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
LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive Officer,
BlackRock International Index Fund of BlackRock Index Funds, Inc. and
Master International Index Series of Quantitative Master Series LLC, 800
Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011,
Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (800) 441-7762
Date of fiscal year end: 12/31/2007
Date of reporting period: 01/01/2007 - 12/31/2007
Item 1 - Report to Stockholders
EQUITIES FIXED INCOME REAL ESTATE
LIQUIDITY ALTERNATIVES BLACKROCK SOLUTIONS
BlackRock International BLACKROCK
Index Fund
OF BLACKROCK INDEX FUNDS, INC.
ANNUAL REPORT | DECEMBER 31, 2007
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
Table of Contents
================================================================================
Page
- --------------------------------------------------------------------------------
A Letter to Shareholders ................................................. 3
Annual Report:
Fund Summary ............................................................. 4
About Fund Performance ................................................... 6
Disclosure of Expenses ................................................... 6
Fund Financial Statements:
Statement of Assets and Liabilities .................................. 7
Statement of Operations .............................................. 8
Statements of Changes in Net Assets .................................. 9
Fund Financial Highlights ................................................ 10
Fund Notes to Financial Statements ....................................... 11
Fund Report of Independent Registered Public Accounting Firm ............. 13
Proxy Results ............................................................ 14
Important Tax Information ................................................ 14
Series Portfolio Information ............................................. 15
Series Financial Statements:
Summary Schedule of Investments ...................................... 16
Statement of Assets and Liabilities .................................. 21
Statement of Operations .............................................. 22
Statements of Changes in Net Assets .................................. 23
Series Financial Highlights .............................................. 24
Series Notes to Financial Statements ..................................... 25
Series Report of Independent Registered Public Accounting Firm ........... 28
Series Proxy Results ..................................................... 29
Officers and Directors ................................................... 30
BlackRock Fund Information ............................................... 33
Mutual Fund Family ....................................................... 35
2 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
A Letter to Shareholders
Dear Shareholder
Financial markets endured heightened volatility during 2007, culminating in
mixed results for some of the major benchmark indexes:
Total Returns as of December 31, 2007 6-month 12-month
==========================================================================================================
U.S. equities (S&P 500 Index) -1.37% + 5.49%
- ----------------------------------------------------------------------------------------------------------
Small cap U.S. equities (Russell 2000 Index) -7.53 - 1.57
- ----------------------------------------------------------------------------------------------------------
International equities (MSCI Europe, Australasia, Far East Index) +0.39 +11.17
- ----------------------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers U.S. Aggregate Bond Index) +5.93 + 6.97
- ----------------------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) +3.22 + 3.36
- ----------------------------------------------------------------------------------------------------------
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) -0.67 + 2.27
- ----------------------------------------------------------------------------------------------------------
Past performance is no guarantee of future results. Index performance shown for
illustrative purposes only. You cannot invest directly in an index.
Subprime mortgage woes dominated headlines for much of 2007, spawning a
widespread liquidity and credit crisis with ramifications across global markets.
The Federal Reserve Board (the "Fed") stepped in to inject liquidity into the
markets and bolster investor confidence, cutting the federal funds rate by 0.50%
in September, 0.25% in October and 0.25% in December, which brought the target
short-term interest rate to 4.25%. In taking action, the central bankers, who
had long deemed themselves inflation fighters, were seeking to stem the fallout
from the credit crunch and forestall a wider economic unraveling.
Amid the volatility, equity markets displayed surprising resilience. Market
fundamentals generally held firm, dividend payouts and share buybacks continued,
and valuations remained attractive. To some extent, the credit turmoil dampened
corporate merger-and-acquisition (M&A) activity, a key source of strength for
equity markets, but 2007 remained a record year for global M&A nonetheless. As
the returns indicate, the most recent six months were more trying, reflecting
the slowing U.S. economy, a troubled housing market and a more difficult
corporate earnings backdrop. Overall, large cap stocks outperformed small caps
as investors grew increasingly risk averse. International markets fared better
than their U.S. counterparts, benefiting from generally stronger economies.
In fixed income markets, mixed economic signals and subprime fallout resulted in
a flight to quality. Investors shunned bonds associated with the housing and
credit markets in favor of higher-quality Treasury issues. The yield on 10-year
Treasury issues, which touched 5.30% in June (its highest level in five years),
fell to 4.04% by year-end, while prices correspondingly rose. The tax-exempt
bond market waffled amid the economic uncertainty and concerns around the credit
worthiness of bond insurers, but set a new-issuance record in 2007. A drop in
municipal bond prices created buying opportunities, and the heightened supply
was generally well absorbed.
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 2007 and our 10 predictions for 2008, please ask your financial
professional for a copy of "What's Ahead in 2008: An Investment Perspective," or
view it online at www.blackrock.com/funds. As always, we thank you for
entrusting BlackRock with your investment assets, and we look forward to
continuing to serve you in the new year and beyond.
Sincerely,
/s/ Rob Kapito
Rob Kapito
President, BlackRock Advisors, LLC
3
THIS PAGE NOT PART OF YOUR FUND REPORT
Fund Summary
Portfolio Management Commentary
How did the Fund perform?
o During the fiscal year ended December 31, 2007, BlackRock International
Index Fund generated returns that, before fees and expenses incurred by
the Fund, trailed the benchmark.
Describe the market environment.
o Despite intense market volatility and a slump at the end of the year,
international markets ended 2007 in positive territory, with the MSCI EAFE
Index gaining 11.17%. Shares of growth companies considerably outperformed
their value counterparts, as the MSCI EAFE Growth Index advanced 16.45%
versus the +5.96% return of the MSCI EAFE Value Index.
o Materials (+31.8%), telecommunication services (+28.2%) and consumer
staples (+24.1%) were the top-performing sectors within the Index over the
annual period, while financials (-1.8%), health care (+.6%) and consumer
discretionary (+4.3%) posted the lowest returns. Regionally, Finland
(+48.7%), Hong Kong (+41.2%) and Germany (+35.2%) generated the strongest
returns for the year, while Ireland (-20.1%), Japan (-4.2%) and Belgium
(-2.7%) were laggards.
o Currency movements were a major theme that affected markets, dominated by
the ongoing depreciation of the U.S. dollar relative to most other major
currencies.
o Among the world's developed markets, Japan's underperformance was a
headline story, as stocks in the region sank nearly 11% for the year. A
high dependence on exports, muted personal consumption and slowing capital
spending all caused economic growth to suffer. Further, earnings growth
was close to 0% in 2007 and valuations remained high relative to other
developed markets.
o European stocks were the best performers among developed markets for the
year, but the region saw broad-based declines on concerns over the
economic outlook, as well as credit problems. In particular,
export-oriented companies suffered, as demand from the United States
slowed and as the appreciating euro hurt profits.
o Finally, emerging markets continued to outperform developed markets,
buoyed by strong earnings growth and firm economic expansion. Moreover,
most emerging markets have been, thus far, less affected by the problems
in financial markets.
Describe recent portfolio activity.
o 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.
Describe Fund positioning at period-end.
o In line with our objective, the portfolio remains positioned to match the
risk characteristics of its benchmark, irrespective of the future
direction of international markets.
Expense Example
Actual Hypothetical**
--------------------------------------------------- ---------------------------------------------------
Beginning Ending Beginning Ending
Account Value Account Value Expenses Paid Account Value Account Value Expenses Paid
July 1, 2007 Dec. 31, 2007 During the Period* July 1, 2007 Dec. 31, 2007 During the Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional ....... $1,000 $998.60 $2.74 $1,000 $1,022.56 $2.77
Investor A .......... $1,000 $997.80 $4.05 $1,000 $1,021.25 $4.10
- ------------------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (.54% for Institutional and .80% for Investor A),
multiplied by the average account value over the period, multiplied by
185/365 (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.
See "Disclosure of Expenses" on page 6 for further information on how
expenses were calculated.
4 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
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 December 1997 to December 2007.
MSCI EAFE
Institutional Investor A (Cap Weighted)
Shares*+ Shares*+ Index++
12/97 $10,000 $10,000 $10,000
12/98 $12,565 $12,540 $12,000
12/99 $16,497 $16,421 $15,235
12/00 $13,561 $13,466 $13,077
12/01 $10,492 $10,386 $10,273
12/02 $8,807 $8,703 $8,635
12/03 $12,188 $12,018 $11,967
12/04 $14,599 $14,358 $14,390
12/05 $16,525 $16,197 $16,338
12/06 $20,837 $20,384 $20,642
12/07 $22,979 $22,418 $22,947
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees.
+ The Fund invests all of its assets in BlackRock Master International Index
Series of Quantitative Master Series LLC. The Master LLC 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.
Performance Summary for the Period Ended December 31, 2007
Average Annual Total Returns*
6-Month -----------------------------------
Total Returns 1 Year 5 Years 10 Years
- -------------------------------------------------------------------------------------------
Institutional ..................... -0.14% +10.28% +21.14% +8.68%
Investor A ........................ -0.22 + 9.98 +20.83 +8.41
MSCI EAFE (Cap Weighted) Index .... +0.39 +11.17 +21.59 +8.66
- -------------------------------------------------------------------------------------------
* See "About Fund Performance" on page 6 for a detailed description of share
classes, including any related fees.
Past performance is not indicative of future results.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 5
About Fund Performance
o Institutional Shares are not subject to any sales charge. Institutional
Shares bear no ongoing distribution or service fees and are available only
to eligible investors.
o Investor A Shares are not subject to any sales charge and bear no ongoing
distribution fee. Investor A Shares are subject to an ongoing service fee
of 0.25% per year.
Performance information reflects past performance and does not guarantee future
results. Current performance may be lower or higher than the performance data
quoted. Refer to www.blackrock.com/funds to obtain performance data current to
the most recent month-end. Performance results do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. 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 performance tables on page 5
assume reinvestment of all dividends and capital gain distributions, if any, at
net asset value on the ex-dividend date. Investment return and principal value
of shares will fluctuate so that shares, when redeemed, may be worth more or
less than their original cost. Dividends paid to each class of shares will vary
because of the different levels of service and transfer agency fees applicable
to each class, which are deducted from the income available to be paid to
shareholders. The Fund's investment advisor reimbursed a portion of the Fund's
fee. Without such reimbursement, the Fund's performance would have been lower.
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses related
to transactions, including redemption fees and exchange fees; and (b) operating
expenses including advisory fees, distribution fees including 12b-1 fees and
other Fund expenses. The expense example on page 4 (which is based on a
hypothetical investment of $1,000 invested on July 1, 2007 and held through
December 31, 2007) 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 table provides information about actual account values and actual expenses.
In order to estimate the expenses a shareholder paid during the period covered
by this report, shareholders can divide their account value by $1,000 and then
multiply the result by the number corresponding to their share class under the
heading entitled "Expenses Paid During the Period."
The table also provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses. In order to assist shareholders
in comparing the ongoing expenses of investing in this Fund and other funds,
compare the 5% hypothetical example with the 5% hypothetical examples that
appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders' ongoing
costs only and do not reflect any transactional expenses, such as sales charges,
redemption fees or exchange fees. Therefore, the hypothetical 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.
6 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Statement of Assets and Liabilities BlackRock International Index Fund
As of December 31, 2007
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Master International Index Series (the "Series"), at value
(identified cost -- $252,170,625) ............................................................ $ 373,312,135
Prepaid expenses and other assets .............................................................. 25,531
-------------
Total assets ................................................................................... 373,337,666
-------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payables:
Administrator .............................................................................. $ 108,534
Distributor ................................................................................ 45,818
Other affiliates ........................................................................... 4,954 159,306
-------------
Accrued expenses ............................................................................... 16,271
-------------
Total liabilities .............................................................................. 175,577
-------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets ..................................................................................... $ 373,162,089
=============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized .......... $ 1,009
Investor A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ............. 1,370
Paid-in capital in excess of par ............................................................... 258,131,851
Accumulated distributions in excess of investment income -- net ................................ (1,844,288)
Accumulated realized capital losses allocated from the Series -- net ........................... (4,269,363)
Unrealized appreciation allocated from the Series -- net ....................................... 121,141,510
-------------
Net assets ..................................................................................... $ 373,162,089
=============
===================================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional -- Based on net assets of $158,739,973 and 10,093,387 shares outstanding ......... $ 15.73
=============
Investor A -- Based on net assets of $214,422,116 and 13,704,342 shares outstanding ............ $ 15.65
=============
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 7
Statement of Operations BlackRock International Index Fund
For the Year Ended December 31, 2007
===================================================================================================================================
Investment Income -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends .................................................................................. $ 10,448,999
Interest ................................................................................... 330,646
Expenses ................................................................................... (346,740)
-------------
Total income ................................................................................... 10,432,905
-------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Administration fees ............................................................................ $ 1,345,420
Service fees -- Investor A ..................................................................... 533,443
Transfer agent fees -- Investor A .............................................................. 121,390
Transfer agent fees -- Institutional ........................................................... 86,915
Printing and shareholder reports ............................................................... 55,715
Registration fees .............................................................................. 32,615
Professional fees .............................................................................. 6,128
Directors' fees and expenses ................................................................... 3,894
Other .......................................................................................... 10,866
-------------
Total expenses ................................................................................. 2,196,386
-------------
Investment income -- net ....................................................................... 8,236,519
-------------
===================================================================================================================================
Realized & Unrealized Gain Allocated from the Series -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on:
Investments -- net ......................................................................... $ 9,106,926
Financial futures contracts -- net ......................................................... 292,735
Foreign currency transactions -- net ....................................................... 558,712 9,958,373
-------------
Change in unrealized appreciation/depreciation on investments, financial futures
contracts and foreign currency transactions -- net ........................................... 16,766,802
-------------
Total realized and unrealized gain -- net ...................................................... 26,725,175
-------------
Net Increase in Net Assets Resulting from Operations ........................................... $ 34,961,694
=============
See Notes to Financial Statements.
8 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Statements of Changes in Net Assets BlackRock International Index Fund
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ....................................................................... $ 8,236,519 $ 6,218,374
Realized gain -- net ........................................................................... 9,958,373 6,273,520
Change in unrealized appreciation/depreciation -- net .......................................... 16,766,802 53,881,822
-------------------------------
Net increase in net assets resulting from operations ........................................... 34,961,694 66,373,716
-------------------------------
===================================================================================================================================
Dividends & Distributions to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net:
Institutional .............................................................................. (4,478,760) (3,191,892)
Investor A ................................................................................. (5,514,035) (4,193,032)
Realized gain -- net:
Institutional .............................................................................. (4,651,792) (1,739,904)
Investor A ................................................................................. (6,295,009) (2,513,778)
-------------------------------
Net decrease in net assets resulting from dividends and distributions to shareholders .......... (20,939,596) (11,638,606)
-------------------------------
===================================================================================================================================
Capital Share Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets derived from capital share transactions ............................. 28,346,777 25,720,591
-------------------------------
===================================================================================================================================
Redemption Fee
- -----------------------------------------------------------------------------------------------------------------------------------
Redemption fee ................................................................................. 2,573 1,067
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ................................................................... 42,371,448 80,456,768
Beginning of year .............................................................................. 330,790,641 250,333,873
-------------------------------
End of year* ................................................................................... $ 373,162,089 $ 330,790,641
===============================
* Accumulated distributions in excess of investment income -- net .......................... $ (1,844,288) $ (989,432)
===============================
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 9
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. 2007 2006 2005 2004 2003
============================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ... $ 15.14 $ 12.47 $ 11.19 $ 9.59 $ 7.08
----------------------------------------------------------------
Investment income -- net** ........... .39 .32 .23 .19 .15
Realized and unrealized gain -- net .. 1.16+ 2.92+ 1.24+ 1.69+ 2.56
----------------------------------------------------------------
Total from investment operations ..... 1.55 3.24 1.47 1.88 2.71
----------------------------------------------------------------
Less dividends and distributions:
Investment income -- net ......... (.47) (.37) (.19) (.28) (.20)
Realized gain -- net ............. (.49) (.20) -- -- --
----------------------------------------------------------------
Total dividends and distributions .... (.96) (.57) (.19) (.28) (.20)
----------------------------------------------------------------
Net asset value, end of year ......... $ 15.73 $ 15.14 $ 12.47 $ 11.19 $ 9.59
================================================================
============================================================================================================
Total Investment Return
- ------------------------------------------------------------------------------------------------------------
Based on net asset value per share ... 10.28% 26.09% 13.19% 19.78% 38.39%
================================================================
============================================================================================================
Ratios to Average Net Assets*
- ------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .............. .54% .47% .55% .58% .62%
================================================================
Expenses ............................. .54% .52% .56% .59% .62%
================================================================
Investment income -- net ............. 2.37% 2.31% 1.98% 1.91% 1.86%
================================================================
============================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $158,740 $133,267 $ 90,157 $ 35,878 $ 27,494
================================================================
Portfolio turnover of the Series ..... 30% 23% 11% 14% 9%
================================================================
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. 2007 2006 2005 2004 2003
============================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ... $ 15.07 $ 12.41 $ 11.15 $ 9.56 $ 7.06
----------------------------------------------------------------
Investment income -- net** ........... .34 .29 .21 .17 .12
Realized and unrealized gain -- net .. 1.16+ 2.91+ 1.21+ 1.67+ 2.56
----------------------------------------------------------------
Total from investment operations ..... 1.50 3.20 1.42 1.84 2.68
----------------------------------------------------------------
Less dividends and distributions:
Investment income -- net ......... (.43) (.34) (.16) (.25) (.18)
Realized gain -- net ............. (.49) (.20) -- -- --
----------------------------------------------------------------
Total dividends and distributions .... (.92) (.54) (.16) (.25) (.18)
----------------------------------------------------------------
Net asset value, end of year ......... $ 15.65 $ 15.07 $ 12.41 $ 11.15 $ 9.56
================================================================
============================================================================================================
Total Investment Return
- ------------------------------------------------------------------------------------------------------------
Based on net asset value per share ... 9.98% 25.85% 12.81% 19.46% 38.10%
================================================================
============================================================================================================
Ratios to Average Net Assets*
- ------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .............. .79% .72% .80% .83% .87%
================================================================
Expenses ............................. .79% .78% .81% .84% .88%
================================================================
Investment income -- net ............. 2.11% 2.11% 1.84% 1.69% 1.59%
================================================================
============================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $214,422 $197,524 $160,177 $132,873 $103,725
================================================================
Portfolio turnover of the Series ..... 30% 23% 11% 14% 9%
================================================================
* 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.
10 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements BlackRock International Index Fund
1. Significant Accounting Policies:
BlackRock International Index Fund (the "Fund"), a series of BlackRock Index
Funds, Inc. (the "Corporation"), is registered under the Investment Company Act
of 1940, as amended, as a non-diversified open-end management 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 LLC (the "Master LLC"), which has the same investment objective
and strategies as the Fund. Effective June 15, 2007, the Master LLC was
converted from a Delaware statutory trust to a Delaware limited liability
company. 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 Summary 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,
2007 was 33%. The Fund offers two classes of shares. 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 shareholder servicing of such shares and
have exclusive voting rights with respect to matters relating to its shareholder
servicing 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 -- Effective June 29, 2007, the Fund
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109" ("FIN 48"). 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 investment companies, before being measured and recognized in
the financial statements. Management has evaluated the application of FIN 48 to
the Fund, and has determined that the adoption of FIN 48 does not have a
material impact on the Fund's financial statements. The Fund files U.S. federal
and various state and local tax returns. No income tax returns are currently
under examination. The statute of limitations on the Fund's U.S. federal tax
returns remains open for the years ended December 31, 2004 through December 31,
2006. The statute of limitations on the Fund's state and local tax returns may
remain open for an additional year depending upon the jurisdiction.
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. The impact on the Fund's financial statement disclosures, if any,
is currently being assessed.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. The impact on the Fund's financial
statement disclosures, if any, is currently being assessed.
(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, $897,635 has been reclassified between accumulated net realized capital
losses allocated from the Series and accumulated distributions in excess of net
investment income and $3,785 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, gains from the sale of stock of passive foreign investment
companies and non-deductible expenses. These reclassifications have no effect on
net assets or net asset values per share.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 11
Notes to Financial Statements (continued) BlackRock International Index Fund
2. Transactions with Affiliates:
The Corporation has entered into an Administration Agreement with BlackRock
Advisors, LLC (the "Administrator"), an indirect, wholly owned subsidiary of
BlackRock, Inc. The Fund pays the Administrator 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. The Administrator has
entered into a voluntary arrangement with the Fund under which the expenses
incurred by each class of shares of the Fund (excluding service fees) will not
exceed .65%. This arrangement has a one-year term and is renewable. During the
year ended December 31, 2007, the Administrator revised its estimate of fee
waivers by $84,254.
The Corporation has also entered into separate Distribution Agreements and a
Shareholder Servicing Plan with FAM Distributors, Inc. ("FAMD") and BlackRock
Distributors Inc. and its affiliates ("BDI") (collectively, the "Distributor").
FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc. and BDI is an
affiliate of BlackRock, Inc. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The
PNC Financial Services Group, Inc. ("PNC") are the principal owners of
BlackRock, Inc.
Pursuant to the Shareholder Servicing Plan 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 the Distributor provide shareholder servicing
to the Fund. The ongoing service fee compensates the Distributor and each
broker-dealer (including MLPF&S) for providing shareholder servicing to Investor
A shareholders.
PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the
Manager, is the Fund's transfer agent.
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
$28,346,777 and $25,720,591 for the years ended December 31, 2007 and December
31, 2006, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .................................... 4,239,119 $ 68,229,646
Shares issued to shareholders in reinvestment of
dividends and distributions .................. 568,714 8,861,976
---------------------------
Total issued ................................... 4,807,833 77,091,622
Shares redeemed ................................ (3,515,519) (57,115,652)
---------------------------
Net increase ................................... 1,292,314 $ 19,975,970
===========================
- -------------------------------------------------------------------------------
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
===========================
- -------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .................................... 2,588,127 $ 41,560,030
Shares issued to shareholders in reinvestment of
dividends and distributions .................. 750,023 11,625,706
---------------------------
Total issued ................................... 3,338,150 53,185,736
Shares redeemed ................................ (2,742,436) (44,814,929)
---------------------------
Net increase ................................... 595,714 $ 8,370,807
===========================
- -------------------------------------------------------------------------------
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
===========================
12 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements (concluded) BlackRock International Index Fund
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, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ................................ $15,560,772 $ 8,496,553
Net long-term capital gains .................... 5,378,824 3,142,053
--------------------------
Total distributions .............................. $20,939,596 $11,638,606
==========================
As of December 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- -------------------------------------------------------------------------------
Undistributed ordinary income -- net .......................... $ 477,128
Undistributed long-term capital gains -- net .................. 550,367
------------
Total undistributed earnings -- net ........................... 1,027,495
Unrealized gains -- net ....................................... 114,000,364*
------------
Total accumulated earnings -- net ............................. $115,027,859
============
* 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.
Report of Independent Registered Public Accounting Firm
BlackRock International Index Fund
To the Shareholders and Board of Directors of BlackRock Index Funds, Inc.:
We have audited the accompanying statement of assets and liabilities of
BlackRock International Index Fund, one of the series constituting BlackRock
Index Funds, Inc., (the "Fund") as of December 31, 2007, 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, 2007, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended, and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 27, 2008
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 13
Proxy Results BlackRock International Index Fund
During the six-month period ended December 31, 2007, the shareholders of
BlackRock International Index Fund of BlackRock Index Funds, Inc. voted on the
following proposal, which was approved at an annual shareholders' meeting on
September 7, 2007. This proposal was a part of the reorganization of the
Corporation's Board of Directors that took effect on November 1, 2007. A
description of the proposal and number of shares voted are as follows:
- ----------------------------------------------------------------------------------------------------------------
Shares Voted Shares Withheld
For From Voting
- ----------------------------------------------------------------------------------------------------------------
To elect the Corporation's Board of Directors: David O. Beim 14,334,559 572,752
Richard S. Davis 14,335,335 571,976
Ronald W. Forbes 14,335,335 571,976
Henry Gabbay 14,335,335 571,976
Dr. Matina Horner 14,335,335 571,976
Rodney D. Johnson 14,334,670 572,641
Herbert I. London 14,335,224 572,087
Cynthia A. Montgomery 14,335,335 571,976
Joseph P. Platt, Jr. 14,335,335 571,976
Robert C. Robb, Jr. 14,335,335 571,976
Toby Rosenblatt 14,335,335 571,976
Kenneth L. Urish 14,335,074 572,237
Frederick W. Winter 14,334,559 572,752
- ----------------------------------------------------------------------------------------------------------------
Important Tax Information
The following information is provided with respect to the ordinary income
distributions paid by BlackRock International Index Fund of BlackRock Index
Funds, Inc. during the fiscal year ended December 31, 2007:
================================================================================
Record Date July 18, 2007 December 17, 2007
Payable Date July 20, 2007 December 19, 2007
================================================================================
Qualified Dividend Income
for Individuals* 18.16%+ 71.52%+
- --------------------------------------------------------------------------------
Foreign Source Income 47.91%+ 64.55%+
- --------------------------------------------------------------------------------
Foreign Taxes Paid Per Share $.002057 $.039660
- --------------------------------------------------------------------------------
Short-Term Capital Gain Dividends
for Non-U.S. Residents** 41.81% 34.78%
- --------------------------------------------------------------------------------
* The Fund hereby designates the percentage indicated above or the maximum
amount allowable by law.
** Represents the portion of the taxable ordinary income dividends eligible
for exemption from U.S. withholding tax for nonresident aliens and foreign
corporations.
+ 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 may be 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
advisor regarding the appropriate treatment of foreign taxes paid.
Additionally, the Fund distributed long-term capital gains of $.005785 per share
and $.232600 per share to shareholders of record on July 18, 2007 and December
17, 2007, respectively.
14 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Portfolio Information Master International Index Series
As of December 31, 2007
Percent of
Ten Largest Equity Holdings Net Assets
- --------------------------------------------------------------------------------
iShares MSCI EAFE Index Fund ........................................ 2.0%
BP Plc .............................................................. 1.6
Vodafone Group Plc .................................................. 1.4
HSBC Holdings Plc ................................................... 1.4
Nestle SA Registered Shares ......................................... 1.3
Total SA ............................................................ 1.2
Royal Dutch Shell Plc ............................................... 1.1
Nokia Oyj ........................................................... 1.0
Toyota Motor Corp. .................................................. 1.0
GlaxoSmithKline Plc ................................................. 1.0
- --------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
- --------------------------------------------------------------------------------
Commercial Banks ................................................... 13.9%
Oil, Gas & Consumable Fuels ........................................ 7.1
Metals & Mining .................................................... 5.4
Pharmaceuticals .................................................... 5.2
Insurance .......................................................... 4.5
- --------------------------------------------------------------------------------
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, and/or as defined by Series management.
The definition may not apply for purposes of this report, which may
combine industry sub-classifications for reporting ease.
Percent of Long-Term Investments
--------------------------------
Geographic Region 2007 2006
- --------------------------------------------------------------------------------
United Kingdom .................................. 22.0% 23.3%
Japan ........................................... 19.5 21.6
France .......................................... 10.2 9.7
Germany ......................................... 9.1 7.3
Switzerland ..................................... 6.6 6.9
Australia ....................................... 6.4 5.1
Spain ........................................... 4.3 4.0
Italy ........................................... 3.8 3.9
Netherlands ..................................... 2.8 3.7
Sweden .......................................... 2.3 2.4
Hong Kong ....................................... 2.2 1.6
United States ................................... 2.1 2.6
Finland ......................................... 1.8 1.4
Belgium ......................................... 1.2 1.2
Singapore ....................................... 1.1 0.9
Norway .......................................... 1.0 0.9
Denmark ......................................... 0.9 0.8
Greece .......................................... 0.8 0.6
Ireland ......................................... 0.6 0.9
Austria ......................................... 0.6 0.6
Portugal ........................................ 0.4 0.3
New Zealand ..................................... 0.1 0.1
Cayman Islands .................................. 0.1 0.1
Bermuda ......................................... 0.1 0.1
- --------------------------------------------------------------------------------
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 15
Summary Schedule of Investments As of December 31, 2007
Master International Index Series (in U.S. dollars)
This summary schedule of investments is presented to help investors focus on the
Series' principal holdings. It includes the Series' 50 largest holdings, each
investment of any issuer that exceeds 1% of the Series' net assets and
affiliated issues. "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 website at
http://www.sec.gov.
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Aerospace & Defense Other Securities $ 7,692,434 0.7%
- ------------------------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics Other Securities 4,572,587 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Airlines Other Securities 2,996,203 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Auto Components Other Securities 8,898,372 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Automobiles 71,898 DaimlerChrysler AG 6,968,357 0.6
214,000 Toyota Motor Corp. 11,397,364 1.0
Other Securities 16,882,011 1.5
----------------------------
35,247,732 3.1
- ------------------------------------------------------------------------------------------------------------------------------------
Beverages Other Securities 15,712,051 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Biotechnology Other Securities 1,782,724 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Building Products Other Securities 6,666,148 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Markets 84,380 Credit Suisse Group 5,079,301 0.4
39,145 Deutsche Bank AG Registered Shares 5,111,363 0.4
162,085 UBS AG 7,473,367 0.7
Other Securities 10,905,634 1.0
----------------------------
28,569,665 2.5
- ------------------------------------------------------------------------------------------------------------------------------------
Chemicals 37,627 BASF AG 5,579,794 0.5
55,633 Bayer AG 5,087,673 0.4
Other Securities 25,275,281 2.2
----------------------------
35,942,748 3.1
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Banks 64,161 BNP Paribas SA 6,961,475 0.6
285,794 Banco Bilbao Vizcaya Argentaria SA 6,957,420 0.6
480,675 Banco Santander SA 10,381,617 0.9
527,057 Barclays Plc 5,322,917 0.4
104,821 Commonwealth Bank of Australia Ltd. 5,404,442 0.5
922,258 HSBC Holdings Plc 15,535,003 1.4
687,629 Mitsubishi UFJ Financial Group, Inc. 6,484,291 0.6
784,325 Royal Bank of Scotland Group Plc 6,925,178 0.6
701,256 UniCredito Italiano SpA 5,767,100 0.5
Other Securities 85,062,747 7.4
----------------------------
154,802,190 13.5
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies Other Securities 9,168,267 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Communications Equipment 301,553 Nokia Oyj 11,584,870 1.0
Other Securities 4,359,164 0.4
----------------------------
15,944,034 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals Other Securities 4,503,778 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering Other Securities 10,251,987 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Construction Materials Other Securities 7,131,517 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Finance Other Securities 2,321,598 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging Other Securities 1,126,356 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Distributors Other Securities 1,291,365 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer Services Other Securities 425,682 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
16 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Summary Schedule of Investments (continued)
Master International Index Series (in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Diversified Financial Services 143,436 ING Group NV CVA $ 5,589,044 0.5%
Other Securities 14,188,976 1.2
----------------------------
19,778,020 1.7
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 217,200 Deutsche Telekom AG 4,780,446 0.4
138,273 France Telecom SA 4,959,959 0.4
329,719 Telefonica SA 10,688,282 1.0
Other Securities 24,226,418 2.1
----------------------------
44,655,105 3.9
- ------------------------------------------------------------------------------------------------------------------------------------
Electric Utilities 47,712 E.ON AG 10,143,245 0.9
Other Securities 26,904,874 2.3
----------------------------
37,048,119 3.2
- ------------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment 170,320 ABB Ltd. 4,910,631 0.4
Other Securities 11,546,907 1.0
----------------------------
16,457,538 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments Other Securities 12,341,464 1.1
- ------------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services Other Securities 4,436,496 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 616,389 Tesco Plc 5,863,427 0.5
Other Securities 17,350,760 1.5
----------------------------
23,214,187 2.0
- ------------------------------------------------------------------------------------------------------------------------------------
Food Products 31,297 Nestle SA Registered Shares 14,371,279 1.3
131,620 Unilever NV 4,835,823 0.4
Other Securities 13,611,876 1.2
----------------------------
32,818,978 2.9
- ------------------------------------------------------------------------------------------------------------------------------------
Gas Utilities Other Securities 4,554,983 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies Other Securities 6,516,002 0.6
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services Other Securities 2,321,644 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Technology Other Securities 178,539 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure Other Securities 10,366,424 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Household Durables Other Securities 13,856,878 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
Household Products Other Securities 4,494,104 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
IT Services Other Securities 3,090,596 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & Other Securities 1,544,297 0.1
Energy Traders
- ------------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates 65,334 Siemens AG 10,388,270 0.9
Other Securities 11,066,650 1.0
----------------------------
21,454,920 1.9
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance 117,504 AXA SA 4,684,764 0.4
34,467 Allianz AG Registered Shares 7,425,560 0.6
Other Securities 39,812,467 3.5
----------------------------
51,922,791 4.5
- ------------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail Other Securities 766,398 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services Other Securities 1,135,845 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products Other Securities 2,131,639 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services Other Securities 722,212 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery Other Securities 23,293,341 2.0
- ------------------------------------------------------------------------------------------------------------------------------------
Marine Other Securities 4,309,972 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Media Other Securities 19,929,650 1.7
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 17
Summary Schedule of Investments (continued)
Master International Index Series (in U.S. dollars)
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Metals & Mining 103,812 Anglo American Plc $ 6,301,536 0.5%
69,987 ArcelorMittal 5,434,698 0.5
265,166 BHP Billiton Ltd. 9,269,681 0.8
180,451 BHP Billiton Plc 5,502,561 0.5
78,068 Rio Tinto Plc Registered Shares 8,216,068 0.7
Other Securities 25,784,432 2.3
----------------------------
60,508,976 5.3
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities 34,092 RWE AG 4,780,056 0.4
77,516 Suez SA 5,276,207 0.5
Other Securities 9,423,851 0.8
----------------------------
19,480,114 1.7
- ------------------------------------------------------------------------------------------------------------------------------------
Multiline Retail Other Securities 4,869,160 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Office Electronics Other Securities 5,869,228 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 263,695 BG Group Plc 6,050,102 0.5
1,493,200 BP Plc 18,247,282 1.6
200,844 Eni SpA 7,330,081 0.6
284,525 Royal Dutch Shell Plc 12,011,215 1.1
216,157 Royal Dutch Shell Plc Class B 9,010,661 0.8
161,867 Total SA 13,402,661 1.2
Other Securities 13,960,652 1.2
----------------------------
80,012,654 7.0
- ------------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products Other Securities 3,411,709 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Personal Products Other Securities 3,951,119 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals 116,048 AstraZeneca Plc 4,995,039 0.4
441,993 GlaxoSmithKline Plc 11,225,109 1.0
183,604 Novartis AG Registered Shares 10,040,813 0.9
55,612 Roche Holding AG 9,613,411 0.8
76,807 Sanofi-Aventis 7,030,945 0.6
Other Securities 14,963,589 1.3
----------------------------
57,868,906 5.0
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) Other Securities 13,208,339 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & Development Other Securities 18,971,417 1.7
- ------------------------------------------------------------------------------------------------------------------------------------
Road & Rail Other Securities 9,076,814 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Other Securities 5,843,567 0.5
Semiconductor Equipment
- ------------------------------------------------------------------------------------------------------------------------------------
Software Other Securities 10,091,154 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Specialty Retail Other Securities 8,086,335 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods Other Securities 10,170,591 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Tobacco 119,338 British American Tobacco Plc 4,665,295 0.4
Other Securities 7,158,604 0.6
----------------------------
11,823,899 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors Other Securities 11,335,508 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Transportation Infrastructure Other Securities 4,272,958 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Water Utilities Other Securities 1,140,308 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services 4,153,856 Vodafone Group Plc 15,593,248 1.4
Other Securities 6,801,333 0.6
----------------------------
22,394,581 2.0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost -- $797,004,493) 1,080,774,917 94.5
- ------------------------------------------------------------------------------------------------------------------------------------
18 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Summary Schedule of Investments (continued)
Master International Index Series (in U.S. dollars)
Shares Percent of
Held Exchange-Traded Funds Value Net Assets
====================================================================================================================================
288,947 iShares MSCI EAFE Index Fund (c) $ 22,708,345 2.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost -- $19,661,875) 22,708,345 2.0
- ------------------------------------------------------------------------------------------------------------------------------------
====================================================================================================================================
Industry Preferred Stocks
====================================================================================================================================
Automobiles Other Securities 1,246,695 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Household Products Other Securities 886,330 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Media Other Securities 119,809 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities Other Securities 314,051 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost -- $1,272,423) 2,566,885 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
====================================================================================================================================
Rights
====================================================================================================================================
Metals & Mining Other Securities 0 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Management Other Securities 14,770 0.0
& Development
- ------------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost -- $0) 14,770 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
====================================================================================================================================
Beneficial
Interest Short-Term Securities
====================================================================================================================================
USD 13,529,338 BlackRock Liquidity Series, LLC Cash Sweep
Series, 5.04% (a)(b) 13,529,338 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost -- $13,529,338) 13,529,338 1.2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost -- $831,468,129*) 1,119,594,255 97.9
Other Assets Less Liabilities 23,577,306 2.1
----------------------------
Net Assets $1,143,171,561 100.0
============================
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost ......................................... $ 844,409,619
=============
Gross unrealized appreciation .......................... 305,352,070
Gross unrealized depreciation .......................... (30,167,434)
-------------
Net unrealized appreciation ............................ $ 275,184,636
=============
(a) 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 $(12,221,959) $981,689
--------------------------------------------------------------------------
(b) Represents the current yield as of December 31, 2007.
(c) 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 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, 2007 19
Summary Schedule of Investments (concluded)
Master International Index Series (in U.S. dollars)
o Financial futures contracts purchased as of December 31, 2007 were as
follows:
-------------------------------------------------------------------------------------------------------------------
Unrealized
Number of Expiration Appreciation
Contracts Issue Exchange Date Face Value (Depreciation)
-------------------------------------------------------------------------------------------------------------------
4 Hang Seng Index Future Hong Kong January 2008 $ 703,945 $ 11,935
49 OMX Stock Index Future Stockholm January 2008 $ 812,340 9,293
30 CAC40 10 Euro Future MATIF March 2008 $ 2,458,577 26,400
311 DJ Euro Stoxx 50 Eurex March 2008 $19,949,983 215,887
63 FTSE 100 Index Future LIFFE March 2008 $ 7,980,053 115,038
10 SPI 200 Index Future Sydney March 2008 $ 1,379,492 13,970
58 TOPIX Index Future Tokyo March 2008 $ 7,885,858 (253,938)
-------------------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation -- Net $ 138,585
===========
o Forward foreign exchange contracts as of December 31, 2007 were as
follows:
----------------------------------------------------------------------------------------------------
Unrealized
Foreign Currency Foreign Currency Settlement Appreciation
Purchased Sold Date (Depreciation)
----------------------------------------------------------------------------------------------------
AUD 3,668,400 USD 3,216,436 2/12/08 $ (3,449)
CHF 3,317,500 USD 2,951,653 2/12/08 (13,477)
DKK 1,549,100 USD 304,230 2/12/08 (315)
EUR 8,296,000 USD 12,139,443 2/12/08 (2,413)
GBP 3,709,300 USD 7,504,118 2/12/08 (129,329)
HKD 5,901,300 USD 758,953 2/12/08 (837)
JPY 562,900,000 USD 5,081,239 2/12/08 (18,293)
NOK 2,334,500 USD 426,560 2/12/08 2,873
NZD 18,200 USD 13,887 2/12/08 47
SEK 5,898,000 USD 918,736 2/12/08 (5,817)
SGD 398,800 USD 276,923 2/12/08 983
USD 1,945,468 AUD 2,204,000 2/12/08 15,084
USD 1,471,670 CHF 1,644,000 2/12/08 15,645
USD 117,544 DKK 595,800 2/12/08 655
USD 5,029,644 EUR 3,424,000 2/12/08 20,340
USD 3,643,681 GBP 1,794,000 2/12/08 76,870
USD 481,051 HKD 3,742,000 2/12/08 331
USD 1,751,762 JPY 195,050,000 2/12/08 (2,595)
USD 143,367 NOK 780,000 2/12/08 (114)
USD 11,599 NZD 15,000 2/12/08 115
USD 345,843 SEK 2,204,358 2/12/08 4,642
USD 122,039 SGD 175,300 2/12/08 (120)
----------------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts -- Net $ (39,174)
==========
o Currency Abbreviations:
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
USD U.S. Dollar
See Notes to Financial Statements.
