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 International Index Fund of BlackRock Index Funds, Inc.
Master International Index Series of Quantitative Master
Series Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock International Index Fund of BlackRock Index Funds, Inc.
and Master International Index Series of Quantitative Master Series Trust,
800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box
9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/06
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 International BLACKROCK
Index Fund
OF BLACKROCK INDEX FUNDS, INC.
ANNUAL REPORT | DECEMBER 31, 2006
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
BlackRock International Index Fund
Proxy Results
During the six-month period ended December 31, 2006, BlackRock International
Index Fund of BlackRock Index Funds, Inc. s shareholders voted on the following
proposals, which were approved at a special shareholders' meeting on August 15,
2006. 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. 15,296,045 32,940 26,220
- ----------------------------------------------------------------------------------------------
To approve a contingent subadvisory agreement
with BlackRock Advisors, Inc. 15,294,947 34,202 26,056
- ----------------------------------------------------------------------------------------------
Important Tax Information
The following information is provided with respect to the ordinary income
distributions paid by the BlackRock International 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%+ 83.28%+
- --------------------------------------------------------------------------------
Foreign Source Income 100%+ 68.91%+
- --------------------------------------------------------------------------------
Foreign Taxes Paid Per Share $.001460 $.024891
- --------------------------------------------------------------------------------
Short-Term Capital
Gain Dividends for
Non-U.S. Residents** -- $.052793
- --------------------------------------------------------------------------------
* The Fund hereby designates the percentages 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.
+ Expressed as a percentage of the cash distribution grossed-up for foreign
taxes.
The foreign taxes paid represent taxes incurred by the Fund on income received
by the Fund from foreign sources. Foreign taxes paid are included in taxable
income with an offsetting deduction from gross income or may be taken as a
credit for taxes paid to foreign governments. You should consult your tax
adviser regarding the appropriate treatment of foreign taxes paid.
Additionally, the Fund distributed long-term capital gains of $.149221 per share
to shareholders of record on December 14, 2006.
2 BLACKROCK INTERNATIONAL 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 INTERNATIONAL INDEX FUND DECEMBER 31, 2006 3
A Discussion With Your Fund's Portfolio Managers
Fund performance essentially paced that of the MSCI EAFE Index for the
fiscal year, as international markets enjoyed another year of solid double-digit
returns.
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 International Index
Fund's (formerly Merrill Lynch International Index Fund) Institutional and
Investor A Shares had total returns of +26.09% and +25.85%, respectively. For
the same period, the benchmark Morgan Stanley Capital International Europe,
Australasia, Far East (MSCI EAFE) Index returned +26.34%.
The MSCI EAFE Index is a free-float adjusted, market-capitalization-weighted
index designed to measure equity performance of developed markets, excluding the
United States and Canada. As the value of the MSCI EAFE fluctuated during the
past 12 months, the Fund's performance generally tracked that of the Index.
Non-U.S. markets outperformed their U.S. counterparts for the fifth consecutive
year, as the Index return illustrates. U.S. stocks, as measured by the Standard
& Poor's 500 Index, returned +15.79% in 2006, while the MSCI Europe Index and
the MSCI Pacific Index gained 33.72% and 12.20%, respectively, in U.S.-dollar
terms. Strength was especially noticeable in Europe (in both developed and
emerging markets), which benefited from robust economic growth, high levels of
merger-and-acquisition (M&A) activity and the significant appreciation of the
euro versus the dollar. Leadership also came from many Asian markets, with the
notable exception of Japan, which was hurt by struggling economic growth. Among
the standouts were India's Bombay Sensex Index, which rose 47%, Hong Kong's Hang
Seng Index, which advanced 34%, and most remarkably, the MSCI China A Index,
which posted a +128% return.
There were two major themes in global equity markets at the end of 2006. First,
the bull market persisted, although volatility permeated the annual period.
Second, the more cyclical markets, on average, continued to outperform, with
particularly strong results from emerging markets. Japan remained an
underperformer versus other global markets, notwithstanding a significant bounce
toward the end of the year.
The year began with solid performance across most non-U.S. market indexes,
thanks to solid operational results and a generally robust corporate sector that
benefited from a record pace of global M&A activity. Evidence of an economic
slowdown began to mount, however, with investor sentiment taking a negative turn
in the second quarter. Profit-taking, global concerns over moderating economic
growth, rising energy prices, overall higher interest rates and a resurgence of
inflation fears weighed on equity markets worldwide. By May, these concerns
culminated in a significant broad-based market correction, where the average
U.S. stock fell by about 12% and non-U.S. equities suffered even greater losses.
Positive momentum did return to the market in the second half of 2006, though
global economic growth moderated. Still, the prevailing growth rate in the
global economy remains fairly robust, hovering right around the long-term trend
rate. This reflects both the boom conditions that characterized the start of the
year and the fact that the slowdown has been moderate rather than abrupt. The
United States was the weakest of the major regions in terms of economic growth
in the second half, with third quarter 2006 gross domestic product (GDP) rising
at an annual rate of 2.2%, down from the 2.6% growth rate seen in the second
quarter. Economic conditions in Asia were mixed, while continental Europe and
the United Kingdom exhibited only limited signs of a slowdown -- even after a
period long enough for the impact of a weaker U.S. economy to filter through.
Strong growth in corporate earnings and significant upward revisions to earnings
expectations have buttressed equity markets since 2003. Although the rate of
upgrading has slowed from the exceptionally strong levels seen in previous
years, recent news from the major corporate sectors generally has been upbeat.
Earnings came in ahead of expectations in the last earnings rounds in Europe,
Japan and the United States, supporting the second-half rally in equities.
Historic global profit growth is still around 20%.
Notably, in the latter half of the year, crude oil prices collapsed after
reaching an all-time high near $78 per barrel in July. As a result, headline
inflation rates in many countries dropped sharply. Central banks also were less
active. In the United States, the Federal Reserve Board has been on hold since
mid year. Additionally, there have been fewer tightening measures in Asia, with
the recent exception of India, which saw a rise in reserve requirements. The
European Central Bank, on the other hand, continued its rate-normalization
process and rates in the United Kingdom are likely to rise modestly.
4 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Turning to regional performance, all 16 European MSCI country indexes delivered
exceptional double-digit gains for the 12-month period, in U.S.-dollar terms.
Key drivers of performance included record levels of M&A activity, improving
European consumer sentiment, which amplified healthy measures of business
confidence, as well as a significant improvement in corporate profitability that
resulted from the ongoing consolidation and streamlining efforts of European
businesses. The strongest-performing markets were Spain (+49.36%), Portugal
(+47.37%) and Ireland (+46.81%).
Markets in the Australasia/Far East region continued to perform well, although
at a slower growth rate than at the beginning of 2006. For the year, Singapore
gained +46.71%, Australia rose +30.86% and Hong Kong advanced +30.35%, in
U.S.-dollar terms. New Zealand grew more slowly in comparison, but still posted
a solid return of +16.56%.
The Japanese equity market failed to keep pace with the world's biggest
developed markets in 2006, despite improving economic fundamentals and robust
corporate earnings. After a strong 2005, Japan's Nikkei 225 returned only 6% in
2006, primarily due to concerns that weak consumption spending could halt the
nation's economic recovery. GDP in Japan has grown at an annualized rate of 1%
since the spring, with the only areas of strength being exports and business
investment (which is itself highly correlated with exports). Also, noticeably
absent from the Japanese market is M&A activity, which has driven substantial
outperformance in many other developed markets, most particularly in Europe.
All global sectors in the MSCI EAFE Index posted positive double-digit returns
during the annual period, in U.S.-dollar terms. The best-performing sector by
far was utilities (+49.04%), driven by the preponderance of takeover activity in
this area. Other leaders included materials (+32.00%), telecommunication
services (+29.54%) and consumer staples (+29.42%).
In terms of currency performance, despite weakening dramatically toward
year-end, the U.S. dollar outperformed most major currencies in 2006,
registering gains of 10.6% and 12.3% against the euro and the pound,
respectively, but declining 1.0% versus the yen.
What changes were made to the portfolio during the period?
Throughout the period, as changes were made to the composition of the MSCI EAFE
Index, the portfolio purchased and sold securities to maintain its objective of
replicating the risks and return of the benchmark.
How would you characterize the Fund's position at the close of the period?
We believe the portfolio remains positioned to match the risk characteristics of
its benchmark, regardless of the direction of international markets.
Debra L. Jelilian
Vice President and Co-Portfolio Manager
Jeffrey L. Russo, CFA
Vice President and Co-Portfolio Manager
January 19, 2007
- --------------------------------------------------------------------------------
Effective October 2, 2006, the Fund's Class A and Class I Shares were
redesignated Investor A and Institutional Shares, respectively.
- --------------------------------------------------------------------------------
BLACKROCK INTERNATIONAL 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 0.25% 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 and transfer agency fees applicable to each class,
which are deducted from the income available to be paid to shareholders. The
Fund's Investment Adviser reimbursed a portion of the Fund's fee. Without such
reimbursement, the Fund's performance would have been lower.
Recent Performance Results
6-Month 12-Month Since Inception
As of December 31, 2006 Total Return Total Return Total Return
================================================================================
Institutional Shares* +14.60% +26.09% +125.97%
- --------------------------------------------------------------------------------
Investor A Shares* +14.50 +25.85 +120.60
- --------------------------------------------------------------------------------
MSCI EAFE Index--Cap Weighted** +14.69 +26.34 +112.30
- --------------------------------------------------------------------------------
* Cumulative total investment returns are based on changes in net asset
values for the periods shown, and assume reinvestment of all dividends and
capital gains distributions at net asset value on the ex-dividend date.
The Fund's inception date is 4/09/97. On 12/14/01, the Fund changed its
benchmark index from the MSCI EAFE Index -- GDP Weighted to the MSCI EAFE
Index -- Cap Weighted. Accordingly, the Fund's since inception total
returns reflect investment performance prior to 12/14/01 when the Fund's
benchmark was the MSCI EAFE Index -- GDP Weighted.
** This unmanaged capitalization-weighted Index is comprised of equity
securities of companies from various industrial sectors whose primary
trading markets are located outside the United States and that are
selected from among the larger-capitalization companies in such markets.
Since inception total return is from 4/30/97.
6 BLACKROCK INTERNATIONAL 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 MSCI
EAFE (Cap Weighted) Index. Values are from April 9, 1997 to December 2006.
MSCI EAFE
Institutional Investor A (Cap Weighted)
Shares*+ Shares*+ Index++
4/09/97** $10,000 $10,000 $10,000
12/97 $10,845 $10,822 $10,285
12/98 $13,627 $13,571 $12,342
12/99 $17,891 $17,771 $15,670
12/00 $14,706 $14,573 $13,450
12/01 $11,378 $11,241 $10,566
12/02 $9,551 $9,418 $8,882
12/03 $13,217 $13,007 $12,309
12/04 $15,832 $15,538 $14,801
12/05 $17,921 $17,529 $16,804
12/06 $22,597 $22,060 $21,230
* Assuming transaction costs, if any, and other operating expenses,
including administrative fees.
** Commencement of operations.
+ The Fund invests all of its assets in BlackRock Master International
(Capitalization Weighted) Index Series of Quantitative Master Series
Trust. The Trust may invest in a statistically selected sample of the
equity securities included in the Europe, Australasia and Far East Index
and other types of financial instruments.
++ This unmanaged capitalization weighted Index is comprised of equity
securities of companies from various industrial sectors whose primary
trading markets are located outside the United States and which are
selected from among the larger-capitalization companies in such markets.
The starting date for the Index in the graph is from 4/30/97.
Past performance is not indicative of future results.
Average Annual Total Return
Institutional Shares Return
================================================================================
One Year Ended 12/31/06 +26.09%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/06 +14.71
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/06 + 8.74
- --------------------------------------------------------------------------------
Investor A Shares Return
================================================================================
One Year Ended 12/31/06 +25.85%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/06 +14.44
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/06 + 8.47
- --------------------------------------------------------------------------------
BLACKROCK INTERNATIONAL 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 $1,146.00 $2.35
- --------------------------------------------------------------------------------------------------------
Investor A $1,000 $1,145.00 $3.69
========================================================================================================
Hypothetical (5% annual return before expenses)**
========================================================================================================
Institutional $1,000 $1,022.71 $2.22
- --------------------------------------------------------------------------------------------------------
Investor A $1,000 $1,021.46 $3.48
- --------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (.44% for Institutional and .69% 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 INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Statement of Assets and Liabilities BlackRock International Index Fund
As of December 31, 2006
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Master International Index Series (the "Series"),
at value (identified cost--$226,416,975) ............................... $ 330,791,683
Receivable from administrator ........................................... 161,609
Prepaid expenses ........................................................ 19,874
-------------
Total assets ............................................................ 330,973,166
-------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payables:
Administrator ........................................................ $ 87,287
Distributor .......................................................... 37,970
Other affiliates ..................................................... 204 125,461
-------------
Accrued expenses and other liabilities .................................. 57,064
-------------
Total liabilities ....................................................... 182,525
-------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets .............................................................. $ 330,790,641
=============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Shares of Common Stock, $.0001 par value,
125,000,000 shares authorized .......................................... $ 880
Investor A Shares of Common Stock, $.0001 par value,
125,000,000 shares authorized .......................................... 1,311
Paid-in capital in excess of par ........................................ 229,786,474
Accumulated distributions in excess of investment income--net ........... $ (989,432)
Accumulated realized capital losses allocated from the Series--net ...... (2,383,300)
Unrealized appreciation allocated from the Series--net .................. 104,374,708
-------------
Total accumulated earnings--net ......................................... 101,001,976
-------------
Net Assets .............................................................. $ 330,790,641
=============
===================================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional--Based on net assets of $133,266,850 and
8,801,073 shares outstanding ........................................... $ 15.14
=============
Investor A--Based on net assets of $197,523,791 and
13,108,628 shares outstanding .......................................... $ 15.07
=============
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 9
Statement of Operations BlackRock International Index Fund
For the Year Ended December 31, 2006
===================================================================================================================================
Investment Income--Net
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends ............................................................ $ 7,671,101
Interest ............................................................. 319,365
Expenses ............................................................. (273,710)
-------------
Total income ............................................................ 7,716,756
-------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Administration fees ..................................................... $ 966,034
Service fees--Investor A ................................................ 438,057
Transfer agent fees--Investor A ......................................... 97,536
Transfer agent fees--Institutional ...................................... 58,490
Printing and shareholder reports ........................................ 56,613
Registration fees ....................................................... 22,075
Professional fees ....................................................... 7,327
Directors' fees and expenses ............................................ 3,342
Other ................................................................... 10,517
-------------
Total expenses before waiver ............................................ 1,659,991
Waiver of expenses ...................................................... (161,609)
-------------
Total expenses after waiver ............................................. 1,498,382
-------------
Investment income--net .................................................. 6,218,374
-------------
===================================================================================================================================
Realized & Unrealized Gain Allocated from the Series--Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on investments, in-kind redemption, financial
futures contracts and foreign currency transactions--net ............... 6,273,520
Change in unrealized appreciation/depreciation on investments,
financial futures contracts and foreign currency transactions--net ..... 53,881,822
-------------
Total realized and unrealized gain--net ................................. 60,155,342
-------------
Net Increase in Net Assets Resulting from Operations .................... $ 66,373,716
=============
See Notes to Financial Statements.
