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 S&P 500 Index Fund of BlackRock Index Funds, Inc.
Master S&P 500 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 S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P
500 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 S&P 500
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
Important Tax Information (unaudited) .................................... 13
Series Portfolio Information ............................................. 14
Series Financial Statements:
Summary Schedule of Investments .................................. 15
Statement of Assets and Liabilities .............................. 19
Statement of Operations .......................................... 20
Statements of Changes in Net Assets .............................. 21
Series Financial Highlights .............................................. 22
Series Notes to Financial Statements ..................................... 23
Series Report of Independent Registered Public Accounting Firm ........... 26
Proxy Results ............................................................ 27
Officers and Directors ................................................... 29
BlackRock Fund Information ............................................... 32
Mutual Fund Family ....................................................... 34
2 BLACKROCK S&P 500 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 S&P 500 Index
Fund generated returns that were comparable, before fees and expenses, to
that of the benchmark Standard & Poor's (S&P) 500 Index. Returns, after
fees and expenses, for the Portfolio's respective share classes trailed
the benchmark approximately by the amount of such classes' individual
share-class fees and expenses.
Describe the market environment.
o Equity markets performed quite well in 2007. It was a year of intense
market volatility, but still one that resulted in decent gains for most
asset classes. The annual period began much like 2006 ended, with some
slowing in U.S. economic growth, a Federal Reserve Board (the "Fed") that
remained on hold and a generally positive investment environment. In the
first half of 2007, solid earnings growth and continued high levels of
merger-and-acquisition activity allowed equities to move upward.
o The following six months were vastly different, however. The benign
fundamentals that dominated from 2003 to 2006 -- namely, strong global
growth, rising profitability levels and falling risk premiums -- were
replaced by credit stress, pressures on the capital position of the
financial system, question marks about the sustainability of the business
cycle and rising food and energy prices. Reflecting these woes, U.S.
government bond yields plummeted, the dollar's decline intensified,
equities became volatile and trendless, and the Fed's focus shifted from
inflation fighting to providing liquidity and reducing short-term interest
rates. Beginning in September, the Fed lowered the target federal funds
rate by 100 basis points (1.00%), from 5.25% to 4.25%.
o For the 12 months, large-cap stocks outperformed their small-cap
counterparts, as the S&P 500 Index returned +5.49%, while the small cap
S&P 600 Index returned -0.30%. Within the S&P 500, the growth style of
investing significantly outperformed the value style for the year.
o From a sector perspective, eight of the 10 sectors in the Index recorded
positive yearly returns. Energy (+34.4%), materials (+22.5%) and utilities
(+19.4%) led the group, while financials (-18.6%) and consumer
discretionary (-13.2%) were the laggards.
Describe recent portfolio activity.
o Throughout the period, as changes were made to the composition of the S&P
500 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 keeping with its investment objective, the portfolio remains positioned
to match the risk characteristics of its benchmark, irrespective of the
market's future direction.
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 $985.50 $1.71 $1,000 $1,023.58 $1.74
Investor A .......... $1,000 $983.90 $3.02 $1,000 $1,022.26 $3.07
- ----------------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (.34% for Institutional and .60% 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 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 S&P 500 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 S&P
500(R) Index. Values are from December 1997 to December 2007.
Institutional Investor A S&P 500(R)
Shares*+ Shares*+ Index++
12/97 $10,000 $10,000 $10,000
12/98 $12,824 $12,795 $12,858
12/99 $15,446 $15,375 $15,563
12/00 $13,990 $13,895 $14,146
12/01 $12,284 $12,160 $12,465
12/02 $9,519 $9,409 $9,710
12/03 $12,217 $12,045 $12,495
12/04 $13,506 $13,276 $13,855
12/05 $14,131 $13,858 $14,536
12/06 $16,319 $15,961 $16,832
12/07 $17,182 $16,754 $17,756
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees.
+ The Fund invests all of its assets in Master S&P 500 Index Series (the
"Series") of Quantitative Master Series LLC. The Series' investments are
allocated among common stocks in approximately the same weightings as the
S&P 500 Index.
++ This unmanaged Index covers 500 industrial, utility, transportation and
financial companies of the U.S. markets (mostly NYSE issues), representing
about 75% of NYSE market capitalization and 30% of NYSE issues. S&P 500 is
a registered trademark of the McGrawHill Companies.
Performance Summary for the Period Ended December 31, 2007
Average Annual Total Returns*
6-Month --------------------------------------------------------------------
Total Returns 1 Year 5 Years 10 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional ............................. -1.45% +5.29% +12.54% +5.56%
Investor A ................................ -1.61 +4.97 +12.23 +5.30
S&P 500 Index ............................. -1.37 +5.49 +12.83 +5.91
- ------------------------------------------------------------------------------------------------------------------------------------
* 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 S&P 500 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 .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. Figures shown in 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.
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses related
to transactions, including sales charges, redemption fees and exchange fees; and
(b) operating expenses including advisory fees, distribution fees including
12b-1 fees and other Fund expenses. The 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 S&P 500 INDEX FUND DECEMBER 31, 2007
Statement of Assets and Liabilities BlackRock S&P 500 Index Fund
As of December 31, 2007
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Master S&P 500 Index Series (the "Series"), at value
(identified cost -- $1,871,894,361) ....................................................... $ 2,710,762,264
Prepaid expenses ............................................................................ 23,566
---------------
Total assets ................................................................................ 2,710,785,830
---------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payables:
Administrative fees ..................................................................... $ 576,235
Distributor ............................................................................. 205,567
Other affiliates ........................................................................ 26,482 808,284
---------------
Accrued expenses ............................................................................ 570,588
---------------
Total liabilities ........................................................................... 1,378,872
---------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets .................................................................................. $ 2,709,406,958
===============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Shares of Common Stock, $.0001 par value, 250,000,000 shares authorized ....... $ 9,880
Investor A Shares of Common Stock, $.0001 par value, 250,000,000 shares authorized .......... 5,179
Paid-in capital in excess of par ............................................................ 2,040,599,230
Undistributed investment income -- net ...................................................... 758,147
Accumulated realized capital losses allocated from the Series -- net ........................ (170,833,381)
Unrealized appreciation allocated from the Series -- net .................................... 838,867,903
---------------
Net assets .................................................................................. $ 2,709,406,958
===============
===================================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional -- Based on net assets of $1,779,029,700 and 98,803,390 shares outstanding .... $ 18.01
===============
Investor A -- Based on net assets of $930,377,258 and 51,789,005 shares outstanding ......... $ 17.96
===============
See Notes to Financial Statements.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 7
Statement of Operations BlackRock S&P 500 Index Fund
For the Year Ended December 31, 2007
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends ............................................................................. $ 53,030,005
Interest from affiliates .............................................................. 1,901,148
Securities lending -- net ............................................................. 536,095
Expenses .............................................................................. (864,620)
----------------
Total income .............................................................................. 54,602,628
----------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Administration fees ....................................................................... $ 6,858,698
Service fees -- Investor A ................................................................ 2,488,518
Transfer agent fees -- Institutional ...................................................... 1,005,622
Transfer agent fees -- Investor A ......................................................... 579,958
Printing and shareholder reports .......................................................... 91,724
Licensing fees ............................................................................ 75,489
Professional fees ......................................................................... 57,989
Registration fees ......................................................................... 55,483
Directors' fees and expenses .............................................................. 18,344
Other ..................................................................................... 12,499
----------------
Total expenses ............................................................................ 11,244,324
----------------
Investment income -- net .................................................................. 43,358,304
----------------
===================================================================================================================================
Realized & Unrealized Gain Allocated from the Series -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on:
Investments -- net ...................................................................... 90,419,823
futures contracts -- net ................................................................ 773,341 91,193,164
----------------
Change in unrealized appreciation/depreciation on investments and financial futures
contracts -- net ........................................................................ 3,858,140
----------------
Total realized and unrealized gain -- net ................................................. 95,051,304
----------------
Net Increase in Net Assets Resulting from Operations ...................................... $ 138,409,608
================
See Notes to Financial Statements.