20 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Statement of Assets and Liabilities Master International Index Series
As of December 31, 2007
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (identified cost -- $817,938,791) ......... $ 1,106,064,917
Investments in affiliated securities, at value (identified cost -- $13,529,338) ............ 13,529,338
Foreign cash (cost -- $17,212,445) ......................................................... 17,263,524
Unrealized appreciation on forward foreign exchange contracts .............................. 137,585
Receivables:
Contributions .......................................................................... $ 13,818,236
Securities sold ........................................................................ 5,915,884
Dividends .............................................................................. 3,168,772
Investment adviser ..................................................................... 8,666 22,911,558
---------------
Prepaid expenses and other assets .......................................................... 32,122
---------------
Total assets ............................................................................... 1,159,939,044
---------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Unrealized depreciation on forward foreign exchange contracts .............................. 176,759
Bank overdraft ............................................................................. 1,156,797
Payables:
Securities purchased ................................................................... 9,098,125
Withdrawals ............................................................................ 5,647,739
Variation margin ....................................................................... 304,540
Other affiliates ....................................................................... 10,356 15,060,760
---------------
Accrued expenses ........................................................................... 373,167
---------------
Total liabilities .......................................................................... 16,767,483
---------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets ................................................................................. $ 1,143,171,561
===============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ......................................................................... $ 854,669,789
Unrealized appreciation -- net ............................................................. 288,501,772
---------------
Net assets ................................................................................. $ 1,143,171,561
===============
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 21
Statement of Operations Master International Index Series
For the Year Ended December 31, 2007
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends (net of $2,925,220 foreign withholding tax) ...................................... $ 32,791,613
Interest (including $981,689 from affiliates) .............................................. 985,172
---------------
Total income ............................................................................... 33,776,785
---------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Custodian fees ............................................................................. $ 610,971
Accounting services ........................................................................ 184,231
Investment advisory fees ................................................................... 114,233
Professional fees .......................................................................... 87,698
Pricing fees ............................................................................... 76,438
Directors' fees and expenses ............................................................... 12,834
Printing and shareholder reports ........................................................... 1,574
Other ...................................................................................... 25,036
---------------
Total expenses before reimbursement ........................................................ 1,113,015
Reimbursement of expenses .................................................................. (38,870)
---------------
Total expenses after reimbursement ......................................................... 1,074,145
---------------
Investment income -- net ................................................................... 32,702,640
---------------
===================================================================================================================================
Realized & Unrealized Gain (Loss) -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on:
Investments -- net ..................................................................... 18,774,995
Financial futures contracts -- net ..................................................... 734,254
Foreign currency transactions -- net ................................................... 1,833,471 21,342,720
---------------
Change in unrealized appreciation/depreciation on:
Investments -- net ..................................................................... 61,219,919
Financial futures contracts -- net ..................................................... (526,818)
Foreign currency transactions -- net ................................................... (231,704) 60,461,397
-----------------------------------
Total realized and unrealized gain -- net .................................................. 81,804,117
---------------
Net Increase in Net Assets Resulting from Operations ....................................... $ 114,506,757
===============
See Notes to Financial Statements.
22 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Statements of Changes in Net Assets Master International Index Series
For the Year Ended
December 31,
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ................................................................... $ 32,702,640 $ 17,659,987
Realized gain -- net ....................................................................... 21,342,720 12,066,140
Change in unrealized appreciation/depreciation -- net ...................................... 60,461,397 126,438,123
-----------------------------------
Net increase in net assets resulting from operations ....................................... 114,506,757 156,164,250
-----------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ................................................................ 740,944,038 517,743,669
Fair value of withdrawals .................................................................. (542,265,015) (367,077,433)
-----------------------------------
Net increase in net assets derived from capital transactions ............................... 198,679,023 150,666,236
-----------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ............................................................... 313,185,780 306,830,486
Beginning of year .......................................................................... 829,985,781 523,155,295
-----------------------------------
End of year ................................................................................ $ 1,143,171,561 $ 829,985,781
===================================
See Notes to Financial Statements.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 23
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. 2007 2006 2005 2004 2003
===================================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment return ...................................... 10.80% 26.61% 13.64% 20.32% 38.97%
=================================================================
===================================================================================================================================
Ratios to Average Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of reimbursement ............................... .09% .10% .10% .09% .09%
=================================================================
Expenses ..................................................... .10% .11% .10% .10% .10%
=================================================================
Investment income -- net ..................................... 2.86% 2.70% 2.53% 2.55% 2.23%
=================================================================
===================================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) ....................... $1,143,172 $ 829,986 $ 523,155 $ 322,067 $ 553,129
=================================================================
Portfolio turnover ........................................... 30% 23% 11% 14% 9%
=================================================================
See Notes to Financial Statements.
24 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements Master International Index Series
1. Significant Accounting Policies:
Master International Index Series (the "Series"), a non-diversified management
investment company, is part of Quantitative Master Series LLC (the "Master
LLC"). The Master LLC is registered under the Investment Company Act of 1940, as
amended, and is organized as a Delaware limited liability company. Prior to June
15, 2007, the Master LLC was organized as a Delaware statutory trust (the
"Trust"). The Limited Liability Company Agreement permits the Directors (and
prior to June 15, 2007, the Declaration of Trust permitted the Trustees) to
issue non-transferable interests in the Series, subject to certain limitations.
Throughout this report the Trust and the Master LLC are referred to as the
Master LLC and the Board of Trustees of the Trust and the Board of Directors of
the Master LLC are referred to as the Board of Directors. The financial
statements of the Series are prepared in conformity with U.S. generally accepted
accounting principles, which may require the use of management accruals and
estimates. Actual results may differ from these estimates. The following is a
summary of significant accounting policies followed by the Series.
(a) Valuation of investments -- Equity securities that are held by the Series
that are traded on stock exchanges or the NASDAQ Global Market are valued at the
last sale price or official close price on the exchange, as of the close of
business on the day the securities are being valued or, lacking any sales, at
the last available bid price for long positions, and at the last available asked
price for short positions. In cases where equity securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Directors. Long
positions traded in the over-the-counter ("OTC") market, NASDAQ Capital Market
or Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Directors. Short positions traded in the OTC market are valued at the last
available asked price. Portfolio securities that are traded both in the OTC
market and on a stock exchange are valued according to the broadest and most
representative market.
Effective September 4, 2007, exchange-traded options are valued at the mean
between the last bid and ask prices at the close of the options market in which
the options trade and previously were valued at the last sales price as of the
close of options trading on applicable exchanges. 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. Valuation
of 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 Directors, including valuations furnished by the pricing services
retained by the Master LLC, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed by the officers
of the Master LLC under the general supervision of the Board of Directors. Such
valuations and procedures will be reviewed periodically by the Board of
Directors.
Generally, trading in foreign securities, as well as U.S. government securities,
money market instruments and certain fixed income securities is substantially
completed each day at various times prior to the close of business on the New
York Stock Exchange ("NYSE"). The values of such securities used in computing
the net assets of the Series are determined as of such times. Foreign currency
exchange rates will generally be determined as of the close of business on the
NYSE. Occasionally, events affecting the values of such securities and such
exchange rates may occur between the times at which they are determined and the
close of business on the NYSE that may not be reflected in the computation of
the Series' net assets. If events (for example, a company announcement, market
volatility or a natural disaster) occur during such periods that are expected to
materially affect the value of such securities, those securities will be valued
at their fair value as determined in good faith by the Board of Directors or by
BlackRock Advisors, LLC ("the Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., using a pricing service and/or procedures approved by the Board
of Directors.
(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 due to an unfavorable change in the price
of the underlying security or if the counterparty does not perform under the
contract. The counterparty, for certain instruments, may pledge cash or
securities as collateral.
o Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such financial futures contracts.
Financial futures contracts are contracts for delayed delivery of
securities at a specific future date and at a specific price or yield.
Upon entering into a contract, the Series deposits, and maintains as
collateral, such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Series agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as variation margin and are recorded by the Series as unrealized gains or
losses. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
o Options -- The Series may purchase and write call and put options. When
the Series writes an option, an amount equal to the premium
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 25
Notes to Financial Statements (continued) Master International Index Series
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 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 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 -- Effective June 29, 2007, the Series
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109" ("FIN 48"). 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 investment companies, before being measured and recognized in
the financial statements. Management has evaluated the application of FIN 48 to
the Series, and has determined that the adoption of FIN 48 does not have a
material impact on the Series' financial statements. The Series files U.S.
federal and various state and local tax returns. No income tax returns are
currently under examination. The statute of limitations on the Series' U.S.
federal tax returns remains open for the years ended December 31, 2004 through
December 31, 2006. The statute of limitations on the Series' state and local tax
returns may remain open for an additional year depending upon the jurisdiction.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective
26 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements (concluded) Master International Index Series
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. The impact on the Series' financial statement
disclosures, if any, is currently being assessed.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. The impact on the Series' financial
statement disclosures, if any, is currently being assessed.
(h) Bank overdraft -- The Series recorded a bank overdraft which resulted from
management estimates of available cash.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Master LLC, on behalf of the Series, has entered into an Investment Advisory
Agreement with the Manager. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The
PNC Financial Services Group, Inc. are the principal owners of BlackRock, Inc.
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 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. 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-adviser for services it provides a monthly fee at an annual rate
that is a percentage of the management fee paid by the Series to the Manager.
For the year ended December 31, 2007, the Series reimbursed the Manager $20,941
for certain accounting services.
In addition, Merrill Lynch, Pierce, Fenner & Smith Incorporated, a wholly owned
subsidiary of Merrill Lynch, received $69,153 in commissions on the execution of
portfolio security transactions for the Series for the year ended December 31,
2007.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2007 were $556,679,431 and $329,787,155, respectively.
4. Short-Term Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed
by the Manager and its affiliates, is party to a $500,000,000 credit agreement
with a group of lenders. The Series may borrow under the credit agreement to
fund shareholder redemptions and for other lawful purposes other than for
leverage. The Series may borrow up to the maximum amount allowable under the
Series' current prospectus and statement of additional information, subject to
various other legal, regulatory or contractual limits. The Series pays a
commitment fee of .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 fund's 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, 2007. On November 21, 2007, the credit agreement was renewed for one year
under substantially the same terms.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 27
Report of Independent Registered Public Accounting Firm
Master International Index Series
To the Investors and Board of Directors of Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of Master International Index Series, one
of the portfolios constituting Quantitative Master Series LLC (formerly
Quantitative Master Series Trust) (the "Master LLC") as of December 31, 2007,
and the related statement of operations for the year then ended, the statements
of changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period then ended.
These financial statements and financial highlights are the responsibility of
the Master LLC's management. Our responsibility is to express an opinion on
these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The
Master LLC is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Master LLC's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2007, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
International Index Series of Quantitative Master Series LLC as of December 31,
2007, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 22, 2008
28 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Proxy Results Master International Index Series
During the six-month period ended December 31, 2007, the holders of interest of
Master International Index Series of Quantitative Master Series LLC voted on the
following proposal, which was approved at a special meeting on September 7,
2007. This proposal was a part of the reorganization of the Board of Directors
of Quantitative Master Series LLC that took effect on November 1, 2007. A
description of the proposal and number of shares voted are as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Units of Interest Units of Interest
Voted For Withheld From Voting
- ------------------------------------------------------------------------------------------------------------------------------------
To elect the Board of Directors of David O. Beim, Richard S. Davis, Ronald W. Forbes,
Quantitative Master Series LLC: Henry Gabbay, Dr. Matina Horner, Rodney D. Johnson,
Herbert I. London, Cynthia A. Montgomery,
Joseph P. Platt, Jr., Robert C. Robb, Jr.,
Toby Rosenblatt, Kenneth L. Urish and
Frederick W. Winter 377,583,324 0
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 29
Officers and Directors
Number of
BlackRock-
Position(s) Advised
Held with Length of Funds and
Name, Address Fund/ Time Portfolios Public
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years Overseen Directorships
====================================================================================================================================
Non-Interested Directors*
- ------------------------------------------------------------------------------------------------------------------------------------
David O. Beim Director 2007 to Professor of Finance and Economics at the 35 Funds None
40 East 52nd Street present Columbia University Graduate School of 81 Portfolios
New York, NY 10022 Business since 1991; Chairman of Outward
1940 Bound USA from 1997 to 2001; Chairman of
Wave Hill, Inc. from 1990 to 2006; Trustee
of Phillips Exeter Academy from 2002 to
present.
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald W. Forbes Director 2007 to Professor Emeritus of Finance, School of 35 Funds None
40 East 52nd Street and present Business, State University of New York at 81 Portfolios
New York, NY 10022 Co-Chairman Albany since 2000 and Professor thereof from
1940 of the Board 1989 to 2000; International Consultant,
of Directors Urban Institute, Washington, D.C. from 1995
to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Dr. Matina Horner Director 2007 to Executive Vice President of Teachers 35 Funds NStar (electric
40 East 52nd Street present Insurance and Annuity Association and 81 Portfolios and gas utility)
New York, NY 10022 College Retirement Equities Fund from 1989
1939 to 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Rodney D. Johnson Director 2007 to President, Fairmount Capital Advisors, Inc. 35 Funds None
40 East 52nd Street and present since 1987; Director, Fox Chase Cancer 81 Portfolios
New York, NY 10022 Co-Chairman Center since 2002; Member of the
1941 of the Board Archdiocesan Investment Committee of the
of Directors Archdiocese of Philadelphia since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Herbert I. London Director 2007 to Professor Emeritus, New York University 35 Funds AIMS Worldwide, Inc.
40 East 52nd Street and present since 2005; John M. Olin Professor of 81 Portfolios (marketing)
New York, NY 10022 Member of Humanities, New York University from 1993 to
1939 the Audit 2005 and Professor thereof from 1980 to
Committee 2005; President, Hudson Institute since 1997
and Director thereof since 1980; Dean,
Gallatin Division of New York University
from 1976 to 1993; Distinguished Fellow,
Herman Kahn Chair, Hudson Institute from
1984 to 1985; Chairman of the Board of
Directors of Vigilant Research, Inc. since
2006; Member of the Board of Directors for
Grantham University since 2006; Director of
AIMS Worldwide, Inc. since 2006; Director of
Reflex Security since 2006; Director of
InnoCentive, Inc. since 2006; Director of
Cerego, LLC since 2005; Director, Damon
Corp. from 1991 to 1995; Overseer, Center
for Naval Analyses from 1983 to 1993.
- ------------------------------------------------------------------------------------------------------------------------------------
Cynthia A. Montgomery Director 2007 to Professor, Harvard Business School since 35 Funds Newell Rubbermaid,
40 East 52nd Street present 1989; Associate Professor, J.L. Kellogg 81 Portfolios Inc. (manufacturing)
New York, NY 10022 Graduate School of Management, Northwestern
1952 University from 1985 to 1989; Associate
Professor, Graduate School of Business
Administration, University of Michigan from
1979 to 1985; Director, Harvard Business
School Publishing since 2005; Director,
McLean Hospital since 2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Joseph P. Platt, Jr. Director 2007 to Partner, Amarna Corporation, LLC (private 35 Funds Greenlight Capital
40 East 52nd Street present investment company) since 2002; Director, 81 Portfolios Re, Ltd. (reinsurance
New York, NY 10022 Jones and Brown (Canadian insurance broker) company)
1947 since 1998; Director, Greenlight Capital Re,
Ltd. (reinsurance company) since 2004;
Partner, Amarna Financial Company (private
investment company) since 2005; Director and
Executive Vice President, Johnson and
Higgins (insurance brokerage) from 1990 to
1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Robb, Jr. Director 2007 to Partner, Lewis, Eckert, Robb and Company 35 Funds None
40 East 52nd Street present (management and financial consulting firm) 81 Portfolios
New York, NY 10022 since 1981; Trustee, Medical College of
1945 Pennsylvania/Hahnemann University from 1998
to 2002; Trustee, EQK Realty Investors from
1994 to 2000; Director, Tamaqua Cable
Products Company from 1981 to 1998;
Director, Brynwood Partners from 1984 to
1998; Director, The PNC Bank Corp. from 1994
to 1998; Director, Provident National Bank
from 1983 to 1993; Director, Brinks, Inc.
from 1981 to 1986.
----------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in
which they turn 72.
30 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
Officers and Directors (continued)
Number of
BlackRock-
Position(s) Advised
Held with Length of Funds and
Name, Address Fund/ Time Portfolios Public
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years Overseen Directorships
====================================================================================================================================
Non-Interested Directors* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Rosenblatt Director 2007 to President since 1999 and Vice President -- 35 Funds A.P. Pharma, Inc.
40 East 52nd Street and Vice present General Partner since 1990, Founders 81 Portfolios (speciality
New York, NY 10022 Chairman Investments Ltd. (private investments); pharmaceuticals)
1938 of the Director, Forward Management, LLC since
Performance 2007; Trustee, SSR Funds from 1990 to 2005;
Oversight Trustee, Metropolitan Series Funds, Inc.
Committee from 2001 to 2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth L. Urish Director 2007 to Managing Partner, Urish Popeck & Co., LLC 35 Funds None
40 East 52nd Street and present (certified public account- ants and 81 Portfolios
New York, NY 10022 Chairman of consultants) since 1976; External Advisory
1951 the Audit Board, The Pennsylvania State University
Committee Accounting Department since 2001; Trustee,
The Holy Family Foundation since 2001;
President and Trustee, Pittsburgh Catholic
Publishing Associates since 2003; Former
Director, Inter-Tel from 2006 to 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Frederick W. Winter Director 2007 to Professor and Dean Emeritus of the Joseph M. 35 Funds None
40 East 52nd Street and present Katz School of Business -- University of 81 Portfolios
New York, NY 10022 Member of Pittsburgh since 2005 and Dean thereof from
1945 the Audit 1997 to 2005; Director, Alkon Corporation
Committee (pneumatics) since 1992; Director,
Indotronix International (IT service) since
2004; Director, Tippman Sports (recreation)
since 2005.
----------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in
which they turn 72.
====================================================================================================================================
Interested Directors*
- ------------------------------------------------------------------------------------------------------------------------------------
Richard S. Davis Director 2007 to Managing Director, BlackRock, Inc. since 184 Funds None
40 East 52nd Street present 2005; Chief Executive Officer, State Street 289 Portfolios
New York, NY 10022 Research & Management Company from 2000 to
1945 2005; Chairman of the Board of Trustees,
State Street Research mutual funds ("SSR
Funds") from 2000 to 2005; Senior Vice
President, Metropolitan Life Insurance
Company from 1999 to 2000; Chairman, SSR
Realty from 2000 to 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Henry Gabbay Director 2007 to Consultant, BlackRock, Inc. since 2007; 183 Funds None
40 East 52nd Street present Managing Director, BlackRock, Inc. from 1989 288 Portfolios
New York, NY 10022 to 2007; Chief Administrative Officer,
1947 BlackRock Advisors, LLC from 1998 to 2007;
President of BlackRock Funds and BlackRock
Bond Allocation Target Shares from 2005 to
2007; Treasurer of certain closed-end funds
in the BlackRock Fund complex from 1989 to
2006.
----------------------------------------------------------------------------------------------------------
* Messrs. Davis and Gabbay are both "interested persons," as defined in the Investment Company
Act of 1940, of the Fund/Master LLC based on their positions with BlackRock, Inc. and its
affiliates. Directors serve until their resignation, removal or death, or until December 31 of
the year in which they turn 72.
====================================================================================================================================
Advisory Board Member
- ------------------------------------------------------------------------------------------------------------------------------------
David R. Advisory 2007 Chairman, Wilmerding & Associates, Inc. 35 Funds Chestnut Street
Wilmerding, Jr.* Board (investment advisers) from 1989 to 2005; 81 Portfolios Exchange Fund,
40 East 52nd Street Member Chairman, Coho Partners, Ltd. (investment (open-end
New York, NY 10022 advisers) from 2003 to 2005; Director, investment company)
1935 Beaver Management Corporation.
----------------------------------------------------------------------------------------------------------
* David R. Wilmerding, Jr. resigned from the Advisory Board of the Fund/Master LLC, effective
December 31, 2007.
BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007 31
Officers and Directors (concluded)
Position(s)
Held with
Fund/ Length of
Name, Address Master LLC Time
and Year of Birth Trust Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Master LLC Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Fund 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Managing Director of
40 East 52nd Street President present Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P.
New York, NY 10022 and Chief ("FAM") in 2006; First Vice President thereof from 1997 to 2005; Treasurer thereof
1960 Executive from 1999 to 2006 and Vice President thereof from 1990 to 1997.
Officer
- ------------------------------------------------------------------------------------------------------------------------------------
Anne F. Ackerley Vice 2007 to Managing Director of BlackRock, Inc. since 2000 and First Vice President and Chief
40 East 52nd Street President present Operating Officer of Mergers and Acquisitions Group from 1997 to 2000; First Vice
New York, NY 10022 President and Chief Operating Officer of Public Finance Group thereof from 1995 to
1962 1997; First Vice President of Emerging Markets Fixed Income Research of Merrill
Lynch & Co., Inc. from 1994 to 1995.
- ------------------------------------------------------------------------------------------------------------------------------------
Neal J. Andrews Chief 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Senior Vice President and
40 East 52nd Street Financial present Line of Business Head of Fund Accounting and Administration at PFPC Inc. from 1992
New York, NY 10022 Officer to 2006.
1966
- ------------------------------------------------------------------------------------------------------------------------------------
Jay M. Fife Treasurer 2007 to Managing Director of BlackRock, Inc. since 2007 and Director since 2006; Formerly
40 East 52nd Street present Assistant Treasurer of the MLIM/FAM advised funds from 2005 to 2006; Director of
New York, NY 10022 MLIM Fund Services Group from 2001 to 2006.