10 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Statements of Changes in Net Assets BlackRock International Index Fund
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2006 2005
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income--net .................................................. $ 6,218,374 $ 3,911,299
Realized gain--net ...................................................... 6,273,520 2,033,139
Change in unrealized appreciation/depreciation--net ..................... 53,881,822 22,759,976
--------------------------------
Net increase in net assets resulting from operations .................... 66,373,716 28,704,414
--------------------------------
===================================================================================================================================
Dividends & Distributions to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income--net:
Institutional ........................................................ (3,191,892) (1,357,769)
Investor A ........................................................... (4,193,032) (2,077,911)
Realized gain--net:
Institutional ........................................................ (1,739,904) --
Investor A ........................................................... (2,513,778) --
--------------------------------
Net decrease in net assets resulting from dividends and distributions
to shareholders ........................................................ (11,638,606) (3,435,680)
--------------------------------
===================================================================================================================================
Capital Share Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets derived from capital share transactions ...... 25,720,591 56,314,666
--------------------------------
===================================================================================================================================
Redemption Fee
- -----------------------------------------------------------------------------------------------------------------------------------
Redemption fee .......................................................... 1,067 67
--------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ............................................ 80,456,768 81,583,467
Beginning of year ....................................................... 250,333,873 168,750,406
--------------------------------
End of year* ............................................................ $ 330,790,641 $ 250,333,873
================================
* Accumulated distributions in excess of investment income--net ...... $ (989,432) $ (784,917)
================================
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 11
Financial Highlights BlackRock International 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 ..... $ 12.47 $ 11.19 $ 9.59 $ 7.08 $ 8.64
----------------------------------------------------------------
Investment income--net** ............... .32 .23 .19 .15 .14
Realized and unrealized gain (loss)--net 2.92+ 1.24+ 1.69+ 2.56 (1.55)
----------------------------------------------------------------
Total from investment operations ....... 3.24 1.47 1.88 2.71 (1.41)
----------------------------------------------------------------
Less dividends and distributions:
Investment income--net .............. (.37) (.19) (.28) (.20) (.14)
Realized gain--net .................. (.20) -- -- -- (.01)
----------------------------------------------------------------
Total dividends and distributions ...... (.57) (.19) (.28) (.20) (.15)
----------------------------------------------------------------
Net asset value, end of year ........... $ 15.14 $ 12.47 $ 11.19 $ 9.59 $ 7.08
================================================================
============================================================================================================
Total Investment Return
- ------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 26.09% 13.19% 19.78% 38.39% (16.06%)
================================================================
============================================================================================================
Ratios to Average Net Assets*
- ------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .47% .55% .58% .62% .58%
================================================================
Expenses ............................... .52% .56% .59% .62% .67%
================================================================
Investment income--net ................. 2.31% 1.98% 1.91% 1.86% 1.72%
================================================================
============================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $133,267 $ 90,157 $ 35,878 $ 27,494 $ 19,770
================================================================
Portfolio turnover of the Series ....... 22.69% 11.33% 13.50% 8.55% 19.52%
================================================================
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 ..... $ 12.41 $ 11.15 $ 9.56 $ 7.06 $ 8.62
----------------------------------------------------------------
Investment income--net** ............... .29 .21 .17 .12 .11
Realized and unrealized gain (loss)--net 2.91+ 1.21+ 1.67+ 2.56 (1.53)
----------------------------------------------------------------
Total from investment operations ....... 3.20 1.42 1.84 2.68 (1.42)
----------------------------------------------------------------
Less dividends and distributions:
Investment income--net .............. (.34) (.16) (.25) (.18) (.13)
Realized gain--net .................. (.20) -- -- -- (.01)
----------------------------------------------------------------
Total dividends and distributions ...... (.54) (.16) (.25) (.18) (.14)
----------------------------------------------------------------
Net asset value, end of year ........... $ 15.07 $ 12.41 $ 11.15 $ 9.56 $ 7.06
================================================================
============================================================================================================
Total Investment Return
- ------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 25.85% 12.81% 19.46% 38.10% (16.21%)
================================================================
============================================================================================================
Ratios to Average Net Assets*
- ------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .72% .80% .83% .87% .84%
================================================================
Expenses ............................... .78% .81% .84% .88% .92%
================================================================
Investment income--net ................. 2.11% 1.84% 1.69% 1.59% 1.43%
================================================================
============================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $197,524 $160,177 $132,873 $103,725 $ 62,310
================================================================
Portfolio turnover of the Series ....... 22.69% 11.33% 13.50% 8.55% 19.52%
================================================================
* Includes the Fund's share of the Series' allocated expenses and/or
investment income--net.
** Based on average shares outstanding.
+ Includes a redemption fee, which is less than $.01 per share.
See Notes to Financial Statements.
12 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements BlackRock International Index Fund
1. Significant Accounting Policies:
On September 29, 2006, Merrill Lynch International Index Fund, a series of
Merrill Lynch Index Funds, Inc., was renamed BlackRock International 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
International 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 percentage of the Series owned by the Fund at December 31, 2006
was 39.9%. 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 its shareholders.
Therefore, no federal income tax provision is required.
(d) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions -- Investment transactions in the Series are
accounted for on a trade date basis.
(g) 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, $932,887 has been reclassified between accumulated net realized capital
losses allocated from the Series and accumulated
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 13
Notes to Financial Statements (continued) BlackRock International Index Fund
distributions in excess of net investment income, $263,111 has been reclassified
between accumulated net realized capital losses allocated from the Series and
paid-in capital in excess of par and $29,148 has been reclassified between
paid-in capital in excess of par and accumulated distributions in excess of net
investment income as a result of permanent differences attributable to foreign
currency transactions, net gains realized on the distribution of securities not
recognized for tax purposes, gains from the sale of stock of passive foreign
investment companies and basis adjustments on securities distributed in-kind.
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 15, 2006, shareholders of the Fund approved a new Investment Advisory
Agreement for the Trust on behalf of the Series with BlackRock Advisors, Inc.,
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 Trust's 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 .34% of the Fund's average daily net assets for the performance of
administrative services (other than investment advice and related portfolio
activities) necessary for the operation of the Fund. 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 .65%. This arrangement has a one-year term and is renewable. For the
period January 1, 2006 to September 29, 2006, MLIM earned fees of $706,465, of
which $161,609 were waived. For the period September 30, 2006 to December 31,
2006, BlackRock Advisors, LLC earned fees of $259,569, none of which was waived.
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 fees
are 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 provides
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 in net assets derived from capital share transactions was
$25,720,591 and $56,314,666 for the years ended December 31, 2006 and December
31, 2005, respectively.
14 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements (concluded) BlackRock International Index Fund
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 4,589,836 $ 63,897,919
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 330,209 4,931,796
------------------------------
Total issued ........................... 4,920,045 68,829,715
Shares redeemed ........................ (3,350,412) (46,742,042)
------------------------------
Net increase ........................... 1,569,633 $ 22,087,673
==============================
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2005 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 6,205,737 $ 69,802,704
Shares issued to shareholders
in reinvestment of dividends ......... 108,256 1,327,563
------------------------------
Total issued ........................... 6,313,993 71,130,267
Shares redeemed ........................ (2,288,555) (26,235,655)
------------------------------
Net increase ........................... 4,025,438 $ 44,894,612
==============================
- -------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 2,672,618 $ 37,180,163
Shares issued to shareholders
in reinvestment of dividends
and distributions .................... 443,877 6,593,807
------------------------------
Total issued ........................... 3,116,495 43,773,970
Shares redeemed ........................ (2,913,611) (40,141,052)
------------------------------
Net increase ........................... 202,884 $ 3,632,918
==============================
- -------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2005 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ............................ 2,748,679 $ 31,312,543
Shares issued to shareholders in
reinvestment of dividends ............ 167,671 2,041,032
------------------------------
Total issued ........................... 2,916,350 33,353,575
Shares redeemed ........................ (1,931,841) (21,933,521)
------------------------------
Net increase ........................... 984,509 $ 11,420,054
==============================
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 .......................... $ 8,496,553 $ 3,435,680
Net long-term capital gains .............. 3,142,053 --
-----------------------------
Total distributions ........................ $11,638,606 $ 3,435,680
=============================
As of December 31, 2006, the components of accumulated earnings on a tax basis
were as follows:
- -------------------------------------------------------------------------------
Undistributed ordinary income--net ...................... $ 2,221,768
Undistributed capital gains--net ........................ 130,591
------------
Total undistributed earnings--net ....................... 2,352,359
Capital loss carryforward ............................... --
Unrealized gains--net ................................... 98,649,617*
------------
Total accumulated earnings--net ......................... $101,001,976
============
* The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales, the
realization for tax purposes of unrealized gains/losses on certain foreign
currency contracts, the realization for tax purposes of unrealized gains
on investments in passive foreign investment companies and other book/tax
temporary differences.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 15
Report of Independent Registered BlackRock International 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 International Index Fund (formerly Merrill Lynch International Index
Fund), one of the series constituting BlackRock Index Funds, Inc. (formerly
Merrill Lynch Index Funds) (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 the financial highlights are free of material misstatement. The
Fund is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock International 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
16 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Portfolio Information Master International Index Series
As of December 31, 2006
Percent of
Geographic Allocation Total Investments
- --------------------------------------------------------------------------------
United Kingdom ......................................................... 22.6%
Japan .................................................................. 20.9
France ................................................................. 9.4
Germany ................................................................ 7.1
Switzerland ............................................................ 6.7
Australia .............................................................. 4.9
Spain .................................................................. 3.9
Italy .................................................................. 3.7
Netherlands ............................................................ 3.6
United States .......................................................... 2.5
Sweden ................................................................. 2.3
Hong Kong .............................................................. 1.5
Finland ................................................................ 1.4
Belgium ................................................................ 1.2
Singapore .............................................................. 0.9
Norway ................................................................. 0.9
Ireland ................................................................ 0.9
Denmark ................................................................ 0.8
Greece ................................................................. 0.6
Austria ................................................................ 0.6
Portugal ............................................................... 0.3
New Zealand ............................................................ 0.1
Bermuda ................................................................ 0.1
Luxembourg ............................................................. 0.0*
Cayman Islands ......................................................... 0.0*
Other** ................................................................ 3.1
- --------------------------------------------------------------------------------
* Amount is less than 0.1%.
** Includes portfolio holdings in short-term investments.
Proxy Results
During the six-month period ended December 31, 2006, Master International Index
Series of Quantitative Master Series Trust's interest holders voted on the
following proposals, which were approved at a special interest holders' meeting
on September 29, 2006. A description of the proposals and number of units of
interest voted are as follows:
- --------------------------------------------------------------------------------------------------------------
Units of Interest Units of Interest Units of Interest
Voted For Voted Against Voted Abstain
- --------------------------------------------------------------------------------------------------------------
To approve a new investment advisory agreement
with BlackRock Advisors, Inc. 566,653,624 738,295 549,549
- --------------------------------------------------------------------------------------------------------------
To approve a contingent sub-advisory agreement
with BlackRock Advisors, Inc. 566,620,765 774,940 545,764
- --------------------------------------------------------------------------------------------------------------
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 17
Summary Schedule of Investments Master International Index Series
as of December 31, 2006 (in U.S. dollars)
This summary schedule of investments is presented to help investors focus on the
Series' principal holdings. It includes the Series' 50 largest holdings and each
investment of any issuer that exceeds 1% of the Series' net assets. "Other
Securities" represent all issues not required to be disclosed under the rules
adopted by the Securities and Exchange Commission. A complete schedule of
investments is available without charge, upon request, by calling 800-441-7762
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
===========================================================================================================================
Aerospace & Defense Other Securities $ 5,007,074 0.6%
- ---------------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics Other Securities 3,579,299 0.4
- ---------------------------------------------------------------------------------------------------------------------------
Airlines Other Securities 2,496,539 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Auto Components Other Securities 6,404,735 0.8
- ---------------------------------------------------------------------------------------------------------------------------
Automobiles 55,234 DaimlerChrysler AG 3,412,252 0.4
100,700 Honda Motor Co., Ltd. 3,977,060 0.5
171,800 Toyota Motor Corp. 11,491,349 1.4
Other Securities 5,822,711 0.7
----------------------------
24,703,372 3.0
- ---------------------------------------------------------------------------------------------------------------------------
Beverages 171,754 Diageo Plc 3,371,319 0.4
Other Securities 7,139,965 0.9
----------------------------
10,511,284 1.3
- ---------------------------------------------------------------------------------------------------------------------------
Biotechnology Other Securities 1,029,699 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Building Products Other Securities 4,438,488 0.5
- ---------------------------------------------------------------------------------------------------------------------------
Capital Markets 69,210 Credit Suisse Group 4,842,144 0.6
30,533 Deutsche Bank AG Registered Shares 4,084,502 0.5
128,266 UBS AG 7,794,910 1.0
Other Securities 9,384,071 1.1
----------------------------
26,105,627 3.2
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals Other Securities 22,243,064 2.7
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Banks 117,826 ABN AMRO Holding NV 3,787,292 0.5
50,675 BNP Paribas 5,528,729 0.7
226,568 Banco Bilbao Vizcaya Argentaria SA 5,455,218 0.7
351,590 Banco Santander Central Hispano SA 6,562,580 0.8
416,115 Barclays Plc 5,947,643 0.7
223,922 HBOS Plc 4,963,086 0.6
697,941 HSBC Holdings Plc 12,722,634 1.5
365,971 Lloyds TSB Group Plc 4,095,166 0.5
496 Mitsubishi UFJ Financial Group, Inc. 6,126,801 0.7
545 Mizuho Financial Group, Inc. 3,892,694 0.5
194,197 Royal Bank of Scotland Group Plc 7,578,067 0.9
23,828 Societe Generale 4,044,988 0.5
352 Sumitomo Mitsui Financial Group, Inc. 3,608,588 0.4
457,392 UniCredito Italiano SpA 4,009,086 0.5
Other Securities 47,738,893 5.7
----------------------------
126,061,465 15.2
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies Other Securities 7,756,461 0.9
- ---------------------------------------------------------------------------------------------------------------------------
Communications Equipment 249,391 Nokia Oyj 5,096,129 0.6
821,376 Telefonaktiebolaget LM Ericsson 3,317,443 0.4
Other Securities 2,881,896 0.4
----------------------------
11,295,468 1.4
- ---------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals Other Securities 3,605,407 0.4
- ---------------------------------------------------------------------------------------------------------------------------
Construction & Engineering Other Securities 7,372,796 0.9
- ---------------------------------------------------------------------------------------------------------------------------
Construction Materials Other Securities 6,962,401 0.8
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Finance Other Securities 2,988,346 0.4
- ---------------------------------------------------------------------------------------------------------------------------
Containers & Packaging Other Securities 828,723 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Distributors Other Securities 864,203 0.1
- ---------------------------------------------------------------------------------------------------------------------------
18 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Summary Schedule of Investments Master International Index Series
(continued) (in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
===========================================================================================================================
Diversified Consumer Services Other Securities $ 374,466 0.1%
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services 110,603 ING Groep NV CVA 4,904,171 0.6
Other Securities 8,687,981 1.0
----------------------------
13,592,152 1.6
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 534,108 BT Group Plc 3,153,008 0.4
- ---------------------------------------------------------------------------------------------------------------------------
Services 168,503 Deutsche Telekom AG 3,078,452 0.4
266,279 Telefonica SA 5,666,184 0.7
Other Securities 16,266,761 1.9
----------------------------
28,164,405 3.4
- ---------------------------------------------------------------------------------------------------------------------------
Electric Utilities 38,076 E.ON AG 5,168,444 0.6
Other Securities 19,892,222 2.4
----------------------------
25,060,666 3.0
- ---------------------------------------------------------------------------------------------------------------------------
Electrical Equipment Other Securities 8,130,950 1.0
- ---------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments Other Securities 7,685,795 0.9
- ---------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services Other Securities 2,516,396 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 466,946 Tesco Plc 3,698,229 0.4
Other Securities 11,502,867 1.4
----------------------------
15,201,096 1.8
- ---------------------------------------------------------------------------------------------------------------------------
Food Products 25,319 Nestle SA Registered Shares 8,997,232 1.1
Other Securities 12,574,636 1.5
----------------------------
21,571,868 2.6
- ---------------------------------------------------------------------------------------------------------------------------
Gas Utilities Other Securities 2,677,952 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies Other Securities 4,283,944 0.5
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services Other Securities 1,181,749 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure Other Securities 8,645,950 1.0
- ---------------------------------------------------------------------------------------------------------------------------
Household Durables Other Securities 14,486,260 1.8
- ---------------------------------------------------------------------------------------------------------------------------
Household Products Other Securities 2,510,800 0.3
- ---------------------------------------------------------------------------------------------------------------------------
IT Services Other Securities 2,597,669 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & Other Securities 1,083,620 0.1
Energy Traders
- ---------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates 51,478 Siemens AG 5,106,009 0.6
Other Securities 5,925,648 0.7
----------------------------
11,031,657 1.3
- ---------------------------------------------------------------------------------------------------------------------------
Insurance 102,693 AXA 4,157,606 0.5
25,428 Allianz AG Registered Shares 5,194,690 0.6
Other Securities 29,417,640 3.6
----------------------------
38,769,936 4.7
- ---------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail Other Securities 838,975 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Internet Software & Services Other Securities 595,690 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products Other Securities 2,919,903 0.4
- ---------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services Other Securities 71,081 0.0
- ---------------------------------------------------------------------------------------------------------------------------
Machinery Other Securities 16,656,338 2.0
- ---------------------------------------------------------------------------------------------------------------------------
Marine Other Securities 2,526,660 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Media Other Securities 15,481,845 1.9
- ---------------------------------------------------------------------------------------------------------------------------
Metals & Mining 84,731 Anglo American Plc 4,132,613 0.5
204,569 BHP Billiton Ltd. 4,085,341 0.5
62,276 Rio Tinto Plc Registered Shares 3,314,201 0.4
Other Securities 20,962,014 2.5
----------------------------
32,494,169 3.9
- ---------------------------------------------------------------------------------------------------------------------------
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 19
Summary Schedule of Investments Master International Index Series
(continued) (in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
===========================================================================================================================
Multi-Utilities Other Securities $ 13,256,748 1.6%
- ---------------------------------------------------------------------------------------------------------------------------
Multiline Retail Other Securities 4,066,129 0.5
- ---------------------------------------------------------------------------------------------------------------------------
Office Electronics 60,600 Canon, Inc. 3,411,789 0.4
Other Securities 1,631,973 0.2
----------------------------
5,043,762 0.6
- ---------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 3,749 BP Plc (a)(d) 251,558 0.0
1,174,823 BP Plc 13,054,100 1.6
149,876 ENI SpA 5,041,041 0.6
223,403 Royal Dutch Shell Plc 7,807,929 0.9
163,342 Royal Dutch Shell Plc Class B 5,724,790 0.7
132,168 Total SA 9,534,659 1.2
Other Securities 12,677,627 1.5
----------------------------
54,091,704 6.5
- ---------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products Other Securities 2,773,070 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Personal Products Other Securities 2,289,750 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals 99,175 AstraZeneca Plc 5,328,377 0.6
347,078 GlaxoSmithKline Plc 9,133,453 1.1
800 GlaxoSmithKline Plc (a) 42,208 0.0
149,259 Novartis AG Registered Shares 8,605,207 1.0
44,819 Roche Holding AG 8,036,891 1.0
61,777 Sanofi-Aventis 5,704,311 0.7
57,500 Takeda Pharmaceutical Co., Ltd. 3,947,523 0.5
Other Securities 8,232,087 1.0
----------------------------
49,030,057 5.9
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) Other Securities 7,445,711 0.9
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate Management & Other Securities 16,776,399 2.0
Development
- ---------------------------------------------------------------------------------------------------------------------------
Road & Rail Other Securities 6,432,984 0.8
- ---------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Other Securities 6,590,454 0.8
Equipment
- ---------------------------------------------------------------------------------------------------------------------------
Software Other Securities 6,023,735 0.7
- ---------------------------------------------------------------------------------------------------------------------------
Specialty Retail Other Securities 6,046,874 0.7
- ---------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods Other Securities 7,260,044 0.9
- ---------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance Other Securities 616,262 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities 8,006,544 1.0
- ---------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors Other Securities 7,679,268 0.9
- ---------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure Other Securities 2,749,376 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Water Utilities Other Securities 912,623 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 3,133,112 Vodafone Group Plc 8,680,425 1.1
Services 3,655 Vodafone Group Plc (a) 101,536 0.0
Other Securities 5,066,695 0.6
----------------------------
13,848,656 1.7
- ---------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$553,557,827) 776,346,593 93.5
- ---------------------------------------------------------------------------------------------------------------------------
Exchange-Traded Funds
===========================================================================================================================
284,277 iShares MSCI EAFE Index Fund (d) 20,826,133 2.5
- ---------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost--$17,644,632) 20,826,133 2.5
- ---------------------------------------------------------------------------------------------------------------------------
20 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Summary Schedule of Investments Master International Index Series
(continued) (in U.S. dollars)
Percent of
Industry Preferred Stocks Value Net Assets
===========================================================================================================================
Automobiles Other Securities $ 1,101,651 0.2%
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals Other Securities 602,026 0.1
- ---------------------------------------------------------------------------------------------------------------------------
Media Other Securities 164,376 0.0
- ---------------------------------------------------------------------------------------------------------------------------
Multi-Utilities Other Securities 177,636 0.0
- ---------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost--$1,109,749) 2,045,689 0.3
- ---------------------------------------------------------------------------------------------------------------------------
Rights
===========================================================================================================================
Metals & Mining Other Securities 0 0.0
- ---------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost--$0) 0 0.0
- ---------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
===========================================================================================================================
$25,751,297 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.26% (b)(c) 25,751,297 3.1
- ---------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$25,751,297) 25,751,297 3.1
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$598,063,505*) 824,969,712 99.4
Other Assets Less Liabilities 5,016,069 0.6
----------------------------
Net Assets $829,985,781 100.0%
============================
* 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 .............................. $ 607,157,326
=============
Gross unrealized appreciation ............... $ 222,862,516
Gross unrealized depreciation ............... (5,050,130)
-------------
Net unrealized appreciation ................. $ 217,812,386
=============
(a) Depositary receipts.
