UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07885
Name of Fund: Master Enhanced S&P 500 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,
Master Enhanced S&P 500 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
Master Enhanced S&P 500 Series of Quantitative Master Series LLC
Annual Report, December 31, 2007
PORTFOLIO MANAGEMENT COMMENTARY
How did the Series perform?
o For the fiscal year ended December 31, 2007, Master Enhanced S&P 500
Series (the "Series") generated returns that exceeded that of the
benchmark Standard & Poor's (S&P) 500 Index, as the Series had a total
return of +5.67% compared to +5.49% for the Index. Positive performance
from our stock-substitution strategies was offset slightly by negative
results from our stock-selection strategies.
o Among our stock-selection strategies, positive contributors included the
earnings surprise/estimate revisions, price momentum and short interest
signals. Risk control positions also proved beneficial. Conversely, the
value, earnings quality, external financing and turn-of-the-year signals
detracted from performance. In November, we enhanced the external
financing signal based on our recent research. The external financing
measure is combined with the capital investments measure into the Capital
Investments and External Financing signal.
o With respect to stock substitution, positive performance resulted from
index rebalance, structural and merger arbitrage strategies.
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 almost inexorably
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%.
Describe recent portfolio activity.
o Throughout the period, as changes were made to the composition of the S&P
500 Index, we purchased and sold securities to maintain the Series'
objective of tracking the risks and return of the benchmark. We continued
to use our quantitative stock-selection and stock-substitution strategies
in an effort to generate returns above those offered by the Index.
o As the volatility and investor risk aversion in the equity markets remains
high, we are maintaining diversified and balanced signal exposure in the
portfolio going into 2008.
Describe portfolio 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.
1
Master Enhanced S&P 500 Series
As of December 31, 2007
Portfolio Information
- --------------------------------------------------------------------------------
Percent of Long-Term
Sector Representation Investments
- --------------------------------------------------------------------------------
Information Technology 16.7%
Financials 16.1
Industrials 12.2
Energy 11.5
Health Care 11.4
Consumer Staples 9.8
Consumer Discretionary 9.1
Utilities 4.1
Telecommunication Services 3.6
Materials 3.5
Other* 2.0
- --------------------------------------------------------------------------------
* Includes portfolio holdings in exchange-traded funds.
For Series compliance purposes, the Series' sector classifications refer
to any one or more of the sector sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes
of this report, which may combine sector sub-classifications for reporting
ease.
2
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Aerospace & 35,300 Boeing Co. $ 3,087,338
Defense - 3.4% 12,000 General Dynamics Corp. 1,067,880
5,100 Goodrich Corp. 360,111
86,400 Honeywell International, Inc. 5,319,648
1,500 L-3 Communications Holdings, Inc. 158,910
10,300 Lockheed Martin Corp. 1,084,178
5,600 Precision Castparts Corp. 776,720
70,600 Raytheon Co. 4,285,420
1,200 Rockwell Collins, Inc. 86,364
69,600 United Technologies Corp. 5,327,184
------------
21,553,753
- -----------------------------------------------------------------------------------------------------------------------------------
Air Freight & 200 Expeditors International Washington, Inc. 8,936
Logistics - 1.0% 88,800 United Parcel Service, Inc. Class B (d) 6,279,936
------------
6,288,872
- -----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.1% 30,600 Southwest Airlines Co. 373,320
- -----------------------------------------------------------------------------------------------------------------------------------
Auto Components 14,900 Johnson Controls, Inc. 536,996
- - 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Beverages - 2.3% 22,600 Anheuser-Busch Cos., Inc. 1,182,884
140,500 The Coca-Cola Co. 8,622,485
5,524 Molson Coors Brewing Co. Class B 285,149
5,700 Pepsi Bottling Group, Inc. 224,922
60,410 PepsiCo, Inc. 4,585,119
------------
14,900,559
- -----------------------------------------------------------------------------------------------------------------------------------
Biotechnology 12,200 Amgen, Inc. (a) 566,568
- - 0.5% 14,010 Biogen Idec, Inc. (a) 797,449
15,600 Celgene Corp. (a) 720,876
12,100 Genzyme Corp. (a) 900,724
------------
2,985,617
- -----------------------------------------------------------------------------------------------------------------------------------
Building 29,100 Masco Corp. 628,851
Products - 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Capital Markets 2,700 Ameriprise Financial, Inc. 148,797
- - 3.6% 118,434 The Bank of New York Mellon Corp. 5,774,842
38,700 The Charles Schwab Corp. 988,785
31,350 Franklin Resources, Inc. 3,587,381
30,400 The Goldman Sachs Group, Inc. 6,537,520
21,700 Lehman Brothers Holdings, Inc. 1,420,048
19,200 Northern Trust Corp. 1,470,336
15,928 State Street Corp. 1,293,354
26,700 T. Rowe Price Group, Inc. 1,625,496
16,200 TD Ameritrade Holding Corp. (a) 324,972
------------
23,171,531
- -----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 2.0% 8,800 Air Products & Chemicals, Inc. 867,944
2,300 Ashland, Inc. 109,089
29,300 The Dow Chemical Co. 1,155,006
107,200 E.I. du Pont de Nemours & Co. 4,726,448
3,600 Eastman Chemical Co. 219,924
36,700 Huntsman Corp. 943,190
3,300 International Flavors & Fragrances, Inc. 158,829
25,800 Monsanto Co. 2,881,602
11,800 PPG Industries, Inc. 828,714
8,300 Praxair, Inc. 736,293
5,200 Rohm & Haas Co. 275,964
------------
12,903,003
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks 10,300 Alabama National Bancorp. 801,443
- - 1.8% 11,725 BB&T Corp. 359,606
10,134 Fifth Third Bancorp 254,667
See Notes to Financial Statements.