1970
- ------------------------------------------------------------------------------------------------------------------------------------
Brian P. Kindelan Chief 2007 to Chief Compliance Officer of the Funds since 2007; Managing Director and Senior
40 East 52nd Street Compliance present Counsel thereof since January 2005; Director and Senior Counsel of BlackRock
New York, NY 10022 Officer Advisors, Inc. from 2001 to 2004 and Vice President and Senior Counsel thereof from
1959 1998 to 2000; Senior Counsel of The PNC Bank Corp. from 1995 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Howard Surloff Secretary 2007 to Managing Director of BlackRock, Inc. and General Counsel of U.S. Funds at BlackRock,
40 East 52nd Street present Inc. since 2006; Formerly General Counsel (U.S.) of Goldman Sachs Asset Management,
New York, NY 10022 L.P. from 1993 to 2006.
1965
----------------------------------------------------------------------------------------------------------
* Officers of the Fund/Master LLC serve at the pleasure of the Board of Directors.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's/Master LLC's Officers and Directors is available in the Fund's/Master
LLC's Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
JPMorgan Chase Bank, N.A.
Brooklyn, NY 11245
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and
Trust Company
Princeton, NJ 08540
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Sidley Austin LLP
New York, NY 10019
32 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
BlackRock Fund Information
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund
investors and individual clients (collectively, "Clients") and to safeguarding
their non-public personal information. The following information is provided to
help you understand what personal information BlackRock collects, how we protect
that information and why in certain cases we share such information with select
parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you
from different sources, including the following: (i) information we receive from
you or, if applicable, your financial intermediary, on applications, forms or
other documents; (ii) information about your transactions with us, our
affiliates, or others; (iii) information we receive from a consumer reporting
agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any
non-public personal information about its Clients, except as permitted by law or
as is necessary to respond to regulatory requests or to service Client accounts.
These non-affiliated third parties are required to protect the confidentiality
and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that may
be of interest to you. In addition, BlackRock restricts access to non-public
personal information about its Clients to those BlackRock employees with a
legitimate business need for the information. BlackRock maintains physical,
electronic and procedural safeguards that are designed to protect the non-public
personal information of its Clients, including procedures relating to the proper
storage and disposal of such information.
Availability of Additional Information
Electronic copies of most financial reports and prospectuses are available on
the Fund's website or shareholders can sign up for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment 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 website 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, 2007 33
BlackRock Fund Information (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. 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 website at www.blackrock.com, by calling
(800) 441-7762, or on the website 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 website at www.blackrock.com,
by calling (800) 441-7762 or on the website 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 website 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/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50
or more automatically deducted from their checking or savings account and
invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and
receive periodic payments of $50 or more from their BlackRock funds, as long as
their account 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.
34 BLACKROCK INTERNATIONAL INDEX FUND DECEMBER 31, 2007
A World-Class Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all
investment styles and managed by experts in equity, fixed income and tax-exempt
investing.
Equity Funds
BlackRock All-Cap Global Resources Portfolio
BlackRock Aurora Portfolio
BlackRock Asset Allocation Portfolio+
BlackRock Balanced Capital Fund+
BlackRock Basic Value Fund
BlackRock Capital Appreciation Portfolio
BlackRock Developing Capital Markets Fund
BlackRock Equity Dividend Fund
BlackRock EuroFund
BlackRock Focus Growth 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 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 Large Cap Core Fund
BlackRock Large Cap Growth Fund
BlackRock Large Cap Value Fund
BlackRock Latin America Fund
BlackRock Mid-Cap Growth Equity Portfolio
BlackRock Mid-Cap Value Equity Portfolio
BlackRock Mid Cap Value Opportunities Fund
BlackRock Natural Resources Trust
BlackRock Pacific Fund
BlackRock 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 Technology Fund
BlackRock U.S. Opportunities Portfolio
BlackRock Utilities and Telecommunications Fund
BlackRock Value Opportunities Fund
Fixed Income Funds
BlackRock Commodity Strategies 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 II
BlackRock Intermediate Government Bond Portfolio
BlackRock International Bond Portfolio
BlackRock Low Duration Bond Portfolio
BlackRock Managed Income Portfolio
BlackRock Short-Term Bond Fund
BlackRock Total Return Fund
BlackRock Total Return Portfolio II
BlackRock World Income Fund
Municipal Bond Funds
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
Target Risk & Target Date Funds
BlackRock Prepared Portfolios
Conservative Prepared Portfolio
Moderate Prepared Portfolio
Growth Prepared Portfolio
Aggressive Growth Prepared Portfolio
BlackRock Lifecycle Prepared Portfolios
Prepared Portfolio 2010
Prepared Portfolio 2015
Prepared Portfolio 2020
Prepared Portfolio 2025
Prepared Portfolio 2030
Prepared Portfolio 2035
Prepared Portfolio 2040
Prepared Portfolio 2045
Prepared Portfolio 2050
* See the prospectus for information on specific limitations on investments
in the fund.
+ Mixed asset 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, 2007 35
This report is transmitted to shareholders only. It is not authorized for use as
an offer of sale or a solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. Past performance
results shown in this report should not be considered a representation of future
performance. Investment returns and principal value of shares will fluctuate so
that shares, when redeemed, may be worth more or less than their original cost.
Statements and other information herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-441-7762; (2) at
www.blackrock.com; and (3) on the Securities and Exchange Commission's website
at http://www.sec.gov. Information about how the Fund voted proxies relating to
securities held in the Fund's portfolio during the most recent 12-month period
ended June 30 is available (1) at www.blackrock.com and (2) on the Securities
and Exchange Commission's website at http://www.sec.gov.
BlackRock Index Funds, Inc.
100 Bellevue Parkway
Wilmington, DE 19809
BLACKROCK
#Index 2-12/07
Item 2 - Code of Ethics - The registrant (or the "Fund") has adopted a code
of ethics, as of the end of the period covered by this report,
applicable to the registrant's principal executive officer,
principal financial officer and principal accounting officer, or
persons performing similar functions. During the period covered by
this report, there have been no amendments to or waivers granted
under the code of ethics. A copy of the code of ethics is available
without charge at www.blackrock.com.
Item 3 - Audit Committee Financial Expert - The registrant's board of
directors or trustees, as applicable (the "board of directors") has
determined that (i) the registrant has the following audit committee
financial experts serving on its audit committee and (ii) each audit
committee financial expert is independent:
Donald W. Burton (term ended, effective November 1, 2007)
John F. O'Brien (term ended, effective November 1, 2007)
Kenneth L. Urish (term began, effective November 1, 2007)
David H. Walsh (term ended, effective November 1, 2007)
Fred G. Weiss (term ended, effective November 1, 2007)
Under applicable securities laws, a person determined to be an audit
committee financial expert will not be deemed an "expert" for any
purpose, including without limitation for the purposes of Section 11
of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation
or identification as an audit committee financial expert does not
impose on such person any duties, obligations, or liabilities
greater than the duties, obligations, and liabilities imposed on
such person as a member of the audit committee and board of
directors in the absence of such designation or identification.
Item 4 - Principal Accountant Fees and Services
- ----------------------------------------------------------------------------------------------------------------------------------
(a) Audit Fees (b) Audit-Related Fees(1) (c) Tax Fees(2) (d) All Other Fees(3)
- ----------------------------------------------------------------------------------------------------------------------------------
Current Previous Current Previous Current Previous Current Previous
Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal
Entity Name End Year End End Year End End Year End End Year End
- ----------------------------------------------------------------------------------------------------------------------------------
BlackRock
International Index
Fund $4,500 $6,500 $0 $0 $6,100 $6,000 $1,042 $0
- ----------------------------------------------------------------------------------------------------------------------------------
Master International
Index Series $37,700 $37,700 $0 $0 $17,000 $17,000 $0 $0
- ----------------------------------------------------------------------------------------------------------------------------------
1 The nature of the services include assurance and related services
reasonably related to the performance of the audit of financial statements
not included in Audit Fees.
2 The nature of the services include tax compliance, tax advice and tax
planning.
3 The nature of the services include a review of compliance procedures and
attestation thereto.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
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) None of the services described in each of Items 4(b) through
(d) were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) Affiliates' Aggregate Non-Audit Fees:
--------------------------------------------------------------------
Current Fiscal Previous Fiscal
Entity Name Year End Year End
--------------------------------------------------------------------
BlackRock International Index Fund $291,642 $3,077,450
--------------------------------------------------------------------
Master International Index Series $301,500 $3,088,450
--------------------------------------------------------------------
(h) The registrant's audit committee has considered and determined
that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any non-affiliated
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by the registrant's investment
adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services
to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $284,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Master International Index Series
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Australia - Air Freight & Logistics - 0.1% 49,700 Toll Holdings Ltd. $ 496,210
6.2%
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 82,665 Qantas Airways Ltd. 392,769
----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 43,836 Coca-Cola Amatil Ltd. 362,482
156,558 Foster's Group Ltd. 895,583
15,527 Lion Nathan Ltd. 130,374
--------------
1,388,439
----------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% 43,419 CSL Ltd. 1,375,508
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 20,151 Macquarie Group Ltd. 1,348,248
1,184 Perpetual Trustees Australia Ltd. 68,518
--------------
1,416,766
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 27,954 Orica Ltd. 773,391
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.6% 145,546 Australia & New Zealand Banking Group Ltd. 3,483,128
21,750 Bendigo Bank Ltd. 280,581
104,821 Commonwealth Bank of Australia Ltd. 5,404,442
128,876 National Australia Bank Ltd. 4,245,113
18,349 St. George Bank Ltd. 504,886
148,698 Westpac Banking Corp. 3,615,884
--------------
17,534,034
----------------------------------------------------------------------------------------------------------------
Commercial Services & 111,885 Brambles Ltd. 1,123,439
Supplies - 0.1% 7,609 Downer EDI Ltd. 35,732
--------------
1,159,171
----------------------------------------------------------------------------------------------------------------
Construction & 72,939 Boart Longyear Group (b) 148,948
Engineering - 0.1% 9,875 Leighton Holdings Ltd. 522,518
--------------
671,466
----------------------------------------------------------------------------------------------------------------
Construction 32,839 Boral Ltd. 175,124
Materials - 0.0% 33,896 James Hardie Industries NV 190,400
--------------
365,524
----------------------------------------------------------------------------------------------------------------
Containers & 55,191 Amcor Ltd. 333,087
Packaging - 0.0%
----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 50,712 Pacific Brands Ltd. 144,018
----------------------------------------------------------------------------------------------------------------
Diversified Consumer 41,900 ABC Learning Centres Ltd. 188,926
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified Financial 12,193 Australian Stock Exchange Ltd. 641,859
Services - 0.1% 21,814 Babcock & Brown Ltd. 513,116
40,299 Challenger Financial Services Group Ltd. 174,556
--------------
1,329,531
----------------------------------------------------------------------------------------------------------------
Diversified 220,405 Telstra Corp. Ltd. 903,246
Telecommunication 117,168 Telstra Corp. Ltd. Installment Receipts 323,995
Services - 0.1% --------------
1,227,241
----------------------------------------------------------------------------------------------------------------
Energy Equipment 9,755 WorleyParsons Ltd. 439,457
& Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Food & Staples 13,354 Wesfarmers Ltd. 477,226
Retailing - 0.5% 42,806 Wesfarmers Ltd. (b) 1,512,976
97,179 Woolworth's Ltd. 2,881,942
--------------
4,872,144
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 61,294 Futuris Corp. Ltd. 114,976
82,843 Goodman Fielder Ltd. 136,951
--------------
251,927
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment 6,833 Ansell Ltd. $ 71,947
& Supplies - 0.0% 3,234 Cochlear Ltd. 211,428
--------------
283,375
----------------------------------------------------------------------------------------------------------------
Health Care Providers & 48,146 Mayne Group Ltd. 167,392
Services - 0.1% 30,229 Sonic Healthcare Ltd. 441,109
--------------
608,501
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 23,055 Aristocrat Leisure Ltd. 225,893
& Leisure - 0.1% 35,857 Crown Ltd. (b) 423,462
44,237 Tabcorp Holdings Ltd. 571,937
105,531 Tatts Group Ltd. 367,649
--------------
1,588,941
----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 34,681 Computershare Ltd. 299,175
----------------------------------------------------------------------------------------------------------------
Industrial 99,498 CSR Ltd. 269,425
Conglomerates - 0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 154,726 AMP Ltd. 1,342,738
53,968 AXA Asia Pacific Holdings Ltd. 347,185
149,879 Insurance Australia Group Ltd. 539,437
68,168 QBE Insurance Group Ltd. 1,979,106
73,294 Suncorp-Metway Ltd. 1,081,820
--------------
5,290,286
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 113,673 Fairfax Media Ltd. 464,192
36,612 Macquarie Communications Infrastructure Group 173,274
--------------
637,466
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.4% 106,550 Alumina Ltd. 589,853
265,166 BHP Billiton Ltd. 9,269,681
58,610 BlueScope Steel Ltd. 491,989
114,370 Fortescue Metals Group Ltd. (b) 753,168
28,055 Iluka Resources Ltd. 112,697
36,312 Newcrest Mining Ltd. 1,047,057
42,672 OneSteel Ltd. 228,860
91,474 Oxiana Ltd. 275,571
22,206 Rio Tinto Ltd. 2,583,296
37,874 Zinifex Ltd. 406,264
--------------
15,758,436
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.0% 28,965 AGL Energy Ltd. 337,184
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 31,607 Harvey Norman Holdings Ltd. 186,806
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 10,809 Caltex Australia Ltd. 182,525
Fuels - 0.3% 58,406 Origin Energy Ltd. 450,930
36,005 Paladin Resources Ltd. (b) 210,386
53,148 Santos Ltd. 653,095
37,671 Woodside Petroleum Ltd. 1,651,186
--------------
3,148,122
----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 5,919 PaperlinX Ltd. 13,715
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment 114,334 CFS Retail Property Trust $ 233,838
Trusts (REITs) - 0.5% 80,903 Centro Properties Group 70,765
87,890 Centro Retail Trust 72,691
123,474 Commonwealth Property Office Fund 166,640
174,595 DB RREEF Trust 304,783
99,888 Goodman Group 425,117
77,729 ING Industrial Fund 172,214
114,131 Macquarie Office Trust 139,535
70,450 Mirvac Group 368,177
122,330 Stockland Corp., Ltd. 897,883
138,089 Westfield Group 2,524,615
--------------
5,376,258
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 162,144 General Property Trust 570,687
Development - 0.1% 22,466 Lend Lease Corp., Ltd. 339,235
--------------
909,922
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 57,500 Asciano Group 350,479
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 5,609 Billabong International Ltd. 72,617
Luxury Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Transportation 30,724 Macquarie Airports Group 108,517
Infrastructure - 0.1% 184,082 Macquarie Infrastructure Group 486,877
98,073 Transurban Group 585,626
--------------
1,181,020
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia 70,671,337
- ------------------------------------------------------------------------------------------------------------------------------------
Austria - 0.6% Building Products - 0.0% 6,223 Wienerberger AG 342,876
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 15,184 Erste Bank der Oesterreichischen Sparkassen AG 1,072,114
2,739 Raiffeisen International Bank Holding AG 411,662
--------------
1,483,776
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 2,326 RHI AG (b) 95,052
----------------------------------------------------------------------------------------------------------------
Containers & 1,018 Mayr-Melnhof Karton AG 110,177
Packaging - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified 27,080 Telekom Austria AG 747,841
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 5,222 Verbund - Oesterreichische
Elektrizitaetswirtschafts AG 362,995
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 3,077 BetandWin.com Interactive Entertainment AG (b) 119,438
& Leisure - 0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 1,596 Wiener Staedtische Allgemeine Versicherung AG 127,940
----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 3,531 Andritz AG 212,115
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 9,070 Voestalpine AG 650,035
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 12,855 OMV AG 1,037,710
Fuels - 0.1%
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 37,119 IMMOFINANZ Immobilien Anlagen AG 374,975
Development - 0.1% 30,380 Immoeast Immobilien Anlagen AG (b) 326,104
23,055 Meinl European Land Ltd. (b) 317,080
--------------
1,018,159
----------------------------------------------------------------------------------------------------------------
Transportation 1,050 Flughafen Wien AG 121,286
Infrastructure - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria 6,429,400
- ------------------------------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Belgium - 1.2% Beverages - 0.1% 14,553 InBev NV $ 1,209,805
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 4,760 Solvay SA 665,745
2,305 Umicore SA 571,188
--------------
1,236,933
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 41,350 Dexia NV 1,038,182
15,092 KBC Bancassurance Holding 2,124,265
--------------
3,162,447
----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 204 D'ieteren SA 73,308
----------------------------------------------------------------------------------------------------------------
Diversified Financial 166,827 Fortis 4,367,320
Services - 0.5% 6,092 Groupe Bruxelles Lambert SA 779,104
402 KBC Ancora 45,692
343 Nationale A Portefeuille 24,673
--------------
5,216,789
----------------------------------------------------------------------------------------------------------------
Diversified 13,195 Belgacom SA 650,109
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 927 Bekaert SA 124,476
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 1,006 Barco NV 76,831
Instruments - 0.0%
----------------------------------------------------------------------------------------------------------------
Food & Staples 921 Colruyt SA 216,547
Retailing - 0.1% 7,045 Delhaize Group 618,468
--------------
835,015
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 1,461 Omega Pharma SA 100,547
Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Health Care 11,702 AGFA-Gevaert NV 178,539
Technology - 0.0%
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 1,243 Compagnie Maritime Belge SA (CMB) 107,533
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 1,612 Euronav SA 57,046
Fuels - 0.0%
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 9,950 UCB SA 451,717
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 199 Cofinimmo SA 37,474
Trusts (REITs) - 0.0%
----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 1,464 Mobistar SA 133,547
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium 13,652,116
- ------------------------------------------------------------------------------------------------------------------------------------
Bermuda - 0.0% Energy Equipment 17,858 SeaDrill Ltd. (b) 430,989
& Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 105,832 Pacific Basin Shipping Ltd. 167,928
----------------------------------------------------------------------------------------------------------------
Paper & Forest 69 Citic Resources Holdings Ltd. (b) 40
Products - 0.0%
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 80,289 C C Land Holdings Ltd. 114,838
Luxury Goods - 0.0% 19,785 Yue Yuen Industrial Holdings Ltd. 70,853
--------------
185,691
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Bermuda 784,648
- ------------------------------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Cayman Communications 150,416 Foxconn International Holdings Ltd. (b) $ 334,499
Islands - 0.0% Equipment - 0.0%
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 21,932 Lifestyle International Holdings Ltd. 58,666