8 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Statements of Changes in Net Assets BlackRock S&P 500 Index Fund
For the Year Ended
December 31,
-----------------------------------
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ................................................................... $ 43,358,304 $ 37,638,485
Realized gain (loss) -- net ................................................................ 91,193,164 (12,644,618)
Change in unrealized appreciation/depreciation -- net ...................................... 3,858,140 335,003,357
-----------------------------------
Net increase in net assets resulting from operations ....................................... 138,409,608 359,997,224
-----------------------------------
===================================================================================================================================
Dividends to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net:
Institutional .......................................................................... (30,010,433) (25,275,471)
Investor A ............................................................................. (13,728,052) (11,846,861)
-----------------------------------
Net decrease in net assets resulting from dividends to shareholders ........................ (43,738,485) (37,122,332)
-----------------------------------
===================================================================================================================================
Capital Share Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets derived from capital share transactions ......................... (54,267,850) (94,689,583)
-----------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ............................................................... 40,403,273 228,185,309
Beginning of year .......................................................................... 2,669,003,685 2,440,818,376
-----------------------------------
End of year* ............................................................................... $ 2,709,406,958 $ 2,669,003,685
===================================
* Undistributed investment income -- net ............................................... $ 758,147 $ 1,138,328
===================================
See Notes to Financial Statements.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 9
Financial Highlights BlackRock S&P 500 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 $ 17.40 $ 15.29 $ 14.84 $ 13.64 $ 10.76
--------------------------------------------------------------------------
Investment income -- net** ........ .30 .26 .23 .24 .17
Realized and unrealized gain -- net .62 2.11 .46 1.19 2.88
--------------------------------------------------------------------------
Total from investment operations .. .92 2.37 .69 1.43 3.05
--------------------------------------------------------------------------
Less dividends from investment
income -- net ................... (.31) (.26) (.24) (.23) (.17)
--------------------------------------------------------------------------
Net asset value, end of year ...... $ 18.01 $ 17.40 $ 15.29 $ 14.84 $ 13.64
==========================================================================
=================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------
Based on net asset value per share 5.29% 15.49% 4.63% 10.55% 28.35%
==========================================================================
=================================================================================================================
Ratios to Average Net Assets*
- -----------------------------------------------------------------------------------------------------------------
Expenses .......................... .34% .35% .35% .34% .36%
==========================================================================
Investment income -- net .......... 1.64% 1.61% 1.52% 1.68% 1.44%
==========================================================================
=================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------
Net assets, end of year
(in thousands) .................. $1,779,030 $1,699,791 $1,544,023 $1,653,423 $1,428,292
==========================================================================
Portfolio turnover from the Series 4% 4% 11% 6% 4%
==========================================================================
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 $ 17.36 $ 15.26 $ 14.81 $ 13.62 $ 10.75
--------------------------------------------------------------------------
Investment income -- net** ........ .25 .22 .19 .20 .14
Realized and unrealized gain -- net .61 2.10 .46 1.19 2.87
--------------------------------------------------------------------------
Total from investment operations .. .86 2.32 .65 1.39 3.01
--------------------------------------------------------------------------
Less dividends from investment
income -- net ................... (.26) (.22) (.20) (.20) (.14)
--------------------------------------------------------------------------
Net asset value, end of year ...... $ 17.96 $ 17.36 $ 15.26 $ 14.81 $ 13.62
==========================================================================
=================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------
Based on net asset value per share 4.97% 15.18% 4.38% 10.22% 28.02%
==========================================================================
=================================================================================================================
Ratios to Average Net Assets*
- -----------------------------------------------------------------------------------------------------------------
Expenses .......................... .60% .60% .60% .59% .61%
==========================================================================
Investment income -- net .......... 1.38% 1.36% 1.27% 1.42% 1.19%
==========================================================================
=================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------
Net assets, end of year
(in thousands) .................. $ 930,377 $ 969,213 $ 896,796 $ 939,608 $ 880,875
==========================================================================
Portfolio turnover from the Series 4% 4% 11% 6% 4%
==========================================================================
* Includes the Fund's share of the Series' allocated expenses and investment
income -- net.
** Based on average shares outstanding.
See Notes to Financial Statements.
10 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements BlackRock S&P 500 Index Fund
1. Significant Accounting Policies:
BlackRock S&P 500 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 management investment company. 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 Fund seeks to
achieve its investment objective by investing all of its assets in Master S&P
500 Index Series (the "Series") of Quantitative Master Series LLC (the "Master
LLC"), which has the same investment objective and strategies as the Fund. The
value of the Fund's investment in the Series reflects the Fund's proportionate
interest in the net assets of the Series. The performance of the Fund is
directly affected by the performance of the Series. The financial statements of
the Series, including the Schedule of Investments, are included elsewhere in
this report and should be read in conjunction with the Fund's financial
statements. The percentage of the Series owned by the Fund at December 31, 2007
was 72.8%. The Fund offers multiple classes of shares. Institutional and
Investor A Shares are generally 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
their 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 require-ments of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to shareholders. Therefore,
no federal income tax provision is required.
(d) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions -- Investment transactions in the Series are
accounted for on a trade date basis.
(g) Recent accounting pronouncements -- 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.
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 a monthly fee at an annual rate of .245% 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 .40%. This
arrangement has a one-year term and is renewable. Merrill Lynch & Co., Inc.
("Merrill Lynch") and The PNC Financial Services Group, Inc. ("PNC") are
principal owners of BlackRock, Inc.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 11
Notes to Financial Statements (concluded) BlackRock S&P 500 Index Fund
The Corporation has also entered into separate Distribution Agreements and a
Distribution Plan with FAM Distributors, Inc. ("FAMD") and BlackRock
Distributors, Inc. ("BDI") and its affiliates (collectively, the "Distributor").
FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc., and BDI is an
affiliate of BlackRock, Inc.
Pursuant to the Distribution 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 fee is
accrued daily and paid monthly at the annual rate of .25% based upon the average
daily net assets of Investor A Shares.
Pursuant to sub-agreements with each Distributor, broker-dealers including
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned
subsidiary of Merrill Lynch, and the Distributor provide shareholder servicing
to the Fund.
PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the
Administrator, 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 decrease in net assets derived from capital share transactions was
$54,267,850 and $94,689,583 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 ................................. 31,473,402 $ 573,268,833
Shares issued to shareholders in reinvestment
of dividends .............................. 1,628,519 29,084,218
-------------------------------
Total issued ................................ 33,101,921 602,353,051
Shares redeemed ............................. (31,960,698) (583,460,577)
-------------------------------
Net increase ................................ 1,141,223 $ 18,892,474
===============================
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ................................. 28,896,398 $ 467,956,426
Shares issued to shareholders in reinvestment
of dividends .............................. 1,407,779 24,580,626
-------------------------------
Total issued ................................ 30,304,177 492,537,052
Shares redeemed ............................. (33,597,086) (542,308,997)
-------------------------------
Net decrease ................................ (3,292,909) $ (49,771,945)
===============================
- -------------------------------------------------------------------------------
Investor A Shares for the the Year Dollar
Ended December 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ................................. 10,990,071 $ 199,586,598
Shares issued to shareholders in reinvestment
of dividends .............................. 713,622 12,721,725
-------------------------------
Total issued ................................ 11,703,693 212,308,323
Shares redeemed ............................. (15,730,807) (285,468,647)
-------------------------------
Net decrease ................................ (4,027,114) $ (73,160,324)
===============================
- -------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold ................................. 10,760,366 $ 174,132,500
Shares issued to shareholders in reinvestment
of dividends .............................. 622,994 10,846,759
-------------------------------
Total issued ................................ 11,383,360 184,979,259
Shares redeemed ............................. (14,329,991) (229,896,897)
-------------------------------
Net decrease ................................ (2,946,631) $ (44,917,638)
===============================
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 .................................. $43,738,485 $37,122,332
--------------------------
Total taxable distributions ...................... $43,738,485 $37,122,332
==========================
As of December 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- -----------------------------------------------------------------------------
Undistributed ordinary income -- net ....................... $ 758,147
Capital loss carryforward .................................. (88,164,967)*
Unrealized gains -- net .................................... 756,199,489**
-------------
Total accumulated earnings -- net .......................... $ 668,792,669
=============
* On December 31, 2007, the Fund had a net capital loss carryforward of
$88,164,967, of which $3,802,400 expires in 2010, $7,823,922 expires in
2011, $21,618,948 expires in 2012, $28,402,088 expires in 2013 and
$26,517,609 expires in 2014. This amount will be available to offset like
amounts of any future taxable gains.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales and the
realization for tax purposes of unrealized gains (losses) on certain
futures contracts.
12 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Report of Independent Registered Public Accounting Firm
BlackRock S&P 500 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 S&P 500 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 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 S&P 500 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 its financial
highlights for each of the five years in the period then ended, in conformity
with U.S. accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 28, 2008
Important Tax Information (Unaudited)
All of the ordinary income distributions paid by BlackRock S&P 500 Index Fund of
BlackRock Index Funds, Inc. during the fiscal year ended December 31, 2007
qualify for the dividends received deduction for corporations and consist
entirely of qualified dividend income for individuals.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 13
Portfolio Information Master S&P 500 Index Series
As of December 31, 2007
Percent of
Ten Largest Holdings Net Assets
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ................................................... 4.0%
General Electric Co. ................................................ 2.9
Microsoft Corp. ..................................................... 2.2
AT&T Inc. ........................................................... 2.0
The Procter & Gamble Co. ............................................ 1.8
Chevron Corp. ....................................................... 1.5
Johnson & Johnson ................................................... 1.5
Bank of America Corp. ............................................... 1.4
Apple Inc. .......................................................... 1.3
Cisco Systems, Inc. ................................................. 1.3
- --------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels ........................................ 10.1%
Pharmaceuticals .................................................... 6.3
Computers & Peripherals ............................................ 4.6
Diversified Financial Services ..................................... 4.4
Insurance .......................................................... 4.3
- --------------------------------------------------------------------------------
Percent of
Sector Representation Long-Term Investments
- --------------------------------------------------------------------------------
Financials ......................................................... 17.6%
Information Technology ............................................. 16.8
Energy ............................................................. 12.7
Health Care ........................................................ 12.0
Industrials ........................................................ 11.5
Consumer Staples ................................................... 10.3
Consumer Discretionary ............................................. 8.5
Utilities .......................................................... 3.7
Telecommunication Services ......................................... 3.6
Materials .......................................................... 3.3
- --------------------------------------------------------------------------------
For Series compliance purposes, the Series' industry and sector
classifications refer to any one or more of the industry and sector
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Series management. This
definition may not apply for purposes of this report, which may combine
industry and sector sub-classifications for reporting ease.