(b) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
-----------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
-----------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series $5,422,422 $735,993
-----------------------------------------------------------------------------
(c) Represents the current yield as of December 31, 2006.
(d) All or a portion of security held as collateral in connection with open
financial futures 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 held as collateral
in connection with open financial futures 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 percent of net assets. These
industry classifications are unaudited.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 21
Summary Schedule of Investments Master International Index Series
(concluded) (in U.S. dollars)
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
---------------------------------------------------------------------------------------------------------------------------
Number of Expiration Unrealized
Contracts Issue Exchange Date Face Value Appreciation
---------------------------------------------------------------------------------------------------------------------------
9 Hang Seng Index Future Hong Kong January 2007 $1,118,379 $ 39,728
117 OMX Stock Index Future Stockholm January 2007 $1,939,329 32,048
109 DJ Euro Stoxx 50 Eurex March 2007 $5,914,231 67,064
38 FTSE 100 Index Future LIFFE March 2007 $4,610,863 14,046
40 SPI 200 Index Future Sydney March 2007 $4,342,551 114,102
69 TOPIX Index Future Tokyo March 2007 $9,356,847 398,415
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation $ 665,403
=========
o Forward foreign exchange contracts purchased as of December 31, 2006 were
as follows:
---------------------------------------------------------------------------------------------------------------------------
Unrealized
Foreign Currency Settlement Appreciation
Purchased Date (Depreciation)
---------------------------------------------------------------------------------------------------------------------------
AUD 3,898,000 February 2007 $ 45,845
CHF 6,125,200 February 2007 34,457
EUR 17,913,900 February 2007 334,063
GBP 7,351,400 February 2007 172,607
JPY 1,813,274,700 February 2007 (282,858)
SEK 10,242,400 February 2007 23,891
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation on Forward Foreign Exchange Contracts--Net
(USD Commitment--$62,708,033) $ 328,005
=========
o Forward foreign exchange contracts sold as of December 31, 2006 were as
follows:
---------------------------------------------------------------------------------------------------------------------------
Unrealized
Foreign Currency Settlement Appreciation
Sold Date (Depreciation)
---------------------------------------------------------------------------------------------------------------------------
AUD 2,921,000 February 2007 $ (38,340)
CHF 4,097,000 February 2007 14,226
EUR 11,734,000 February 2007 (110,785)
GBP 4,605,000 February 2007 (91,716)
JPY 1,204,800,000 February 2007 202,603
SEK 7,050,000 February 2007 (9,428)
---------------------------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts--Net
(USD Commitment--$41,398,627) $ (33,440)
=========
o Currency Abbreviations:
AUD Australian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
USD U.S. Dollar
See Notes to Financial Statements.
22 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Statement of Assets and Liabilities Master International Index Series
As of December 31, 2006
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value
(identified cost--$572,312,208) ........................................ $ 799,218,415
Investments in affiliated securities, at value
(identified cost--$25,751,297) ......................................... 25,751,297
Cash .................................................................... 307,920
Foreign cash (cost--$1,305,741) ......................................... 1,309,885
Unrealized appreciation on forward foreign exchange contracts ........... 827,692
Receivables:
Contributions ........................................................ $ 4,125,718
Dividends ............................................................ 1,530,188
Securities sold ...................................................... 160,700
Investment adviser ................................................... 22,183 5,838,789
-------------
Prepaid expenses and other assets ....................................... 10,252
-------------
Total assets ............................................................ 833,264,250
-------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Unrealized depreciation on forward foreign exchange contracts ........... 533,127
Payables:
Withdrawals .......................................................... 2,542,618
Variation margin ..................................................... 31,003
Other affiliates ..................................................... 6,886
Investment adviser ................................................... 6,368 2,586,875
-------------
Accrued expenses and other liabilities .................................. 158,467
-------------
Total liabilities ....................................................... 3,278,469
-------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets .............................................................. $ 829,985,781
=============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ...................................................... $ 601,945,406
Unrealized appreciation--net ............................................ 228,040,375
-------------
Net Assets .............................................................. $ 829,985,781
=============
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 23
Statement of Operations Master International Index Series
For the Year Ended December 31, 2006
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends (net of $1,257,223 foreign withholding tax) ................... $ 17,557,657
Interest from affiliates ................................................ 735,993
-------------
Total income ............................................................ 18,293,650
-------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Custodian fees .......................................................... $ 369,434
Accounting services ..................................................... 112,429
Professional fees ....................................................... 76,419
Investment advisory fees ................................................ 65,424
Pricing fees ............................................................ 54,443
Trustees' fees and expenses ............................................. 5,190
Other ................................................................... 18,576
-------------
Total expenses before reimbursement ..................................... 701,915
Reimbursement of expenses ............................................... (68,252)
-------------
Total expenses after reimbursement ...................................... 633,663
-------------
Investment income--net .................................................. 17,659,987
-------------
===================================================================================================================================
Realized & Unrealized Gain (Loss)--Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on:
Investments--net ..................................................... 7,339,310
In-kind redemption--net .............................................. 562,842
Financial futures contracts--net ..................................... 2,402,795
Foreign currency transactions--net ................................... 1,761,193 12,066,140
-------------
Change in unrealized appreciation/depreciation on:
Investments--net ..................................................... 125,579,064
Financial futures contracts--net ..................................... 99,408
Foreign currency transactions--net ................................... 759,651 126,438,123
-------------------------------
Total realized and unrealized gain--net ................................. 138,504,263
-------------
Net Increase in Net Assets Resulting from Operations .................... $ 156,164,250
=============
See Notes to Financial Statements.
24 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Statements of Changes in Net Assets Master International Index Series
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2006 2005
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income--net .................................................. $ 17,659,987 $ 10,676,216
Realized gain--net ...................................................... 12,066,140 3,554,079
Change in unrealized appreciation/depreciation--net ..................... 126,438,123 44,436,350
-------------------------------
Net increase in net assets resulting from operations .................... 156,164,250 58,666,645
-------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ............................................. 517,743,669 274,141,104
Fair value of withdrawals ............................................... (367,077,433) (131,719,318)
-------------------------------
Net increase in net assets derived from capital transactions ............ 150,666,236 142,421,786
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ............................................ 306,830,486 201,088,431
Beginning of year ....................................................... 523,155,295 322,066,864
-------------------------------
End of year ............................................................. $ 829,985,781 $ 523,155,295
===============================
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 25
Financial Highlights Master International Index Series
For the Year Ended December 31,
The following ratios have been derived from ------------------------------------------------------------
information provided in the financial statements. 2006 2005 2004 2003 2002
=============================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------------------
Total investment return .............. 26.61% 13.64% 20.32% 38.97% (15.81%)
============================================================
=============================================================================================================================
Ratios to Average Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
Expenses, net of reimbursement ....... .10% .10% .09% .09% .08%
============================================================
Expenses ............................. .11% .10% .10% .10% .16%
============================================================
Investment income--net ............... 2.70% 2.53% 2.55% 2.23% 2.21%
============================================================
=============================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $829,986 $523,155 $322,067 $553,129 $166,820
============================================================
Portfolio turnover ................... 22.69% 11.33% 13.50% 8.55% 19.52%
============================================================
See Notes to Financial Statements.
26 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements Master International Index Series
1. Significant Accounting Policies:
Master International Index Series (the "Series"), a non- diversified investment
company, is part of Quantitative Master Series Trust (the "Trust"). The Trust is
registered under the Investment Company Act of 1940, as amended, and is
organized as a Delaware statutory trust. The Declaration of Trust permits the
Trustees to issue nontransferable interests in the Series, subject to certain
limitations. The Series' financial statements are prepared in conformity with
U.S. generally accepted accounting principles, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates. The following is a summary of significant accounting policies
followed by the Series.
(a) Valuation of investments -- Equity securities that are held by the Series
that are traded on stock exchanges or the NASDAQ 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") markets, 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 markets are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC markets and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. Options traded in the OTC market are valued at the last
asked price (options written) or the last bid price (options purchased). Swap
agreements are valued based upon quoted fair valuations received daily by the
Series from a pricing service or counterparty. Financial futures contracts and
options thereon, which are traded on exchanges, are valued at their last sale
price as of the close of such exchanges. Obligations with remaining maturities
of 60 days or less are valued at amortized cost unless BlackRock Advisors, LLC
(the "Manager"), an indirect, wholly owned subsidiary of BlackRock, Inc.,
believes that this method no longer produces fair valuations. Valuation of other
short-term investment vehicles is generally based on the net asset value of the
underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Trustees of the Trust, including valuations furnished by the
pricing services retained by the Series, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Series under the general supervision of the Trust's Board
of Trustees. Such valuations and procedures will be reviewed periodically by the
Board of Trustees of the Trust.
Generally, trading in foreign securities, as well as U.S. government securities
and money market instruments 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 Trust's Board of Trustees
or by the Manager using a pricing service and/or procedures approved by the
Trust's Board of Trustees.
(b) Derivative financial instruments -- The Series may engage in various
portfolio investment strategies to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract or if the counterparty does not perform
under the contract.
o Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such financial futures contracts.
Financial futures contracts are contracts for delayed delivery of
securities at a specific future date and at a specific price or yield.
Upon entering into a contract, the Series deposits and maintains as
collateral such initial margin as required by the exchange on which
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 27
Notes to Financial Statements (continued) Master International Index Series
the transaction is effected. Pursuant to the contract, the Series agrees
to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as variation margin and are recorded by the Series as unrealized gains or
losses. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
o Options -- The Series may purchase and write call and put options. When
the Series writes an option, an amount equal to the premium received by
the Series is reflected as an asset and an equivalent liability. The
amount of the liability is subsequently marked-to-market to reflect the
current market value of the option written. When a security is purchased
or sold through an exercise of an option, the related premium paid (or
received) is added to (or deducted from) the basis of the security
acquired or deducted from (or added to) the proceeds of the security sold.
When an option expires (or the Series enters into a closing transaction),
the Series realizes a gain or loss on the option to the extent of the
premiums received or paid (or a gain or loss to the extent that the cost
of the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
o Forward foreign exchange contracts -- The Series may enter into forward
foreign exchange contracts as a hedge against either specific transactions
or portfolio positions. The contract is marked-to-market daily and the
change in market value is recorded by the Series as an unrealized gain or
loss. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value at the time it was opened
and the value at the time it was closed.
o Foreign currency options and futures -- The Series may also purchase or
sell listed or OTC foreign currency options, foreign currency futures and
related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions
may be effected with respect to hedges on non-U.S. dollar-denominated
securities owned by the Series, sold by the Series but not yet delivered,
or committed or anticipated to be purchased by the Series.
(c) Foreign currency transactions -- Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
The Series invests in foreign securities, which may involve a number of risk
factors and special considerations not present with investments in securities of
U.S. corporations.
(d) Income taxes -- The Series is classified as a partnership for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. It is
intended that the Series' assets will be managed so an investor in the Series
can satisfy the requirements of Subchapter M of the Internal Revenue Code.
(e) Security transactions and investment income -- Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Series has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Securities lending -- The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the
28 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Notes to Financial Statements (continued) Master International Index Series
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 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.
(g) Recent accounting pronouncements -- In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes -- an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet in
connection with accounting for uncertainties in income tax positions taken or
expected to be taken by an entity including mutual funds before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
the last net asset value calculation in the first required financial statement
reporting period for fiscal years beginning after December 15, 2006. The impact
on the Series' financial statements, if any, is currently being assessed.
In addition, in September 2006, Statement of Financial Accounting Standards No.
157, "Fair Value Measurements" ("FAS 157"), was issued and is effective for
fiscal years beginning after November 15, 2007. FAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the implications of
FAS 157. At this time, its impact on the Series' financial statements has not
been determined.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. ("MLIM"), and its affiliates including Fund Asset
Management, L.P. ("FAM"), with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("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 the expenses incurred by the
Series will not exceed .12%. 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
- --------------------------------------------------------------------------------
$52,657 $15,595
- --------------------------------------------------------------------------------
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC, 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.
For the year ended December 31, 2006, the Series reimbursed FAM and the Manager
$10,377 and $3,750, respectively, for certain accounting services.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 29
Notes to Financial Statements (concluded) Master International Index Series
In addition, Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), an
affiliate of the Manager, received $37,152 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, MLIM, PSI, and/or Merrill Lynch.
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 $320,252,993
and $143,844,935, respectively.
4. Commitments:
At December 31, 2006, the Series had entered into foreign exchange contracts, in
addition to the contracts listed on the Schedule of Investments, under which it
had agreed to buy various foreign currencies with an approximate value of
$2,177,000.
5. 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.
30 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Report of Independent Registered Master International Index Series
Public Accounting Firm
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of Master International Index Series, one
of the portfolios constituting the Quantitative Master Series Trust (the
"Trust") as of December 31, 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. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
International Index Series of the Quantitative Master Series Trust as of
December 31, 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
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 31
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" below. The term
"Investment Adviser" as used herein refers to Fund Asset Management, L.P.