----------------------------------------------------------------------------------------------------------------
Paper & Forest 16,000 Lee & Man Paper Manufacturing Ltd. 69,754
Products - 0.0%
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 195,250 Shui On Land Ltd. 225,426
Development - 0.0%
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 210,518 Belle International Holdings Ltd. 314,943
----------------------------------------------------------------------------------------------------------------
Total Common Stocks
in the Cayman Islands 1,003,288
- ------------------------------------------------------------------------------------------------------------------------------------
Denmark - 0.9% Beverages - 0.0% 2,762 Carlsberg A/S 332,508
----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 314 Rockwool International AS 72,830
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 3,817 Novozymes A/S Class B 433,058
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 35,951 Danske Bank A/S 1,405,236
3,350 Jyske Bank (b) 263,063
4,339 Sydbank A/S 185,788
--------------
1,854,087
----------------------------------------------------------------------------------------------------------------
Construction 3,667 FLS Industries A/S Class B 373,928
& Engineering - 0.0%
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.2% 15,164 Vestas Wind Systems A/S (b) 1,637,421
----------------------------------------------------------------------------------------------------------------
Food Products - 0.1% 4,813 Danisco A/S 340,074
1,960 East Asiatic Co., Ltd. A/S 151,725
--------------
491,799
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 1,471 Coloplast A/S Class B 127,060
Supplies - 0.0% 17,000 GN Store Nord A/S (b) 133,171
1,430 William Demant Holding (b) 131,345
--------------
391,576
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 796 Bang & Olufsen A/S Class B 74,393
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 1,651 Topdanmark A/S (b) 235,888
1,391 TrygVesta A/S 105,476
--------------
341,364
----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 1,620 NKT Holding A/S 145,524
----------------------------------------------------------------------------------------------------------------
Marine - 0.1% 87 AP Moller - Maersk A/S 929,100
14 AP Moller - Maersk A/S 148,078
--------------
1,077,178
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 1,800 D/S Torm A/S 62,796
Fuels - 0.0%
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.3% 4,919 H Lundbeck A/S 132,181
38,452 Novo-Nordisk A/S Class B 2,510,200
--------------
2,642,381
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 17,794 Dsv A/S 389,306
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark 10,320,149
- ------------------------------------------------------------------------------------------------------------------------------------
Finland - 1.8% Auto Components - 0.0% 9,415 Nokian Renkaat Oyj 326,848
----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 3,128 Asko Oyj 78,149
----------------------------------------------------------------------------------------------------------------
Communications 301,553 Nokia Oyj 11,584,870
Equipment - 1.0%
----------------------------------------------------------------------------------------------------------------
Construction 10,417 YIT Oyj 226,761
& Engineering - 0.0%
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Financial 4,380 OKO Bank $ 83,531
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified 13,341 Elisa Corp. 407,994
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.2% 35,245 Fortum Oyj 1,583,226
----------------------------------------------------------------------------------------------------------------
Food & Staples 6,735 Kesko Oyj Class B 368,181
Retailing - 0.0%
----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 2,895 TietoEnator Oyj 64,755
----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 34,301 Sampo Oyj 905,311
----------------------------------------------------------------------------------------------------------------
Leisure Equipment & 6,404 Amer Sports Corp. 172,617
Products - 0.0%
----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 2,051 Cargotec Corp. Class B 94,761
4,889 KCI Konecranes Oyj 166,541
5,362 Kone Oyj Class B 374,359
10,056 Metso Oyj 545,194
5,530 Wartsila Oyj 418,510
--------------
1,599,365
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 3,180 SanomaWSOY Oyj (Class B) 90,733
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 9,368 Outokumpu Oyj 287,985
6,996 Rautaruukki Oyj 299,018
--------------
587,003
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 10,159 Neste Oil Oyj 358,803
Fuels - 0.0%
----------------------------------------------------------------------------------------------------------------
Paper & Forest 45,945 Stora Enso Oyj Class R 685,862
Products - 0.2% 41,854 UPM-Kymmene Oyj 846,899
--------------
1,532,761
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.0% 3,919 Orion Oyj 91,835
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland 20,062,743
- ------------------------------------------------------------------------------------------------------------------------------------
France - 9.9% Aerospace & Defense - 0.2% 27,386 European Aeronautic Defense and Space Co. 874,035
9,174 Safran SA 188,105
8,345 Thales SA 497,098
2,001 Zodiac SA 127,923
--------------
1,687,161
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 10,781 Air France-KLM 376,780
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 11,399 Compagnie Generale des Etablissements Michelin 1,303,231
6,926 Valeo SA 284,794
--------------
1,588,025
----------------------------------------------------------------------------------------------------------------
Automobiles - 0.3% 13,188 Peugeot SA 999,321
14,608 Renault SA 2,071,745
--------------
3,071,066
----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 7,245 Pernod-Ricard SA 1,672,016
----------------------------------------------------------------------------------------------------------------
Building Products - 0.2% 21,753 Cie de Saint-Gobain SA 2,049,966
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 18,476 Air Liquide 2,748,754
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.1% 64,161 BNP Paribas SA 6,961,475
50,024 Credit Agricole SA 1,687,626
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
9,914 Natixis $ 190,512
27,190 Societe Generale SA 3,932,468
--------------
12,772,081
----------------------------------------------------------------------------------------------------------------
Commercial Services 1,788 Societe BIC SA 128,059
& Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Communications 166,842 Alcatel SA 1,213,686
Equipment - 0.1%
----------------------------------------------------------------------------------------------------------------
Construction 931 Eiffage 91,686
& Engineering - 0.2% 31,742 Vinci SA 2,347,506
--------------
2,439,192
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 1,346 Imerys SA 110,822
12,053 Lafarge SA 2,188,677
--------------
2,299,499
----------------------------------------------------------------------------------------------------------------
Diversified Financial 793 Eurazeo 101,573
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified 138,273 France Telecom SA 4,959,959
Telecommunication 1,238 Neuf Cegetel 62,616
Services - 0.4% --------------
5,022,575
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 7,679 Electricite de France SA 914,664
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.4% 8,259 Alstom 1,773,977
1,890 Legrand Promesses 64,511
15,858 Schneider Electric SA 2,147,870
--------------
3,986,358
----------------------------------------------------------------------------------------------------------------
Energy Equipment 2,101 Compagnie Generale de Geophysique SA 594,287
& Services - 0.1% 8,034 Technip SA 639,035
--------------
1,233,322
----------------------------------------------------------------------------------------------------------------
Food & Staples 44,422 Carrefour SA 3,457,494
Retailing - 0.3% 4,146 Casino Guichard Perrachon SA 451,014
--------------
3,908,508
----------------------------------------------------------------------------------------------------------------
Food Products - 0.3% 32,461 Groupe Danone 2,909,278
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 14,651 Gaz de France SA 856,750
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 16,773 Cie Generale d'Optique Essilor
Supplies - 0.1% International SA 1,069,913
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 16,330 Accor SA 1,305,433
& Leisure - 0.1% 6,609 Sodexho Alliance SA 405,768
--------------
1,711,201
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 23,755 Thomson 335,891
----------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 6,356 Atos Origin SA (b) 328,398
10,162 Cap Gemini SA 638,486
--------------
966,884
----------------------------------------------------------------------------------------------------------------
Industrial 681 Wendel 98,318
Conglomerates - 0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 117,504 AXA SA 4,684,764
2,829 CNP Assurances 368,094
11,575 Scor SE 296,186
--------------
5,349,044
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 3,979 Vallourec SA $ 1,076,171
----------------------------------------------------------------------------------------------------------------
Media - 0.6% 3,127 JC Decaux SA 122,731
10,972 Lagardere S.C.A. 821,697
1,796 M6-Metropole Television SA 47,201
7,450 PagesJaunes Groupe SA 149,124
13,176 Publicis Groupe 515,487
12,073 Societe Television Francaise 1 321,889
87,147 Vivendi SA 4,001,188
--------------
5,979,317
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.5% 69,987 ArcelorMittal 5,434,698
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.7% 77,516 Suez SA 5,276,207
27,914 Veolia Environnement SA 2,542,651
--------------
7,818,858
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.1% 6,575 Pinault-Printemps-Redoute 1,056,138
----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.0% 1,892 Neopost SA 194,903
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 161,867 Total SA 13,402,661
Fuels - 1.2%
----------------------------------------------------------------------------------------------------------------
Personal Products - 0.2% 18,840 L'Oreal SA 2,697,842
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.6% 76,807 Sanofi-Aventis 7,030,945
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 492 Gecina SA 77,188
Trusts (REITs) - 0.1% 987 ICADE 147,126
4,302 Klepierre 219,883
5,475 Unibail - Rodamco 1,199,742
--------------
1,643,939
----------------------------------------------------------------------------------------------------------------
Semiconductors & 57,917 STMicroelectronics NV 828,448
Semiconductor
Equipment - 0.1%
----------------------------------------------------------------------------------------------------------------
Software - 0.1% 8,701 Business Objects SA (b) 531,429
3,307 Dassault Systemes SA 195,735
--------------
727,164
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 1,454 Christian Dior SA 191,080
Luxury Goods - 0.3% 5,108 Hermes International 645,376
18,417 LVMH Moet Hennessy Louis Vuitton SA 2,225,682
--------------
3,062,138
----------------------------------------------------------------------------------------------------------------
Transportation 2,184 Aeroports de Paris 223,428
Infrastructure - 0.0% 1,173 Societe Des Autoroutes Paris-Rhin-Rhone 115,005
--------------
338,433
----------------------------------------------------------------------------------------------------------------
Wireless 18,480 Bouygues 1,535,561
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in France 113,337,780
- ------------------------------------------------------------------------------------------------------------------------------------
Germany - 8.6% Air Freight & Logistics - 0.2% 61,925 Deutsche Post AG 2,126,303
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 18,121 Deutsche Lufthansa AG 483,042
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 12,152 Continental AG 1,590,102
----------------------------------------------------------------------------------------------------------------
Automobiles - 1.1% 11,753 Bayerische Motoren Werke AG 729,211
71,898 DaimlerChrysler AG 6,968,357
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
681 Porsche Automobil Holding SE (Preference
Shares) (b) $ 1,375,240
12,501 Volkswagen AG 2,873,573
--------------
11,946,381
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.5% 39,145 Deutsche Bank AG Registered Shares 5,111,363
3,332 MLP AG 52,696
--------------
5,164,059
----------------------------------------------------------------------------------------------------------------
Chemicals - 1.1% 6,338 Altana AG 153,217
37,627 BASF AG 5,579,794
55,633 Bayer AG 5,087,673
2,464 K+S AG 587,762
9,553 Linde AG 1,265,795
322 Wacker Chemie AG 92,882
--------------
12,767,123
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 48,752 Commerzbank AG 1,854,853
7,451 Deutsche Postbank AG 662,919
17,581 Hypo Real Estate Holding AG 928,691
--------------
3,446,463
----------------------------------------------------------------------------------------------------------------
Computers & 1,694 Wincor Nixdorf AG 160,408
Peripherals - 0.0%
----------------------------------------------------------------------------------------------------------------
Construction 2,333 Bilfinger Berger AG 178,404
& Engineering - 0.1% 3,840 Hochtief AG 515,834
--------------
694,238
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 558 HeidelbergCement AG 85,871
----------------------------------------------------------------------------------------------------------------
Diversified Financial 15,284 Deutsche Boerse AG 3,016,518
Services - 0.3%
----------------------------------------------------------------------------------------------------------------
Diversified 217,200 Deutsche Telekom AG 4,780,446
Telecommunication
Services - 0.4%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.9% 47,712 E.ON AG 10,143,245
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% 3,319 Q-Cells AG (b) 471,017
7,781 Solarworld AG 472,319
--------------
943,336
----------------------------------------------------------------------------------------------------------------
Food & Staples 12,825 Metro AG 1,079,647
Retailing - 0.1%
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 131 Suedzucker AG 3,108
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 1,988 Fresenius AG (Preference Shares) 165,145
Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Health Care Providers & 5,439 Celesio AG 336,494
Services - 0.1% 16,501 Fresenius Medical Care AG 886,056
--------------
1,222,550
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 18,924 TUI AG (b) 528,562
& Leisure - 0.1%
----------------------------------------------------------------------------------------------------------------
Household Products - 0.0% 6,982 Henkel KGaA 356,758
----------------------------------------------------------------------------------------------------------------
Industrial 3,625 Rheinmetall AG 288,026
Conglomerates - 0.9% 65,334 Siemens AG 10,388,270
--------------
10,676,296
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.9% 34,467 Allianz AG Registered Shares $ 7,425,560
15,854 Muenchener Rueckversicherungs AG
Registered Shares 3,078,988
--------------
10,504,548
----------------------------------------------------------------------------------------------------------------
Life Sciences Tools 10,345 Quiagen NV (b) 224,957
& Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Machinery - 0.2% 2,865 Heidelberger Druckmaschinen AG 95,680
9,538 MAN AG 1,583,158
10,497 MG Technologies AG (b) 365,950
--------------
2,044,788
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 7,941 Premiere AG (b) 149,808
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.2% 3,101 Salzgitter AG 463,461
28,502 ThyssenKrupp AG 1,604,238
--------------
2,067,699
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.4% 34,092 RWE AG 4,780,056
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 2,978 KarstadtQuelle AG (b) 71,198
----------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 5,837 Beiersdorf AG 452,318
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 5,128 Merck KGaA 663,192
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 9,043 IVG Immobilien AG 309,101
Development - 0.0%
----------------------------------------------------------------------------------------------------------------
Semiconductors & 64,934 Infineon Technologies AG (b) 765,448
Semiconductor
Equipment - 0.1%
----------------------------------------------------------------------------------------------------------------
Software - 0.3% 66,774 SAP AG 3,437,083
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 2,768 Douglas Holding AG 160,041
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 16,350 Adidas-Salomon AG 1,215,661
Luxury Goods - 0.1% 691 Puma AG Rudolf Dassler Sport 273,254
--------------
1,488,915
----------------------------------------------------------------------------------------------------------------
Transportation 156 Fraport AG 12,284
Infrastructure - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany 98,511,037
- ------------------------------------------------------------------------------------------------------------------------------------
Greece - 0.8% Beverages - 0.0% 10,280 Coca-Cola Hellenic Bottling Co. SA 443,630
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 33,467 Alpha Bank AE 1,211,931
26,235 EFG Eurobank Ergasias SA 920,670
32,084 National Bank of Greece SA 2,200,165
26,167 Piraeus Bank SA 1,017,810
--------------
5,350,576
----------------------------------------------------------------------------------------------------------------
Construction 3,355 Hellenic Technodomiki Tev SA 47,926
& Engineering - 0.0%
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 2,911 Titan Cement Co. SA 132,198
----------------------------------------------------------------------------------------------------------------
Diversified Financial 4,760 Hellenic Exchanges SA 166,948
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified 23,245 Hellenic Telecommunications Organization SA 850,318
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 9,295 Public Power Corp. 487,675
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 17,514 OPAP SA 700,227
& Leisure - 0.1%
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 4,010 Viohalco, Hellenic Copper and Aluminum
Industry SA $ 57,929
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 4,739 Hellenic Petroleum SA 77,717
Fuels - 0.0% 3,114 Motor Oil Hellas Corinth Refineries SA 71,866
--------------
149,583
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 2,620 Folli - Follie SA Registered Shares 97,284
Luxury Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Greece 8,484,294
- ------------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 2.2% Airlines - 0.0% 86,263 Cathay Pacific Airways Ltd. 224,597
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 331,400 BOC Hong Kong Holdings Ltd. 918,881
124,939 Bank of East Asia Ltd. 846,565
65,353 Hang Seng Bank Ltd. 1,337,756
9,000 Wing Hang Bank Ltd. 133,973
--------------
3,237,175
----------------------------------------------------------------------------------------------------------------
Distributors - 0.1% 195,990 Li & Fung Ltd. 781,358
----------------------------------------------------------------------------------------------------------------
Diversified Financial 86,848 Hong Kong Exchanges and Clearing Ltd. 2,434,678
Services - 0.2%
----------------------------------------------------------------------------------------------------------------
Diversified 182,195 PCCW Ltd. 107,685
Telecommunication
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 117,187 CLP Holdings Ltd. 796,171
17,500 Cheung Kong Infrastructure Holdings Ltd. 64,960
93,500 HongKong Electric Holdings Ltd. 535,084
--------------
1,396,215
----------------------------------------------------------------------------------------------------------------
Electronic Equipment 34,147 Kingboard Chemical Holdings Ltd. 201,731
& Instruments - 0.0%
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 80,000 Tingyi (Cayman Islands) Holding Corp. 127,708
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 322,264 The Hong Kong & China Gas Ltd. 981,657
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 64,990 Shangri-La Asia Ltd. 202,125
& Leisure - 0.0%
----------------------------------------------------------------------------------------------------------------
Industrial 173,176 Hutchison Whampoa Ltd. 1,950,879
Conglomerates - 0.2% 56,773 Melco International Development Ltd. 84,819
12,000 NWS Holdings Ltd. 38,058
--------------
2,073,756
----------------------------------------------------------------------------------------------------------------
Internet Software 59,407 Tencent Holdings Ltd. 443,703
& Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 9,557 Orient Overseas International Ltd. 70,017
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 4,000 Television Broadcasts Ltd. 23,909
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 194,741 Fosun International (b) 180,259
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 208,414 The Link REIT 448,734
Trusts (REITs) - 0.1%
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 120,835 Cheung Kong Holdings Ltd. 2,207,590
Development - 0.8% 10,000 Chinese Estates Holdings Limited 18,012
17,000 Hang Lung Group Ltd. 91,859
184,000 Hang Lung Properties Ltd. 822,122
78,491 Henderson Land Development Co., Ltd. 728,956
28,791 Hysan Development Co. Ltd. 81,317
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
39,000 Kerry Properties Ltd. $ 310,105
210,484 New World Development Ltd. 736,907
64,000 Shun Tak Holdings Ltd. 100,032
88,421 Sino Land Co. 309,632
112,324 Sun Hung Kai Properties Ltd. 2,359,203
72,577 Swire Pacific Ltd. Class A 994,531
86,107 Wharf Holdings Ltd. (b) 445,433
5,000 Wheelock and Company, Limited 15,310
--------------
9,221,009
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.1% 136,000 MTR Corp. 495,801
----------------------------------------------------------------------------------------------------------------
Semiconductors & 5,004 ASM Pacific Technology Ltd. 36,373
Semiconductor
Equipment - 0.0%
----------------------------------------------------------------------------------------------------------------
Speciality Retail - 0.1% 84,600 Esprit Holdings Ltd. 1,245,757
230,394 Giordano International Ltd. 109,903
--------------
1,355,660
----------------------------------------------------------------------------------------------------------------
Transportation 2,400 Hong Kong Aircraft Engineering Company Ltd. 64,778
Infrastructure - 0.0% 36,349 Hopewell Holdings Ltd. 166,656
--------------
231,434
----------------------------------------------------------------------------------------------------------------
Wireless 169,647 Hutchison Telecommunications
Telecommunication International Ltd. 255,722
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 24,531,306