14 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Summary Schedule of Investments as of December 31, 2007
Master S&P 500 Index Series
This summary schedule of investments is presented to help investors focus on the
Series' principal holdings. It includes the Series' 50 largest holdings and each
investment of any issuer that exceeds 1% of the Series' net assets, and
affiliated investments. "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 223,361 Boeing Co. $ 19,535,153 0.5%
284,811 United Technologies Corp. 21,799,434 0.6
Other Securities 64,496,686 1.7
---------------------------
105,831,273 2.8
- ------------------------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics 302,787 United Parcel Service, Inc. Class B (e) 21,413,097 0.6
Other Securities 13,425,575 0.4
---------------------------
34,838,672 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Airlines Other Securities 2,668,994 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Auto Components Other Securities 7,921,629 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Automobiles Other Securities 11,380,003 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Beverages 572,683 The Coca-Cola Co. 35,145,556 0.9
463,824 PepsiCo, Inc. 35,204,242 0.9
Other Securities 20,417,150 0.6
---------------------------
90,766,948 2.4
- ------------------------------------------------------------------------------------------------------------------------------------
Biotechnology Other Securities 42,371,224 1.1
- ------------------------------------------------------------------------------------------------------------------------------------
Building Products Other Securities 4,736,537 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Markets 328,077 The Bank of New York Mellon Corp. 15,997,034 0.4
114,593 The Goldman Sachs Group, Inc. (e) 24,643,225 0.7
246,638 Merrill Lynch & Co., Inc. (b) 13,239,528 0.4
305,833 Morgan Stanley (e) 16,242,791 0.4
Other Securities 54,084,462 1.4
---------------------------
124,207,040 3.3
- ------------------------------------------------------------------------------------------------------------------------------------
Chemicals 157,572 Monsanto Co. 17,599,217 0.5
Other Securities 50,734,113 1.3
---------------------------
68,333,330 1.8
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Banks 100,749 The PNC Financial Services Group, Inc. (b) 6,614,172 0.2
497,511 U.S. Bancorp (e) 15,790,999 0.4
569,261 Wachovia Corp. (e) 21,648,996 0.6
972,290 Wells Fargo & Co. 29,353,435 0.8
Other Securities 36,781,339 1.0
---------------------------
110,188,941 3.0
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies Other Securities 17,216,489 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Communications Equipment 1,748,204 Cisco Systems, Inc. (a) 47,323,882 1.3
471,601 QUALCOMM, Inc. 18,557,499 0.5
Other Securities 28,923,712 0.8
---------------------------
94,805,093 2.6
- ------------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals 252,903 Apple Inc. (a) 50,095,026 1.3
645,721 Dell, Inc. (a) 15,826,622 0.4
742,911 Hewlett-Packard Co. 37,502,147 1.0
397,091 International Business Machines Corp. 42,925,537 1.2
Other Securities 23,191,834 0.7
---------------------------
169,541,166 4.6
- ------------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering Other Securities 6,958,279 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Construction Materials Other Securities 2,338,849 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Finance 336,974 American Express Co. 17,529,387 0.5
Other Securities 9,874,933 0.2
---------------------------
27,404,320 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging Other Securities 4,338,440 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 15
Summary Schedule of Investments (continued) Master S&P 500 Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Distributors Other Securities $ 2,287,081 0.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer Services Other Securities 4,640,466 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services 1,283,653 Bank of America Corp. 52,963,523 1.4
1,444,179 Citigroup, Inc. 42,516,630 1.1
967,904 JPMorgan Chase & Co. 42,249,010 1.1
Other Securities 27,182,655 0.8
---------------------------
164,911,818 4.4
- ------------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 1,752,191 AT&T Inc. 72,821,058 2.0
832,857 Verizon Communications, Inc. 36,387,522 1.0
Other Securities 9,717,464 0.2
---------------------------
118,926,044 3.2
- ------------------------------------------------------------------------------------------------------------------------------------
Electric Utilities Other Securities 77,933,873 2.1
- ------------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment Other Securities 18,732,455 0.5
- ------------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments Other Securities 11,645,227 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services 344,590 Schlumberger Ltd. 33,897,318 0.9
Other Securities 60,582,396 1.6
---------------------------
94,479,714 2.5
- ------------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 425,552 CVS/Caremark Corp. 16,915,692 0.5
680,909 Wal-Mart Stores, Inc. 32,363,605 0.9
Other Securities 38,078,143 1.0
---------------------------
87,357,440 2.4
- ------------------------------------------------------------------------------------------------------------------------------------
Food Products Other Securities 55,323,978 1.5
- ------------------------------------------------------------------------------------------------------------------------------------
Gas Utilities Other Securities 7,946,105 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies 325,757 Medtronic, Inc. 16,375,804 0.4
Other Securities 47,897,372 1.3
---------------------------
64,273,176 1.7
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 372,345 UnitedHealth Group, Inc. 21,670,479 0.6
Other Securities 67,187,331 1.8
---------------------------
88,857,810 2.4
- ------------------------------------------------------------------------------------------------------------------------------------
Health Care Technology Other Securities 1,359,383 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 340,801 McDonald's Corp. 20,076,587 0.5
Other Securities 32,996,304 0.9
---------------------------
53,072,891 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Household Durables Other Securities 15,970,578 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Household Products 897,494 The Procter & Gamble Co. 65,894,009 1.8
Other Securities 22,495,490 0.6
---------------------------
88,389,499 2.4
- ------------------------------------------------------------------------------------------------------------------------------------
IT Services Other Securities 32,380,701 0.9
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & Other Securities 10,294,221 0.3
Energy Traders
- ------------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates 205,485 3M Co. 17,326,495 0.5
2,917,337 General Electric Co. 108,145,683 2.9
Other Securities 10,580,434 0.3
---------------------------
136,052,612 3.7
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance 730,793 American International Group, Inc. 42,605,232 1.1
Other Securities 116,910,078 3.2
---------------------------
159,515,310 4.3
- ------------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail Other Securities 11,647,333 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services 66,869 Google, Inc. Class A (a) 46,238,576 1.2
Other Securities 23,924,604 0.7
---------------------------
70,163,180 1.9
- ------------------------------------------------------------------------------------------------------------------------------------
16 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Summary Schedule of Investments (continued) Master S&P 500 Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
====================================================================================================================================
Leisure Equipment & Products Other Securities $ 5,502,684 0.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services Other Securities 13,020,828 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Machinery Other Securities 69,847,339 1.9
- ------------------------------------------------------------------------------------------------------------------------------------
Media 1,041,597 Time Warner, Inc. 17,196,766 0.5
548,540 Walt Disney Co. 17,706,871 0.5
Other Securities 69,684,878 1.8
---------------------------
104,588,515 2.8
- ------------------------------------------------------------------------------------------------------------------------------------
Metals & Mining Other Securities 38,591,381 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities Other Securities 41,902,697 1.1
- ------------------------------------------------------------------------------------------------------------------------------------
Multiline Retail Other Securities 27,878,380 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Office Electronics Other Securities 4,482,380 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 608,429 Chevron Corp. (e) 56,784,679 1.5
460,905 ConocoPhillips 40,697,911 1.1
1,576,427 Exxon Mobil Corp. (d) 147,695,446 4.0
238,719 Occidental Petroleum Corp. 18,378,976 0.5
Other Securities 113,080,803 3.0
---------------------------
376,637,815 10.1
- ------------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products Other Securities 10,203,224 0.3
- ------------------------------------------------------------------------------------------------------------------------------------
Personal Products Other Securities 6,455,196 0.2
- ------------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals 445,254 Abbott Laboratories 25,001,012 0.7
824,637 Johnson & Johnson 55,003,288 1.5
627,225 Merck & Co., Inc. 36,448,045 1.0
1,968,030 Pfizer, Inc. 44,733,322 1.2
385,834 Wyeth 17,050,004 0.5
Other Securities 55,745,342 1.4
---------------------------
233,981,013 6.3
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) Other Securities 36,787,135 1.0
- ------------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & Development Other Securities 1,161,351 0.0
- ------------------------------------------------------------------------------------------------------------------------------------
Road & Rail Other Securities 28,300,627 0.8
- ------------------------------------------------------------------------------------------------------------------------------------
Semiconductors & 1,684,853 Intel Corp. 44,918,181 1.2
Semiconductor Equipment Other Securities 54,950,399 1.5
---------------------------
99,868,580 2.7
- ------------------------------------------------------------------------------------------------------------------------------------
Software 2,319,487 Microsoft Corp. 82,573,737 2.2
1,136,319 Oracle Corp. (a)(e) 25,658,083 0.7
Other Securities 31,265,350 0.8
---------------------------
139,497,170 3.7
- ------------------------------------------------------------------------------------------------------------------------------------
Specialty Retail Other Securities 56,038,079 1.5
- ------------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods Other Securities 14,327,190 0.4
- ------------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance Other Securities 26,519,482 0.7
- ------------------------------------------------------------------------------------------------------------------------------------
Tobacco 606,937 Altria Group, Inc. 45,872,298 1.2
Other Securities 5,708,969 0.2
---------------------------
51,581,267 1.4
- ------------------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors Other Securities 1,889,732 0.1
- ------------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services Other Securities 15,726,565 0.4
Total Common Stocks (Cost -- $2,794,100,719) 3,706,796,752 99.6
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 17
Summary Schedule of Investments (concluded) Master S&P 500 Index Series
Beneficial Percent of
Interest Short-Term Securities Value Net Assets
====================================================================================================================================
$ 3,656,892 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.04% (b)(c) $ 3,656,892 0.1%
352,564,900 BlackRock Liquidity Series, LLC
Money Market Series, 4.78% (b)(c)(f) 352,564,900 9.5
- ------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost -- $356,221,792) 356,221,792 9.6
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost -- $3,150,322,511*) 4,063,018,544 109.2
Liabilities in Excess of Other Assets (341,847,708) (9.2)
---------------------------
Net Assets $3,721,170,836 100.0%
===========================
* 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 ....................................... $ 2,610,236,122
===============
Gross unrealized appreciation ........................ $ 1,546,979,510
Gross unrealized depreciation ........................ (94,197,088)
---------------
Net unrealized appreciation .......................... $ 1,452,782,422
===============
(a) Non-income producing security.
(b) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
---------------------------------------------------------------------------------------
Interest/
Purchase Sale Realized Dividend
Affiliate Cost Cost Gain Income
---------------------------------------------------------------------------------------
Blackrock Liquidity
Series, LLC
Cash Sweep Series -- $42,257,333** -- $2,259,136
BlackRock Liquidity
Series, LLC
Money Market Series $17,223,100* -- -- $ 688,689
Merrill Lynch & Co., Inc. $ 2,802,808 $ 914,000 $282,077 $ 311,714
The PNC Financial
Services Group, Inc. $ 1,807,325 $ 569,972 $ 55,595 $ 211,029
---------------------------------------------------------------------------------------
* Represents net purchase cost.