3
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
16,200 First Charter Corp. $ 483,732
1,000 Marshall & Ilsley Corp. 26,480
12,102 The PNC Financial Services Group, Inc. (b) 794,496
57,654 U.S. Bancorp 1,829,938
77,771 Wachovia Corp. 2,957,631
135,446 Wells Fargo & Co. 4,089,115
------------
11,597,108
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Services 225,000 Allied Waste Industries, Inc. (a) 2,479,500
& Supplies - 0.5% 5,800 Equifax, Inc. 210,888
9,100 R.R. Donnelley & Sons Co. 343,434
------------
3,033,822
- -----------------------------------------------------------------------------------------------------------------------------------
Communications 62,500 3Com Corp. (a) 282,500
Equipment - 1.5% 14 Ciena Corp. (a) 477
249,000 Cisco Systems, Inc. (a) 6,740,430
937 CommScope, Inc. (a) 46,061
75,900 Corning, Inc. 1,820,841
21,000 Juniper Networks, Inc. (a) 697,200
3 Motorola, Inc. 48
------------
9,587,557
- -----------------------------------------------------------------------------------------------------------------------------------
Computers & 36,200 Apple, Inc. (a)(h) 7,170,496
Peripherals - 4.5% 80,700 Dell, Inc. (a) 1,977,957
73,600 EMC Corp. (a) 1,363,808
106,607 Hewlett-Packard Co. 5,381,521
86,047 International Business Machines Corp. 9,301,681
12,100 NCR Corp. (a) 303,710
14,500 Network Appliance, Inc. (a) 361,920
100 QLogic Corp. (a) 1,420
132,700 Sun Microsystems, Inc. (a) 2,405,851
6 Teradata Corp. (a) 164
------------
28,268,528
- -----------------------------------------------------------------------------------------------------------------------------------
Construction & 1,700 Fluor Corp. 247,724
Engineering - 0.2% 4,900 Jacobs Engineering Group, Inc. (a) 468,489
10,500 KBR, Inc. (a) 407,400
------------
1,123,613
- -----------------------------------------------------------------------------------------------------------------------------------
Construction 795 Vulcan Materials Co. 62,877
Materials - 0.0%
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer Finance 12,100 American Express Co. 629,442
- - 0.7% 64,044 Capital One Financial Corp. 3,026,719
19,500 Discover Financial Services LLC 294,060
20,900 SLM Corp. 420,926
------------
4,371,147
- -----------------------------------------------------------------------------------------------------------------------------------
Containers & 5,300 Pactiv Corp. (a) 141,139
Packaging - 0.0%
- -----------------------------------------------------------------------------------------------------------------------------------
Distributors - 0.1% 6,900 Genuine Parts Co. 319,470
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer 5,800 Apollo Group, Inc. Class A (a) 406,870
Services - 0.5% 156,300 H&R Block, Inc. 2,902,491
------------
3,309,361
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified 172,066 Bank of America Corp.(g) 7,099,443
Financial 18 CME Group, Inc. 12,348
Services - 3.0% 77,613 Citigroup, Inc. 2,284,927
3,300 IntercontinentalExchange, Inc. (a) 635,250
140,463 JPMorgan Chase & Co. (d) 6,131,210
6,700 Leucadia National Corp. 315,570
300 Moody's Corp. 10,710
15,200 The NASDAQ Stock Market, Inc. (a) 752,248
3,800 NYSE Euronext 333,526
See Notes to Financial Statements.