- ------------------------------------------------------------------------------------------------------------------------------------
Ireland - 0.6% Airlines - 0.0% 35,968 Ryanair Holdings Plc (b) 246,905
----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 6,310 Kingspan Group Plc 94,870
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 72,428 Allied Irish Banks Plc 1,660,925
24,122 Anglo Irish Bank Corp. Plc 385,089
80,768 Bank of Ireland 1,202,132
--------------
3,248,146
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 43,238 CRH Plc 1,501,628
----------------------------------------------------------------------------------------------------------------
Containers & 5,262 Smurfit Kappa Plc (b) 86,302
Packaging - 0.0%
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 20,458 Greencore Group Plc 134,545
5,153 Iaws Group Plc 113,935
7,105 Kerry Group Plc 226,879
--------------
475,359
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 2,377 Paddy Power Plc 77,663
& Leisure - 0.0%
----------------------------------------------------------------------------------------------------------------
Industrial 2,954 DCC Plc 83,913
Conglomerates - 0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 24,915 Irish Life & Permanent Plc 426,246
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 37,376 Elan Corp. Plc (b) 817,824
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland 7,058,856
- ------------------------------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Italy - 3.7% Aerospace & Defense - 0.1% 26,776 Finmeccanica SpA $ 859,083
----------------------------------------------------------------------------------------------------------------
Automobiles - 0.1% 59,430 Fiat SpA 1,529,003
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 42,528 Mediobanca SpA 874,004
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.3% 580,816 Banca Intesa SpA 4,570,775
64,173 Banca Intesa SpA (RNC) 467,855
77,015 Banca Monte dei Paschi di Siena SpA 411,353
39,570 Banca Popolare di Milano Scrl 536,930
57,246 Banco Popolare SPA (b) 1,265,105
701,256 UniCredito Italiano SpA 5,767,100
51,354 Unione Di Banche Italiane SPCA 1,411,137
--------------
14,430,255
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 6,019 Italcementi SpA 128,876
----------------------------------------------------------------------------------------------------------------
Diversified Financial 5,710 IFIL-Investments SpA 53,493
Services - 0.0% 2,087 Instituto Finanziario Industriale SpA
(Preference Shares) (b) 70,591
--------------
124,084
----------------------------------------------------------------------------------------------------------------
Diversified 822,031 Telecom Italia SpA 2,548,549
Telecommunication 478,015 Telecom Italia SpA (RNC) 1,133,479
Services - 0.3% --------------
3,682,028
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 328,027 Enel SpA 3,900,598
113,079 Terna SpA 455,529
--------------
4,356,127
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 8,179 Prysmian SpA (b) 202,396
----------------------------------------------------------------------------------------------------------------
Energy Equipment 8,542 Saipem SpA 340,866
& Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 122,230 Parmalat SpA 471,932
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 84,550 Snam Rete Gas SpA 539,929
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 4,375 Autogrill SpA 74,413
& Leisure - 0.0% 8,091 Lottomatica SpA 296,716
--------------
371,129
----------------------------------------------------------------------------------------------------------------
Industrial 286,056 Pirelli & C SpA (b) 314,229
Conglomerates - 0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.4% 39,029 Alleanza Assicurazioni SpA 506,965
79,204 Assicurazioni Generali SpA 3,585,256
6,967 Fondiaria-Sai SpA 285,794
33,249 Mediolanum SpA 265,938
39,092 Unipol SpA (Preference Shares) 123,618
--------------
4,767,571
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 10,724 Arnoldo Mondadori Editore SpA 88,084
68,133 Mediaset SpA 686,369
158,897 Seat Pagine Gialle SpA 62,594
--------------
837,047
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.0% 14,097 A2A SpA 64,530
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 200,844 Eni SpA 7,330,081
Fuels - 0.7%
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 9,077 Bulgari SpA 127,476
Luxury Goods - 0.0% 8,388 Luxottica Group SpA 266,804
--------------
394,280
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Transportation 21,098 Autostrade SpA $ 801,437
Infrastructure - 0.1%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy 42,418,887
- ------------------------------------------------------------------------------------------------------------------------------------
Japan - 18.8% Air Freight & Logistics - 0.1% 37,000 Yamato Transport Co., Ltd. 531,849
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 31,000 All Nippon Airways Co., Ltd. 114,235
104,000 Japan Airlines Corp. (b) 235,847
--------------
350,082
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.4% 17,200 Aisin Seiki Co., Ltd. 712,119
47,700 Bridgestone Corp. 842,145
38,100 Denso Corp. 1,550,451
15,000 NGK Spark Plug Co., Ltd. 260,093
3,000 NHK Spring Co., Ltd. 27,383
11,400 NOK Corp. 239,863
11,900 Stanley Electric Co., Ltd. 295,561
21,700 Sumitomo Rubber Industries, Ltd. 190,082
2,100 Tokai Rika Co., Ltd. 64,745
3,100 Toyoda Gosei Co., Ltd. 109,258
3,100 Toyota Boshoku Corp. 99,726
13,700 Toyota Industries Corp. 555,450
--------------
4,946,876
----------------------------------------------------------------------------------------------------------------
Automobiles - 1.6% 4,000 Fuji Heavy Industries Ltd. 18,528
123,000 Honda Motor Co., Ltd. 4,063,286
42,000 Isuzu Motors Ltd. 188,557
20,000 Mazda Motor Corp. 98,988
120,000 Mitsubishi Motors Corp. (b) 201,071
181,200 Nissan Motor Co., Ltd. 1,977,706
11,000 Suzuki Motor Corp. 329,782
214,000 Toyota Motor Corp. 11,397,364
17,800 Yamaha Motor Co., Ltd. 426,000
--------------
18,701,282
----------------------------------------------------------------------------------------------------------------
Beverages - 0.2% 32,700 Asahi Breweries Ltd. 551,583
200 Coca-Cola West Holdings Co., Ltd. 4,415
6,200 Ito En, Ltd. 117,959
64,000 Kirin Holdings Co., Ltd. 938,918
25,000 Sapporo Holdings Ltd. 201,305
20,000 Takara Holdings, Inc. 119,942
--------------
1,934,122
----------------------------------------------------------------------------------------------------------------
Building Products - 0.3% 73,100 Asahi Glass Co., Ltd. 966,776
2,000 Central Glass Co., Ltd. 7,546
20,900 Daikin Industries Ltd. 1,165,720
16,300 JS Group Corp. 260,066
59,000 Nippon Sheet Glass Co., Ltd. 297,835
27,000 Sanwa Holdings Corp. 132,555
21,000 Toto Ltd. 166,348
--------------
2,996,846
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.4% 115,000 Daiwa Securities Group, Inc. 1,032,430
1,000 Jafco Co., Ltd. 32,753
10,300 Matsui Securities Co., Ltd. 80,443
33,000 Nikko Cordial Corp. 490,946
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
136,300 Nomura Holdings, Inc. $ 2,283,687
180 SBI E*trade Securities Co. Ltd. 163,274
954 SBI Holdings, Inc. 256,521
43,300 Shinko Securities Co., Ltd. 177,102
--------------
4,517,156
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.9% 84,000 Asahi Kasei Corp. 554,356
4,000 Daicel Chemical Industries Ltd. 23,919
32,000 Dainippon Ink and Chemicals, Inc. 159,537
19,000 Denki Kagaku Kogyo Kabushiki Kaisha 82,126
5,300 Hitachi Chemical Co., Ltd. 121,788
17,100 JSR Corp. 437,790
13,000 Kaneka Corp. 107,182
4,000 Kansai Paint Co., Ltd. 28,873
35,000 Kuraray Co., Ltd. 422,251
86,500 Mitsubishi Chemical Holdings Corp. 659,967
22,000 Mitsubishi Gas Chemicals Co., Inc. 214,020
56,000 Mitsubishi Rayon Co., Ltd. 269,960
41,000 Mitsui Chemicals, Inc. 266,166
16,000 Nippon Kayaku Co., Ltd. 103,840
15,000 Nippon Sanso Corp. 140,938
17,000 Nissan Chemical Industries Ltd. 221,742
13,110 Nitto Denko Corp. 689,021
32,400 Shin-Etsu Chemical Co., Ltd. 2,014,995
111,000 Showa Denko KK 394,223
135,000 Sumitomo Chemical Co., Ltd. 1,195,510
91,000 Teijin Ltd. 387,835
21,000 Tokuyama Corp. 209,529
106,700 Toray Industries, Inc. 830,467
53,000 Tosoh Corp. 225,922
95,000 Ube Industries Ltd. 321,554
15,000 Zeon Corp. 89,475
--------------
10,172,986
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.8% 4,000 Aozora Bank Ltd. 11,615
13,000 The 77 Bank Ltd. 80,889
15,000 The Bank of Kyoto Ltd. 177,450
104,000 The Bank of Yokohama Ltd. 724,610
52,000 The Chiba Bank Ltd. 418,411
54,000 Chuo Mitsui Trust Holdings, Inc. 411,808
72,000 Fukuoka Financial Group, Inc. 420,482
17,000 The Gunma Bank Ltd. 111,780
23,000 The Hachijuni Bank Ltd. 154,537
24,000 The Hiroshima Bank Ltd. 129,540
78,100 Hokuhoku Financial Group, Inc. 225,777
37,000 The Joyo Bank Ltd. 206,787
687,629 Mitsubishi UFJ Financial Group, Inc. 6,484,291
785 Mizuho Financial Group, Inc. 3,739,306
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
34,000 The Nishi-Nippon City Bank Ltd. $ 84,212
481 Resona Holdings, Inc. 852,646
14 Sapporo Hokuyo Holdings, Inc. 124,369
139,000 Shinsei Bank Ltd. 504,638
53,000 The Shizuoka Bank Ltd. 581,327
523 Sumitomo Mitsui Financial Group, Inc. 3,870,345
89,000 The Sumitomo Trust & Banking Co., Ltd. 586,576
9,000 Suruga Bank Ltd. 97,909
13,000 The Yasuda Trust & Banking Co., Ltd. 23,971
--------------
20,023,276
----------------------------------------------------------------------------------------------------------------
Commercial Services 55,000 Dai Nippon Printing Co., Ltd. 805,568
& Supplies - 0.2% 84 The Goodwill Group, Inc. (b) 10,801
4,500 Kokuyo Co., Ltd. 40,663
4,100 Meitec Corp. 123,335
16,400 Secom Co., Ltd. 895,339
48,000 Toppan Printing Co., Ltd. 470,729
--------------
2,346,435
----------------------------------------------------------------------------------------------------------------
Computers & 134,000 Fujitsu Ltd. 896,389
Peripherals - 0.3% 6,300 Mitsumi Electric Co., Ltd. 210,774
177,000 NEC Corp. 813,004
8,000 Seiko Epson Corp. 170,391
235,000 Toshiba Corp. 1,734,291
--------------
3,824,849
----------------------------------------------------------------------------------------------------------------
Construction 8,457 COMSYS Holdings Corp. 68,835
& Engineering - 0.2% 17,000 Chiyoda Corp. 191,720
20,000 JGC Corp. 342,924
94,800 Kajima Corp. 307,691
8,000 Kinden Corp. 62,542
38,000 Nishimatsu Construction Co., Ltd. 105,512
68,000 Obayashi Corp. 339,610
13,000 Okumura Corp. 63,102
34,000 Shimizu Corp. 147,582
100,000 Taisei Corp. 268,957
3,000 Toda Corp. 14,382
--------------
1,912,857
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 61,000 Sumitomo Osaka Cement Co., Ltd. 115,326
78,000 Taiheiyo Cement Corp. 184,253
--------------
299,579
----------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.2% 3,550 Acom Co., Ltd. 71,717
10,800 Aeon Credit Service Co., Ltd. 159,073
4,100 Aiful Corp. 72,031
15,700 Credit Saison Co., Ltd. 427,683
7,430 ORIX Corp. 1,249,631
3,750 Promise Co., Ltd. 92,332
6,920 Takefuji Corp. 166,209
--------------
2,238,676
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Containers & 7,700 Toyo Seikan Kaisha Ltd. $ 136,532
Packaging - 0.0%
----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 1,500 Canon Marketing Japan Inc. 27,871
----------------------------------------------------------------------------------------------------------------
Diversified Consumer 3,400 Benesse Corp. 143,871
Service - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified Financial 1,100 Diamond Lease Co., Ltd. 36,378
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified 405 Nippon Telegraph & Telephone Corp. 2,013,227
Telecommunication
Services - 0.2%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.7% 55,600 Chubu Electric Power Co., Inc. 1,445,318
6,800 Chugoku Electric Power Co 132,193
9,900 Hokkaido Electric Power Co., Inc. 213,405
3,000 Hokuriku Electric Power Co. 62,379
64,000 The Kansai Electric Power Co., Inc. 1,490,747
27,300 Kyushu Electric Power Co., Inc. 670,185
4,000 Shikoku Electric Power Co., Inc. 107,049
37,100 Tohoku Electric Power Co., Inc. 834,618
97,700 The Tokyo Electric Power Co., Inc. 2,529,087
--------------
7,484,981
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 18,800 Fuji Electric Holdings Co., Ltd. 64,981
40,000 Fujikura Ltd. 202,100
41,000 Furukawa Electric Co., Ltd. 157,958
21,873 Matsushita Electric Works Ltd. 239,229
155,000 Mitsubishi Electric Corp. 1,605,362
55,000 Sumitomo Electric Industries Ltd. 867,435
5,600 Ushio, Inc. 122,235
--------------
3,259,300
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 19,000 Alps Electric Co., Ltd. 245,463
Instruments - 1.0% 34,700 Citizens Holding Co. Ltd. 336,983
39,700 Fuji Photo Film Co., Ltd. 1,661,664
1,600 Hirose Electric Co., Ltd. 183,616
277,000 Hitachi Ltd. 2,057,930
35,300 Hoya Corp. 1,116,862
10,200 Ibiden Co., Ltd. 705,318
2,600 Keyence Corp. 638,481
12,700 Kyocera Corp. 1,122,353
1,100 Mabuchi Motor Co., Ltd. 66,033
16,800 Murata Manufacturing Co., Ltd. 964,734
7,400 Nidec Corp. 534,666
30,500 Nippon Electric Glass Co. 496,145
63,000 Oki Electric Industry Co., Ltd. (b) 98,104
13,700 Omron Corp. 322,545
10,900 TDK Corp. 802,817
13,000 Taiyo Yuden Co., Ltd. 207,688
12,000 Yaskawa Electric Corp. 161,880
9,500 Yokogawa Electric Corp. 104,309
--------------
11,827,591
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Food & Staples 53,400 Aeon Co., Ltd. $ 778,949
Retailing - 0.3% 200 Circle K Sunkus Co., Ltd. 2,956
3,600 FamilyMart Co., Ltd. 112,733
7,400 Lawson, Inc. 262,176
3,000 Matsumotokiyoshi Holdings Co. Ltd. (b) 73,043
62,800 Seven & I Holdings Co. Ltd. 1,824,493
4,000 UNY Co., Ltd. 33,787
--------------
3,088,137
----------------------------------------------------------------------------------------------------------------
Food Products - 0.2% 60,000 Ajinomoto Co., Inc. 679,037
100 House Foods Corp. 1,680
18,000 Kikkoman Corp. 246,214
40,000 Meiji Dairies Corp. 203,773
26,000 Nichirei Corp. 107,063
6,000 Nippon Meat Packers, Inc. 60,553
11,000 Nisshin Seifun Group, Inc. 110,598
8,000 Nissin Food Products Co., Ltd. 258,064
12,500 QP Corp. 130,019
10,000 Toyo Suisan Kaisha, Ltd. 179,866
5,100 Yakult Honsha Co., Ltd. 117,203
6,000 Yamazaki Baking Co., Ltd. 58,561
--------------
2,152,631
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 163,000 Osaka Gas Co., Ltd. 641,312
197,000 Tokyo Gas Co., Ltd. 920,252
--------------
1,561,564
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 16,000 Olympus Corp. 652,080
Supplies - 0.1% 15,200 Terumo Corp. 792,418
--------------
1,444,498
----------------------------------------------------------------------------------------------------------------
Health Care Providers & 900 Alfresa Holdings Corp. 54,263
Services - 0.0% 8,600 Mediceo Paltac Holdings Co., Ltd. 126,924
2,600 Suzuken Co., Ltd. 92,545
--------------
273,732
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 2,800 Oriental Land Co., Ltd. 168,502
& Leisure - 0.0% 39 ROUND ONE Corp. 77,294
--------------
245,796
----------------------------------------------------------------------------------------------------------------
Household Durables - 1.0% 23,800 Casio Computer Co., Ltd. 276,751
4,300 Daito Trust Construction Co., Ltd. 235,907
38,000 Daiwa House Industry Co., Ltd. 485,495
58,000 HASEKO Corp. (b) 99,043
10,800 Makita Corp. 451,516
154,000 Matsushita Electric Industrial Co., Ltd. 3,155,595
19,200 Pioneer Corp. 172,581
162,000 Sanyo Electric Co., Ltd. (b) 222,075
21,000 Sekisui Chemical Co., Ltd. 140,270
46,000 Sekisui House Ltd. 491,665
78,000 Sharp Corp. 1,391,376
78,400 Sony Corp. 4,271,457
--------------
11,393,731
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Household Products - 0.1% 44,000 Kao Corp. $ 1,322,770
2,200 Uni-Charm Corp. 138,839
--------------
1,461,609
----------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 6,700 CSK Holdings Corp. 215,930
700 Itochu Techno-Science Corp. 23,387
80 NTT Data Corp. 354,332
11,400 Nomura Research Institute Ltd. 372,955
100 Obic Co., Ltd. 18,406
600 Otsuka Shokai Co., Ltd. 51,249
4,900 TIS, Inc. 84,265
--------------
1,120,524
----------------------------------------------------------------------------------------------------------------
Independent Power 11,400 Electric Power Development Co. 424,108
Producers & Energy
Traders - 0.0%
----------------------------------------------------------------------------------------------------------------
Industrial 79,000 Hankyu Hanshin Holdings, Inc. 340,999
Conglomerates - 0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.4% 9,000 Aioi Insurance Co., Ltd. 42,479
60,100 Millea Holdings, Inc. 2,017,705
104,000 Mitsui Sumitomo Insurance Co., Ltd. 1,006,943
18,000 Nipponkoa Insurance Co., Ltd. 163,420
59,800 Sompo Japan Insurance, Inc. 536,270
56 Sony Financial Holdings, Inc. (b) 214,045
17,050 T&D Holdings, Inc. 867,527
--------------
4,848,389
----------------------------------------------------------------------------------------------------------------
Internet & Catalog 645 Rakuten, Inc. (b) 314,821
Retail - 0.0%
----------------------------------------------------------------------------------------------------------------
Internet Software 27 Access Co. Ltd. (b) 121,618
& Service - 0.1% 167 eAccess Ltd. 103,616
1,047 Yahoo! Japan Corp. 466,908
--------------
692,142
----------------------------------------------------------------------------------------------------------------
Leisure Equipment 11,900 Namco Bandai Holdings, Inc. 184,600
& Products - 0.2% 26,000 Nikon Corp. 884,476
6,200 Sankyo Co., Ltd. (Gunma) 286,458
20,832 Sega Sammy Holdings, Inc. 257,985
3,200 Shimano, Inc. 115,057
10,100 Yamaha Corp. 230,446
--------------
1,959,022
----------------------------------------------------------------------------------------------------------------
Machinery - 0.9% 21,000 Amada Co., Ltd. 182,145
8,500 Daifuku Co., Ltd. 119,819
53,000 Ebara Corp. 179,914
16,000 Fanuc Ltd. 1,551,170
3,000 GLORY Ltd. 68,938
5,000 Hino Motors Ltd. 32,315
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
10,500 Hitachi Construction Machinery Co., Ltd. $ 311,692
79,000 IHI Corp. 163,120
9,600 JTEKT Corp. 171,578
28,000 The Japan Steel Works, Ltd. 406,013
111,000 Kawasaki Heavy Industries Ltd. 324,753
72,000 Komatsu Ltd. 1,930,980
98,000 Kubota Corp. 659,494
11,600 Kurita Water Industries Ltd. 349,877
31,000 Minebea Co., Ltd. 198,603
264,200 Mitsubishi Heavy Industries Ltd. 1,122,675
71,000 Mitsui Engineering & Shipbuilding Co., Ltd. 272,806
24,000 NGK Insulators Ltd. 643,471
24,000 NSK Ltd. 246,010
21,000 NTN Corp. 182,050
19,000 OKUMA Corp. 201,070
900 OSG Corp. 9,775
3,900 SMC Corp. 463,958
41,000 Sumitomo Heavy Industries Ltd. 373,821
6,000 THK Co., Ltd. 121,269
--------------
10,287,316
----------------------------------------------------------------------------------------------------------------
Marine - 0.2% 45,000 Kawasaki Kisen Kaisha Ltd. 436,856
83,000 Mitsui OSK Lines Ltd. 1,049,311
97,000 Nippon Yusen Kabushiki Kaisha 764,165
--------------
2,250,332
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 600 Asatsu-DK, Inc. 16,707
117 Dentsu, Inc. 307,779
58 Fuji Television Network, Inc. 95,381
600 Hakuhodo DY Holdings, Inc. 33,416
52 Jupiter Telecommunications Co., Ltd. (b) 43,749
4,700 Toho Co., Ltd. 104,992
3,700 Tokyo Broadcasting System, Inc. 79,267
--------------
681,291
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.8% 26,000 DAIDO STEEL CO., LTD. 193,747
17,000 Dowa Mining Co., Ltd. 118,065
45,800 JFE Holdings, Inc. 2,296,604
233,000 Kobe Steel Ltd. 751,158
103,000 Mitsubishi Materials Corp. 434,924
68,000 Mitsui Mining & Smelting Co., Ltd. 270,660
63,800 Nippon Light Metal Co., Ltd. 110,477
450,000 Nippon Steel Corp. 2,754,423
47,000 Nisshin Steel Co., Ltd. 162,392
1,600 Osaka Titanium Technologies Co. 117,098
320,000 Sumitomo Metal Industries Ltd. 1,463,345
41,000 Sumitomo Metal Mining Co., Ltd. 693,167
800 Toho Titanium Co. Ltd. 23,726
7,500 Tokyo Steel Manufacturing Co., Ltd. 82,930
1,700 Yamato Kogyo Co Ltd 68,828
--------------
9,541,544
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.1% 6,000 H20 Retailing Corp. $ 46,656
21,400 Isetan Co., Ltd. 288,270
24,600 J Front Retailing Co. Ltd. (b) 217,341
30,600 Marui Group Co. Ltd. 301,929
48,000 Mitsukoshi Ltd. 217,140
2,000 Ryohin Keikaku Co., Ltd. 120,057
30,000 Takashimaya Co., Ltd. 361,530
--------------
1,552,923
----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.5% 3,400 Brother Industries Ltd. 43,772
83,500 Canon, Inc. 3,821,510
42,500 Konica Minolta Holdings, Inc. 745,068
58,000 Ricoh Co., Ltd. 1,058,868
--------------
5,669,218
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 24,000 Cosmo Oil Co., Ltd. 88,713
Fuels - 0.3% 1,000 Idemitsu Kosan Co. Ltd. 105,325
58 Inpex Holdings, Inc. 629,449
3,200 Japan Petrolleum Explora 232,836
77,500 Nippon Mining Holdings, Inc. 491,551
109,000 Nippon Oil Corp. 881,197
22,800 Showa Shell Sekiyu KK 251,693
14,000 TonenGeneral Sekiyu KK 137,663
--------------
2,818,427
----------------------------------------------------------------------------------------------------------------
Paper & Forest 97 Nippon Paper Group, Inc. 292,192
Products - 0.0% 49,000 OJI Paper Co., Ltd. 240,737
--------------
532,929
----------------------------------------------------------------------------------------------------------------
Personal Products - 0.1% 6,200 Aderans Co., Ltd. 97,521
25,000 Shiseido Co., Ltd. 589,939
--------------
687,460
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.9% 40,600 Astellas Pharma, Inc. 1,760,847
22,100 Chugai Pharmaceutical Co., Ltd. 316,070
56,200 Daiichi Sankyo Co. Ltd. 1,729,212
21,900 Eisai Co., Ltd. 857,118
33,000 Kyowa Hakko Kogyo Co., Ltd. 352,442
13,000 Mitsubishi Tanabe Pharma Corp. 120,760
2,000 Ono Pharmacecutical Co. Ltd. 92,288
5,000 Santen Pharmaceutical Co., Ltd. 122,408
27,000 Shionogi & Co., Ltd. 478,685
7,000 Taisho Pharmaceutical Co., Ltd. 134,707
67,100 Takeda Pharmaceutical Co., Ltd. 3,920,039
--------------
9,884,576
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 70 Japan Prime Realty Investment Corp. 279,969
Trusts (REITs) - 0.2% 38 Japan Real Estate Investment Corp. 471,617
42 Japan Retail Fund Investment Corp. 297,829
43 Nippon Building Fund, Inc. 600,487
21 Nomura Real Estate Office Fund, Inc. 197,618
--------------
1,847,520
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & 2,100 Aeon Mall Co. Ltd. $ 55,111
Development - 0.5% 82 KK DaVinci Advisors (b) 71,041
8,100 Leopalace21 Corp. 217,629
95,000 Mitsubishi Estate Co., Ltd. 2,263,370
64,000 Mitsui Fudosan Co., Ltd. 1,380,253
51 NTT Urban Development Co. 81,647
600 Nomura Real Estate Holdings, Inc. 14,376
28,000 Sumitomo Realty & Development Co., Ltd. 684,770
29,000 Tokyo Tatemono Co., Ltd. 272,007
28,000 Tokyu Land Corp. 239,577
9,400 Urban Corp. 124,061
--------------
5,403,842
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.6% 124 Central Japan Railway Co. 1,054,004
266 East Japan Railway Co. 2,187,992
19,000 Keihin Electric Express Railway Co., Ltd. 116,554
31,000 Keio Electric Railway Co., Ltd. 187,743
33,000 Keisei Electric Railway Co., Ltd. 176,048
100,000 Kintetsu Corp. 310,088
72,000 Nippon Express Co., Ltd. 367,352
36,000 Odakyu Electric Railway Co., Ltd. 229,024
13,000 Seino Holdings Corp. 87,474
50,000 Tobu Railway Co., Ltd. 232,796
100,000 Tokyu Corp. 652,869
152 West Japan Railway Co. 754,039