** Represents net sale cost.
(c) Represents the current yield as of December 31, 2007.
(d) All or a portion of security held as collateral in connection with open
financial futures contracts.
(e) Security, or a portion of security, is on loan.
(f) Security was purchased with the cash proceeds from securities loans.
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 this
report, which may combine industry sub-classification 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:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
--------------------------------------------------------------------------
44 S&P 500
Index March 2008 $16,154,369 $94,831
--------------------------------------------------------------------------
See Notes to Financial Statements.
18 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Statement of Assets and Liabilities Master S&P 500 Index Series
As of December 31, 2007
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including securities
loaned of $342,057,698) (identified cost -- $2,779,483,873) ............................. $ 3,686,943,052
Investments in affiliated securities, at value (identified cost -- $370,838,638) .......... 376,075,492
Receivables:
Securities sold ....................................................................... $ 37,882,599
Contributions ......................................................................... 6,695,103
Dividends ............................................................................. 5,512,285
Securities lending .................................................................... 91,718 50,181,705
---------------
Prepaid expenses and other assets ......................................................... 1,976,807
---------------
Total assets .............................................................................. 4,115,177,056
---------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value ................................................. 352,564,900
Bank overdraft ............................................................................ 17,453
Payables:
Withdrawals ........................................................................... 38,042,468
Securities purchased .................................................................. 3,027,144
Other affiliates ...................................................................... 34,618
Investment adviser .................................................................... 16,133
Variation margin ...................................................................... 13,764 41,134,127
---------------
Accrued expenses and other liabilities .................................................... 289,740
---------------
Total liabilities ......................................................................... 394,006,220
---------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets ................................................................................ $ 3,721,170,836
===============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ........................................................................ $ 2,808,379,972
Unrealized appreciation -- net ............................................................ 912,790,864
---------------
Net Assets ................................................................................ $ 3,721,170,836
===============
See Notes to Financial Statements.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 19
Statement of Operations Master S&P 500 Index Series
For the Year Ended December 31, 2007
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends (including $522,743 from affiliates) ............................................ $ 66,269,541
Interest from affiliates .................................................................. 2,259,136
Securities lending -- net ................................................................. 688,689
---------------
Total income .............................................................................. 69,217,366
===============
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Accounting services ....................................................................... $ 511,948
Investment advisory fees .................................................................. 349,953
Professional fees ......................................................................... 138,798
Custodian fees ............................................................................ 129,648
Directors' fees and expenses .............................................................. 31,065
Licensing fees ............................................................................ 20,000
Printing and shareholder reports .......................................................... 3,443
Pricing fees .............................................................................. 120
Other ..................................................................................... 63,126
---------------
Total expenses before waiver .............................................................. 1,248,101
Waiver of expenses ........................................................................ (174,977)
---------------
Total expenses after waiver ............................................................... 1,073,124
---------------
Investment income -- net .................................................................. 68,144,242
---------------
===================================================================================================================================
Realized & Unrealized Gain (Loss) -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on:
Investments (including $337,672 from affiliates) -- net ............................... 71,700,711
Financial futures contracts -- net .................................................... 1,271,248 72,971,959
---------------
Change in unrealized appreciation on:
Investments -- net .................................................................... (17,249,512)
Financial futures contracts -- net .................................................... (2,161) (17,251,673)
------------------------------------
Total realized and unrealized gain -- net ................................................. 55,720,286
---------------
Net Increase in Net Assets Resulting from Operations ...................................... $ 123,864,528
===============
See Notes to Financial Statements.
20 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Statements of Changes in Net Assets Master S&P 500 Index Series
For the Year Ended
December 31,
------------------------------------
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net .................................................................. $ 68,144,242 $ 52,217,414
Realized gain (loss) -- net ............................................................... 72,971,959 (15,353,939)
Change in unrealized appreciation/depreciation -- net ..................................... (17,251,673) 370,124,158
------------------------------------
Net increase in net assets resulting from operations ...................................... 123,864,528 406,987,633
------------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ............................................................... 1,916,951,681* 682,690,342
Fair value of withdrawals ................................................................. (1,130,278,630) (1,224,826,445)
------------------------------------
Net increase (decrease) in net assets derived from capital transactions ................... 786,673,051 (542,136,103)
------------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets ................................................... 910,537,579 (135,148,470)
Beginning of year ......................................................................... 2,810,633,257 2,945,781,727
------------------------------------
End of year ............................................................................... $ 3,721,170,836 $ 2,810,633,257
====================================
* Amount includes an in-kind contribution of $1,099,448,117 from an
affiliated fund.
See Notes to Financial Statements.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 21
Financial Highlights Master S&P 500 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 ....................... 5.56% 15.85% 4.96% 10.90% 28.70%
================================================================================
===================================================================================================================================
Ratios to Average Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ....................... .03% .04% .03% .03% .04%
================================================================================
Expenses ...................................... .04% .04% .03% .03% .04%
================================================================================
Investment income -- net ...................... 1.95% 1.92% 1.84% 1.99% 1.76%
================================================================================
===================================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) ........ $ 3,721,171 $ 2,810,633 $ 2,945,782 $ 2,938,391 $ 2,474,596
================================================================================
Portfolio turnover ............................ 4% 4% 11% 6% 4%
================================================================================
See Notes to Financial Statements.
22 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements Master S&P 500 Index Series
1. Significant Accounting Policies:
Master S&P 500 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 nontransferable interests in the Master LLC/Trust, 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
Series' financial statements are prepared in conformity with U.S. generally
accepted accounting principles, which may require the use of management accruals
and estimates. Actual results may differ from these estimates. The following is
a summary of significant accounting policies followed by the Series.
(a) Valuation of investments -- Equity securities that are held by the Series
that are traded on stock exchanges or the NASDAQ Global Market are valued at the
last sale price or official close price on the exchange, as of the close of
business on the day the securities are being valued or, lacking any sales, at
the last available bid price for long positions, and at the last available asked
price for short positions. In cases where equity securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Directors. Long
positions traded in the over-the-counter ("OTC") markets, NASDAQ Capital Market
or Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Directors. Short positions traded in the OTC markets are valued at the last
available asked price. Portfolio securities that are traded both in the OTC
markets and on a stock exchange are valued according to the broadest and most
representative market.
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 on 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 Series, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed by the officers
of the 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 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.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 23
Notes to Financial Statements (continued) Master S&P 500 Index Series
o Options -- The Series may purchase and write call and put options. When
the Series writes an option, an amount equal to the premium received by
the Series is reflected as an asset and an equivalent liability. The
amount of the liability is subsequently marked-to-market to reflect the
current market value of the option written. When a security is purchased
or sold through an exercise of an option, the related premium paid (or
received) is added to (or deducted from) the basis of the security
acquired or deducted from (or added to) the proceeds of the security sold.
When an option expires (or the Series enters into a closing transaction),
the Series realizes a gain or loss on the option to the extent of the
premiums received or paid (or a gain or loss to the extent that the cost
of the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(c) Income taxes -- The Series is classified as a partnership for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. It is intended that the Series' assets will be managed so
an investor in the Series can satisfy the requirements of Subchapter M of the
Internal Revenue Code.
(d) Security transactions and investment income -- Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(e) Securities lending -- The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Series could experience
delays and costs in gaining access to the collateral. The Series also could
suffer a loss where the value of the collateral falls below the market value of
the borrowed securities, in the event of borrower default or in the event of
losses on investments made with cash collateral.
(f) Bank overdraft -- The Series recorded a bank overdraft which resulted from
management estimates of available cash.
(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 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.
24 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements (concluded) Master S&P 500 Index Series
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
Manager earns a monthly fee at an annual rate of .01% of the average daily value
of the Series' net assets. However, the Manager has entered into a contract with
the Master LLC on behalf of the Series, that provides that the management fee
for the Series, when combined with the administrative fee of a certain feeder
fund, will not exceed a specified amount. As a result, the Series pays a monthly
fee at an annual rate of .005% of the average daily value of the Series' net
assets. For the year ended December 31, 2007, the Manager earned $349,953, of
which $174,977 was waived. In addition, the Manager has entered into a
sub-advisory agreement with BlackRock Investment Management, LLC ("BIM"), an
affiliate of the Manager, under which the Manager pays the sub-advisor for
services it provides a monthly fee that is a percentage of the management fee
paid by the Series to the Manager.
The Master LLC, on behalf of the Series, has received an exemptive order from
the Securities and Exchange Commission permitting it to lend portfolio
securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a
wholly owned subsidiary of Merrill Lynch, or its affiliates. As of December 31,
2007, the Series loaned securities with a value of $79,561,400 to MLPF&S or its
affiliates. Pursuant to that order, the Master LLC also has retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. BIM may, on behalf of the Master LLC and the Series, invest
cash collateral received by the Series for such loans, among other things, in a
private investment company managed by the Manager or in registered money market
funds advised by the Manager or its affiliates. For the year ended December 31,
2007, BIM received $203,707 in securities lending agent fees.
Prior to March 28, 2007, Merrill Lynch Trust Company ("MLTC"), a wholly owned
subsidiary of Merrill Lynch, was the Series' custodian. Effective March 28,
2007, State Street Bank & Trust Co. became the Series' custodian.
For the year ended December 31, 2007, the Series reimbursed the Manager $63,062
for certain accounting services.
