------------------------------------------------------------------
Securities Brokerage & 16,545 CharterMac 355,221
Services - 0.4% 4,600 GFI Group, Inc. (a) 286,396
4,200 Gladstone Investment Corp. 64,302
33,600 Knight Capital Group, Inc. Class A (a)(h) 644,112
16,800 LaBranche & Co., Inc. (a) 165,144
13,800 MarketAxess Holdings, Inc. (a) 187,266
6,600 optionsXpress Holdings, Inc. 149,754
3,900 Penson Worldwide, Inc. (a) 106,899
5,004 SWS Group, Inc. 178,643
3,800 Thomas Weisel Partners Group, Inc. (a) 80,180
-------------
2,217,917
- ---------------------------------------------------------------------------------------------------------------
Services: Commercial - 13,870 ABM Industries, Inc. (h) 314,988
2.9% 9,405 AMN Healthcare Services, Inc. (a) 259,014
7,261 Administaff, Inc. 310,553
7,000 The Advisory Board Co. (a) 374,780
5,700 Ambassadors Group, Inc. 172,995
1,100 Ambassadors International, Inc. 50,182
700 Barrett Business Services 16,394
24,253 CBIZ, Inc. (a) 169,043
5,601 CDI Corp. 139,465
4,700 CRA International, Inc. (a) 246,280
6,978 Casella Waste Systems, Inc. (a) 85,341
2,800 Central Parking Corp. 50,400
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
8,272 Chemed Corp. $ 305,899
5,300 Clark, Inc. 88,139
6,250 CoStar Group, Inc. (a) 334,750
6,600 Coinmach Service Corp. Class A 78,540
8,792 Coinstar, Inc. (a) 268,771
1,500 Cornell Cos., Inc. (a) 27,495
12,600 Cross Country Healthcare, Inc. (a) 274,932
9,800 Diamond Management & Technology Consultants, Inc. 121,912
5,700 DynCorp. International, Inc. (a) 90,459
7,704 Exponent, Inc. (a) 143,757
12,541 FTI Consulting, Inc. (a) 349,768
2,200 First Advantage Corp. Class A (a) 50,512
10,000 First Consulting Group, Inc. (a) 137,600
4,481 Forrester Research, Inc. (a) 121,480
6,777 G&K Services, Inc. Class A 263,558
7,350 The Geo Group, Inc. (a) 275,772
10,000 Gevity HR, Inc. 236,900
16,500 Harris Interactive, Inc. (a) 83,160
7,158 Heidrick & Struggles International, Inc. (a) 303,213
15,800 Home Solutions of America, Inc. (a)(e) 92,588
10,400 Hudson Highland Group, Inc. (a) 173,472
1,300 ICT Group, Inc. (a) 41,067
34,700 IKON Office Solutions, Inc. 568,039
10,700 Jackson Hewitt Tax Service, Inc. 363,479
6,768 Kelly Services, Inc. Class A 195,866
6,300 Kenexa Corp. (a) 209,538
11,700 Kforce, Inc. (a) 142,389
6,300 The Knot, Inc. (a) 165,312
12,968 Korn/Ferry International (a) 297,745
17,322 Labor Ready, Inc. (a) 317,512
11,200 Lightbridge, Inc. (a) 151,648
4,300 Liquidity Services, Inc. (a) 74,003
6,004 MAXIMUS, Inc. 184,803
32,705 MPS Group, Inc. (a) 463,757
4,942 Midas, Inc. (a) 113,666
5,100 Monro Muffler, Inc. 179,010
13,523 Navigant Consulting, Inc. (a) 267,214
15,200 Net 1 UEPS Technologies, Inc. (a) 449,312
4,117 Netratings, Inc. (a) 72,089
6,300 On Assignment, Inc. (a) 74,025
17,364 PHH Corp. (a) 501,299
8,200 People Support, Inc. (a) 172,610
7,500 Perficient, Inc. (a) 123,075
3,260 Pre-Paid Legal Services, Inc. (a)(e) 127,564
5,300 The Providence Service Corp. (a) 133,189
14,000 Regis Corp. 553,560
17,532 Resources Connection, Inc. (a) 558,219
9,402 Rollins, Inc. 207,878
13,800 Sirva, Inc. (a) 48,024
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
13,700 Sitel Corp. (a) $ 57,814
14,200 Source Interlink Cos., Inc. (a) 115,872
18,229 Spherion Corp. (a) 135,441
600 Standard Parking Corp. (a) 23,046
5,940 Startek, Inc. 80,428
28,900 Synagro Technologies, Inc. 127,738
10,389 TeleTech Holdings, Inc. (a) 248,089
19,131 Tetra Tech, Inc. (a) 346,080
1,700 Travelzoo, Inc. (a) 50,915
4,400 Unifirst Corp. 169,004
3,200 Vertrue, Inc. (a) 122,912
6,700 Viad Corp. 272,020
2,259 Volt Information Sciences, Inc. (a) 113,424
15,718 Waste Connections, Inc. (a) 653,083
700 Waste Industries USA, Inc. 21,364