Merrill Lynch International 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 International 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 management analytic
tools, including investment tools, provided under the BlackRock
Solutions(R) brand name;
32 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
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 (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 the 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 fund accounting,
marketing services and assistance in meeting legal and regulatory requirements.
In its review of the
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 33
Disclosure of Investment Advisory Agreement (continued)
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 relief with respect to these restrictions
was being sought from the Securities and Exchange Commission and was advised of
34 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
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 total advisory and
administrative fees of the Fund nor the total advisory fees of the Series would
be higher than the
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 35
Disclosure of Investment Advisory Agreement (concluded)
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 SubAdvisory 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 its shareholders, that the BlackRock Sub-Adviser assist in managing
the
36 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
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.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006 37
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 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 (which had been
approved by the Fund's shareholders) 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 2006 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.
38 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2006
Officers and Directors/Trustees
Number of
Portfolios in Other Public
Fund Complex Directorships
Position(s) Length of Overseen by Held by
Held with Time Director/ Director/
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Interested Director/Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. P.O. Box 9011 President 2005 to 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 ("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
Administration since 2001. care);
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); TJX
Executive Officer and Director of First Allmerica Companies,
Financial Life Insurance Company from 1989 to 2002 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 INTERNATIONAL INDEX FUND DECEMBER 31, 2006 39
Officers and Directors/Trustees (concluded)
Number of
Portfolios in Other Public
Fund Complex Directorships
Position(s) Length of Overseen by Held by
Held with Time Director/ Director/
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Independent Directors/Trustees* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O. Box 9095 Director/ 2003 to Director, Ruckleshaus Institute and Haub School of 21 Funds None
Walsh Princeton, NJ Trustee present Natural Resources at the University of Wyoming since 38 Portfolios
08543-9095 2006; Consultant with Putnam Investments from
Age: 65 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 38 Portfolios Pharma-
08543-9095 Development of Warner Lambert Co. from 1979 to 1997; ceuticals,
Age: 65 Director of the Michael J. Fox Foundation for Inc. (pharma-
Parkinson's Research since 2000; Director of BTG ceutical
International Plc (a global technology company)
commercialization 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 First Vice President of MLIM and FAM from 1997 to 2005 and Treasurer thereof from
Age: 46 Treasurer 1999 1999 to 2006; Vice President of MLIM and FAM from 1990 to 1997.
to
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 Compliance
Age: 55 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 1997 to 2006; Secretary of MLIM, FAM, FAM Distributors, Inc. ("FAMD") and
Age: 46 Princeton 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
JPMorgan Chase Bank, N.A.
3 Chase MetroTech Center
Brooklyn, NY 11245
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
40 BLACKROCK INTERNATIONAL 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 INTERNATIONAL 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 INTERNATIONAL 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 INTERNATIONAL 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.
Investment in foreign securities involves special risks including fluctuating
foreign exchange rates, foreign government regulations, differing degrees of
liquidity and the possibility of substantial volatility due to adverse
political, economic or other developments.
BlackRock Index Funds, Inc.
P.O. Box 9011
Princeton, NJ 08543-9011
BLACKROCK
#Index 2-12/06
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 International 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 International Index Series of Quantitative Master Series Trust
(a) Audit Fees - Fiscal Year Ending December 31, 2006 - $37,700
Fiscal Year Ending December 31, 2005 - $37,700
(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 - $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 International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Australia - 4.9% Airlines - 0.0% 33,547 Qantas Airways Ltd. $ 138,227
--------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 41,945 Coca-Cola Amatil Ltd. 256,927
119,489 Foster's Group Ltd. 652,682
1,770 Lion Nathan Ltd. 11,401
------------
921,010
--------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% 10,984 CSL Ltd. 566,770
--------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 13,704 Macquarie Bank Ltd. 853,802
686 Perpetual Trustees Australia Ltd. 42,350
------------
896,152
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 14,011 Orica Ltd. 268,747
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.2% 108,588 Australia & New Zealand Banking Group
Ltd. 2,417,981
70,309 Commonwealth Bank of Australia Ltd. 2,746,051
90,221 National Australia Bank Ltd. 2,877,113
109,563 Westpac Banking Corp. 2,096,353
------------
10,137,498
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 96,014 Brambles Ltd. 963,260
3,802 Downer EDI Ltd. 20,978
------------
984,238
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 7,102 Leighton Holdings Ltd. 113,352
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 19,485 Boral Ltd. 117,353
12,618 James Hardie Industries NV 95,715
58,059 Rinker Group Ltd. 827,208
------------
1,040,276
--------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 39,761 Amcor Ltd. 227,543
--------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 59,199 Pacific Brands Ltd. 121,962
--------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 0.1% 34,550 ABC Learning Centres Ltd. 229,084
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.2% 8,881 Australian Stock Exchange Ltd. 267,439
16,381 Babcock & Brown Ltd. 320,671
49,792 Challenger Financial Services Group
Ltd. 161,929
36,612 Suncorp-Metway Ltd. 588,106
------------
1,338,145
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 361,288 Telstra Corp. Ltd. 1,046,547
Services - 0.1%
--------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.0% 8,780 WorleyParsons Ltd. 147,480
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.2% 73,368 Coles Myer Ltd. $ 810,779
61,616 Woolworths Ltd. 1,162,410
------------
1,973,189
--------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 61,294 Futuris Corp. Ltd. 95,313
17,888 Goodman Fielder Ltd. 31,346
------------
126,659
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 6,833 Ansell Ltd. 60,678
1,341 Cochlear Ltd. 61,394
------------
122,072
--------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 37,257 Mayne Group Ltd. 111,753
6,047 Sonic Healthcare Ltd. 71,025
------------
182,778
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 14,866 Aristocrat Leisure Ltd. 186,577
22,614 TABCORP Holdings Ltd. 300,777
57,896 Tattersall's Ltd. 178,687
------------
666,041
--------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 16,432 Computershare Ltd. 115,438
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 65,377 CSR Ltd. 193,519
20,114 Wesfarmers Ltd. 596,020
------------
789,539
--------------------------------------------------------------------------------------------------------------
Insurance - 0.3% 97,833 AMP Ltd. 779,964
41,638 AXA Asia Pacific Holdings Ltd. 239,599
91,395 Insurance Australia Group Ltd. 458,104
41,004 QBE Insurance Group Ltd. 933,770
------------
2,411,437
--------------------------------------------------------------------------------------------------------------
Media - 0.1% 223 APN News & Media Ltd. 1,065
81,419 John Fairfax Holdings Ltd. 310,414
37,192 Macquarie Communications Infrastructure
Group 184,952
7,913 Publishing & Broadcasting Ltd. 133,354
------------
629,785
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.9% 49,188 Alumina Ltd. 246,159
204,569 BHP Billiton Ltd. 4,085,341
49,777 BlueScope Steel Ltd. 338,691
28,055 Iluka Resources Ltd. 147,265
15,801 Newcrest Mining Ltd. 328,650
23,580 OneSteel Ltd. 87,108
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
21,889 Rio Tinto Ltd. $ 1,283,757
32,166 Zinifex Ltd. 477,081
------------
6,994,052
--------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.1% 28,965 AGL Energy Ltd. 369,930
20,992 Alinta Ltd. 195,857
------------
565,787
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 1,216 Harvey Norman Holdings Ltd. 3,647
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.2% 10,809 Caltex Australia Ltd. 196,237
33,433 Origin Energy Ltd. 218,247
34,775 Paladin Resources Ltd. (c) 244,301
32,208 Santos Ltd. 250,928
29,771 Woodside Petroleum Ltd. 895,572
------------
1,805,285
--------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 5,919 PaperlinX Ltd. 18,362
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 55,979 Mayne Pharma Ltd. 179,841
--------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) 114,334 CFS Retail Property Trust 210,281
- 0.5% 32,383 Centro Properties Group/New 232,609
166,094 Commonwealth Property Office Fund 192,726
80,760 DB RREEF Trust 113,152
83,673 ING Industrial Fund 156,531
36,036 Investa Property Group 71,397
32,897 Macquarie Office Trust 39,989
96,340 Macquire Goodman Group 577,947
70,450 Mirvac Group 310,857
15,146 Multiplex Group 47,702
62,317 Stockland 407,291
91,484 Westfield Group 1,515,743
------------
3,876,225
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 123,927 General Property Trust 547,800
0.1% 17,727 Lend Lease Corp., Ltd. 258,026
------------
805,826
--------------------------------------------------------------------------------------------------------------
Road & Rail - 0.1% 30,050 Toll Holdings Ltd. 433,362
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 1,897 Billabong International Ltd. 26,055
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 12,244 Macquarie Airports 34,793
178,390 Macquarie Infrastructure Group 487,208
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
52,081 Sydney Roads Group $ 54,265
31,193 Transurban Group 187,620
------------
763,886
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia 40,666,297
- ----------------------------------------------------------------------------------------------------------------------------------
Austria - 0.6% Building Products - 0.0% 3,296 Wienerberger AG 195,789
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 10,982 Erste Bank der Oesterreichischen
Sparkassen AG 842,260
2,739 Raiffeisen International Bank Holding AG 417,638
------------
1,259,898
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 273 RHI AG (c) 13,946
--------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 509 Mayr-Melnhof Karton AG 95,410
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 19,829 Telekom Austria AG 531,356
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 3,166 Verbund - Oesterreichische
Elektrizitaetswirtschafts AG 168,926
--------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 563 Wiener Staedtische Allgemeine
Versicherung AG 39,537
--------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 1,053 Andritz AG 228,378
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 3,329 Boehler-Uddeholm AG 233,344
3,558 Voestalpine AG 200,879
------------
434,223
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.1% 13,419 OMV AG 761,511
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 20,281 IMMOFINANZ Immobilien Anlagen AG (c) 289,136
0.1% 21,261 Immoeast Immobilien Anlagen AG (c) 298,897
12,442 Meinl European Land Ltd. (c) 319,447
------------
907,480
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 1,050 Flughafen Wien AG 103,122
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria 4,739,576
- ----------------------------------------------------------------------------------------------------------------------------------
Belgium - 1.2% Beverages - 0.1% 12,022 InBev NV 792,527
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 3,255 Solvay SA 499,282
2,110 Umicore 359,303
------------
858,585
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 31,611 Dexia 865,855
13,388 KBC Bancassurance Holding 1,641,799
------------
2,507,654
--------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 204 D'ieteren SA 72,627
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.4% 70,133 Fortis 2,992,144
3,675 Groupe Bruxelles Lambert SA 441,699
211 Groupe Bruxelles Lambert SA Strip
VVPR (c) 6
------------
3,433,849
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 11,863 Belgacom SA $ 522,564
- 0.1%
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 927 Bekaert SA 115,883
--------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 493 Barco NV 44,904
0.0%
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 921 Colruyt SA 196,710
4,546 Delhaize Group 378,958
950 Delhaize Group (a) 79,116
------------
654,784
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 1,461 Omega Pharma SA 110,219
--------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 9,271 AGFA-Gevaert NV 236,930
--------------------------------------------------------------------------------------------------------------
Marine - 0.0% 1,598 Compagnie Maritime Belge SA (CMB) 68,789
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 1,612 Euronav SA 48,176
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 4,089 UCB SA 280,409
--------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 8 Cofinimmo 1,607
0.0%
--------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 957 Mobistar SA 81,671
0.0%
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium 9,831,178
- ----------------------------------------------------------------------------------------------------------------------------------
Bermuda - 0.0% Energy Equipment & Services - 0.0% 17,113 SeaDrill Ltd. (c) 288,867
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 19,785 Yue Yuen Industrial Holdings 62,827
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Bermuda 351,694
- ----------------------------------------------------------------------------------------------------------------------------------
Cayman Islands - 0.0Communications Equipment - 0.0% 101,061 Foxconn International Holdings Ltd. (c) 330,664
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Cayman
Islands 330,664
- ----------------------------------------------------------------------------------------------------------------------------------
Denmark - 0.8% Beverages - 0.0% 962 Carlsberg A/S 95,539
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 2,117 Novozymes A/S Class B 182,138
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 35,651 Danske Bank A/S 1,584,124
2,625 Jyske Bank (c) 186,345
1,983 Sydbank A/S 94,783
------------
1,865,252
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 1,517 FLS Industries A/S Class B 96,410
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% 13,024 Vestas Wind Systems A/S (c) 550,467
--------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 2,384 Danisco A/S 203,000
2,685 East Asiatic Co., Ltd. A/S 150,202
------------
353,202
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 571 Coloplast A/S Class B 51,654
17,800 GN Store Nord 263,118
1,430 William Demant Holding (c) 115,943
------------
430,715
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 436 Bang & Olufsen A/S Class B 56,190
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 1,651 Topdanmark A/S (c) $ 272,984
1,391 TrygVesta A/S 106,256
------------
379,240
--------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 720 NKT Holding A/S 63,667
--------------------------------------------------------------------------------------------------------------
Marine - 0.1% 61 AP Moller - Maersk A/S 574,494
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 900 D/S Torm A/S 58,951
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.2% 3,119 H Lundbeck A/S 85,998
15,326 Novo-Nordisk A/S B 1,276,534
------------
1,362,532
--------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 1,755 DSV A/S 320,627
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark 6,389,424
- ----------------------------------------------------------------------------------------------------------------------------------
Finland - 1.4% Auto Components - 0.0% 9,415 Nokian Renkaat Oyj 192,886
--------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 528 Asko Oyj 19,766
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.6% 249,391 Nokia Oyj 5,096,129
1,270 Nokia Oyj (a) 25,806
------------
5,121,935
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 7,673 YIT Oyj 212,196
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 47 OKO Bank 788
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 6,091 Elisa Corp. 166,838
- 0.0%
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 30,045 Fortum Oyj 855,086
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 2,135 Kesko Oyj Class B 112,788
--------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 5,675 TietoEnator Oyj 183,086
--------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 39,201 Sampo Oyj 1,049,431
--------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 5,404 Amer Sports Corp. 118,987
--------------------------------------------------------------------------------------------------------------
Machinery - 0.2% 2,051 Cargotec Corp. Class B 113,982
6,756 KCI Konecranes Oyj 198,876
4,102 Kone Oyj Class B 232,513
9,656 Metso Oyj 487,421
2,330 Wartsila Oyj 125,520
------------
1,158,312
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 540 SanomaWSOY Oyj (Class B) 15,219
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 8,568 Outokumpu Oyj 335,459
6,996 Rautaruukki Oyj 278,436
------------
613,895
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 6,709 Neste Oil Oyj 203,958