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 $138,148,702 and $351,559,549, 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 S&P 500 INDEX FUND DECEMBER 31, 2007 25
Report of Independent Registered Public Accounting Firm
Master S&P 500 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 S&P 500 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
S&P 500 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 its financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 28, 2008
26 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Proxy Results Master S&P 500 Index Series
During the six-month period ended December 31, 2007, the holders of interests of
Master S&P 500 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 for each Director are as
follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Units of Interest Units of Interest
Voted For Withheld From Voting
- ------------------------------------------------------------------------------------------------------------------------------------
To elect the Board of Directors David O. Beim, Richard S. Davis, Ronald W. Forbes,
of 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 2,427,287,326 0
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 27
Proxy Results BlackRock S&P 500 Index Fund
During the six-month period ended December 31, 2007, the shareholders of
BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. voted on the
following proposal, which was approved at a special 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 72,231,963 2,040,303
Richard S. Davis 72,211,640 2,060,626
Ronald W. Forbes 72,235,874 2,036,392
Henry Gabbay 72,258,290 2,013,976
Dr. Matina Horner 72,226,461 2,045,805
Rodney D. Johnson 72,229,841 2,042,425
Herbert I. London 72,235,935 2,036,331
Cynthia A. Montgomery 72,263,439 2,008,827
Joseph P. Platt, Jr. 72,256,695 2,015,571
Robert C. Robb, Jr. 72,255,689 2,016,577
Toby Rosenblatt 72,233,933 2,038,333
Kenneth L. Urish 72,252,993 2,019,273
Frederick W. Winter 72,225,341 2,046,925
- ------------------------------------------------------------------------------------------------------------------------------
28 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
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 Five 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 Trustee 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; Director, 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.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 29
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 Five 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; Director, 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 June 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. Director 2007 Chairman, Wilmerding & Associates, Inc. 35 Funds Chestnut Street
Wilmerding, Jr.* (investment advisers) from 1989 to 2005; 81 Portfolios Exchange Fund,
40 East 52nd Street Chairman, Coho Partners, Ltd. (investment (open-end
New York, NY 10022 advisors) 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.
30 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
Officers and Directors (concluded)
Position(s)
Held with Length of
Name, Address Fund/ Time
and Year of Birth Master LLC Served Principal Occupation(s) During Past Five 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 Officers and Directors is available in the Fund's Statement of
Additional Information, which can be obtained without charge by calling (800) 441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
State Street Bank and
Trust Company
North Quincy, MA 02171
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
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 31
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.
32 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
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 or the Fund's previous adviser 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.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 33
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.
34 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007
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 4-12/07
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 S&P 500
Index Fund $6,500 $6,500 $0 $0 $6,100 $6,000 $1,042 $0
- ----------------------------------------------------------------------------------------------------------------------------------
Master S&P 500
Index Series $35,500 $35,500 $0 $24,000 $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 S&P 500 Index Fund $291,642 $3,077,450
--------------------------------------------------------------------
Master S&P 500 Index Series $301,500 $3,112,450
--------------------------------------------------------------------
(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 S&P 500 Index Series
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense - 2.8% 223,361 Boeing Co. $ 19,535,153
115,157 General Dynamics Corp. 10,247,821
38,549 Goodrich Corp. 2,721,945
215,174 Honeywell International, Inc. 13,248,263
34,767 L-3 Communications Holdings, Inc. 3,683,216
99,151 Lockheed Martin Corp. (e) 10,436,634
97,462 Northrop Grumman Corp. 7,664,412
39,100 Precision Castparts Corp. 5,423,170
123,683 Raytheon Co. 7,507,558
49,516 Rockwell Collins, Inc. 3,563,667
284,811 United Technologies Corp. 21,799,434
---------------
105,831,273
- --------------------------------------------------------------------------------------------------------------------------------
Air Freight & Logistics - 1.0% 50,892 C.H. Robinson Worldwide, Inc. 2,754,275
63,500 Expeditors International Washington, Inc. 2,837,180
87,856 FedEx Corp. (e) 7,834,120
302,787 United Parcel Service, Inc. Class B (e) 21,413,097
---------------
34,838,672
- --------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 218,770 Southwest Airlines Co. (e) 2,668,994
- --------------------------------------------------------------------------------------------------------------------------------
Auto Components - 0.2% 65,683 The Goodyear Tire & Rubber Co. (a)(e) 1,853,574
168,370 Johnson Controls, Inc. 6,068,055
---------------
7,921,629
- --------------------------------------------------------------------------------------------------------------------------------
Automobiles - 0.3% 607,982 Ford Motor Co. (a)(e) 4,091,719
159,898 General Motors Corp. 3,979,861
70,829 Harley-Davidson, Inc. 3,308,423
---------------
11,380,003
- --------------------------------------------------------------------------------------------------------------------------------
Beverages - 2.4% 211,409 Anheuser-Busch Cos., Inc. 11,065,147
26,413 Brown-Forman Corp. Class B 1,957,467
572,683 The Coca-Cola Co. 35,145,556
89,423 Coca-Cola Enterprises, Inc. 2,327,681
59,756 Constellation Brands, Inc. Class A (a) 1,412,632
37,100 Molson Coors Brewing Co. Class B 1,915,102
44,073 Pepsi Bottling Group, Inc. 1,739,121
463,824 PepsiCo, Inc. 35,204,242
---------------
90,766,948
- --------------------------------------------------------------------------------------------------------------------------------
Biotechnology - 1.1% 313,140 Amgen, Inc. (a) 14,542,222
83,322 Biogen Idec, Inc. (a)(e) 4,742,688
111,236 Celgene Corp. (a) 5,140,216
75,323 Genzyme Corp. (a) 5,607,044
268,182 Gilead Sciences, Inc. (a) 12,339,054
---------------
42,371,224
- --------------------------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 106,307 Masco Corp. 2,297,294
52,221 Trane, Inc. 2,439,243
---------------
4,736,537
- --------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 3.3% 52,300 American Capital Strategies Ltd. (e) 1,723,808
69,873 Ameriprise Financial, Inc. 3,850,701
328,077 The Bank of New York Mellon Corp. 15,997,034
32,223 The Bear Stearns Cos., Inc. (e) 2,843,680
267,894 The Charles Schwab Corp. 6,844,692
118,082 E*Trade Financial Corp. (a)(e) 419,191
27,348 Federated Investors, Inc. Class B 1,125,644
46,622 Franklin Resources, Inc. 5,334,955
114,593 The Goldman Sachs Group, Inc. (e) 24,643,225
44,232 Janus Capital Group, Inc. 1,453,021
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
38,354 Legg Mason, Inc. $ 2,805,595
152,376 Lehman Brothers Holdings, Inc. (e) 9,971,485
246,638 Merrill Lynch & Co., Inc. (b) 13,239,528
305,833 Morgan Stanley (e) 16,242,791
55,161 Northern Trust Corp. 4,224,229
110,515 State Street Corp. 8,973,818
74,140 T. Rowe Price Group, Inc. (e) 4,513,643
---------------
124,207,040
- --------------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.8% 62,018 Air Products & Chemicals, Inc. 6,116,835
19,132 Ashland, Inc. 907,431
270,053 The Dow Chemical Co. 10,645,489
257,137 E.I. du Pont de Nemours & Co. 11,337,170
23,362 Eastman Chemical Co. 1,427,185
54,095 Ecolab, Inc. 2,770,205
30,102 Hercules, Inc. 582,474
24,864 International Flavors & Fragrances, Inc. 1,196,704
157,572 Monsanto Co. 17,599,217
47,947 PPG Industries, Inc. 3,367,318
91,057 Praxair, Inc. 8,077,666
39,726 Rohm & Haas Co. (e) 2,108,259
40,245 Sigma-Aldrich Corp. 2,197,377
---------------
68,333,330
- --------------------------------------------------------------------------------------------------------------------------------
Commercial Banks - 3.0% 158,296 BB&T Corp. 4,854,938
43,543 Comerica, Inc. 1,895,427
52,251 Commerce Bancorp, Inc. 1,992,853
153,497 Fifth Third Bancorp (e) 3,857,380
42,158 First Horizon National Corp. (e) 765,168