--------------
6,355,983
----------------------------------------------------------------------------------------------------------------
Semiconductors & 12,500 Advantest Corp. 353,445
Semiconductor 6,000 Elpida Memory, Inc. (b) 205,139
Equipment - 0.2% 1,300 NEC Electronics Corp. (b) 30,808
7,600 Rohm Co., Ltd. 659,350
17,000 Sanken Electric Co., Ltd. 90,386
2,300 Shinko Electric Industries 46,417
7,600 Sumco Corp. 216,165
12,700 Tokyo Electron Ltd. 771,799
3,900 Tokyo Seimitsu Co. Ltd. 94,602
--------------
2,468,111
----------------------------------------------------------------------------------------------------------------
Software - 0.5% 4,900 Fuji Soft, Inc. 77,199
5,000 Konami Corp. 163,993
7,900 Nintendo Co., Ltd. 4,638,501
900 Oracle Corp. Japan 39,516
1,500 Square Enix Co. Ltd. 45,667
9,500 Trend Micro, Inc. 337,902
--------------
5,302,778
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 2,600 Aoyama Trading Co., Ltd. 67,336
3,900 Autobacs Seven Co., Ltd. 78,572
200 EDION Corp. 2,140
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,300 Fast Retailing Co., Ltd. $ 236,028
1,200 Nitori Co., Ltd. 57,510
4,800 Shimachu Co., Ltd. 135,236
800 Shimamura Co., Ltd. 67,644
680 USS Co., Ltd. 42,231
7,580 Yamada Denki Co., Ltd. 855,064
--------------
1,541,761
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 13,000 Asics Corp. 186,240
Luxury Goods - 0.1% 22,000 Gunze Ltd. 96,231
14,000 Nisshinbo Industries, Inc. 170,708
7,000 Onward Holdings Co. Ltd. 71,611
11,000 Wacoal Holdings Corp. 143,406
--------------
668,196
----------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 362 Japan Tobacco, Inc. 2,140,414
----------------------------------------------------------------------------------------------------------------
Trading Companies & 1,400 Hitachi High-Technologies Corp. 30,396
Distributors - 0.9% 128,000 Itochu Corp. 1,235,154
123,000 Marubeni Corp. 861,862
105,900 Mitsubishi Corp. 2,866,150
133,000 Mitsui & Co., Ltd. 2,777,391
94,100 Sojitz Corp. 335,607
83,300 Sumitomo Corp. 1,165,482
13,900 Toyota Tsusho Corp. 374,788
--------------
9,646,830
----------------------------------------------------------------------------------------------------------------
Transportation 8,000 Kamigumi Co., Ltd. 57,731
Infrastructure - 0.0% 7,000 Mitsubishi Logistics Corp. 78,074
--------------
135,805
----------------------------------------------------------------------------------------------------------------
Wireless 191 KDDI Corp. 1,413,223
Telecommunication 1,256 NTT DoCoMo, Inc. 2,067,765
Services - 0.4% 56,600 Softbank Corp. 1,160,852
--------------
4,641,840
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan 215,107,421
- ------------------------------------------------------------------------------------------------------------------------------------
Luxembourg - 0.0% Media - 0.0% 8,368 SES Global 219,878
----------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 1,783 Oriflame Cosmetics SA 113,499
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Luxembourg 333,377
- ------------------------------------------------------------------------------------------------------------------------------------
Netherlands - 2.7% Air Freight & 31,802 TNT NV 1,319,460
Logistics - 0.1%
----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 2,755 Heineken Holding NV 156,356
19,518 Heineken NV 1,260,527
--------------
1,416,883
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 21,375 Akzo Nobel NV 1,720,734
11,618 Koninklijke DSM NV 548,898
--------------
2,269,632
----------------------------------------------------------------------------------------------------------------
Commercial Services 5,832 Corporate Express NV 45,383
& Supplies - 0.1% 3,129 Randstad Holdings NV 122,285
17,976 Vedior NV 457,536
--------------
625,204
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Financial 143,436 ING Groep NV CVA $ 5,589,044
Services - 0.5%
----------------------------------------------------------------------------------------------------------------
Diversified 149,896 Koninklijke KPN NV 2,730,899
Telecommunication
Services - 0.2%
----------------------------------------------------------------------------------------------------------------
Energy Equipment 3,390 Fugro NV 261,820
& Services - 0.1% 13,640 SBM Offshore NV 430,042
--------------
691,862
----------------------------------------------------------------------------------------------------------------
Food & Staples 102,772 Koninklijke Ahold NV (b) 1,423,275
Retailing - 0.1%
----------------------------------------------------------------------------------------------------------------
Food Products - 0.4% 131,620 Unilever NV 4,835,823
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 3,423 TomTom NV (b) 258,528
----------------------------------------------------------------------------------------------------------------
Industrial 86,666 Koninklijke Philips Electronics NV (b) 3,713,662
Conglomerates - 0.4%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.2% 112,170 Aegon NV 1,978,494
----------------------------------------------------------------------------------------------------------------
Media - 0.2% 57,466 Reed Elsevier NV 1,140,434
23,059 Wolters Kluwer NV 758,537
--------------
1,898,971
----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.0% 283 OCE NV 5,107
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 1,928 Corio NV 155,971
Trusts (REITs) - 0.0% 1,694 Wereldhave NV 184,733
--------------
340,704
----------------------------------------------------------------------------------------------------------------
Semiconductors & 32,754 ASML Holding NV (b) 1,034,171
Semiconductor
Equipment - 0.1%
----------------------------------------------------------------------------------------------------------------
Trading Companies & 32,722 Hagemeyer NV 223,820
Distributors - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 30,355,539
- ------------------------------------------------------------------------------------------------------------------------------------
New Zealand - 0.1% Construction Materials - 0.0% 32,024 Fletcher Building Ltd. 282,575
----------------------------------------------------------------------------------------------------------------
Diversified 145,114 Telecom Corp. of New Zealand Ltd. 484,759
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.0% 20,226 Contact Energy Ltd. 128,035
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 41,926 Fisher & Paykel Healthcare Corp. 112,320
Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 29,721 Sky City Ltd. 105,005
& Leisure - 0.0%
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 27,665 Fisher & Paykel Appliances Holdings Ltd. 72,872
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 241 Sky Network Television Ltd. 1,110
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 12,534 Kiwi Income Property Trust 12,886
Trusts (REITs) - 0.0%
----------------------------------------------------------------------------------------------------------------
Transportation 58,991 Auckland International Airport Ltd. 131,537
Infrastructure - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand 1,331,099
- ------------------------------------------------------------------------------------------------------------------------------------
Norway - 1.0% Chemicals - 0.1% 13,800 Yara International ASA 634,620
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 57,999 DnB NOR ASA 882,280
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Services 15,929 Tomra Systems ASA $ 112,130
& Supplies - 0.0%
----------------------------------------------------------------------------------------------------------------
Communications 4,141 Tandberg ASA 85,502
Equipment - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified 42,395 Telenor ASA 1,005,990
Telecommunication 8,033 Telenor ASA (a) 575,862
Services - 0.2% --------------
1,581,852
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% 13,685 Renewable Energy Corp. AS (b) 686,420
----------------------------------------------------------------------------------------------------------------
Energy Equipment 13,390 Acergy SA 294,591
& Services - 0.1% 12,991 Aker Kvaerner ASA 342,865
14,865 Ocean RIG ASA (b) 107,836
11,223 Petroleum Geo-Services ASA (b) 323,190
9,094 ProSafe ASA 157,331
5,442 TGS Nopec Geophysical Co. ASA (b) 74,187
--------------
1,300,000
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 312,427 Marine Harvest (b) 199,224
----------------------------------------------------------------------------------------------------------------
Industrial 65,821 Orkla ASA 1,260,265
Conglomerates - 0.1%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 32,487 Storebrand ASA 337,034
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 400 Stolt-Nielsen SA 12,135
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 3,218 Schibsted ASA 138,902
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 56,828 Norsk Hydro ASA 809,168
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 70,332 DNO International ASA (b) 129,133
Fuels - 0.3% 1,944 Frontline Ltd. 92,772
101,844 Statoilhydro ASA 3,141,969
--------------
3,363,874
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway 11,403,406
- ------------------------------------------------------------------------------------------------------------------------------------
Portugal - 0.4% Commercial Banks - 0.1% 23,822 Banco BPI SA 185,647
163,650 Banco Comercial Portugues SA Registered Shares 697,538
13,508 Banco Espirito Santo SA Registered Shares 295,730
--------------
1,178,915
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 13,841 Cimpor Cimentos de Portugal SA 120,936
----------------------------------------------------------------------------------------------------------------
Diversified 60,384 Portugal Telecom SGPS SA Registered Shares 792,003
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 159,158 Energias de Portugal SA 1,043,026
----------------------------------------------------------------------------------------------------------------
Food & Staples 18,295 Jeronimo Martins SGPS SA 145,351
Retailing - 0.0%
----------------------------------------------------------------------------------------------------------------
Industrial 96,264 Sonae SGPS SA 277,449
Conglomerates - 0.0%
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 23,393 PT Multimedia Servicos de Telecomunicacoes e
Multimedia SGPS SA 325,919
----------------------------------------------------------------------------------------------------------------
Paper & Forest 9,059 Sonae Industria SGPS SA (b) 87,272
Products - 0.0%
----------------------------------------------------------------------------------------------------------------
Transportation 17,438 Brisa-Auto Estradas de Portugal SA Private
Infrastructure - 0.0% Shares 255,805
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Portugal 4,226,676
- ------------------------------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Singapore - 1.1% Aerospace & Defense - 0.0% 82,213 Singapore Technologies Engineering Ltd. $ 212,043
----------------------------------------------------------------------------------------------------------------
Air Freight & Logistics - 0.0% 127,954 Singapore Post Ltd. 98,765
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 36,009 Singapore Airlines Ltd. 432,584
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.4% 93,605 DBS Group Holdings Ltd. 1,328,534
214,914 Oversea-Chinese Banking Corp. 1,224,903
95,572 United Overseas Bank Ltd. 1,308,890
--------------
3,862,327
----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 4,529 Jardine Cycle & Carriage Ltd. 67,626
----------------------------------------------------------------------------------------------------------------
Diversified Financial 69,000 Singapore Exchange Ltd. 632,077
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Diversified 651,132 Singapore Telecommunications Ltd. 1,791,440
Telecommunication
Services - 0.2%
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 7,000 Venture Corp. Ltd. 61,394
Instruments - 0.0%
----------------------------------------------------------------------------------------------------------------
Food & Staples 16,000 Olam International Ltd. 31,474
Retailing - 0.0%
----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 11,273 Wilmar International Ltd. 41,890
----------------------------------------------------------------------------------------------------------------
Health Care Providers & 79,800 Parkway Holdings Ltd. 216,861
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 52,238 Genting International PLC (b) 24,659
& Leisure - 0.0%
----------------------------------------------------------------------------------------------------------------
Industrial 50,096 Fraser and Neave Ltd. 202,949
Conglomerates - 0.1% 1,766 Haw Par Corp. Ltd. 8,619
98,616 Keppel Corp. Ltd. 878,735
44,590 SembCorp Industries Ltd. 177,226
--------------
1,267,529
----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 100,197 SembCorp Marine Ltd. 277,175
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 76,002 Cosco Corp. (Singapore) Ltd. 300,050
5,200 Neptune Orient Lines Ltd. 13,979
--------------
314,029
----------------------------------------------------------------------------------------------------------------
Media - 0.1% 133,316 Singapore Press Holdings Ltd. 413,920
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 16,194 Singapore Petroleum Co. Ltd. 84,542
Fuels - 0.0%
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 125,152 Ascendas Real Estate Investment Trust 211,872
Trusts (REITs) - 0.0% 12,000 Capita Commercial Trust 20,117
51,000 CapitaMall Trust 120,926
--------------
352,915
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 147,000 Allgreen Properties Ltd. 149,774
Development - 0.2% 135,833 CapitaLand Ltd. 584,408
49,535 City Developments Ltd. 482,412
42,182 Keppel Land Ltd. 211,055
7,457 UOL Group Ltd. 23,136
57,110 Wing Tai Holdings Ltd. 105,610
--------------
1,556,395
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 95,816 ComfortDelgro Corp. Ltd. $ 120,414
----------------------------------------------------------------------------------------------------------------
Semiconductors & 1,000 Chartered Semiconductor Manufacturing Ltd. (b) 663
Semiconductor
Equipment - 0.0%
----------------------------------------------------------------------------------------------------------------
Trading Companies & 54,100 Noble Group Ltd. 90,005
Distributors - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore 11,950,727
- ------------------------------------------------------------------------------------------------------------------------------------
South Paper & Forest 1 Mondi Ltd. (a) 8
Africa - 0.0% Products - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in South Africa 8
- ------------------------------------------------------------------------------------------------------------------------------------
Spain - 4.0% Airlines - 0.0% 53,218 Iberia Lineas Aereas de Espana 231,038
----------------------------------------------------------------------------------------------------------------
Biotechnology - 0.0% 14,047 Zeltia SA 123,674
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.7% 285,794 Banco Bilbao Vizcaya Argentaria SA 6,957,420
64,720 Banco Popular Espanol SA 1,103,077
480,675 Banco Santander SA 10,381,617
31,092 Banco de Sabadell SA 336,289
6,140 Bankinter SA 112,132
--------------
18,890,535
----------------------------------------------------------------------------------------------------------------
Construction 16,756 ACS Actividades de Construccion y
& Engineering - 0.2% Servicios, SA 992,334
2,030 Acciona SA 639,594
4,587 Fomento de Construcciones y Contratas SA 342,720
4,971 Grupo Ferrovial SA 347,564
6,344 Sacyr Vallehermoso SA 244,208
--------------
2,566,420
----------------------------------------------------------------------------------------------------------------
Diversified 329,719 Telefonica SA 10,688,282
Telecommunication
Services - 0.9%
----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.5% 69,345 Iberdrola Renovables (b) 572,831
282,940 Iberdrola SA 4,290,525
518 Iberdrola SA (a) 31,505
7,061 Red Electrica de Espana 445,769
9,776 Union Fenosa SA 659,914
--------------
6,000,544
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% 15,284 Gamesa Corp. Tecnologica SA 707,200
----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 10,537 Gas Natural SDG SA 615,083
----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 11,926 Indra Sistemas SA 323,430
----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 42,475 Corp. Mapfre SA 186,355
----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 6,638 Zardoya Otis SA 186,332
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 8,518 Antena 3 de Television SA 130,074
11,454 Gestevision Telecinco SA 291,163
673 Promotora de Informaciones SA 12,507
1,844 Sogecable SA (b) 73,654
--------------
507,398
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 15,326 Acerinox SA 375,404
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 58,862 Repsol YPF SA 2,099,797
Fuels - 0.2%
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 17,098 Inditex SA 1,034,600
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 21,546 Altadis SA $ 1,563,362
----------------------------------------------------------------------------------------------------------------
Transportation 17,370 Abertis Infraestructuras SA 554,450
Infrastructure - 0.1% 23,413 Cintra Concesiones de Infraestructuras
de Transporte SA 351,645
--------------
906,095
----------------------------------------------------------------------------------------------------------------
Water Utilities - 0.0% 3,245 Sociedad General de Aguas de
Barcelona SA Class A 130,509
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain 47,136,058
- ------------------------------------------------------------------------------------------------------------------------------------
Sweden - 2.2% Airlines - 0.0% 4,009 SAS AB (b) 51,200
----------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 28,977 Assa Abloy AB Series B 581,096
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.0% 6,238 D Carnegie AB 120,861
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.5% 11,100 ForeningsSparbanken AB 312,372
167,551 Nordea Bank AB 2,807,971
34,153 Skandinaviska Enskilda Banken AB Class A 871,857
40,412 Svenska Handelsbanken Class A 1,291,821
--------------
5,284,021
----------------------------------------------------------------------------------------------------------------
Commercial Services 24,648 Securitas AB 342,790
& Supplies - 0.0% 23,048 Securitas Systems AB 81,420
--------------
424,210
----------------------------------------------------------------------------------------------------------------
Communications 1,164,446 Telefonaktiebolaget LM Ericsson 2,725,477
Equipment - 0.2%
----------------------------------------------------------------------------------------------------------------
Construction 29,605 Skanska AB Class B 554,055
& Engineering - 0.1%
----------------------------------------------------------------------------------------------------------------
Diversified Consumer 23,048 Securitas Direct AB (b) 92,885
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified Financial 13,800 Investor AB 312,371
Services - 0.0% 4,910 OMX AB 199,315
--------------
511,686
----------------------------------------------------------------------------------------------------------------
Diversified 22,466 Tele2 AB 447,089
Telecommunication 175,201 TeliaSonera AB 1,636,829
Services - 0.2% --------------
2,083,918
----------------------------------------------------------------------------------------------------------------
Food & Staples 20 Axfood AB 803
Retailing - 0.0%
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 7,749 Elekta AB 128,876
Supplies - 0.0% 9,720 Getinge AB Class B 259,862
--------------
388,738
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 19,955 Electrolux AB 330,981
20,861 Husqvarna AB 247,097
--------------
578,078
----------------------------------------------------------------------------------------------------------------
Machinery - 0.5% 7,167 Alfa Laval AB 402,423
26,954 Atlas Copco AB 367,358
52,644 Atlat Copco AB 782,464
30,410 SKB AB 512,576
74,406 Sandvik AB 1,276,009
30,020 Scania AB 712,493
6,544 Trelleborg AB Class B 136,572
35,571 Volvo AB A Shares 591,738
82,548 Volvo AB B Shares 1,381,207
--------------
6,162,840
- ------------------------------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Media - 0.0% 14,690 Eniro AB $ 130,530
2,986 Modern Times Group AB 207,221
--------------
337,751
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 22,731 Boliden AB 282,727
2,520 Hoganas AB 53,331
17,900 SSAB Svenskt Stal AB Series A 483,073
2,858 SSAB Svenskt Stal AB Series B 69,663
--------------
888,794
----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 12,702 Lundin Petroleum AB (b) 131,973
Fuels - 0.0%
----------------------------------------------------------------------------------------------------------------
Paper & Forest 6,721 Billerud AB 69,001
Products - 0.1% 1,645 Holmen AB Class B 60,875
44,166 Svenska Cellulosa AB 780,008
--------------
909,884
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 3,889 Castellum AB 40,240
Development - 0.0% 3,636 Fabege AB 36,976
4,960 Kungsleden AB 54,958
6,033 Wihlborgs Fastigheter AB 107,232
--------------
239,406
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.2% 37,155 Hennes & Mauritz AB B Shares 2,244,370
4,266 Nobia AB 37,661
--------------
2,282,031
----------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 24,550 Swedish Match AB 584,490
----------------------------------------------------------------------------------------------------------------
Wireless 2,063 Millicom International Cellular SA (a)(b) 234,663
Telecommunication
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden 25,168,860
- ------------------------------------------------------------------------------------------------------------------------------------
Switzerland - 6.4% Auto Components - 0.0% 234 Rieter Holding AG 103,276
----------------------------------------------------------------------------------------------------------------
Biotechnology - 0.0% 6,207 Actelion Ltd. (b) 283,542
----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 3,300 Geberit AG 449,515
----------------------------------------------------------------------------------------------------------------
Capital Markets - 1.2% 84,380 Credit Suisse Group 5,079,301
1,327 EFG International AG 53,471
7,393 Julius Baer Holding AG Class B 606,634
162,085 UBS AG 7,473,367
--------------
13,212,773
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.3% 6,646 Ciba Specialty Chemicals AG
Registered Shares 307,310
621 Givaudan SA 599,328
8,098 Syngenta AG 2,054,951
--------------
2,961,589
----------------------------------------------------------------------------------------------------------------
Commercial Services & 10,739 Adecco SA Registered Shares 577,275
Supplies - 0.1% 301 SGS SA 358,846
--------------
936,121
----------------------------------------------------------------------------------------------------------------