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.2% 35,345 Stora Enso Oyj Class R $ 559,884
34,754 UPM-Kymmene Oyj 877,165
------------
1,437,049
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 1,802 Orion Oyj (c) 39,130
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland 11,501,350
- ----------------------------------------------------------------------------------------------------------------------------------
France - 9.3% Aerospace & Defense - 0.2% 22,276 European Aeronautic Defense and Space
Co. 767,479
7,026 Safran SA 163,048
6,060 Thales SA 302,220
2,001 Zodiac SA 134,448
------------
1,367,195
--------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 9,767 Air France-KLM 411,154
--------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 9,847 Compagnie Generale des Etablissements
Michelin 942,390
6,537 Valeo SA 272,077
------------
1,214,467
--------------------------------------------------------------------------------------------------------------
Automobiles - 0.2% 10,853 Peugeot SA 719,188
10,314 Renault SA 1,238,960
------------
1,958,148
--------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 4,757 Pernod-Ricard 1,092,625
--------------------------------------------------------------------------------------------------------------
Building Products - 0.2% 18,656 Cie de Saint-Gobain 1,567,493
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 7,239 Air Liquide 1,719,089
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.3% 50,675 BNP Paribas 5,528,729
33,652 Credit Agricole SA 1,415,290
23,828 Societe Generale 4,044,988
------------
10,989,007
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 1,788 Societe BIC SA 124,503
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.3% 145,352 Alcatel SA 2,091,396
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.2% 15,172 Vinci SA 1,938,683
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 1,109 Imerys SA 98,669
9,635 Lafarge SA 1,433,390
------------
1,532,059
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 99,167 France Telecom SA 2,742,457
- 0.3%
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 6,646 Alstom (c) 900,989
14,709 Schneider Electric SA 1,632,931
------------
2,533,920
--------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.1% 7,636 Technip SA 524,153
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 40,322 Carrefour SA $ 2,445,241
1,766 Casino Guichard Perrachon SA 164,116
------------
2,609,357
--------------------------------------------------------------------------------------------------------------
Food Products - 0.3% 14,273 Groupe Danone 2,162,947
--------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 9,825 Gaz de France 451,985
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 6,748 Cie Generale d'Optique Essilor
International SA 725,529
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.2% 13,575 Accor SA 1,051,881
4,916 Sodexho Alliance SA 308,438
------------
1,360,319
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 19,853 Thomson 388,123
--------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 4,426 Atos Origin (c) 262,504
7,442 Cap Gemini SA 467,120
------------
729,624
--------------------------------------------------------------------------------------------------------------
Insurance - 0.6% 102,693 AXA 4,157,606
1,664 CNP Assurances 185,829
83,103 SCOR 245,727
------------
4,589,162
--------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 2,729 Vallourec 793,609
--------------------------------------------------------------------------------------------------------------
Media - 0.5% 8,668 Lagardere S.C.A. 697,971
1,376 M6-Metropole Television 49,151
7,450 PagesJaunes Groupe SA 148,203
10,939 Publicis Groupe 461,357
9,292 Societe Television Francaise 1 344,793
67,408 Vivendi SA 2,634,745
------------
4,336,220
--------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.5% 59,035 Suez SA 3,057,149
18,844 Veolia Environnement 1,452,696
------------
4,509,845
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.1% 3,417 Pinault-Printemps-Redoute 510,599
--------------------------------------------------------------------------------------------------------------
Office Electronics - 0.0% 1,763 Neopost SA 221,437
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 1.1% 132,168 Total SA 9,534,659
--------------------------------------------------------------------------------------------------------------
Personal Products - 0.2% 16,379 L'Oreal SA 1,641,035
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.7% 61,777 Sanofi-Aventis 5,704,311
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 492 Gecina SA $ 94,172
0.1% 1,410 Klepierre 266,161
2,783 Unibail 679,999
------------
1,040,332
--------------------------------------------------------------------------------------------------------------
Semiconductors & 42,974 STMicroelectronics NV 798,157
Semiconductor Equipment - 0.1%
--------------------------------------------------------------------------------------------------------------
Software - 0.1% 7,526 Business Objects SA (c) 295,357
2,635 Dassault Systemes SA 139,828
------------
435,185
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.3% 3,070 Hermes International 383,978
15,960 LVMH Moet Hennessy Louis Vuitton SA 1,684,380
------------
2,068,358
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 222 Societe Des Autoroutes Paris-Rhin-Rhone 17,730
--------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 14,000 Bouygues 898,713
0.1%
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in France 77,333,585
- ----------------------------------------------------------------------------------------------------------------------------------
Germany - 6.8% Air Freight & Logistics - 0.2% 55,517 Deutsche Post AG 1,673,828
--------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 16,156 Deutsche Lufthansa AG 444,661
--------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 8,832 Continental AG 1,027,126
--------------------------------------------------------------------------------------------------------------
Automobiles - 0.6% 55,234 DaimlerChrysler AG 3,412,252
12,055 Volkswagen AG 1,366,780
------------
4,779,032
--------------------------------------------------------------------------------------------------------------
Capital Markets - 0.5% 30,533 Deutsche Bank AG Registered Shares 4,084,502
3,332 MLP AG 66,152
------------
4,150,654
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.7% 31,493 BASF AG 3,070,105
41,785 Bayer AG 2,242,727
7,630 Linde AG 788,230
------------
6,101,062
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 40,649 Commerzbank AG 1,548,048
3,876 Deutsche Postbank AG 327,302
------------
1,875,350
--------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 306 Wincor Nixdorf AG 47,608
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 2,216 Bilfinger Berger AG 162,408
2,359 Hochtief AG 171,892
------------
334,300
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.2% 7,524 Deutsche Boerse AG 1,384,722
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 168,503 Deutsche Telekom AG $ 3,078,452
- 0.4%
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.6% 38,076 E.ON AG 5,168,444
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 1,790 Solarworld AG 112,473
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 11,438 Metro AG 729,417
--------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 131 Suedzucker AG 3,170
--------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.1% 3,441 Celesio AG 184,598
3,316 Fresenius Medical Care AG 441,973
------------
626,571
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 16,780 TUI AG 335,356
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.6% 1,115 Rheinmetall AG 84,602
51,478 Siemens AG 5,106,009
860 Siemens AG (a) 84,753
------------
5,275,364
--------------------------------------------------------------------------------------------------------------
Insurance - 0.9% 25,428 Allianz AG Registered Shares 5,194,690
13,748 Muenchener Rueckversicherungs AG
Registered Shares 2,366,859
------------
7,561,549
--------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services - 0.0% 4,634 Qiagen NV (c) 71,081
--------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 1,793 Heidelberger Druckmaschn 84,922
8,673 MAN AG 783,781
------------
868,703
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 4,064 Premiere AG (c) 68,131
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.2% 1,939 Salzgitter AG 253,525
24,315 ThyssenKrupp AG 1,145,538
------------
1,399,063
--------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.4% 27,622 RWE AG 3,044,600
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 1,662 KarstadtQuelle AG (c) 48,178
--------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 1,590 Beiersdorf AG 103,097
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 5,615 Altana AG 348,366
3,817 Merck KGaA 395,733
------------
744,099
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 3,100 IVG Immobilien AG 133,158
0.0%
--------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 50,844 Infineon Technologies AG (c) 716,803
Equipment - 0.1%
--------------------------------------------------------------------------------------------------------------
Software - 0.3% 51,656 SAP AG 2,745,258
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 1,073 Douglas Holding AG 55,481
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.2% 16,949 Adidas-Salomon AG $ 844,150
924 Puma AG Rudolf Dassler Sport 360,635
------------
1,204,785
--------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 0.1% 9,779 Hypo Real Estate Holding AG 616,262
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany 56,527,838
- ----------------------------------------------------------------------------------------------------------------------------------
Greece - 0.6% Beverages - 0.0% 5,270 Coca-Cola Hellenic Bottling Co. SA 205,916
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 29,457 Alpha Bank AE 890,456
11,335 EFG Eurobank Ergasias SA 410,577
25,296 National Bank of Greece SA 1,165,376
11,135 Piraeus Bank SA 358,942
------------
2,825,351
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 13,438 Intracom SA 91,177
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 722 Hellenic Technodomiki Tev SA 8,063
9,486 Technical Olympic SA 31,806
------------
39,869
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 2,652 Titan Cement Co. SA 144,581
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 4,962 Hellenic Exchanges SA 91,308
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 16,261 Hellenic Telecommunications
- 0.1% Organization SA 488,549
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 5,799 Public Power Corp. 146,975
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 15,257 OPAP SA 589,697
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 4,010 Viohalco, Hellenic Copper and Aluminum
Industry SA 49,970
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 276 Hellenic Petroleum SA 3,804
--------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 9,444 Cosmote Mobile Telecommunications SA 279,250
- 0.0%
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Greece 4,956,447
- ----------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 1.5% Airlines - 0.0% 15,263 Cathay Pacific Airways Ltd. 37,636
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 249,400 BOC Hong Kong Holdings Ltd. 676,541
69,539 Bank of East Asia Ltd. 393,813
37,453 Hang Seng Bank Ltd. 511,841
3,000 Wing Hang Bank Ltd. 35,290
------------
1,617,485
--------------------------------------------------------------------------------------------------------------
Distributors - 0.1% 135,990 Li & Fung Ltd. 423,095
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 87,348 Hong Kong Exchanges and Clearing Ltd. 960,140
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 78,195 PCCW Ltd. 47,551
- 0.0%
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 98,687 CLP Holdings Ltd. $ 729,530
1,500 Cheung Kong Infrastructure Holdings Ltd. 4,657
61,500 HongKong Electric Holdings 301,242
------------
1,035,429
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 87,328 Johnson Electric Holdings Ltd. 59,841
--------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 18,647 Kingboard Chemical Holdings Ltd. 73,238
0.0%
--------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 168,240 Hong Kong & China Gas 378,515
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 44,990 Shangri-La Asia Ltd. 115,970
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 62,560 Techtronic Industries Co. 81,072
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 150,176 Hutchison Whampoa Ltd. 1,526,222
56,773 Melco International Development 134,592
------------
1,660,814
--------------------------------------------------------------------------------------------------------------
Marine - 0.0% 3,557 Orient Overseas International Ltd. 22,636
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 1,000 Television Broadcasts Ltd. 6,107
--------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 164,414 The Link REIT 338,200
0.0%
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 80,835 Cheung Kong Holdings Ltd. 995,070
0.6% 230,000 Hang Lung Properties Ltd. 576,604
91,491 Henderson Land Development Co., Ltd. 511,662
2,791 Hysan Development Co. Ltd. 7,302
9,500 Kerry Properties Ltd. 44,396
185,484 New World Development Ltd. 373,434
20,000 Shun Tak Holdings Ltd. 30,598
52,421 Sino Land Co. 122,387
88,324 Sun Hung Kai Properties Ltd. 1,014,585
64,077 Swire Pacific Ltd. Class A 688,278
52,107 Wharf Holdings Ltd. 192,597
------------
4,556,913
--------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 38,500 MTR Corp. 96,816
--------------------------------------------------------------------------------------------------------------
Semiconductors & 5,004 ASM Pacific Technology 27,856
Semiconductor Equipment - 0.0% 388,000 Solomon Systech International Ltd. 60,358
------------
88,214
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 69,500 Esprit Holdings Ltd. 776,015
120,394 Giordano International Ltd. 65,782
------------
841,797
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 59,353 Texwinca Holdings Ltd. 41,129
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 18,349 Hopewell Holdings 64,401
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 45,647 Hutchison Telecommunications
0.0% International Ltd. (c) $ 115,023
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 12,662,022
- ----------------------------------------------------------------------------------------------------------------------------------
Ireland - 0.9% Airlines - 0.1% 27,680 Ryanair Holdings Plc (c) 381,100
--------------------------------------------------------------------------------------------------------------
Beverages - 0.0% 17,289 C&C Group Plc 306,959
--------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 3,971 Kingspan Group Plc 105,362
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 55,472 Allied Irish Banks Plc 1,647,574
55,372 Bank of Ireland 1,279,137
18,026 Depfa Bank Plc 322,424
------------
3,249,135
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 35,471 CRH Plc 1,476,807
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 648 Fyffes Plc 1,523
--------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 20,458 Greencore Group Plc 126,386
2,825 Iaws Group Plc 72,345
4,615 Kerry Group Plc 115,322
------------
314,053
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 264 Paddy Power Plc 5,248
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 54,122 Waterford Wedgewood Plc Restricted
Shares (e) 5,358
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 2,954 DCC Plc 100,410
--------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 15,915 Irish Life & Permanent Plc 439,078
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 60,610 Independent News & Media Plc 240,824
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 21,926 Elan Corp. Plc (c) 311,141
--------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.0% 7,512 Grafton Group Plc 125,440
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland 7,062,438
- ----------------------------------------------------------------------------------------------------------------------------------
Italy - 3.7% Aerospace & Defense - 0.1% 17,512 Finmeccanica SpA 474,816
--------------------------------------------------------------------------------------------------------------
Automobiles - 0.1% 35,328 Fiat SpA 674,709
--------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 33,792 Mediobanca SpA 797,572
15,925 Mediolanum SpA 129,830
------------
927,402
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.4% 225,723 Banca Intesa SpA 1,743,092
43,593 Banca Intesa SpA (RNC) 318,222
52,548 Banca Monte dei Paschi di Siena SpA 340,308
30,908 Banca Popolare di Milano Scrl 535,989
24,515 Banche Popolari Unite Scrl 673,754
31,238 Banco Popolare di Verona e Novara Scrl 895,636
95,511 Capitalia SpA 903,985
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
77,907 Sanpaolo IMI SpA $ 1,809,997
457,392 UniCredito Italiano SpA 4,009,086
------------
11,230,069
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 5,058 Italcementi SpA 142,750
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 674,497 Telecom Italia SpA 2,038,939
- 0.4% 331,271 Telecom Italia SpA (RNC) 840,476
------------
2,879,415
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 269,409 Enel SpA 2,779,264
101,241 Terna SpA 343,462
------------
3,122,726
--------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 63,411 Snam Rete Gas SpA 359,766
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 4,375 Autogrill SpA 80,437
1,947 Lottomatica SpA 80,908
------------
161,345
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 258,277 Pirelli & C SpA 257,476
--------------------------------------------------------------------------------------------------------------
Insurance - 0.4% 28,503 Alleanza Assicurazioni SpA 380,090
59,533 Assicurazioni Generali SpA 2,614,564
6,294 Fondiaria-Sai SpA 301,178
24,773 Unipol SpA (Preference Shares) 80,217
------------
3,376,049
--------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.0% 27,235 Tiscali SpA (c) 90,849
--------------------------------------------------------------------------------------------------------------
Media - 0.1% 4,823 Arnoldo Mondadori Editore SpA (c) 50,423
12,331 Gruppo Editoriale L'Espresso SpA 67,226
49,526 Mediaset SpA 587,735
158,897 Seat Pagine Gialle SpA 94,703
------------
800,087
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.6% 149,876 ENI SpA 5,041,041
4,487 ENI SpA (a)(f) 301,885
------------
5,342,926
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 4,772 Benetton Group SpA 91,125
9,077 Bulgari SpA 128,807