105,329 Huntington Bancshares, Inc. (e) 1,554,656
111,982 KeyCorp (e) 2,625,978
23,866 M&T Bank Corp. 1,946,750
70,721 Marshall & Ilsley Corp. 1,872,692
175,705 National City Corp. (e) 2,892,104
100,749 The PNC Financial Services Group, Inc. (b) 6,614,172
208,548 Regions Financial Corp. (e) 4,932,160
100,611 SunTrust Banks, Inc. (e) 6,287,181
497,511 U.S. Bancorp (e) 15,790,999
569,261 Wachovia Corp. 21,648,996
972,290 Wells Fargo & Co. 29,353,435
27,930 Zions Bancorporation 1,304,052
---------------
110,188,941
- --------------------------------------------------------------------------------------------------------------------------------
Commercial Services & 74,642 Allied Waste Industries, Inc. (a) 822,555
Supplies - 0.5% 29,212 Avery Dennison Corp. 1,552,326
42,897 Cintas Corp. 1,442,197
39,854 Equifax, Inc. 1,449,091
34,751 Monster Worldwide, Inc. (a) 1,125,932
64,862 Pitney Bowes, Inc. 2,467,350
60,022 R.R. Donnelley & Sons Co. 2,265,230
48,292 Robert Half International, Inc. 1,305,816
146,495 Waste Management, Inc. 4,785,992
---------------
17,216,489
- --------------------------------------------------------------------------------------------------------------------------------
Communications Equipment - 2.6% 23,001 Ciena Corp. (a) 784,564
1,748,204 Cisco Systems, Inc. (a) 47,323,882
454,049 Corning, Inc. 10,892,635
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
58,672 JDS Uniphase Corp. (a) $ 780,338
150,283 Juniper Networks, Inc. (a) 4,989,396
658,108 Motorola, Inc. 10,556,052
471,601 QUALCOMM, Inc. 18,557,499
140,784 Tellabs, Inc. (a) 920,727
---------------
94,805,093
- --------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 4.6% 252,903 Apple, Inc. (a) 50,095,026
645,721 Dell, Inc. (a) 15,826,622
604,338 EMC Corp. 11,198,383
742,911 Hewlett-Packard Co. 37,502,147
397,091 International Business Machines Corp. 42,925,537
27,544 Lexmark International, Inc. Class A (a) 960,184
99,200 Network Appliance, Inc. (a) 2,476,032
47,581 QLogic Corp. (a) 675,650
63,247 SanDisk Corp. (a) 2,097,903
238,732 Sun Microsystems, Inc. (a) 4,328,211
53,100 Teradata Corp. (a) 1,455,471
---------------
169,541,166
- --------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.2% 24,918 Fluor Corp. 3,631,051
34,800 Jacobs Engineering Group, Inc. (a) 3,327,228
---------------
6,958,279
- --------------------------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 29,572 Vulcan Materials Co. 2,338,849
- --------------------------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.7% 336,974 American Express Co. 17,529,387
112,619 Capital One Financial Corp. (e) 5,322,374
142,466 Discover Financial Services 2,148,387
119,373 SLM Corp. 2,404,172
---------------
27,404,320
- --------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.1% 31,433 Ball Corp. 1,414,485
29,930 Bemis Co. 819,483
37,589 Pactiv Corp. (a) 1,000,995
47,687 Sealed Air Corp. 1,103,477
---------------
4,338,440
- --------------------------------------------------------------------------------------------------------------------------------
Distributors - 0.1% 49,397 Genuine Parts Co. 2,287,081
- --------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer 39,431 Apollo Group, Inc. Class A (a) 2,766,085
Services - 0.1% 100,936 H&R Block, Inc. 1,874,381
---------------
4,640,466
- --------------------------------------------------------------------------------------------------------------------------------
Diversified Financial 1,283,653 Bank of America Corp. 52,963,523
Services - 4.4% 57,129 CIT Group, Inc. 1,372,810
15,679 CME Group, Inc. 10,755,794
1,444,179 Citigroup, Inc. 42,516,630
20,000 IntercontinentalExchange, Inc. (a) 3,850,000
967,904 JPMorgan Chase & Co. 42,249,010
48,700 Leucadia National Corp. (e) 2,293,770
61,755 Moody's Corp. (e) 2,204,653
76,400 NYSE Euronext (e) 6,705,628
---------------
164,911,818
- --------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 1,752,191 AT&T Inc. 72,821,058
Services - 3.2% 35,615 CenturyTel, Inc. 1,476,598
109,504 Citizens Communications Co. (e) 1,393,986
40,456 Embarq Corp. 2,003,786
452,326 Qwest Communications International, Inc. 3,170,805
832,857 Verizon Communications, Inc. 36,387,522
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
128,440 Windstream Corp. $ 1,672,289
---------------
118,926,044
- --------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 2.1% 47,918 Allegheny Energy, Inc. 3,048,064
119,455 American Electric Power Co., Inc. 5,561,825
357,334 Duke Energy Corp. 7,207,427
94,047 Edison International 5,019,288
55,970 Entergy Corp. 6,689,534
190,211 Exelon Corp. 15,528,826
117,264 FPL Group, Inc. (e) 7,948,154
87,834 FirstEnergy Corp. 6,353,912
107,069 PPL Corp. 5,577,224
56,984 Pepco Holdings, Inc. 1,671,341
26,258 Pinnacle West Capital Corp. 1,113,602
79,560 Progress Energy, Inc. (a) 3,809,801
216,900 The Southern Co. 8,404,875
---------------
77,933,873
- --------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.5% 51,850 Cooper Industries Ltd. Class A 2,741,828
226,830 Emerson Electric Co. 12,852,188
45,511 Rockwell Automation, Inc. 3,138,439
---------------
18,732,455
- --------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 114,949 Agilent Technologies, Inc. (a) 4,223,226
Instruments - 0.3% 54,386 Jabil Circuit, Inc. 830,474
46,140 Molex, Inc. 1,259,622
143,601 Tyco Electronics Ltd. 5,331,905
---------------
11,645,227
- --------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & 84,333 BJ Services Co. 2,045,919
Services - 2.5% 90,145 Baker Hughes, Inc. 7,310,759
39,509 ENSCO International, Inc. 2,355,527
252,451 Halliburton Co. 9,570,417
81,379 Nabors Industries Ltd. (a) 2,228,971
102,790 National Oilwell Varco, Inc. (a) 7,550,953
74,846 Noble Corp. 4,229,547
32,040 Rowan Cos., Inc. 1,264,298
344,590 Schlumberger Ltd. 33,897,318
57,501 Smith International, Inc. 4,246,449
91,575 Transocean, Inc. (a) 13,108,961
97,239 Weatherford International Ltd. (a) 6,670,595
---------------
94,479,714
- --------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 2.4% 425,552 CVS/Caremark Corp. 16,915,692
124,124 Costco Wholesale Corp. 8,658,890
196,241 The Kroger Co. 5,241,597
57,710 SUPERVALU INC. 2,165,279
172,515 SYSCO Corp. 5,384,193
124,110 Safeway, Inc. 4,245,803
680,909 Wal-Mart Stores, Inc. 32,363,605
284,044 Walgreen Co. (e) 10,816,395
38,382 Whole Foods Market, Inc. (e) 1,565,986
---------------
87,357,440
- --------------------------------------------------------------------------------------------------------------------------------
Food Products - 1.5% 183,418 Archer-Daniels-Midland Co. 8,516,098
63,462 Campbell Soup Co. 2,267,497
137,320 ConAgra Foods, Inc. 3,266,843
40,049 Dean Foods Co. 1,035,667
95,460 General Mills, Inc. 5,441,220
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
90,107 H.J. Heinz Co. $ 4,206,195
52,846 The Hershey Co. (e) 2,082,132
76,486 Kellogg Co. 4,010,161
444,151 Kraft Foods, Inc. 14,492,647
38,348 McCormick & Co., Inc. 1,453,773
219,005 Sara Lee Corp. 3,517,220
76,645 Tyson Foods, Inc. Class A 1,174,968
65,919 Wm. Wrigley Jr. Co. 3,859,557
---------------
55,323,978
- --------------------------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.2% 12,458 Nicor, Inc. 527,596
49,996 Questar Corp. 2,704,784
182,561 Spectra Energy Corp. 4,713,725
---------------
7,946,105
- --------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 182,677 Baxter International, Inc. 10,604,400
Supplies - 1.7% 70,324 Becton Dickinson & Co. 5,877,680
380,113 Boston Scientific Corp. (a) 4,420,714
31,306 C.R. Bard, Inc. 2,967,809
143,601 Covidien Ltd. 6,360,088
44,027 Hospira, Inc. (a) 1,877,311
325,757 Medtronic, Inc. 16,375,804
99,515 St. Jude Medical, Inc. (a) 4,044,290
70,939 Stryker Corp. 5,300,562
37,809 Varian Medical Systems, Inc. (a) 1,972,117
67,610 Zimmer Holdings, Inc. (a) 4,472,401
---------------
64,273,176
- --------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 144,211 Aetna, Inc. 8,325,301
Services - 2.4% 51,391 AmerisourceBergen Corp. 2,305,914
103,416 Cardinal Health, Inc. 5,972,274
80,457 Cigna Corp. 4,322,955
47,199 Coventry Health Care, Inc. (a) 2,796,541
72,670 Express Scripts, Inc. (a) 5,304,910
47,384 Humana, Inc. (a) 3,568,489
33,223 Laboratory Corp. of America Holdings (a) 2,509,333
83,391 McKesson Corp. (e) 5,462,944
77,118 Medco Health Solutions, Inc. (a) 7,819,765
41,966 Patterson Cos., Inc. (a) 1,424,746
42,642 Quest Diagnostics, Inc. (e) 2,255,762
132,885 Tenet Healthcare Corp. (a) 675,056
372,345 UnitedHealth Group, Inc. 21,670,479
164,634 WellPoint, Inc. (a)(e) 14,443,341
---------------
88,857,810
- --------------------------------------------------------------------------------------------------------------------------------
Health Care Technology - 0.0% 59,001 IMS Health, Inc. 1,359,383
- --------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 124,785 Carnival Corp. (e) 5,551,685
Leisure - 1.4% 43,759 Darden Restaurants, Inc. 1,212,562
52,389 Harrah's Entertainment, Inc. 4,649,524
93,168 International Game Technology 4,092,870
90,119 Marriott International, Inc. Class A (e) 3,080,267
340,801 McDonald's Corp. 20,076,587
205,491 Starbucks Corp. (a) 4,206,401
57,411 Starwood Hotels & Resorts Worldwide, Inc. 2,527,806
28,433 Wendy's International, Inc. 734,709
56,485 Wyndham Worldwide Corp. 1,330,787
146,582 Yum! Brands, Inc. (e) 5,609,693
---------------
53,072,891