6,533 Waste Services, Inc. (a) 64,350
13,415 Watson Wyatt Worldwide, Inc. 605,687
18,113 Wireless Facilities, Inc. (a) 51,622
9,400 World Fuel Services Corp. 417,924
-------------
16,444,817
- ---------------------------------------------------------------------------------------------------------------
Shipping - 0.2% 10,000 American Commercial Lines, Inc. (a)(h) 655,100
6,700 Gulfmark Offshore, Inc. (a) 250,647
4,300 Horizon Lines, Inc. Class A 115,928
2,100 Star Maritime Acquisition Corp. (a) 20,601
-------------
1,042,276
- ---------------------------------------------------------------------------------------------------------------
Shoes - 0.6% 2,300 CROCS, Inc. (a)(e) 99,360
6,200 DSW, Inc. Class A (a) 239,134
4,300 Deckers Outdoor Corp. (a) 257,785
13,566 The Finish Line, Inc. Class A 193,722
10,800 Iconix Brand Group, Inc. (a) 209,412
10,296 K-Swiss, Inc. Class A 316,499
3,192 Kenneth Cole Productions, Inc. Class A 76,576
4,100 Shoe Carnival, Inc. (a) 129,560
4,655 Skechers U.S.A., Inc. Class A (a) 155,058
7,768 Steven Madden Ltd. 272,579
11,635 Stride Rite Corp. 175,456
15,900 Timberland Co. Class A (a) 502,122
300 Weyco Group, Inc. 7,455
17,708 Wolverine World Wide, Inc. 505,032
-------------
3,139,750
- ---------------------------------------------------------------------------------------------------------------
Steel - 0.5% 34,827 AK Steel Holding Corp. (a)(h) 588,576
15,890 Chaparral Steel Co. 703,450
7,534 Gibraltar Industries, Inc. 177,124
3,500 Olympic Steel, Inc. 77,805
11,900 Oregon Steel Mills, Inc. (a) 742,679
6,750 Schnitzer Steel Industries, Inc. Class A 267,975
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
5,200 Steel Technologies, Inc. $ 91,260
3,600 Wheeling-Pittsburgh Corp. (a) 67,428
24,000 Worthington Industries, Inc. 425,280
-------------
3,141,577
- ---------------------------------------------------------------------------------------------------------------
Sugar - 0.0% 4,700 Imperial Sugar Co. New Shares (e) 113,787
- ---------------------------------------------------------------------------------------------------------------
Telecommunications 50,600 Andrew Corp. (a) 517,638
Equipment - 0.8% 33,900 Arris Group, Inc. (a) 424,089
5,285 Audiovox Corp. Class A (a) 74,466
13,461 Belden CDT, Inc. 526,190
17,934 C-COR, Inc. (a) 199,785
5,300 CalAmp Corp. (a) 44,732
18,100 Interdigital Communications Corp. (a) 607,255
11,900 Mastec, Inc. (a) 137,326
14,899 Plantronics, Inc. 315,859
27,400 Polycom, Inc. (a) 846,934
40,377 Powerwave Technologies, Inc. (a) 260,432
8,100 Radyne Corp. (a) 86,994
19,000 Symmetricom, Inc. (a) 169,480
-------------
4,211,180
- ---------------------------------------------------------------------------------------------------------------
Textile Products - 0.0% 15,121 Interface, Inc. Class A (a) 215,021
- ---------------------------------------------------------------------------------------------------------------
Textiles Apparel 17,500 Carter's, Inc. (a) 446,250
Manufacturers - 0.8% 2,500 Cherokee, Inc. 107,275
5,200 Columbia Sportswear Co. 289,640
6,485 Guess?, Inc. (a) 411,344
6,300 Hartmarx Corp. (a) 44,478
7,370 J. Crew Group, Inc. (a) 284,113
7,182 Kellwood Co. 233,559
4,500 Maidenform Brands, Inc. (a) 81,540
4,842 Oxford Industries, Inc. 240,405
3,700 Perry Ellis International, Inc. (a) 151,700
17,154 Phillips-Van Heusen Corp. 860,616
38,700 Quiksilver, Inc. (a) 609,525
5,600 True Religion Apparel, Inc. (a)(e) 85,736
6,200 Under Armour, Inc. Class A (a) 312,790
17,400 The Warnaco Group, Inc. (a) 441,612
-------------
4,600,583
- ---------------------------------------------------------------------------------------------------------------
Tires & Rubber - 0.1% 3,574 Bandag, Inc. 180,237