5,417 Luxottica Group SpA 166,468
------------
386,400
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 20,529 Autostrade SpA $ 590,492
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy 30,817,277
- ----------------------------------------------------------------------------------------------------------------------------------
Japan - 20.8% Air Freight & Logistics - 0.1% 28,000 Yamato Transport Co., Ltd. 430,570
--------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 10,000 All Nippon Airways Co., Ltd. 35,377
88,000 Japan Airlines Corp. 156,766
------------
192,143
--------------------------------------------------------------------------------------------------------------
Auto Components - 0.5% 14,300 Aisin Seiki Co., Ltd. 479,450
40,000 Bridgestone Corp. 892,399
30,400 Denso Corp. 1,205,731
9,000 NGK Spark Plug Co., Ltd. 169,405
1,000 NHK Spring Co., Ltd. 10,512
6,400 NOK Corp. 125,843
11,900 Stanley Electric Co., Ltd. 238,490
16,000 Sumitomo Rubber Industries, Ltd. 206,647
1,000 Toyoda Gosei Co., Ltd. 23,150
9,400 Toyota Industries Corp. 432,066
------------
3,783,693
--------------------------------------------------------------------------------------------------------------
Automobiles - 2.1% 100,700 Honda Motor Co., Ltd. 3,977,060
125,300 Nissan Motor Co., Ltd. 1,508,801
171,800 Toyota Motor Corp. 11,491,349
10,000 Yamaha Motor Co., Ltd. 314,273
------------
17,291,483
--------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 15,200 Asahi Breweries Ltd. 243,317
200 Coca-Cola West Holdings Co. Ltd. 4,630
6,200 ITO EN, Ltd. 189,639
40,000 Kirin Brewery Co., Ltd. 628,881
25,000 Sapporo Holdings Ltd. 142,431
12,000 Takara Holdings, Inc. 77,341
------------
1,286,239
--------------------------------------------------------------------------------------------------------------
Building Products - 0.2% 48,100 Asahi Glass Co., Ltd. 577,984
2,000 Central Glass Co., Ltd. 11,462
13,100 Daikin Industries Ltd. 455,729
10,900 JS Group Corp. 229,440
40,000 Nippon Sheet Glass Co., Ltd. 187,555
27,000 Sanwa Shutter Corp. 159,724
21,000 Toto Ltd. 210,344
------------
1,832,238
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.5% 75,000 Daiwa Securities Group, Inc. $ 841,351
1,000 Jafco Co., Ltd. 49,410
10,300 Matsui Securities Co., Ltd. 78,156
8,000 Mitsubishi UFJ Securities Co. 88,870
41,500 Nikko Cordial Corp. 476,009
119,100 Nomura Holdings, Inc. 2,246,792
159 SBI E*trade Securities Co. Ltd. 150,977
714 SBI Holdings, Inc. 240,590
7,300 Shinko Securities Co., Ltd. 28,340
------------
4,200,495
--------------------------------------------------------------------------------------------------------------
Chemicals - 1.0% 58,000 Asahi Kasei Corp. 379,665
3,000 Daicel Chemical Industries Ltd. 21,150
28,000 Dainippon Ink and Chemicals, Inc. 109,172
5,000 Denki Kagaku Kogyo Kabushiki Kaisha 20,797
2,800 Hitachi Chemical Co., Ltd. 77,173
13,000 JSR Corp. 336,456
13,000 Kaneka Corp. 118,415
2,000 Kansai Paint Co., Ltd. 15,831
22,500 Kuraray Co., Ltd. 265,451
56,500 Mitsubishi Chemical Holdings Corp. 356,077
17,000 Mitsubishi Gas Chemical Co., Inc. 177,850
46,000 Mitsubishi Rayon Co., Ltd. 309,231
34,000 Mitsui Chemicals, Inc. 261,703
16,000 Nippon Kayaku Co., Ltd. 127,726
5,000 Nippon Sanso Corp. 45,040
16,000 Nissan Chemical Industries Ltd. 198,983
13,710 Nitto Denko Corp. 686,623
23,900 Shin-Etsu Chemical Co., Ltd. 1,600,630
86,000 Showa Denko KK 329,532
13,000 Sumitomo Bakelite Co., Ltd. 89,795
75,000 Sumitomo Chemical Co., Ltd. 581,698
64,000 Teijin Ltd. 394,202
17,000 Tokuyama Corp. 258,846
91,700 Toray Industries, Inc. 687,336
35,000 Tosoh Corp. 154,699
70,000 Ube Industries Ltd. 201,168
15,000 Zeon Corp. 162,094
------------
7,967,343
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.2% 11,000 The 77 Bank Ltd. $ 69,787
29,000 The Bank of Fukuoka Ltd. 211,520
8,000 The Bank of Kyoto Ltd. 74,619
81,000 The Bank of Yokohama Ltd. 634,360
52,000 The Chiba Bank Ltd. 439,578
13,000 The Gunma Bank Ltd. 78,106
56,100 Hokuhoku Financial Group, Inc. 205,534
24,000 The Joyo Bank Ltd. 132,499
496 Mitsubishi UFJ Financial Group, Inc. 6,126,801
39,000 Mitsui Trust Holdings, Inc. 447,662
545 Mizuho Financial Group, Inc. 3,892,694
21,000 The Nishi-Nippon City Bank Ltd. 90,349
244 Resona Holdings, Inc. 666,359
10 Sapporo Hokuyo Holdings, Inc. 96,635
133,000 Shinsei Bank Ltd. 782,320
25,000 The Shizuoka Bank Ltd. 248,099
352 Sumitomo Mitsui Financial Group, Inc. 3,608,588
65,000 The Sumitomo Trust & Banking Co., Ltd. 681,652
6,000 Suruga Bank Ltd. 74,316
------------
18,561,478
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.2% 7,300 Arrk Corp. 109,986
31,000 Dai Nippon Printing Co., Ltd. 478,787
139 The Goodwill Group, Inc. 113,298
4,500 Kokuyo Co., Ltd. 71,127
4,500 Meitec Corp. 136,507
10,200 Park24 Co. Ltd. 130,709
14,000 Secom Co., Ltd. 725,852
24,000 Toppan Printing Co., Ltd. 264,997
------------
2,031,263
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 7,000 Uniden Corp. 47,822
--------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.4% 121,000 Fujitsu Ltd. 949,658
15,600 Mitsumi Electric Co., Ltd. 343,448
137,000 NEC Corp. 655,040
5,200 Seiko Epson Corp. 126,499
185,000 Toshiba Corp. 1,204,781
------------
3,279,426
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.2% 8,457 COMSYS Holdings Corp. 93,663
12,000 Chiyoda Corp. 234,948
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
14,000 JGC Corp. $ 240,578
69,800 Kajima Corp. 306,169
8,000 Kinden Corp. 64,737
38,000 Nishimatsu Construction Co., Ltd. 125,490
29,000 Obayashi Corp. 188,127
13,000 Okumura Corp. 64,342
18,000 Shimizu Corp. 89,996
82,000 Taisei Corp. 250,124
3,000 Toda Corp. 12,731
------------
1,670,905
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 32,000 Sumitomo Osaka Cement Co., Ltd. 104,601
71,000 Taiheiyo Cement Corp. 278,022
------------
382,623
--------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.3% 3,010 Acom Co., Ltd. 101,172
8,500 Aeon Credit Service Co., Ltd. 161,065
6,600 Aiful Corp. 185,791
12,100 Credit Saison Co., Ltd. 416,873
200 Hitachi Capital Corp. 3,815
5,000 ORIX Corp. 1,447,418
3,400 Promise Co., Ltd. 105,710
10 Shohkoh Fund & Co., Ltd. 1,554
8,010 Takefuji Corp. 317,021
------------
2,740,419
--------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 5,000 Toyo Seikan Kaisha Ltd. 82,812
--------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 1,000 Canon Marketing Japan Inc. 22,730
--------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 0.0% 1,900 Benesse Corp. 72,325
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 280 Nippon Telegraph & Telephone Corp. 1,378,766
- 0.2%
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.8% 42,200 Chubu Electric Power Co., Inc. 1,262,401
7,100 Hokkaido Electric Power Co., Inc. 181,371
45,900 The Kansai Electric Power Co., Inc. 1,238,091
18,700 Kyushu Electric Power Co., Inc. 493,408
21,200 Tohoku Electric Power Co., Inc. 529,978
79,200 The Tokyo Electric Power Co., Inc. 2,562,245
------------
6,267,494
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 15,800 Fuji Electric Holdings Co., Ltd. 85,635
19,000 Fujikura Ltd. 167,161
41,000 Furukawa Electric Co., Ltd. 257,703
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
12,873 Matsushita Electric Works Ltd. $ 149,169
104,000 Mitsubishi Electric Corp. 949,069
36,500 Sumitomo Electric Industries Ltd. 570,480
2,900 Ushio, Inc. 59,582
------------
2,238,799
--------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments 16,900 Alps Electric Co., Ltd. 183,336
- 0.9% 17,500 Citizen Watch Co., Ltd. 133,965
13,000 Dainippon Screen Manufacturing Co.,
Ltd. 116,777
1,300 Hirose Electric Co., Ltd. 147,582
183,000 Hitachi Ltd. 1,141,011
26,700 Hoya Corp. 1,041,032
6,600 Ibiden Co., Ltd. 332,759
1,800 Keyence Corp. 446,048
10,600 Kyocera Corp. 999,387
1,100 Mabuchi Motor Co., Ltd. 65,443
10,500 Murata Manufacturing Co., Ltd. 710,264
5,300 Nidec Corp. 409,731
10,000 Nippon Electric Glass Co. 210,075
31,000 Oki Electric Industry Co., Ltd. 69,031
9,700 Omron Corp. 275,501
8,600 TDK Corp. 683,635
11,000 Taiyo Yuden Co., Ltd. 194,109
5,000 Yaskawa Electric Corp. 57,855
7,300 Yokogawa Electric Corp. 115,752
------------
7,333,293
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 33,500 Aeon Co., Ltd. 724,865
200 Circle K Sunkus Co., Ltd. 3,554
3,600 FamilyMart Co., Ltd. 98,013
2,200 Lawson, Inc. 78,753
3,000 Matsumotokiyoshi Co., Ltd. 66,678
49,300 Seven & I Holdings Co. Ltd. 1,532,793
4,000 UNY Co., Ltd. 52,099
------------
2,556,755
--------------------------------------------------------------------------------------------------------------
Food Products - 0.3% 44,000 Ajinomoto Co., Inc. 581,589
100 House Foods Corp. 1,649
16,600 Katokichi Co., Ltd. 134,468
17,000 Kikkoman Corp. 205,277
25,000 Meiji Dairies Corp. 196,840
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
26,000 Nichirei Corp. $ 3 145,725
3,000 Nippon Meat Packers, Inc. 32,772
11,000 Nisshin Seifun Group, Inc. 113,508
8,000 Nissin Food Products Co., Ltd. 296,458
12,500 QP Corp. 108,084
10,000 Toyo Suisan Kaisha, Ltd. 160,245
3,100 Yakult Honsha Co., Ltd. 89,089
6,000 Yamazaki Baking Co., Ltd. 58,182
------------
2,123,886
--------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 93,000 Osaka Gas Co., Ltd. 346,195
150,000 Tokyo Gas Co., Ltd. 797,866
------------
1,144,061
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 10,000 Olympus Corp. 314,273
12,000 Terumo Corp. 471,913
------------
786,186
--------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 300 Alfresa Holdings Corp. 18,125
6,300 Mediceo Paltac Holdings Co. Ltd. 119,377
1,900 Suzuken Co., Ltd. 71,526
------------
209,028
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 1,800 Oriental Land Co., Ltd. 94,231
39 ROUND ONE Corp. 115,357
------------
209,588
--------------------------------------------------------------------------------------------------------------
Household Durables - 1.0% 10,400 Casio Computer Co., Ltd. 235,956
3,100 Daito Trust Construction Co., Ltd. 142,229
27,000 Daiwa House Industry Co., Ltd. 469,644
26,500 HASEKO Corp. (c) 94,862
3,400 Makita Corp. 104,281
111,000 Matsushita Electric Industrial Co.,
Ltd. 2,215,243
25,600 Pioneer Corp. 351,501
118,000 Sanyo Electric Co., Ltd. (c) 149,725
19,000 Sekisui Chemical Co., Ltd. 151,515
38,000 Sekisui House Ltd. 553,372
64,000 Sharp Corp. 1,102,475
65,600 Sony Corp. 2,811,310
------------
8,382,113
--------------------------------------------------------------------------------------------------------------
Household Products - 0.1% 28,000 Kao Corp. 755,262
2,200 Uni-Charm Corp. 130,700
------------
885,962
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 3,000 CSK Holdings Corp. $ 128,062
700 Itochu Techno-Science Corp. 37,234
43 NET One Systems Co., Ltd. 56,729
55 NTT Data Corp. 275,451
1,300 Nomura Research Institute Ltd. 188,547
100 Obic Co., Ltd. 20,697
300 Otsuka Shokai Co., Ltd. 30,503
4,700 TIS, Inc. 111,176
------------
848,399
--------------------------------------------------------------------------------------------------------------
Independent Power Producers & Energy 11,400 Electric Power Development Co. 501,962
Traders - 0.1%
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 67,000 Hankyu Hanshin Holdings, Inc. 382,841
--------------------------------------------------------------------------------------------------------------
Insurance - 0.4% 39,300 Millea Holdings, Inc. 1,387,000
79,000 Mitsui Sumitomo Insurance Co., Ltd. 864,317
47,800 Sompo Japan Insurance, Inc. 584,421
12,550 T&D Holdings, Inc. 829,952
------------
3,665,690
--------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.0% 519 Rakuten, Inc. 241,608
--------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.1% 4 Access Co. Ltd. 18,453
179 eAccess Ltd. 101,078
156 Index Corp. 91,761
737 Yahoo! Japan Corp. 293,549
------------
504,841
--------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.3% 31,100 Fuji Photo Film Co., Ltd. 1,277,921
11,100 Namco Bandai Holdings, Inc. 162,762
21,000 Nikon Corp. 460,569
1,400 Sankyo Co., Ltd. (Gunma) 77,526
13,232 Sega Sammy Holdings, Inc. 356,915
3,200 Shimano, Inc. 92,769
6,400 Yamaha Corp. 135,524
------------
2,563,986
--------------------------------------------------------------------------------------------------------------
Machinery - 0.9% 18,000 Amada Co., Ltd. 190,731
9,100 Amano Corp. 114,242
9,500 Daifuku Co., Ltd. 150,796
39,000 Ebara Corp. 149,439
11,600 Fanuc Ltd. 1,142,406
5,000 Hino Motors Ltd. 25,713
8,400 Hitachi Construction Machinery Co., Ltd. 225,873
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
92,000 Ishikawajima-Harima Heavy Industries
Co., Ltd. $ 311,550
7,300 JTEKT Corp. 154,888
104,000 Kawasaki Heavy Industries Ltd. 390,639
58,000 Komatsu Ltd. 1,177,009
60,000 Kubota Corp. 555,607
2,800 Kurita Water Industries Ltd. 60,468
31,000 Minebea Co., Ltd. 216,730
187,200 Mitsubishi Heavy Industries Ltd. 851,016
46,000 Mitsui Engineering & Shipbuilding Co.,
Ltd. 149,590
22,000 NGK Insulators Ltd. 339,784
16,000 NSK Ltd. 157,708
15,000 NTN Corp. 134,490
15,000 OKUMA Corp. 173,942
700 OSG Corp. 11,470
2,500 SMC Corp. 354,607
30,000 Sumitomo Heavy Industries Ltd. 315,113
4,000 THK Co., Ltd. 103,189
28,000 The Japan Steel Works, Ltd. 218,814
------------
7,675,814
--------------------------------------------------------------------------------------------------------------
Marine - 0.2% 40,000 Kawasaki Kisen Kaisha Ltd. 312,928
69,000 Mitsui OSK Lines Ltd. 680,694
75,000 Nippon Yusen Kabushiki Kaisha 548,296
------------
1,541,918
--------------------------------------------------------------------------------------------------------------
Media - 0.1% 600 Asatsu-DK, Inc. 19,058
86 Dentsu, Inc. 252,208
58 Fuji Television Network, Inc. 132,566
500 Hakuhodo DY Holdings, Inc. 32,478
4,600 Toho Co., Ltd. 83,106
3,700 Tokyo Broadcasting System, Inc. 123,432
------------
642,848
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.9% 26,000 DAIDO STEEL CO., LTD. 172,816
7,000 Dowa Mining Co., Ltd. 59,880
34,700 JFE Holdings, Inc. 1,787,412
140,000 Kobe Steel Ltd. 479,980
80,000 Mitsubishi Materials Corp. 300,492
42,000 Mitsui Mining & Smelting Co., Ltd. 210,344
1,800 Nippon Light Metal Co., Ltd. 4,613
419,000 Nippon Steel Corp. 2,408,269
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
39,000 Nisshin Steel Co., Ltd. $ 144,851
263,000 Sumitomo Metal Industries Ltd. 1,142,565
38,000 Sumitomo Metal Mining Co., Ltd. 487,593
1,600 Sumitomo Titanium Corp. 178,950
600 Toho Titanium Co. Ltd. 31,511
2,100 Tokyo Steel Manufacturing Co., Ltd. 32,928
------------
7,442,204
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.2% 8,000 Daimaru, Inc. 108,432
6,000 Hankyu Department Stores 50,015
9,700 Isetan Co., Ltd. 175,245
38,700 Marui Co., Ltd. 451,373
38,000 Mitsukoshi Ltd. 177,858
1,700 Ryohin Keikaku Co., Ltd. 130,137
22,000 Takashimaya Co., Ltd. 310,945
------------
1,404,005
--------------------------------------------------------------------------------------------------------------
Office Electronics - 0.6% 60,600 Canon, Inc. 3,411,789
34,500 Konica Minolta Holdings, Inc. 487,038
45,000 Ricoh Co., Ltd. 918,869
------------
4,817,696
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.2% 40 Inpex Holdings, Inc. (c) 328,726
49,500 Nippon Mining Holdings, Inc. 356,052
86,000 Nippon Oil Corp. 575,236
11,400 Showa Shell Sekiyu KK 127,598
9,000 TonenGeneral Sekiyu KK 89,164
------------
1,476,776
--------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 37 Nippon Paper Group, Inc. 139,599
49,000 OJI Paper Co., Ltd. 260,224
------------
399,823
--------------------------------------------------------------------------------------------------------------
Personal Products - 0.1% 5,500 Aderans Co., Ltd. 136,570
17,000 Shiseido Co., Ltd. 368,556
------------
505,126
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.1% 37,500 Astellas Pharma, Inc. 1,704,760
21,000 Chugai Pharmaceutical Co., Ltd. 433,217
40,300 Daiichi Sankyo Co. Ltd. 1,259,745
16,600 Eisai Co., Ltd. 912,264
10,000 Kaken Pharmaceutical Co., Ltd. 78,064
11,000 Kyowa Hakko Kogyo Co., Ltd. 94,189
5,000 Santen Pharmaceutical Co., Ltd. 140,750
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
21,000 Shionogi & Co., Ltd. $ 412,924
6,000 Taisho Pharmaceutical Co., Ltd. 109,155
57,500 Takeda Pharmaceutical Co., Ltd. 3,947,523
13,000 Tanabe Seiyaku Co., Ltd. 169,867
------------
9,262,458
--------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 47 Japan Prime Realty Investment Corp. 170,615
0.1% 33 Japan Real Estate Investment Corp. 354,943
12 Japan Retail Fund Investment Corp. 97,811
35 Nippon Building Fund, Inc. 464,686
21 Nomura Real Estate Office Fund, Inc. 192,345
------------
1,280,400
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 122 KK DaVinci Advisors (c) 120,970
0.6% 5,800 Leopalace21 Corp. 185,202
72,000 Mitsubishi Estate Co., Ltd. 1,863,451
53,000 Mitsui Fudosan Co., Ltd. 1,293,769
20 NTT Urban Development Co. 38,654
25,000 Sumitomo Realty & Development Co., Ltd. 802,487
21,000 Tokyo Tatemono Co., Ltd. 233,990
24,000 Tokyu Land Corp. 226,276
------------
4,764,799
--------------------------------------------------------------------------------------------------------------
Road & Rail - 0.6% 97 Central Japan Railway Co. 1,002,563
241 East Japan Railway Co. 1,609,974
14,000 Keihin Electric Express Railway Co.,
Ltd. 96,466
19,000 Keio Electric Railway Co., Ltd. 122,936
33,000 Keisei Electric Railway Co., Ltd. 187,732
67,000 Kintetsu Corp. 195,362
35,000 Nippon Express Co., Ltd. 191,463
24,000 Odakyu Electric Railway Co., Ltd. 153,473
13,000 Seino Holdings Corp. 122,129
38,000 Tobu Railway Co., Ltd. 183,606
49,000 Tokyu Corp. 313,752
121 West Japan Railway Co. 517,533
------------
4,696,989
--------------------------------------------------------------------------------------------------------------
Semiconductors & 12,800 Advantest Corp. 733,549
Semiconductor Equipment - 0.4% 7,000 Elpida Memory, Inc. (c) 384,690
1,300 NEC Electronics Corp. (c) 38,015
5,800 Rohm Co., Ltd. 577,539
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
12,000 Sanken Electric Co., Ltd. $ 148,128
1,400 Shinko Electric Industries 36,587
3,700 Sumco Corp. 312,777
12,100 Tokyo Electron Ltd. 953,725
3,800 Tokyo Seimitsu Co. Ltd. 179,455
------------
3,364,465
--------------------------------------------------------------------------------------------------------------
Software - 0.3% 4,000 Fuji Soft, Inc. 94,786
3,600 Konami Corp. 108,903
6,800 Nintendo Co., Ltd. 1,765,640
900 Oracle Corp. Japan 41,670
5,000 Trend Micro, Inc. 146,632
------------
2,157,631
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.2% 2,600 Aoyama Trading Co., Ltd. 77,997
3,900 Autobacs Seven Co., Ltd. 142,557
200 EDION Corp. 2,966
3,200 Fast Retailing Co., Ltd. 305,466
500 Nitori Co., Ltd. 21,722
5,800 Shimachu Co., Ltd. 168,144
600 Shimamura Co., Ltd. 68,921
680 USS Co., Ltd. 44,284
6,000 Yamada Denki Co., Ltd. 509,222
------------