- --------------------------------------------------------------------------------------------------------------------------------
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
Household Durables - 0.4% 18,607 Black & Decker Corp. $ 1,295,978
34,654 Centex Corp. 875,360
78,911 D.R. Horton, Inc. (e) 1,039,258
42,151 Fortune Brands, Inc. 3,050,046
18,957 Harman International Industries, Inc. 1,397,320
20,291 KB Home 438,286
53,452 Leggett & Platt, Inc. 932,203
38,391 Lennar Corp. Class A 686,815
77,433 Newell Rubbermaid, Inc. 2,003,966
61,125 Pulte Homes, Inc. (e) 644,257
16,579 Snap-On, Inc. 799,771
22,889 The Stanley Works 1,109,659
20,797 Whirlpool Corp. 1,697,659
---------------
15,970,578
- --------------------------------------------------------------------------------------------------------------------------------
Household Products - 2.4% 42,837 Clorox Co. 2,791,687
145,784 Colgate-Palmolive Co. 11,365,321
120,255 Kimberly-Clark Corp. 8,338,482
897,494 The Procter & Gamble Co. 65,894,009
---------------
88,389,499
- --------------------------------------------------------------------------------------------------------------------------------
IT Services - 0.9% 30,038 Affiliated Computer Services, Inc. Class A (a) 1,354,714
148,643 Automatic Data Processing, Inc. 6,619,073
81,202 Cognizant Technology Solutions Corp. (a) 2,755,996
50,551 Computer Sciences Corp. (a) 2,500,758
40,681 Convergys Corp. (a) 669,609
149,172 Electronic Data Systems Corp. 3,092,336
47,464 Fidelity National Information Services, Inc. 1,974,028
45,082 Fiserv, Inc. (a) 2,501,600
96,079 Paychex, Inc. 3,479,981
57,700 Total System Services, Inc. 1,615,600
94,590 Unisys Corp. (a) 447,411
221,153 The Western Union Co. 5,369,595
---------------
32,380,701
- --------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & 188,763 The AES Corp. (a) 4,037,641
Energy Traders - 0.3% 52,049 Constellation Energy Group, Inc. 5,336,584
128,851 Dynegy, Inc. Class A (a) 919,996
---------------
10,294,221
- --------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 3.7% 205,485 3M Co. (e) 17,326,495
2,917,337 General Electric Co. 108,145,683
70,038 Textron, Inc. 4,993,709
140,901 Tyco International Ltd. 5,586,725
---------------
136,052,612
- --------------------------------------------------------------------------------------------------------------------------------
Insurance - 4.3% 92,631 ACE Ltd. 5,722,743
25,381 AMBAC Financial Group, Inc. (e) 654,068
88,131 AON Corp. (e) 4,202,967
140,574 Aflac, Inc. 8,804,150
162,100 The Allstate Corp. 8,466,483
730,793 American International Group, Inc. 42,605,232
27,552 Assurant, Inc. 1,843,229
110,597 Chubb Corp. 6,036,384
49,962 Cincinnati Financial Corp. 1,975,497
123,975 Genworth Financial, Inc. Class A 3,155,164
89,824 Hartford Financial Services Group, Inc. 7,831,755
77,531 Lincoln National Corp. 4,513,855
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
127,770 Loews Corp. $ 6,431,942
36,159 MBIA, Inc. (e) 673,642
149,860 Marsh & McLennan Cos., Inc. 3,966,794
213,446 MetLife, Inc. (e) 13,152,543
75,398 Principal Financial Group, Inc. 5,190,398
209,547 The Progressive Corp. (e) 4,014,921
130,839 Prudential Financial, Inc. 12,173,261
23,894 Safeco Corp. 1,330,418
29,820 Torchmark Corp. 1,805,005
187,546 The Travelers Cos., Inc. 10,089,975
98,467 UnumProvident Corp. 2,342,530
50,335 XL Capital Ltd. Class A 2,532,354
---------------
159,515,310
- --------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.3% 88,560 Amazon.com, Inc. (a)(e) 8,204,198
60,000 Expedia, Inc. (a) 1,897,200
57,427 IAC/InterActiveCorp (a) 1,545,935
---------------
11,647,333
- --------------------------------------------------------------------------------------------------------------------------------
Internet Software & 49,100 Akamai Technologies, Inc. (a) 1,698,860
Services - 1.9% 327,588 eBay, Inc. (a)(e) 10,872,646
66,869 Google, Inc. Class A (a) 46,238,576
63,673 VeriSign, Inc. (a)(e) 2,394,742
385,140 Yahoo! Inc. (a) 8,958,356
---------------
70,163,180
- --------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & 26,046 Brunswick Corp. 444,084
Products - 0.1% 83,027 Eastman Kodak Co. 1,815,800
48,104 Hasbro, Inc. 1,230,500
105,688 Mattel, Inc. 2,012,300
---------------
5,502,684
- --------------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & 52,486 Applera Corp. - Applied Biosystems Group 1,780,325
Services - 0.4% 13,883 Millipore Corp. (a) 1,015,958
31,961 PerkinElmer, Inc. 831,625
120,666 Thermo Fisher Scientific, Inc. (a) 6,960,015
30,769 Waters Corp. (a) 2,432,905
---------------
13,020,828
- --------------------------------------------------------------------------------------------------------------------------------
Machinery - 1.9% 182,516 Caterpillar, Inc. 13,243,361
29,181 Cummins, Inc. 3,716,784
71,351 Danaher Corp. 6,260,337
127,908 Deere & Co. 11,910,793
57,887 Dover Corp. 2,668,012
42,183 Eaton Corp. 4,089,642
51,782 ITT Corp. 3,419,683
117,829 Illinois Tool Works, Inc. 6,308,565
78,498 Ingersoll-Rand Co. Class A 3,647,802
36,800 Manitowoc Co. 1,796,944
106,177 PACCAR, Inc. (e) 5,784,523
35,075 Pall Corp. 1,414,224
48,468 Parker Hannifin Corp. 3,650,125
29,534 Terex Corp. (a) 1,936,544
---------------
69,847,339
- --------------------------------------------------------------------------------------------------------------------------------
Media - 2.8% 197,412 CBS Corp. Class B (e) 5,379,477
149,075 Clear Channel Communications, Inc. 5,146,069
838,909 Comcast Corp. Class A (a) 15,318,478
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
46,657 Comcast Corp. Special Class A (a) $ 845,425
213,068 The DIRECTV Group, Inc. (a) 4,926,132
24,899 The E.W. Scripps Co. Class A (e) 1,120,704
63,925 Gannett Co., Inc. (e) 2,493,075
121,646 Interpublic Group of Cos., Inc. (a)(e) 986,549
92,201 The McGraw-Hill Cos., Inc. 4,039,326
13,345 Meredith Corp. 733,708
41,598 The New York Times Co. Class A (e) 729,213
675,293 News Corp. Class A (e) 13,836,754
94,214 Omnicom Group, Inc. 4,477,991
1,041,597 Time Warner, Inc. 17,196,766
189,129 Viacom, Inc. Class B (a)(e) 8,306,546
548,540 Walt Disney Co. 17,706,871
1,700 The Washington Post Co. Class B 1,345,431
---------------
104,588,515
- --------------------------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.0% 244,428 Alcoa, Inc. 8,933,843
28,313 Allegheny Technologies, Inc. 2,446,243
110,075 Freeport-McMoRan Copper & Gold, Inc. Class B 11,276,083
127,577 Newmont Mining Corp. 6,229,585
82,931 Nucor Corp. 4,911,174
25,700 Titanium Metals Corp. (e) 679,765
34,031 United States Steel Corp. 4,114,688
---------------
38,591,381
- --------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 1.1% 57,262 Ameren Corp. 3,104,173
73,731 CMS Energy Corp. 1,281,445
89,758 CenterPoint Energy, Inc. (e) 1,537,555
75,002 Consolidated Edison, Inc. (e) 3,663,848
48,053 DTE Energy Co. 2,112,410
166,018 Dominion Resources, Inc. 7,877,554
21,370 Integrys Energy Group, Inc. 1,104,615
71,915 NiSource, Inc. 1,358,474
106,431 PG&E Corp. 4,586,112
73,250 Public Service Enterprise Group, Inc. 7,196,080
73,238 Sempra Energy 4,531,967
56,516 TECO Energy, Inc. 972,640
114,126 Xcel Energy, Inc. 2,575,824
---------------
41,902,697
- --------------------------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.7% 29,182 Big Lots, Inc. (a) 466,620
21,950 Dillard's, Inc. Class A 412,221
46,933 Family Dollar Stores, Inc. 902,522
61,854 J.C. Penney Co., Inc. (e) 2,720,957
88,454 Kohl's Corp. (a)(e) 4,051,193
124,766 Macy's, Inc. 3,227,696
54,132 Nordstrom, Inc. 1,988,268
20,977 Sears Holdings Corp. (a)(e) 2,140,703
239,364 Target Corp. 11,968,200
---------------
27,878,380
- --------------------------------------------------------------------------------------------------------------------------------
Office Electronics - 0.1% 276,861 Xerox Corp. 4,482,380
- --------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 132,687 Anadarko Petroleum Corp. 8,716,209
Fuels - 10.1% 94,503 Apache Corp. 10,162,853
130,861 Chesapeake Energy Corp. (e) 5,129,751
608,429 Chevron Corp. (e) 56,784,679
460,905 ConocoPhillips 40,697,911
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
52,248 Consol Energy, Inc. $ 3,736,777
128,264 Devon Energy Corp. 11,403,952
69,422 EOG Resources, Inc. 6,195,913
196,759 El Paso Corp. 3,392,125
1,576,427 Exxon Mobil Corp. (d) 147,695,446
78,984 Hess Corp. 7,966,326
204,058 Marathon Oil Corp. 12,418,970
53,359 Murphy Oil Corp. 4,526,978
50,200 Noble Energy, Inc. 3,991,904
238,719 Occidental Petroleum Corp. 18,378,976
76,342 Peabody Energy Corp. 4,705,721
43,000 Range Resources Corp. 2,208,480
33,908 Sunoco, Inc. 2,456,296
39,500 Tesoro Corp. 1,884,150
158,660 Valero Energy Corp. 11,110,960
168,867 Williams Cos., Inc. 6,042,061
136,904 XTO Energy, Inc. (e) 7,031,377
---------------
376,637,815
- --------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.3% 123,384 International Paper Co. 3,995,174
56,015 MeadWestvaco Corp. 1,753,269
60,412 Weyerhaeuser Co. 4,454,781
---------------
10,203,224
- --------------------------------------------------------------------------------------------------------------------------------
Personal Products - 0.2% 123,658 Avon Products, Inc. 4,888,201
35,932 The Estee Lauder Cos., Inc. Class A 1,566,995
---------------
6,455,196
- --------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 6.3% 445,254 Abbott Laboratories 25,001,012
87,008 Allergan, Inc. (e) 5,589,394