4
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
9,900 Nymex Holdings, Inc. $ 1,322,739
------------
18,897,971
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified 241,305 AT&T Inc. 10,028,636
Telecommunication 4,600 CenturyTel, Inc. 190,716
Services - 2.9% 33,900 Qwest Communications International Inc. 237,639
183,040 Verizon Communications, Inc. 7,997,018
------------
18,454,009
- -----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities 6,800 Allegheny Energy, Inc. 432,548
- - 2.0% 79,800 Duke Energy Corp. 1,609,566
44,800 Edison International 2,390,976
8,000 Entergy Corp. 956,160
27,424 Exelon Corp. 2,238,895
10,500 FPL Group, Inc. 711,690
6,300 FirstEnergy Corp. 455,742
48,300 PPL Corp. 2,515,947
13,800 Pepco Holdings, Inc. 404,754
1,900 Progress Energy, Inc. 92,017
19,500 The Southern Co. 755,625
------------
12,563,920
- -----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment 100 Cooper Industries Ltd. Class A 5,288
- - 0.5% 32,100 Emerson Electric Co. 1,818,786
1,030 First Solar, Inc. (a) 275,154
11,100 Genlyte Group, Inc. (a) 1,056,720
800 Rockwell Automation, Inc. 55,168
------------
3,211,116
- -----------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 8,800 Agilent Technologies, Inc. (a) 323,312
Instruments - 0.2% 27,810 Tyco Electronics Ltd. 1,032,585
------------
1,355,897
- -----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & 17,800 Baker Hughes, Inc. 1,443,580
Services - 1.9% 2,900 Diamond Offshore Drilling, Inc. 411,800
11,760 Grant Prideco, Inc. (a) 652,798
52,900 Halliburton Co. 2,005,439
3 Nabors Industries Ltd. (a) 82
43,200 National Oilwell Varco, Inc. (a) 3,173,472
10,100 Noble Corp. 570,751
6,200 Schlumberger Ltd. 609,894
3,800 Smith International, Inc. 280,630
16,118 Transocean, Inc. (a) 2,307,292
7,500 Weatherford International Ltd. (a) 514,500
------------
11,970,238
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Staples 52,365 CVS/Caremark Corp. 2,081,509
Retailing - 1.6% 17,900 Costco Wholesale Corp. 1,248,704
134,300 The Kroger Co. 3,587,153
43,513 SUPERVALU INC. 1,632,608
24,900 SYSCO Corp. 777,129
17,700 Safeway, Inc. 605,517
5,105 Wal-Mart Stores, Inc. 242,641
------------
10,175,261
- -----------------------------------------------------------------------------------------------------------------------------------
Food Products - 1.7% 39,300 Archer-Daniels-Midland Co. 1,824,699
3,000 Bunge Ltd. 349,230
38 Campbell Soup Co. 1,358
6,300 General Mills, Inc. 359,100
17,600 H.J. Heinz Co. 821,568
51,000 Kellogg Co. 2,673,930
See Notes to Financial Statements.
5
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
95,347 Kraft Foods, Inc. $ 3,111,173
7,500 Reddy Ice Holdings, Inc. 189,825
100 Sara Lee Corp. 1,606
59,500 Tyson Foods, Inc. Class A 912,135
8,900 Wm. Wrigley Jr. Co. 521,095
------------
10,765,719
- -----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.1% 21,112 Spectra Energy Corp. 545,112
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment 78,500 Baxter International, Inc. 4,556,925
& Supplies - 1.7% 4,800 Becton Dickinson & Co. 401,184
36,410 Covidien Ltd. 1,612,599
31,500 Medtronic, Inc. 1,583,505
3,000 Respironics, Inc. (a) 196,440
32,000 St. Jude Medical, Inc. (a) 1,300,480
9,700 Stryker Corp. 724,784
5,200 Zimmer Holdings, Inc. (a) 343,980
------------
10,719,897
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers 13,900 Aetna, Inc. 802,447
& Services - 2.8% 3,900 AmerisourceBergen Corp. 174,993
67,755 Cardinal Health, Inc. 3,912,851
4,400 Cigna Corp. 236,412
45,700 Coventry Health Care, Inc. (a) 2,707,725
10,500 Express Scripts, Inc. (a) 766,500
6,900 Humana, Inc. (a) 519,639
6,700 McKesson Corp. 438,917
11,116 Medco Health Solutions, Inc. (a) 1,127,162
5,700 Patterson Cos., Inc. (a) 193,515
4,900 Radiation Therapy Services, Inc. (a) 151,459
44,100 Sierra Health Services, Inc. (a) 1,850,436
54,113 UnitedHealth Group, Inc. 3,149,377
100 Visicu, Inc. (a) 1,187
19,657 WellPoint, Inc. (a) 1,724,509
------------
17,757,129
- -----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 8,627 Carnival Corp. 383,815
Leisure - 1.9% 2,340 Chipotle Mexican Grill, Inc. Class A (a)(d) 344,144