Computers & 14,198 Logitech International SA (b) 518,521
Peripherals - 0.1%
----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 17,071 Holcim Ltd. 1,819,779
----------------------------------------------------------------------------------------------------------------
Diversified Financial 248 Pargesa Holding SA 27,703
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified 2,044 Swisscom AG $ 797,887
Telecommunication
Services - 0.1%
----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.4% 170,320 ABB Ltd. 4,910,631
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 4,444 Kudelski SA 87,545
Instruments - 0.0%
----------------------------------------------------------------------------------------------------------------
Food Products - 1.3% 39 Lindt & Spruengli AG 134,375
31,297 Nestle SA Registered Shares 14,371,279
--------------
14,505,654
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 1,926 Nobel Biocare Holding AG 512,933
Supplies - 0.1% 2,994 Sonova Holding AG 336,146
864 Straumann Holding AG Registered Shares 237,180
4,117 Synthes, Inc. 511,882
--------------
1,598,141
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 83 Kuoni Reisen Holding AG Registered Shares 43,186
& Leisure - 0.0%
----------------------------------------------------------------------------------------------------------------
Insurance - 0.5% 2,667 Swiss Life Holding (b) 665,527
27,816 Swiss Reinsurance Co. Registered Shares 1,967,825
11,736 Zurich Financial Services AG 3,444,358
--------------
6,077,710
----------------------------------------------------------------------------------------------------------------
Life Sciences Tools 4,087 Lonza Group AG Registered Shares 494,286
& Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 2,369 Schindler Holding AG 152,022
282 Sulzer AG 414,697
--------------
566,719
----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 3,237 Kuehne & Nagel International AG 310,820
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.7% 183,604 Novartis AG Registered Shares 10,040,813
55,612 Roche Holding AG 9,613,411
--------------
19,654,224
----------------------------------------------------------------------------------------------------------------
Real Estate Management & 1,750 PSP Swiss Property AG (b) 88,157
Development - 0.0%
----------------------------------------------------------------------------------------------------------------
Semiconductors & 655 OC Oerlikon Corp. AG (b) 273,217
Semiconductor
Equipment - 0.0%
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 41,317 Compagnie Financiere Richemont AG 2,822,816
Luxury Goods - 0.3% 2,854 The Bearer Shares Swatch Group Ltd. 857,986
2,160 The Registered Shares Swatch Group Ltd. 127,298
--------------
3,808,100
----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland 73,529,096
- ------------------------------------------------------------------------------------------------------------------------------------
United Aerospace & Defense - 0.4% 266,693 BAE Systems Plc 2,646,637
Kingdom - 75,689 Cobham Plc 314,988
21.3% 63,403 Meggitt Plc 419,604
143,073 Rolls-Royce Group Plc (b) 1,552,918
--------------
4,934,147
----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 33,898 British Airways Plc (b) 207,206
----------------------------------------------------------------------------------------------------------------
Auto Components - 0.0% 61,413 GKN Plc 343,245
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Beverages - 0.6% 205,651 Diageo Plc $ 4,414,350
72,571 SABMiller Plc 2,036,757
58,875 Scottish & Newcastle Plc 863,541
--------------
7,314,648
----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.3% 34,376 3i Group Plc 680,623
4,359 Close Brothers Group Plc 82,721
46,779 ICAP Plc 674,115
21,059 Investec Plc 187,292
126,687 Man Group Plc 1,438,119
5,199 Schroders Plc 133,394
7,338 Tullett Prebon Plc 67,782
--------------
3,264,046
----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 92,487 Imperial Chemical Industries Plc 1,233,504
19,052 Johnson Matthey Plc 711,158
--------------
1,944,662
----------------------------------------------------------------------------------------------------------------
Commercial Banks - 3.3% 7,670 Alliance & Leicester PLC 95,951
527,057 Barclays Plc 5,322,917
292,541 HBOS Plc 4,253,853
922,258 HSBC Holdings Plc 15,535,003
446,447 Lloyds TSB Group Plc 4,204,060
784,325 Royal Bank of Scotland Group Plc 6,925,178
50,000 Standard Chartered Plc 1,824,834
--------------
38,161,796
----------------------------------------------------------------------------------------------------------------
Commercial Services 15,192 Aggreko Plc 159,486
& Supplies - 0.3% 29,284 Biffa Plc 190,512
42,255 Capita Group Plc 585,799
3,467 Davis Service Group Plc 35,234
8,421 De La Rue Plc 163,714
75,806 Experian Group Ltd. 598,746
109,578 Group 4 Securicor Plc 535,636
86,430 Hays Plc 199,922
9,359 Intertek Group Plc 184,763
142,104 Rentokil Initial Plc 338,927
48,259 Serco Group Plc 444,198
--------------
3,436,937
----------------------------------------------------------------------------------------------------------------
Construction & 31,376 Amec Plc 524,562
Engineering - 0.1% 24,322 Balfour Beatty Plc 240,582
--------------
765,144
----------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.0% 14,252 Cattles Plc 82,922
----------------------------------------------------------------------------------------------------------------
Containers & 55,278 Rexam Plc 460,258
Packaging - 0.0%
----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 26,225 Inchcape Plc 197,184
----------------------------------------------------------------------------------------------------------------
Diversified Financial 12,915 London Stock Exchange Group Plc 507,480
Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Diversified 634,403 BT Group Plc 3,427,083
Telecommunication 213,436 Cable & Wireless Plc 787,518
Services - 0.4% --------------
4,214,601
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.3% 85,474 British Energy Group Plc $ 935,974
67,819 Scottish & Southern Energy Plc 2,211,412
--------------
3,147,386
----------------------------------------------------------------------------------------------------------------
Electronic Equipment & 17,536 Electrocomponents Plc 72,203
Instruments - 0.0% 4,873 Premier Farnell Plc 14,169
--------------
86,372
----------------------------------------------------------------------------------------------------------------
Food & Staples 128,957 J Sainsbury Plc 1,086,567
Retailing - 0.7% 616,389 Tesco Plc 5,863,427
80,082 William Morrison Supermarkets PLC 511,658
--------------
7,461,652
----------------------------------------------------------------------------------------------------------------
Food Products - 0.7% 8,781 Associated British Foods PLC 156,638
164,779 Cadbury Schweppes Plc 2,014,735
37,280 Tate & Lyle Plc 331,962
102,635 Unilever Plc 3,849,310
--------------
6,352,645
----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 3,701 SSL International Plc 39,262
Supplies - 0.1% 80,405 Smith & Nephew Plc 922,487
--------------
961,749
----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants 13,158 Carnival Plc 578,603
& Leisure - 0.4% 162,100 Compass Group Plc 989,129
40,342 Enterprise Inns Plc 391,135
20,878 Intercontinental Hotels Group Plc 363,829
49,711 Ladbrokes Plc 317,310
30,315 Mitchells & Butlers Plc 253,877
132,999 PartyGaming Plc (b) 76,750
20,831 Punch Taverns Plc 317,020
55,408 Rank Group Plc 100,388
58,338 TUI Travel Plc (b) 341,126
28,262 Thomas Cook Group Plc (b) 156,919
17,688 Whitbread Plc 486,421
26,415 William Hill Plc 275,985
--------------
4,648,492
----------------------------------------------------------------------------------------------------------------
Household Durables - 0.1% 23,009 Barratt Developments Plc 206,939
4,004 Berkeley Group Holdings Plc (b) 107,661
9,500 Bovis Homes Group Plc 115,664
22,497 Persimmon Plc 358,395
88,076 Taylor Wimpey Plc 354,726
--------------
1,143,385
----------------------------------------------------------------------------------------------------------------
Household Products - 0.2% 46,046 Reckitt Benckiser Plc 2,675,737
----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 135,116 LogicaCMG Plc 315,828
----------------------------------------------------------------------------------------------------------------
Independent Power 124,268 International Power Plc 1,120,189
Producers &
Energy Traders - 0.1%
----------------------------------------------------------------------------------------------------------------
Industrial 14,609 Cookson Group Plc 202,607
Conglomerates - 0.1% 27,401 Smiths Group Plc 549,738
92,890 Tomkins Plc 326,734
--------------
1,079,079
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.9% 203,377 Aviva Plc $ 2,710,499
145,613 Friends Provident Plc 474,848
507,133 Legal & General Group Plc 1,317,220
413,662 Old Mutual Plc 1,378,217
193,321 Prudential Plc 2,722,117
49,562 Resolution Plc 701,538
227,193 Royal & Sun Alliance Insurance Group 663,651
162,594 Standard Life Plc 814,409
--------------
10,782,499
----------------------------------------------------------------------------------------------------------------
Internet & 69,483 Home Retail Group 451,577
Catalog Retail - 0.0%
----------------------------------------------------------------------------------------------------------------
Life Sciences Tools 3,124 Lighthouse Caledonia ASA (b) 2,969
& Services - 0.0%
----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 8,103 Charter Plc (b) 127,643
10,160 FKI Plc 11,955
33,055 IMI Plc 259,313
74,878 Invensys Plc (b) 336,085
--------------
734,996
----------------------------------------------------------------------------------------------------------------
Media - 0.7% 89,101 British Sky Broadcasting Plc 1,096,014
17,377 Daily Mail & General Trust 171,744
21,515 Emap Plc 392,756
282,651 ITV Plc 478,994
63,244 Pearson Plc 915,892
99,614 Reed Elsevier Plc 1,337,878
99,693 Reuters Group Plc 1,260,479
25,643 Trinity Mirror Plc 176,545
16,440 United Business Media Plc 212,193
89,849 WPP Group Plc 1,151,066
61,820 Yell Group Plc 492,669
--------------
7,686,230
----------------------------------------------------------------------------------------------------------------
Metals & Mining - 2.1% 103,812 Anglo American Plc 6,301,536
8,690 Antofagasta PLC 123,199
180,451 BHP Billiton Plc 5,502,561
4,729 Kazakhmys Plc 127,946
4,617 Lonmin Plc 282,757
78,068 Rio Tinto Plc Registered Shares 8,216,068
3,389 Vedanta Resources PLC Wi 137,495
49,400 Xstrata Plc 3,466,445
--------------
24,158,007
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.6% 288,111 Centrica Plc 2,052,249
204,468 National Grid Plc 3,391,043
68,950 United Utilities Plc 1,036,194
--------------
6,479,486
----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.2% 130,949 Marks & Spencer Group Plc 1,449,537
15,333 Next Plc 493,892
--------------
1,943,429
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 263,695 BG Group Plc $ 6,050,102
Fuels - 4.0% 1,493,200 BP Plc 18,247,282
284,525 Royal Dutch Shell Plc 12,011,215
216,157 Royal Dutch Shell Plc Class B 9,010,661
49,889 Tullow Oil Plc 647,979
--------------
45,967,239
----------------------------------------------------------------------------------------------------------------
Paper & Forest 31,709 Mondi Plc 265,346
Products - 0.0%
----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.5% 116,048 AstraZeneca Plc 4,995,039
441,993 GlaxoSmithKline Plc 11,225,109
17,920 Shire Plc 412,064
--------------
16,632,212
----------------------------------------------------------------------------------------------------------------
Real Estate Investment 40,281 British Land Co. Plc 755,374
Trusts (REITs) - 0.3% 8,381 Brixton Plc 48,689
4,736 Great Portland Estates Plc 44,128
22,761 Hammerson Plc 463,870
36,475 Land Securities Group Plc 1,093,064
19,762 Liberty International Plc 422,228
34,456 Segro Plc 320,556
--------------
3,147,909
----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.1% 12,232 Arriva Plc 190,446
37,235 Firstgroup Plc 601,042
13,327 National Express Group Plc 327,794
43,699 Stagecoach Group Plc 245,549
--------------
1,364,831
----------------------------------------------------------------------------------------------------------------
Semiconductors & 115,101 ARM Holdings Plc 283,868
Semiconductor 12,891 CSR Plc (b) 153,268
Equipment - 0.0% --------------
437,136
----------------------------------------------------------------------------------------------------------------
Software - 0.1% 43,411 Misys Plc 157,952
102,053 Sage Group Plc 466,177
--------------
624,129
----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.1% 26,867 The Carphone Warehouse Plc 182,796
143,393 DSG International Plc 283,493
24,803 Galiform Plc (b) 43,931
50,995 Kesa Electricals Plc 235,513
183,471 Kingfisher Plc 526,114
90,190 Signet Group Plc 125,452
--------------
1,397,299
----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 34,804 Burberry Group Plc 393,370
Luxury Goods - 0.0%
----------------------------------------------------------------------------------------------------------------
Tobacco - 0.7% 119,338 British American Tobacco Plc 4,665,295
53,069 Imperial Tobacco Group Plc 2,870,338
--------------
7,535,633
----------------------------------------------------------------------------------------------------------------
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Shares
Country Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Trading Companies & 32,178 Bunzl Plc $ 455,032
Distributors - 0.1% 6,634 Travis Perkins Plc 158,399
51,790 Wolseley Plc 761,422
--------------
1,374,853
----------------------------------------------------------------------------------------------------------------
Transportation 38,537 BBA Aviation Plc 157,822
Infrastructure - 0.0%
----------------------------------------------------------------------------------------------------------------
Water Utilities - 0.1% 21,239 Kelda Group Plc 457,988
18,144 Severn Trent Plc 551,811
--------------
1,009,799
----------------------------------------------------------------------------------------------------------------
Wireless 4,153,856 Vodafone Group Plc 15,593,248
Telecommunication
Services - 1.4%
----------------------------------------------------------------------------------------------------------------
Total Common Stocks
in the United Kingdom 242,966,809
- ------------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $797,004,493) - 94.5% 1,080,774,917
- ------------------------------------------------------------------------------------------------------------------------------------
Exchange-Traded Funds
- ------------------------------------------------------------------------------------------------------------------------------------
United States - 2.0% 288,947 iShares MSCI EAFE Index Fund (g) 22,708,345
- ------------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost - $19,661,875) - 2.0% 22,708,345
- ------------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
- ------------------------------------------------------------------------------------------------------------------------------------
Germany - 0.2% Automobiles - 0.1% 8,484 Volkswagen AG, 4.35% 1,246,695
----------------------------------------------------------------------------------------------------------------
Household Products - 0.1% 15,771 Henkel KGaA, 1.75% 886,330
----------------------------------------------------------------------------------------------------------------
Media - 0.0% 5,011 ProSieben SAT.1 Media AG, 2.24% 119,809
----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.0% 2,583 RWE AG, 3.50% 314,051
----------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(Cost - $1,272,423) - 0.2% 2,566,885
- ------------------------------------------------------------------------------------------------------------------------------------
Rights
- ------------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 0.0% Real Estate Management & 10,763 Wharf Holdings Ltd. (e) 14,770
Development - 0.0%
----------------------------------------------------------------------------------------------------------------
Total Rights in Hong Kong 14,770
- ------------------------------------------------------------------------------------------------------------------------------------
Japan - 0.0% Metals & Mining - 0.0% 7,000 Dowa Mining Co., Ltd. (f) 0
----------------------------------------------------------------------------------------------------------------
Total Rights in Japan 0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $0) - 0.0% 14,770
- ------------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ------------------------------------------------------------------------------------------------------------------------------------
USD 13,529,338 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.04% (c)(d) 13,529,338
- ------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $13,529,338) - 1.2% 13,529,338
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $831,468,129*) - 97.9% 1,119,594,255
Other Assets Less Liabilities - 2.1% 23,577,306
--------------
Net Assets - 100.0% $1,143,171,561
==============
* The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 844,409,619
=============
Gross unrealized appreciation $ 305,352,070
Gross unrealized depreciation (30,167,434)
-------------
Net unrealized appreciation $ 275,184,636
=============
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
(a) Depositary receipts.
(b) Non-income producing security.
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
-------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
-------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series $ (12,221,959) $ 981,689
-------------------------------------------------------------------------------------
(d) Represents the current yield as of December 31, 2007.
(e) The rights may be exercised until April 1, 2008.
(f) The rights may be exercised until January 29, 2010.
(g) All or a portion of security 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 purpose 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, 2007 were as
follows:
----------------------------------------------------------------------------------------------------------
Unrealized
Number of Appreciation
Contracts Issue Exchange Expiration Date Face Value (Depreciation)
----------------------------------------------------------------------------------------------------------
4 Hang Seng Index Future Hong Kong January 2008 $ 703,945 $ 11,935
49 OMX Stock Index Future Stockholm January 2008 $ 812,340 9,293
30 CAC40 10 Euro Future MATIF March 2008 $ 2,458,577 26,400
311 DJ Euro Stoxx 50 Eurex March 2008 $19,949,983 215,887
63 FTSE 100 Index Future LIFFE March 2008 $ 7,980,053 115,038
10 SPI 200 Index Future Sydney March 2008 $ 1,379,492 13,970
58 TOPIX Index Future Tokyo March 2008 $ 7,885,858 (253,938)
----------------------------------------------------------------------------------------------------------
Total Unrealized Appreciation - Net $ 138,585
============
o Forward foreign exchange contracts as of December 31, 2007 were as
follows:
-----------------------------------------------------------------------------------------
Unrealized
Foreign Appreciation
Currency Purchased Foreign Currency Sold Settlement Date (Depreciation)
-----------------------------------------------------------------------------------------
AUD 3,668,400 USD 3,216,436 2/12/2008 $ (3,449)
CHF 3,317,500 USD 2,951,653 2/12/2008 (13,477)
DKK 1,549,100 USD 304,230 2/12/2008 (315)
EUR 8,296,000 USD 12,139,443 2/12/2008 (2,413)
GBP 3,709,300 USD 7,504,118 2/12/2008 (129,329)
HKD 5,901,300 USD 758,953 2/12/2008 (837)
JPY 562,900,000 USD 5,081,239 2/12/2008 (18,293)
NOK 2,334,500 USD 426,560 2/12/2008 2,873
NZD 18,200 USD 13,887 2/12/2008 47
SEK 5,898,000 USD 918,736 2/12/2008 (5,817)
SGD 398,800 USD 276,923 2/12/2008 983
USD 1,945,468 AUD 2,204,000 2/12/2008 15,084
USD 1,471,670 CHF 1,644,000 2/12/2008 15,645
USD 117,544 DKK 595,800 2/12/2008 655
USD 5,029,644 EUR 3,424,000 2/12/2008 20,340
USD 3,643,681 GBP 1,794,000 2/12/2008 76,870
USD 481,051 HKD 3,742,000 2/12/2008 331
USD 1,751,762 JPY 195,050,000 2/12/2008 (2,595)
Master International Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
Unrealized
Foreign Appreciation
Currency Purchased Foreign Currency Sold Settlement Date (Depreciation)
--------------------------------------------------------------------------------------------
USD 143,367 NOK 780,000 2/12/2008 $ (114)
USD 11,599 NZD 15,000 2/12/2008 115
USD 345,843 SEK 2,204,358 2/12/2008 4,642
USD 122,039 SGD 175,300 2/12/2008 (120)
--------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign
Exchange Contracts - Net $ (39,174)
==========
o Currency Abbreviations:
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
USD U.S. Dollar
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Directors of Quantitative Master Series LLC:
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
Quantitative Master Series LLC (formerly Quantitative Master Series Trust) (the
"Master LLC") as of December 31, 2007, and for the year then ended and have
issued our report thereon dated February 22, 2008 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, 2007 appearing in Item 6 of this Form N-CSR.
This Schedule is the responsibility of the Master LLC'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
February 22, 2008
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 - The
registrant's Nominating and Governance Committee will consider
nominees to the Board recommended by shareholders when a vacancy
becomes available. Shareholders who wish to recommend a nominee
should send nominations which include biographical information and
set forth the qualifications of the proposed nominee to the
registrant's Secretary. There have been no material changes to these
procedures.
Item 11 - Controls and Procedures
11(a) - The registrant's principal executive and principal financial
officers or persons performing similar functions have concluded that
the registrant's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended
(the "1940 Act")) are effective as of a date within 90 days of the
filing of this report based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act and Rule
15d-15(b) under the Securities Exchange Act of 1934, as amended.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the second fiscal quarter of the period covered
by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
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 LLC
By: /s/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock International Index Fund of BlackRock Index Funds, Inc. and
Master International Index Series of Quantitative Master Series LLC
Date: February 21, 2008
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/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock International Index Fund of BlackRock Index Funds, Inc. and
Master International Index Series of Quantitative Master Series LLC
Date: February 21, 2008
By: /s/ Neal J. Andrews
-------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock International Index Fund of BlackRock Index Funds, Inc. and
Master International Index Series of Quantitative Master Series LLC
Date: February 21, 2008