16,900 Cooper Tire & Rubber Co. 241,670
3,900 Titan International, Inc. 78,585
-------------
500,492
- ---------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 37,855 Alliance One International, Inc. (a)(h) 267,256
4,920 Schweitzer-Mauduit International, Inc. 128,166
7,456 Universal Corp. 365,419
13,033 Vector Group Ltd. (e) 231,336
-------------
992,177
- ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
Toys - 0.1% 10,730 Jakks Pacific, Inc. (a) $ 234,343
10,800 Leapfrog Enterprises, Inc. (a) 102,384
17,400 Marvel Entertainment, Inc. (a) 468,234
-------------
804,961
- ---------------------------------------------------------------------------------------------------------------
Transportation 9,100 Celadon Group, Inc. (a) 152,425
Miscellaneous - 0.2% 1,500 Dynamex, Inc. (a) 35,040
12,700 HUB Group, Inc. Class A (a) 349,885
11,700 Pacer International, Inc. 348,309
4,100 US Xpress Enterprises, Inc. Class A (a) 67,527
-------------
953,186
- ---------------------------------------------------------------------------------------------------------------
Truckers - 0.4% 7,541 Arkansas Best Corp. 271,476
11,532 Forward Air Corp. 333,621
19,173 Heartland Express, Inc. 287,978
17,662 Knight Transportation, Inc. 301,137
4,450 Marten Transport Ltd. (a) 81,569
9,425 Old Dominion Freight Line, Inc. (a) 226,860
1,100 PAM Transportation Services (a) 24,222
100 Patriot Transportation Holding, Inc. (a) 9,336
1,000 Quality Distribution, Inc. (a) 13,320
5,981 Saia, Inc. (a) 138,819
4,100 USA Truck, Inc. (a) 65,805
1,700 Universal Truckload Services, Inc. (a) 40,375
17,300 Werner Enterprises, Inc. 302,404
-------------
2,096,922
- ---------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & 17,600 Mediacom Communications Corp. Class A (a) 141,504
Radio - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Utilities: Electrical - 9,166 Allete, Inc. 426,586
1.3% 15,175 Avista Corp. 384,079
12,000 Black Hills Corp. 443,280
4,989 CH Energy Group, Inc. 263,419
17,867 Cleco Corp. 450,784
30,040 Duquesne Light Holdings, Inc. 596,294
15,308 El Paso Electric Co. (a) 373,056
8,068 The Empire District Electric Co. 199,199
13,100 IDACORP, Inc. 506,315
4,000 ITC Holdings Corp. 159,600
6,145 MGE Energy, Inc. 224,784
11,300 NorthWestern Corp. 399,794
9,186 Otter Tail Corp. 286,236
21,400 PNM Resources, Inc. 665,540
4,100 Pike Electric Corp. (a) 66,953
10,500 Portland General Electric Co. 286,125
9,167 UIL Holdings Corp. 386,756
10,483 Unisource Energy Corp. 382,944
27,200 Westar Energy, Inc. 706,112
-------------
7,207,856
- ---------------------------------------------------------------------------------------------------------------
Utilities: Gas 5,322 Cascade Natural Gas Corp. 137,946
Distributors - 0.8% 2,200 EnergySouth, Inc. 88,220
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
6,048 The Laclede Group, Inc. $ 211,861
9,174 New Jersey Resources Corp. 445,673
13,800 Nicor, Inc. 645,840
8,699 Northwest Natural Gas Co. 369,186
13,100 Peoples Energy Corp. 583,867
25,100 Piedmont Natural Gas Co. (e) 671,425
9,232 South Jersey Industries, Inc. 308,441
12,790 Southwest Gas Corp. 490,752
17,500 WGL Holdings, Inc. 570,150
-------------
4,523,361
- ---------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous 118,500 Aquila, Inc. (a) 556,950
- - 0.1%
- ---------------------------------------------------------------------------------------------------------------
Utilities: 17,000 Alaska Communications Systems Group, Inc. 258,230
Telecommunications - 400 Atlantic Tele-Network, Inc. 11,720
1.0% 5,155 CT Communications, Inc. 118,153
5,626 Centennial Communications Corp. (a) 40,451
86,400 Cincinnati Bell, Inc. (a) 394,848
8,333 Commonwealth Telephone Enterprises, Inc. 348,819