1,341,279
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.1% 13,000 Asics Corp. 163,203
22,000 Gunze Ltd. 110,550
1,000 Nisshinbo Industries, Inc. 10,361
7,000 Onward Kashiyama Co., Ltd. 89,349
11,000 Tokyo Style Co., Ltd. 118,961
4,000 Toyobo Co., Ltd. 12,067
11,000 Wacoal Holdings Corp. 149,464
------------
653,955
--------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 286 Japan Tobacco, Inc. 1,381,875
--------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.7% 1,300 Hitachi High-Technologies Corp. 38,671
79,000 Itochu Corp. 648,569
92,000 Marubeni Corp. 466,938
91,300 Mitsubishi Corp. 1,718,516
98,000 Mitsui & Co., Ltd. 1,465,821
56,800 Sojitz Corp. (c) 172,779
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
65,000 Sumitomo Corp. $ 972,774
9,000 Toyota Tsusho Corp. 241,250
------------
5,725,318
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 4,000 Kamigumi Co., Ltd. 32,738
7,000 Mitsubishi Logistics Corp. 108,642
------------
141,380
--------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 153 KDDI Corp. 1,037,528
0.4% 1,040 NTT DoCoMo, Inc. 1,642,956
52,000 Softbank Corp. 1,011,554
------------
3,692,038
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan 172,470,062
- ----------------------------------------------------------------------------------------------------------------------------------
Luxembourg - 0.0% Personal Products - 0.0% 983 Oriflame Cosmetics SA 40,492
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Luxembourg 40,492
- ----------------------------------------------------------------------------------------------------------------------------------
Netherlands - 3.5% Air Freight & Logistics - 0.2% 32,180 TNT NV 1,383,967
--------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 14,060 Heineken NV 668,711
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 16,780 Akzo Nobel NV 1,023,568
11,212 Koninklijke DSM NV 553,977
------------
1,577,545
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 117,826 ABN AMRO Holding NV 3,787,292
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 2,045 Buhrmann NV 30,396
1,639 Randstad Holdings NV 113,370
14,040 Vedior NV 291,160
------------
434,926
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.7% 6,311 Euronext NV 745,607
110,603 ING Groep NV CVA 4,904,171
------------
5,649,778
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 118,171 Koninklijke KPN NV 1,680,023
- 0.2%
--------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.1% 1,755 Fugro NV 83,864
10,642 SBM Offshore NV 365,948
------------
449,812
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 114,113 Koninklijke Ahold NV (c) 1,214,112
--------------------------------------------------------------------------------------------------------------
Food Products - 0.4% 9,232 Royal Numico NV 496,606
104,813 Unilever NV 2,864,008
------------
3,360,614
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.3% 72,702 Koninklijke Philips Electronics NV 2,741,860
--------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 3,472 Getronics NV 28,141
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.2% 87,144 Aegon NV $ 1,661,091
--------------------------------------------------------------------------------------------------------------
Media - 0.1% 46,585 Reed Elsevier NV 794,506
14,590 Wolters Kluwer NV 419,664
------------
1,214,170
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.2% 40,365 Mittal Steel Co. NV 1,703,931
--------------------------------------------------------------------------------------------------------------
Office Electronics - 0.0% 283 OCE NV 4,629
--------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 1,615 Corio NV 131,963
0.1% 3,893 Rodamco Europe NV 518,005
514 Wereldhave NV 68,461
------------
718,429
--------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 32,419 ASML Holding NV (c) 806,249
Equipment - 0.1%
--------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.0% 44,583 Hagemeyer NV (c) 225,990
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 29,311,270
- ----------------------------------------------------------------------------------------------------------------------------------
New Zealand - 0.0% Construction Materials - 0.0% 19,230 Fletcher Building Ltd. 149,710
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 107,247 Telecom Corp. of New Zealand Ltd. 367,225
- 0.0%
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 20,226 Contact Energy Ltd. 118,562
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 41,926 Fisher & Paykel Healthcare Corp. 125,836
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 1,792 Sky City Ltd. 6,489
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 27,665 Fisher & Paykel Appliances Holdings
Ltd. 74,847
--------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 5,372 Tower Ltd. (c) 8,364
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 241 Sky Network Television Ltd. 1,112
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 14,918 Warehouse Group Ltd. 75,675
--------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 999 Kiwi Income Property Trust 1,084
0.0%
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 58,991 Auckland International Airport Ltd. 91,021
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand 1,019,925
- ----------------------------------------------------------------------------------------------------------------------------------
Norway - 0.9% Airlines - 0.0% 2,392 SAS AB (c) 39,706
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 12,450 Yara International ASA 283,036
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 33,999 DnB NOR ASA 482,569
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 19,529 Tomra Systems ASA 134,678
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 12,041 Tandberg ASA 181,526
4,857 Tandberg Television ASA (c) 60,915
------------
242,441
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 17,195 Telenor ASA $ 323,344
- 0.1% 8,600 Telenor ASA (a) 485,298
------------
808,642
--------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.2% 8,590 Acergy SA (c) 165,319
1,946 Aker Kvaerner ASA 242,813
16,804 Ocean RIG ASA (c) 123,702
13,236 Petroleum Geo-Services ASA 310,988
5,750 ProSafe ASA 81,613
8,780 TGS Nopec Geophysical Co. ASA (c) 181,649
------------
1,106,084
--------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 158,887 PAN Fish ASA (c) 145,249
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 9,805 Orkla ASA 555,101
--------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 19,838 Storebrand ASA 252,302
--------------------------------------------------------------------------------------------------------------
Marine - 0.0% 400 Stolt-Nielsen SA 12,253
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 3,218 Schibsted ASA 115,091
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.4% 82,261 DET Norske Oljeselskap 151,720
3,194 Frontline Ltd. 102,963
50,751 Norsk Hydro ASA 1,574,981
37,007 Statoil ASA 980,788
------------
2,810,452
--------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 4,797 Norske Skogindustrier ASA 82,704
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway 7,070,308
- ----------------------------------------------------------------------------------------------------------------------------------
Portugal - 0.3% Commercial Banks - 0.1% 23,822 Banco BPI SA 185,847
104,523 Banco Comercial Portugues SA Registered
Shares 386,330
9,325 Banco Espirito Santo SA Registered
Shares 167,654
------------
739,831
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 13,841 Cimpor Cimentos de Portugal SA 114,923
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 52,568 Portugal Telecom SGPS SA Registered
- 0.1% Shares 682,818
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 131,784 Energias de Portugal SA 668,009
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 3,659 Jeronimo Martins 82,111
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 38,165 Sonae SGPS SA 76,073
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 3,893 PT Multimedia Servicos de
Telecomunicacoes e Multimedia SGPS SA 50,156
--------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 2,587 Sonae Industria SGPS SA (c) 25,612
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 10,489 Brisa-Auto Estradas de Portugal SA
Private Shares $ 130,844
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Portugal 2,570,377
- ----------------------------------------------------------------------------------------------------------------------------------
Singapore - 0.9% Aerospace & Defense - 0.0% 52,213 Singapore Technologies Engineering Ltd. 104,852
--------------------------------------------------------------------------------------------------------------
Air Freight & Logistics - 0.0% 127,954 Singapore Post Ltd. 90,934
--------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 24,582 Singapore Airlines Ltd. 280,479
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 75,605 DBS Group Holdings Ltd. 1,114,049
171,914 Oversea-Chinese Banking Corp. 863,073
77,572 United Overseas Bank Ltd. 981,188
------------
2,958,310
--------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 5,357 Creative Technology Ltd. 35,626
--------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 3,529 Jardine Cycle & Carriage Ltd. 34,053
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 76,000 Singapore Exchange Ltd. 282,445
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 386,132 Singapore Telecommunications Ltd. 825,762
- 0.1%
--------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 5,000 Venture Corp. Ltd. 44,010
0.0%
--------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 79,800 Parkway Holdings Ltd. 163,372
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 20,675 Fraser and Neave Ltd. 60,660
1,766 Haw Par Corp. Ltd. 8,175
41,914 Keppel Corp. Ltd. 480,969
23,590 SembCorp Industries Ltd. 59,062
------------
608,866
--------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 74,427 SembCorp Marine Ltd. 164,989
--------------------------------------------------------------------------------------------------------------
Marine - 0.0% 92,002 Cosco Corp. (Singapore) Ltd. 137,966
1,200 Neptune Orient Lines Ltd. 1,635
------------
139,601
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 91,316 Singapore Press Holdings Ltd. 254,822
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 194 Singapore Petroleum Co. Ltd. 551
--------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 1,152 Ascendas Real Estate Investment Trust 2,005
0.0% 4,000 Capita Commercial Trust 6,833
7,000 CapitaMall Trust 13,281
141,000 Suntec Real Estate Investment Trust 167,315
------------
189,434
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 139,833 CapitaLand Ltd. 565,258
0.1% 42,535 City Developments Ltd. 352,205
4,182 Keppel Land Ltd. 18,814
7,457 UOL Group Ltd. 21,101
78,100 Wing Tai Holdings Ltd. 116,100
------------
1,073,478
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 95,816 ComfortDelgro Corp. Ltd. $ 100,579
--------------------------------------------------------------------------------------------------------------
Semiconductors & 83,122 Chartered Semiconductor Manufacturing
Semiconductor Equipment - 0.0% Ltd. (c) 77,787
35,000 STATS ChipPAC Ltd. (c) 26,699
------------
104,486
--------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.0% 1,100 Noble Group Ltd. 789
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore 7,457,438
- ----------------------------------------------------------------------------------------------------------------------------------
Spain - 3.9% Airlines - 0.0% 29,434 Iberia Lineas Aereas de Espana 107,238
--------------------------------------------------------------------------------------------------------------
Biotechnology - 0.0% 13,970 Zeltia SA (c) 102,901
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.6% 226,568 Banco Bilbao Vizcaya Argentaria SA 5,455,218
57,281 Banco Popular Espanol SA 1,038,173
351,590 Banco Santander Central Hispano SA 6,562,580
------------
13,055,971
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.3% 15,679 ACS Actividades de Construccion y
Servicios, SA 883,968
1,216 Acciona SA 226,490
2,241 Fomento de Construcciones y Contratas
SA 228,375
4,825 Grupo Ferrovial SA 471,004
4,860 Sacyr Vallehermoso SA 288,694
------------
2,098,531
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 266,279 Telefonica SA 5,666,184
- 0.7% 1,124 Telefonica SA (a) 71,655
------------
5,737,839
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.6% 46,405 Endesa SA 2,194,827
48,106 Iberdrola SA 2,103,189
5,815 Union Fenosa SA 287,852
------------
4,585,868
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 11,492 Gamesa Corp. Tecnologica SA 316,294
--------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 1,312 Azucarera Ebro Agricolas, SA 33,252
--------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 8,680 Gas Natural SDG SA 343,625
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 7,075 NH Hoteles SA 140,183
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 1,463 Fadesa Inmobiliara SA 67,883
--------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 10,794 Indra Sistemas SA 265,166
--------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 37,845 Corp. Mapfre SA 170,853
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Media - 0.0% 8,345 Antena 3 de Television SA $ 196,521
240 Promotora de Informaciones SA 4,185
666 Sogecable SA (c) 23,737
------------
224,443
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 12,905 Acerinox SA 392,661
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.2% 59,305 Repsol YPF SA 2,051,074
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 11,463 Inditex SA 617,524
--------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 20,793 Altadis SA 1,088,301
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 10,657 Abertis Infraestructuras SA 316,524
18,185 Cintra Concesiones de Infraestructuras
de Transporte SA 304,864
------------
621,388
--------------------------------------------------------------------------------------------------------------
Water Utilities - 0.0% 32 Aguas De Barcelona 1,172
3,213 Sociedad General de Aguas de Barcelona
SA Class A 117,696
------------
118,868
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain 32,139,863
- ----------------------------------------------------------------------------------------------------------------------------------
Sweden - 2.3% Airlines - 0.0% 1,617 SAS AB (c) 27,337
--------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 20,377 Assa Abloy AB B 443,499
--------------------------------------------------------------------------------------------------------------
Capital Markets - 0.0% 6,838 D Carnegie AB 147,329
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 111,951 Nordea Bank AB 1,725,229
28,753 Skandinaviska Enskilda Banken AB
Class A 913,500
32,212 Svenska Handelsbanken Class A 973,990
------------
3,612,719
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 23,048 Securitas AB 357,708
23,048 Securitas Systems AB (c) 93,257
------------
450,965
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.4% 821,376 Telefonaktiebolaget LM Ericsson 3,317,443
1,307 Telefonaktiebolaget LM Ericsson (a) 52,581
------------
3,370,024
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 21,605 Skanska AB Class B 426,044
--------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 0.0% 23,048 Securitas Direct AB (c) 73,057
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 1,210 OMHEX AB 22,270
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 17,466 Tele2 AB 255,129
- 0.1% 85,201 TeliaSonera AB 700,057
------------
955,186
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 20 Axfood AB 827
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 7,749 Elekta AB $ 163,278
5,920 Getinge AB Class B 132,738
------------
296,016
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 20,368 Electrolux AB Series B 407,601
17,771 Husqvarna AB (c) 277,755
------------
685,356
--------------------------------------------------------------------------------------------------------------
Machinery - 0.6% 7,167 Alfa Laval AB 323,491
27,979 Atlas Copco AB 939,997
8,816 Atlas Copco AB Class B 285,885
28,900 SKF AB Class B 534,016
58,096 Sandvik AB 844,375
1 Scana AB Class A 72
7,505 Scania AB Class B 527,305
6,544 Trelleborg AB Class B 156,767
4,380 Volvo AB Class A 310,940
11,529 Volvo AB Class B 794,035
------------
4,716,883
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 16,001 Eniro AB 211,525
2,610 Modern Times Group AB 171,561
------------
383,086
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 19,122 Boliden AB 491,600
2,520 Hoganas AB 66,074
5,201 SSAB Svenskt Stal AB Series A 123,454
------------
681,128
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 7,502 Lundin Petroleum AB (c) 87,119
--------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 6,721 Billerud AB 119,282
945 Holmen AB Class B 41,135
12,430 Svenska Cellulosa AB 649,103
------------
809,520
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development 2,369 Castellum AB 31,577
- 0.0% 1,218 Fabege AB 32,647
4,619 Kungsleden AB 70,844
6,033 Wihlborgs Fastigheter AB 125,799
------------
260,867
--------------------------------------------------------------------------------------------------------------
Software - 0.0% 37,000 Telelogic AB (c) 82,691
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.2% 26,180 Hennes & Mauritz AB B Shares 1,323,159
785 Nobia AB 30,215
------------
1,353,374
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.0% 18,950 Swedish Match AB $ 354,312
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden 19,239,609
- ----------------------------------------------------------------------------------------------------------------------------------
Switzerland - 6.7% Auto Components - 0.0% 81 Rieter Holding AG 42,378
--------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% 401 Serono SA 360,028
--------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 178 Geberit AG Registered Shares 274,341
--------------------------------------------------------------------------------------------------------------
Capital Markets - 1.5% 69,210 Credit Suisse Group 4,842,144
128,266 UBS AG 7,794,910
------------
12,637,054
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.3% 5,765 Ciba Specialty Chemicals AG Registered
Shares 383,466
9,641 Clariant AG 144,397
414 Givaudan 383,251
3,377 Lonza Group AG Registered Shares 291,833
6,888 Syngenta AG 1,281,502
------------
2,484,449
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.1% 9,114 Adecco SA Registered Shares 622,684
197 SGS SA 219,554
------------
842,238
--------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 8,415 Logitech International SA (c) 242,747