29,959 Barr Pharmaceuticals, Inc. (a) 1,590,823
570,131 Bristol-Myers Squibb Co. 15,119,874
283,556 Eli Lilly & Co. (e) 15,139,055
89,874 Forest Laboratories, Inc. (a) 3,275,907
824,637 Johnson & Johnson 55,003,288
66,773 King Pharmaceuticals, Inc. (a) 683,756
627,225 Merck & Co., Inc. 36,448,045
79,643 Mylan, Inc. (e) 1,119,781
1,968,030 Pfizer, Inc. 44,733,322
465,522 Schering-Plough Corp. 12,401,506
30,407 Watson Pharmaceuticals, Inc. (a) 825,246
385,834 Wyeth 17,050,004
---------------
233,981,013
- --------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 25,831 Apartment Investment & Management Co. Class A 897,111
(REITS) - 1.0% 21,268 AvalonBay Communities, Inc. 2,002,170
32,746 Boston Properties, Inc. (e) 3,006,410
37,075 Developers Diversified Realty Corp. 1,419,602
78,136 Equity Residential 2,849,620
74,300 General Growth Properties, Inc. 3,059,674
159,595 Host Marriott Corp. 2,719,499
68,741 Kimco Realty Corp. (e) 2,502,172
51,130 Plum Creek Timber Co., Inc. (e) 2,354,025
74,164 ProLogis (e) 4,700,514
34,446 Public Storage 2,528,681
63,283 Simon Property Group, Inc. 5,496,761
36,963 Vornado Realty Trust 3,250,896
---------------
36,787,135
- --------------------------------------------------------------------------------------------------------------------------------
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & 53,891 CB Richard Ellis Group, Inc. (a) $ 1,161,351
Development - 0.0%
- --------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 0.8% 84,602 Burlington Northern Santa Fe Corp. 7,041,424
121,110 CSX Corp. 5,326,418
111,602 Norfolk Southern Corp. 5,629,205
17,147 Ryder System, Inc. 806,080
75,605 Union Pacific Corp. 9,497,500
---------------
28,300,627
- --------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 173,882 Advanced Micro Devices, Inc. (a)(e) 1,304,115
Equipment - 2.7% 96,804 Altera Corp. 1,870,253
87,398 Analog Devices, Inc. 2,770,517
391,880 Applied Materials, Inc. 6,959,789
132,564 Broadcom Corp. Class A (a) 3,465,223
1,684,853 Intel Corp. 44,918,181
50,766 KLA-Tencor Corp. 2,444,891
216,075 LSI Logic Corp. (a) 1,147,358
64,169 Linear Technology Corp. (e) 2,042,499
65,700 MEMC Electronic Materials, Inc. (a) 5,813,793
61,700 Microchip Technology, Inc. 1,938,614
206,743 Micron Technology, Inc. (a)(e) 1,498,887
67,734 National Semiconductor Corp. (e) 1,533,498
33,492 Novellus Systems, Inc. (a) 923,374
158,911 Nvidia Corp. (a) 5,406,152
53,961 Teradyne, Inc. (a) 557,957
401,812 Texas Instruments, Inc. 13,420,521
84,726 Xilinx, Inc. 1,852,958
---------------
99,868,580
- --------------------------------------------------------------------------------------------------------------------------------
Software - 3.7% 165,376 Adobe Systems, Inc. (a) 7,066,516
66,523 Autodesk, Inc. (a) 3,310,184
60,189 BMC Software, Inc. (a) 2,145,136
119,624 CA, Inc. 2,984,619
52,098 Citrix Systems, Inc. (a) 1,980,245
95,471 Compuware Corp. (a) 847,782
89,082 Electronic Arts, Inc. (a) 5,203,280
93,996 Intuit, Inc. (a) 2,971,214
2,319,487 Microsoft Corp. 82,573,737
105,431 Novell, Inc. (a) 724,311
1,136,319 Oracle Corp. (a)(e) 25,658,083
249,818 Symantec Corp. (a) 4,032,063
---------------
139,497,170
- --------------------------------------------------------------------------------------------------------------------------------
Specialty Retail - 1.5% 24,782 Abercrombie & Fitch Co. Class A 1,981,817
47,813 AutoNation, Inc. (a) 748,752
12,764 AutoZone, Inc. (a) 1,530,531
72,266 Bed Bath & Beyond, Inc. (a)(e) 2,123,898
101,157 Best Buy Co., Inc. (e) 5,325,916
31,846 Circuit City Stores, Inc. 133,753
45,800 GameStop Corp. Class A (a) 2,844,638
134,199 The Gap, Inc. 2,855,755
485,273 Home Depot, Inc. (e) 13,073,255
89,543 Limited Brands, Inc. (e) 1,695,049
421,489 Lowe's Cos., Inc. 9,534,081
79,947 Office Depot, Inc. (a) 1,112,063
24,242 OfficeMax, Inc. 500,840
44,129 RadioShack Corp. 744,015
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- --------------------------------------------------------------------------------------------------------------------------------
29,548 The Sherwin-Williams Co. $ 1,714,966
203,793 Staples, Inc. 4,701,504
125,972 TJX Cos., Inc. 3,619,176
39,063 Tiffany & Co. 1,798,070
---------------
56,038,079
- --------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 106,108 Coach, Inc. (a) 3,244,783
Luxury Goods - 0.4% 31,167 Jones Apparel Group, Inc. 498,360
28,640 Liz Claiborne, Inc. 582,824
108,755 Nike, Inc. Class B 6,986,421
18,018 Polo Ralph Lauren Corp. 1,113,332
27,694 VF Corp. 1,901,470
---------------
14,327,190
- --------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 0.7% 166,545 Countrywide Financial Corp. (e) 1,488,912
281,351 Fannie Mae 11,248,413
190,619 Freddie Mac (e) 6,494,389
145,919 Hudson City Bancorp, Inc. (e) 2,191,703
23,544 MGIC Investment Corp. (e) 528,092
105,865 Sovereign Bancorp, Inc. 1,206,861
246,959 Washington Mutual, Inc. (e) 3,361,112
---------------
26,519,482
- --------------------------------------------------------------------------------------------------------------------------------
Tobacco - 1.4% 606,937 Altria Group, Inc. 45,872,298
49,061 Reynolds American, Inc. 3,236,064
45,126 UST, Inc. 2,472,905
---------------
51,581,267
- --------------------------------------------------------------------------------------------------------------------------------
Trading Companies & 21,592 W.W. Grainger, Inc. 1,889,732
Distributors - 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 116,600 American Tower Corp. Class A (a) 4,967,160
Services - 0.4% 819,452 Sprint Nextel Corp. 10,759,405
---------------
15,726,565
- --------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $2,794,100,719) - 99.6% 3,706,796,752
- --------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- --------------------------------------------------------------------------------------------------------------------------------
$ 3,656,892 BlackRock Liquidity Series, LLC Cash Sweep
Series, 5.04% (b)(c) 3,656,892
352,564,900 BlackRock Liquidity Series, LLC Money Market
Series, 4.78% (b)(c)(f) 352,564,900
- --------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $356,221,792) - 9.6% 356,221,792
- --------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $3,150,322,511*) - 109.2% 4,063,018,544
Liabilities in Excess of Other Assets - (9.2%) (341,847,708)
---------------
Net Assets - 100.0% $ 3,721,170,836
===============
* 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 $ 2,610,236,122
===============
Gross unrealized appreciation $ 1,546,979,510
Gross unrealized depreciation (94,197,088)
---------------
Net unrealized appreciation $ 1,452,782,422
===============
Master S&P 500 Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
(a) Non-income producing security.
(b) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
--------------------------------------------------------------------------------------------------------
Affiliate Purchase Sale Realized Interest/Dividend
Cost Cost Gain Income
--------------------------------------------------------------------------------------------------------
Blackrock Liquidity Series, LLC -- $42,257,333 ** - $ 2,259,136
Cash Sweep Series
BlackRock Liquidity Series, LLC $17,223,100 * -- - $ 688,689
Money Market Series
Merrill Lynch & Co., Inc. $ 2,802,808 $ 914,000 $282,077 $ 311,714
The PNC Financial Services $ 1,807,325 $ 569,972 $ 55,595 $ 211,029
Group, Inc.
--------------------------------------------------------------------------------------------------------
* Represents net purchase cost.
** Represents net sale cost.
(c) Represents the current yield as of December 31, 2007.
(d) All or a portion of security held as collateral in connection with open
financial futures contracts.
(e) Security, or a portion of security, is on loan.
(f) Security was purchases with the cash proceeds from securities loans.
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 this
report, which may combine industry sub-classification 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:
-------------------------------------------------------------------------
Number of Expiration Unrealized
Contracts Issue Date Face Value Appreciation
-------------------------------------------------------------------------
44 S&P 500 Index March 2008 $ 16,154,369 $ 94,831
-------------------------------------------------------------------------
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
S&P 500 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 for the year then ended and have issued our report
thereon dated February 28, 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 Master LLC's 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 Master LLC referred to above, presents
fairly, in all material respects, the information set forth therein.
DELOITTE & TOUCHE LLP
Princeton, New Jersey
February 28, 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 S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500
Index Series of Quantitative Master Series LLC
By: /s/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and
Master S&P 500 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 S&P 500 Index Fund of BlackRock Index Funds, Inc. and
Master S&P 500 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 S&P 500 Index Fund of BlackRock Index Funds, Inc. and
Master S&P 500 Index Series of Quantitative Master Series LLC
Date: February 21, 2008