7,200 Consolidated Communications Holdings, Inc. 150,480
52,500 Dobson Communications Corp. Class A (a) 456,225
1,600 Eschelon Telecom, Inc. (a) 31,696
10,400 FairPoint Communications, Inc. 197,080
39,050 FiberTower Corp. (a)(e) 229,614
16,939 General Communication, Inc. Class A (a) 266,450
6,492 Golden Telecom, Inc. (f) 304,085
16,800 IDT Corp. Class B (a) 219,744
10,600 Iowa Telecommunications Services, Inc. 208,926
6,200 iPCS, Inc. (a) 343,232
6,900 NTELOS Holdings Corp. (a) 123,372
4,121 North Pittsburgh Systems, Inc. 99,481
28,300 Premiere Global Services, Inc. (a) 267,152
8,300 RCN Corp. (a) 250,245
1,700 Shenandoah Telecom Co. 79,917
4,600 SureWest Communications 126,684
47,100 Time Warner Telecom, Inc. Class A (a) 938,703
10,420 USA Mobility, Inc. 233,095
-------------
5,698,402
- ---------------------------------------------------------------------------------------------------------------
Utilities: Water - 0.1% 4,585 American States Water Co. 177,073
5,396 California Water Service Group 217,998
3,748 SJW Corp. 145,272
9,983 Southwest Water Co. 137,366
-------------
677,709
- ---------------------------------------------------------------------------------------------------------------
Wholesale & 11,625 Central European Distribution Corp. (a) 345,262
International Trade -
0.1%
- ---------------------------------------------------------------------------------------------------------------
Wholesalers - 0.2% 18,430 Brightpoint, Inc. (a) 247,883
13,800 LKQ Corp. (a) 317,262
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
Share
Industry Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------
900 MWI Veterinary Supply, Inc. (a) $ 29,070
8,700 Prestige Brands Holdings, Inc. (a) 113,274
10,469 United Stationers, Inc. (a) 488,798
-------------
1,196,287
- ---------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $331,305,141) - 78.2% 439,097,192
- ---------------------------------------------------------------------------------------------------------------
Exchange-Traded Funds
- ---------------------------------------------------------------------------------------------------------------
169,590 iShares Russell 2000 Index Fund (e) 13,241,587
- ---------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost - $12,341,064) - 2.4% 13,241,587
- ---------------------------------------------------------------------------------------------------------------
Mutual Funds
- ---------------------------------------------------------------------------------------------------------------
Investment Management 4,400 Gladstone Capital Corp. (e) 104,984
Companies - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Total Mutual Funds
(Cost - $92,876) - 0.0% 104,984
- ---------------------------------------------------------------------------------------------------------------
Rights
- ---------------------------------------------------------------------------------------------------------------
Cosmetics - 0.0% 47,510 Revlon, Inc. (expires 1/19/2007) (a) 2,376
- ---------------------------------------------------------------------------------------------------------------
Real Estate Investment 9,800 Affordable Residential Communities (expires 1/23/2007) 8,656
Trusts (REITs) - 0.0%
- ---------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $0) - 0.0% 11,032
- ---------------------------------------------------------------------------------------------------------------
Beneficial
Interest Other Interests (b)
- ---------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - $ 500 PetroCorp, Inc. (Escrow Shares) 0
0.0%
- ---------------------------------------------------------------------------------------------------------------
Total Other Interests
(Cost - $0) - 0.0% 0