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 13,297 Holcim Ltd. 1,218,937
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 1,382 Swisscom AG 523,141
- 0.1%
--------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 122,869 ABB Ltd. 2,203,273
--------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 1,880 Kudelski SA 70,818
0.0%
--------------------------------------------------------------------------------------------------------------
Food Products - 1.1% 25,319 Nestle SA Registered Shares 8,997,232
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 1,726 Nobel Biocare Holding AG 510,293
2,121 Phonak Holding AG Registered Shares 168,844
147 Straumann Holding AG Registered Shares 35,589
2,100 Synthes, Inc. 250,414
------------
965,140
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 52 Kuoni Reisen Holding AG Registered
Shares 27,824
--------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 21,677 Swiss Reinsurance Registered Shares 1,843,034
9,200 Zurich Financial Services AG 2,476,487
------------
4,319,521
--------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 680 SIG Holding AG Registered Shares 227,132
1,602 Schindler Holding AG 100,774
212 Sulzer AG 241,316
------------
569,222
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Marine - 0.0% 2,295 Kuehne & Nagel International AG $ 166,969
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 2.0% 149,259 Novartis AG Registered Shares 8,605,207
44,819 Roche Holding AG 8,036,891
------------
16,642,098
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 1,750 PSP Swiss Property AG 100,533
0.0%
--------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 1,096 Micronas Semiconductor Holding AG
Equipment - 0.1% Registered Shares 24,106
534 Unaxis Holding AG 264,042
------------
288,148
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.3% 31,889 Compagnie Financiere Richemont AG 1,858,120
2,074 The Swatch Group Ltd. Bearer Shares 458,288
1,347 The Swatch Group Ltd. Registered Shares 60,247
------------
2,376,655
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland 55,352,746
- ----------------------------------------------------------------------------------------------------------------------------------
United Aerospace & Defense - 0.4% 207,048 BAE Systems Plc 1,725,974
Kingdom - 22.5% 42,037 Cobham Plc 159,471
21,337 Meggitt Plc 129,510
119,228 Rolls-Royce Group Plc 1,045,256
------------
3,060,211
--------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 42,297 British Airways Plc (c) 436,858
--------------------------------------------------------------------------------------------------------------
Auto Components - 0.0% 26,489 GKN Plc 144,185
1,025 TI Automotive Ltd. A (c) 0
------------
144,185
--------------------------------------------------------------------------------------------------------------
Beverages - 0.6% 171,754 Diageo Plc 3,371,319
51,759 SABMiller Plc 1,190,782
52,913 Scottish & Newcastle Plc 579,657
------------
5,141,758
--------------------------------------------------------------------------------------------------------------
Capital Markets - 0.4% 32,856 3i Group Plc 649,426
49,741 Amvescap Plc 580,456
3,153 Close Brothers Group Plc 62,754
7,338 Collins Stewart Plc 36,494
18,743 ICAP Plc 175,602
14,255 Investec Plc 184,073
125,091 Man Group Plc 1,280,350
3,844 Schroders Plc 83,996
7,338 Tullett Prebon Plc 93,390
------------
3,146,541
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 60,300 Imperial Chemical Industries Plc $ 533,660
9,693 Johnson Matthey Plc 267,410
------------
801,070
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 4.2% 416,115 Barclays Plc 5,947,643
223,922 HBOS Plc 4,963,086
697,941 HSBC Holdings Plc 12,722,634
365,971 Lloyds TSB Group Plc 4,095,166
194,197 Royal Bank of Scotland Group Plc 7,578,067
------------
35,306,596
--------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.3% 3,707 Aggreko Plc 31,610
32,898 Biffa Plc 197,750
29,504 Capita Group Plc 350,654
1,132 Davis Service Group Plc 11,171
4,493 De La Rue Plc 56,698
77,227 Experian Group Ltd. 906,498
47,349 Group 4 Securicor Plc 174,292
62,856 Hays Plc 195,990
3,299 Intertek Group Plc 53,839
9,332 Michael Page International Plc 82,635
177,456 Rentokil Initial Plc 575,908
15,590 Serco Group Plc 116,605
------------
2,753,650
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 1 Telent Plc 9
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 29,608 Amec Plc 244,352
22,845 Balfour Beatty Plc 198,154
------------
442,506
--------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 49,435 Hanson Plc 745,789
--------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.0% 8,195 Cattles Plc 70,481
12,919 Provident Financial Plc 177,446
------------
247,927
--------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 41,107 Rexam Plc 422,958
--------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 19,151 Inchcape Plc 189,736
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 16,714 London Stock Exchange Group Plc 428,707
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 534,108 BT Group Plc 3,153,008
- 0.4% 177,506 Cable & Wireless Plc 548,266
------------
3,701,274
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 48,478 Scottish & Southern Energy Plc $ 1,475,042
95,732 Scottish Power Plc 1,402,062
788 Scottish Power Plc (a) 46,043
------------
2,923,147
--------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 17,536 Electrocomponents Plc 100,688
0.0% 4,873 Premier Farnell Plc 18,844
------------
119,532
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.6% 47,054 Boots Group Plc 771,596
99,389 J Sainsbury Plc 796,408
466,946 Tesco Plc 3,698,229
------------
5,266,233
--------------------------------------------------------------------------------------------------------------
Food Products - 0.5% 134,855 Cadbury Schweppes Plc 1,442,998
35,538 Tate & Lyle Plc 534,743
70,596 Unilever Plc 1,973,863
------------
3,951,604
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 3,701 SSL International Plc 26,794
66,638 Smith & Nephew Plc 695,437
------------
722,231
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.6% 12,185 Carnival Plc 617,445
130,207 Compass Group Plc 739,334
18,364 Enterprise Inns Plc 486,490
12,460 First Choice Holidays Plc 69,530
25,835 Intercontinental Hotels Group Plc 638,376
50,230 Ladbrokes Plc 411,346
31,362 Mitchells & Butlers Plc 436,291
132,999 PartyGaming Plc 82,680
12,013 Punch Taverns Plc 300,837
82,916 Rank Group Plc 379,488
16,441 Whitbread Plc 539,202
26,415 William Hill Plc 326,871
------------
5,027,890
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.2% 18,920 Barratt Developments Plc 457,506
3,761 Bellway Plc 113,700
2,981 Berkeley Group Holdings Plc 99,867
2,804 Bovis Homes Group Plc 59,514
17,405 Persimmon Plc 520,041
47,202 Taylor Woodrow Plc 393,943
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
32,819 Wimpey George Plc $ 358,887
------------
2,003,458
--------------------------------------------------------------------------------------------------------------
Household Products - 0.2% 35,555 Reckitt Benckiser Plc 1,624,838
--------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 117,472 LogicaCMG Plc 427,815
--------------------------------------------------------------------------------------------------------------
Independent Power Producers & 77,818 International Power Plc 581,658
Energy Traders - 0.1%
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 17,160 Cookson Group Plc 211,002
39,451 Smiths Group Plc 765,878
72,384 Tomkins Plc 348,293
------------
1,325,173
--------------------------------------------------------------------------------------------------------------
Insurance - 1.1% 154,525 Aviva Plc 2,487,020
125,413 Friends Provident Plc 532,857
387,589 Legal & General Group Plc 1,195,255
295,614 Old Mutual Plc 1,008,571
163,934 Prudential Plc 2,245,254
33,686 Resolution Plc 423,111
41,367 Royal & Sun Alliance Insurance Group 123,519
143,513 Standard Life Plc (c) 831,045
------------
8,846,632
--------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.1% 74,413 Home Retail Group 597,367
--------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 4,694 Charter Plc (c) 83,176
10,160 FKI Plc 20,540
11,555 IMI Plc 114,706
36,802 Invensys Plc (c) 198,339
------------
416,761
--------------------------------------------------------------------------------------------------------------
Media - 0.8% 74,833 Aegis Group Plc 205,130
78,272 British Sky Broadcasting Plc 799,992
11,572 Daily Mail & General Trust 162,456
62,341 EMI Group Plc 323,466
7,829 Emap Plc 123,782
282,651 ITV Plc 589,398
43,313 Pearson Plc 654,279
84,322 Reed Elsevier Plc 925,391
86,174 Reuters Group Plc 751,257
10,641 Trinity Mirror Plc 97,820
14,647 United Business Media Plc 198,742
77,986 WPP Group Plc 1,054,360
54,986 Yell Group Plc 613,671
------------
6,499,744
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.5% 84,731 Anglo American Plc $ 4,132,613
162,463 BHP Billiton Plc 2,972,641
60,404 Corus Group Plc 627,422
62,276 Rio Tinto Plc Registered Shares 3,314,201
34,773 Xstrata Plc 1,736,165
------------
12,783,042
--------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.6% 232,352 Centrica Plc 1,612,766
181,780 National Grid Plc 2,623,145
58,970 United Utilities Plc 900,605
------------
5,136,516
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.3% 94,151 Marks & Spencer Group Plc 1,321,760
19,926 Next Plc 702,265
------------
2,024,025
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 3.6% 226,113 BG Group Plc 3,068,085
1,174,823 BP Plc 13,054,100
3,749 BP Plc (a)(f) 251,558
223,403 Royal Dutch Shell Plc 7,807,929
163,342 Royal Dutch Shell Plc Class B 5,724,790
------------
29,906,462
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.8% 99,175 AstraZeneca Plc 5,328,377
347,078 GlaxoSmithKline Plc 9,133,453
800 GlaxoSmithKline Plc (a) 42,208
------------
14,504,038
--------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 37,898 British Land Co. Plc 1,271,850
0.5% 6,639 Brixton Plc 74,874
2,361 Great Portland Estates Plc 32,059
20,408 Hammerson Plc 630,145
30,412 Land Securities Group Plc 1,383,257
12,636 Liberty International Plc 345,385
28,334 Slough Estates Plc 435,775
------------
4,173,345
--------------------------------------------------------------------------------------------------------------
Road & Rail - 0.1% 9,456 Arriva Plc 141,452
31,384 Firstgroup Plc 353,333
8,934 National Express Group Plc 197,666
30,764 Stagecoach Group Plc 92,160
------------
784,611
--------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & 106,517 ARM Holdings Plc $ 262,262
Semiconductor Equipment - 0.1% 12,703 CSR Plc (c) 161,670
------------
423,932
--------------------------------------------------------------------------------------------------------------
Software - 0.1% 21,202 Misys Plc 89,772
96,718 Sage Group Plc 513,198
------------
602,970
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.2% 94,643 DSG International Plc 354,867
24,803 Galiform Plc 66,411
45,858 HMV Group Plc 128,623
45,703 Kesa Electricals Plc 303,580
161,844 Kingfisher Plc 755,777
76,918 Signet Group Plc 178,466
8,083 The Carphone Warehouse PLC 49,695
------------
1,837,419
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.1% 34,804 Burberry Group Plc 439,880
--------------------------------------------------------------------------------------------------------------
Tobacco - 0.6% 90,180 British American Tobacco Plc 2,523,197
49,599 Gallaher Group Plc 1,113,411
39,269 Imperial Tobacco Group Plc 1,545,448
------------
5,182,056
--------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.2% 19,858 Bunzl Plc 244,371
4,402 Travis Perkins Plc 171,002
49,141 Wolseley Plc 1,186,358
------------
1,601,731
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 42,037 BBA Aviation Plc 225,112
--------------------------------------------------------------------------------------------------------------
Water Utilities - 0.1% 16,392 Kelda Group Plc 297,202
17,252 Severn Trent Plc 496,553
------------
793,755
--------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 3,133,112 Vodafone Group Plc 8,680,425
1.1% 3,655 Vodafone Group Plc (a) 101,536
------------
8,781,961
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
United Kingdom 186,504,713
- ----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $553,557,827) - 93.5% 776,346,593
- ----------------------------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series Trust
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
United States 284,277 iShares MSCI EAFE Index Fund (f) $ 20,826,133
- - 2.5%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost - $17,644,632) - 2.5% 20,826,133
- ----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ----------------------------------------------------------------------------------------------------------------------------------
Germany - 0.3% Automobiles - 0.2% 560 Porsche AG 712,657
5,211 Volkswagen AG, 4.35% 388,994
------------
1,101,651
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 4,091 Henkel KGaA, 1.75% 602,026
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 5,011 ProSieben SAT.1 Media AG, 2.24% 164,376
- ----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.0% 1,869 RWE AG, 3.50% 177,636
- ----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(Cost - $1,109,749) - 0.3% 2,045,689
- ----------------------------------------------------------------------------------------------------------------------------------
Rights
- ----------------------------------------------------------------------------------------------------------------------------------
Japan - 0.0% Metals & Mining - 0.0% 7,000 Dowa Mining Co., Ltd. (e) 0
- ----------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $0) - 0.0% 0
- ----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ----------------------------------------------------------------------------------------------------------------------------------
USD 25,751,297 BlackRock Liquidity Series, LLC Cash
Sweep Series, 5.26% (b)(d) 25,751,297
- ----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $25,751,297) - 3.1% 25,751,297
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $598,063,505*) - 99.4% 824,969,712
Other Assets Less Liabilities - 0.6% 5,016,069
------------
Net Assets - 100.0% $829,985,781
============
* 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 $ 607,157,326
=============
Gross unrealized appreciation $ 222,862,516
Gross unrealized depreciation (5,050,130)
-------------
Net unrealized appreciation $ 217,812,386
=============
(a) Depositary receipts.
Master International Index Series
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
(b) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
--------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series $5,422,422 $ 735,993
--------------------------------------------------------------------------
(c) Non-income producing security.
(d) Represents the current yield as of December 31, 2006.
(e) The rights may be exercised until 1/29/2010.
(f) All or a portion of security held as collateral in connection with open
financial futures contracts.
o For Series compliance purposes, the Fund's industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes
of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percent of net assets. These
industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2006 were as
follows:
--------------------------------------------------------------------------------------------------------
Number of Expiration Unrealized
Contracts Issue Exchange Date Face Value Appreciation
--------------------------------------------------------------------------------------------------------
9 Hang Seng Index Future Hong Kong January 2007 $ 1,118,379 $ 39,728
117 OMX Stock Index Future Stockholm January 2007 $ 1,939,329 32,048
109 DJ Euro Stoxx 50 Eurex March 2007 $ 5,914,231 67,064
38 FTSE 100 Index Future LIFFE March 2007 $ 4,610,863 14,046
40 SPI 200 Index Future Sydney March 2007 $ 4,342,551 114,102
69 TOPIX Index Future Tokyo March 2007 $ 9,356,847 398,415
--------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation $ 665,403
============
o Forward foreign exchange contracts purchased as of December 31, 2006 were
as follows:
--------------------------------------------------------------------------------------------------------
Unrealized
Appreciation
Foreign Currency Purchased Settlement Date (Depreciation)
--------------------------------------------------------------------------------------------------------
AUD 3,898,000 February 2007 $ 45,845
CHF 6,125,200 February 2007 34,457
EUR 17,913,900 February 2007 334,063
GBP 7,351,400 February 2007 172,607
JPY 1,813,274,700 February 2007 (282,858)
SEK 10,242,400 February 2007 23,891
--------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation on Forward Foreign Exchange Contracts - Net
(USD Commitment - $62,708,033) $ 328,005
============
Master International Index Series
Schedule of Investments as of December 31, 2006 (in U.S. dollars)
o Forward foreign exchange contracts sold as of December 31, 2006 were as
follows:
--------------------------------------------------------------------------------------------------------
Unrealized
Appreciation
Foreign Currency Sold Settlement Date (Depreciation)
--------------------------------------------------------------------------------------------------------
AUD 2,921,000 February 2007 $ (38,340)
CHF 4,097,000 February 2007 14,226
EUR 11,734,000 February 2007 (110,785)
GBP 4,605,000 February 2007 (91,716)
JPY 1,204,800,000 February 2007 202,603
SEK 7,050,000 February 2007 (9,428)
--------------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts - Net
(USD Commitment - $41,398,627) $ (33,440)
============
o Currency Abbreviations:
AUD Australian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
USD U.S. Dollar
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of Master
International Index Series (the "Series"), one of the portfolios constituting
the Quantitative Master Series Trust (the "Trust"), as of December 31, 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 International Index Fund of BlackRock Index Funds, Inc. and Master
International Index Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
----------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock International Index Fund of BlackRock Index Funds, Inc. and Master
International 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 International Index Fund of BlackRock Index Funds, Inc. and Master
International Index Series of Quantitative Master Series Trust
Date: February 20, 2007
By: /s/ Donald C. Burke
----------------------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock International Index Fund of BlackRock Index Funds, Inc. and Master
International Index Series of Quantitative Master Series Trust
Date: February 20, 2007