- ---------------------------------------------------------------------------------------------------------------
Short-Term Securities
- ---------------------------------------------------------------------------------------------------------------
$108,812,950 BlackRock Liquidity Series, LLC Cash Sweep
Series, 5.26% (c)(g) 108,812,950
34,166,480 BlackRock Liquidity Series, LLC Money
Market Series, 5.29% (c)(d)(g) 34,166,480
- ---------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $142,979,430) - 25.5% 142,979,430
- ---------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $486,718,511*) - 106.1% 595,434,225
Liabilities in Excess of Other Assets - (6.1%) (34,061,648)
-------------
Net Assets - 100.0% $ 561,372,577
=============
=============
* 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 $ 491,852,083
=============
Gross unrealized appreciation $ 123,684,950
Gross unrealized depreciation (20,102,808)
-------------
Net unrealized appreciation $ 103,582,142
=============
(a) Non-income producing security.
(b) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
Master Small Cap Index Series
Schedule of Investments as of December 31, 2006
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
--------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series $108,171,275 $2,287,352
BlackRock Liquidity Series, LLC
Money Market Series $ 20,701,425 $ 417,774
--------------------------------------------------------------------------
(d) Security was purchased with the cash proceeds from securities loans.
(e) Security, or a portion of security, is on loan.
(f) Depositary receipts.
(g) Represents the current yield as of December 31, 2006.
(h) Security held as collateral in connection with open future contracts.
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 percentage of net assets. These
industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006, were as
follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
--------------------------------------------------------------------------
274 Russell 2000 March
Index 2007 $109,431,543 ($530,243)
--------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of Master
Small Cap Index Series (the "Series"), one of the portfolios constituting the
Quantitative Master Series Trust (the "Trust"), as of December 31, 2006, and for
the year then ended and have issued our report thereon dated February 26, 2007
which report and financial statements are included in Item 1 of this Certified
Shareholder Report on Form N-CSR. Our audit also included the Series' schedule
of investments in securities (the "Schedule") as of December 31, 2006 appearing
in Item 6 of this Form N-CSR. This Schedule is the responsibility of the Trust's
management. Our responsibility is to express an opinion based on our audit. In
our opinion, the Schedule referred to above, when considered in relation to the
basic financial statements taken as a whole of the Series referred to above,
presents fairly, in all material respects, the information set forth therein.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2007
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.
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master Small
Cap Index Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
---------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master
Small Cap 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
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master
Small Cap Index Series of Quantitative Master Series Trust
Date: February 20, 2007
By: /s/ Donald C. Burke
---------------------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master
Small Cap Index Series of Quantitative Master Series Trust
Date: February 20, 2007