5,800 Darden Restaurants, Inc. 160,718
38,850 Harrah's Entertainment, Inc. (g) 3,447,938
13,700 International Game Technology 601,841
76,400 Marriott International, Inc. Class A (d) 2,611,352
48,682 McDonald's Corp. 2,867,857
47,400 Starbucks Corp. (a) 970,278
1,300 Starwood Hotels & Resorts Worldwide, Inc. 57,239
3,600 Wendy's International, Inc. 93,024
20 Wyndham Worldwide Corp. 471
12,500 Yum! Brands, Inc. 478,375
------------
12,017,052
- -----------------------------------------------------------------------------------------------------------------------------------
Household Durables 14,500 Harman International Industries, Inc. 1,068,795
- - 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Household Products 15,400 Colgate-Palmolive Co. 1,200,584
- - 2.0% 24,400 Kimberly-Clark Corp. 1,691,896
131,105 The Procter & Gamble Co. 9,625,729
------------
12,518,209
- -----------------------------------------------------------------------------------------------------------------------------------
IT Services - 1.0% 14,700 Affiliated Computer Services, Inc. Class A (a) 662,970
39,000 Alliance Data Systems Corp. (a) 2,924,610
14,300 Automatic Data Processing, Inc. 636,779
1,075 Broadridge Financial Solutions LLC 24,112
See Notes to Financial Statements.
6
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
4,600 Electronic Data Systems Corp. $ 95,358
300 Fidelity National Information Services, Inc. 12,477
13,900 Paychex, Inc. 503,458
9,700 Total System Services, Inc. 271,600
44,800 The Western Union Co. 1,087,744
------------
6,219,108
- -----------------------------------------------------------------------------------------------------------------------------------
Independent Power 13,400 The AES Corp. (a)(g) 286,626
Producers & Energy 7,400 Constellation Energy Group, Inc. 758,722
Traders - 0.2% ------------
1,045,348
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial 25,800 3M Co. 2,175,456
Conglomerates - 2.3% 312,900 General Electric Co. 11,599,203
10,200 Textron, Inc. 727,260
8,110 Tyco International Ltd. 321,561
------------
14,823,480
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance - 4.2% 13,400 ACE Ltd. 827,852
12,000 AON Corp. 572,280
20,000 Aflac, Inc. 1,252,600
31,800 The Allstate Corp. 1,660,914
105,075 American International Group, Inc. (g) 6,125,872
3,900 Assurant, Inc. 260,910
29,800 Chubb Corp. 1,626,484
79,796 Genworth Financial, Inc. Class A 2,030,808
13,000 Hartford Financial Services Group, Inc. 1,133,470
4,265 Lincoln National Corp. 248,308
24,886 Loews Corp. 1,252,761
15,400 MBIA, Inc. (d) 286,902
10,200 Marsh & McLennan Cos., Inc. 269,994
81,100 MetLife, Inc. 4,997,382
4,500 Principal Financial Group, Inc. 309,780
18,800 Prudential Financial, Inc. 1,749,152
26,929 The Travelers Cos., Inc. 1,448,780
14,700 UnumProvident Corp. 349,713
8,400 XL Capital Ltd. Class A 422,604
------------
26,826,566
- -----------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog 16,200 Amazon.com, Inc. (a) 1,500,768
Retail - 0.2% 200 Expedia, Inc. (a) 6,324
------------
1,507,092
- -----------------------------------------------------------------------------------------------------------------------------------
Internet Software & 110,705 eBay, Inc. (a) 3,674,299
Services - 1.7% 10,041 Google, Inc. Class A (a)(h) 6,943,151
32 Yahoo! Inc. (a) 744
------------
10,618,194
- -----------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & 110,300 Eastman Kodak Co. (d) 2,412,261
Products - 0.4% 6,500 Hasbro, Inc. 166,270
------------
2,578,531
- -----------------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & 7,500 Applera Corp. - Applied Biosystems Group 254,400
Services - 0.2% 5,000 PerkinElmer, Inc. 130,100
17,435 Thermo Fisher Scientific, Inc. (a) 1,005,651
------------
1,390,151
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery - 1.7% 70,700 Caterpillar, Inc. 5,129,992
4,300 Cummins, Inc. 547,691
5,000 Danaher Corp. 438,700
22,600 Deere & Co. 2,104,512
7,200 Eaton Corp. 698,040
7,400 ITT Corp. 488,696
See Notes to Financial Statements.
7
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
5,000 Ingersoll-Rand Co. Class A $ 232,350
6,100 Manitowoc Co. 297,863
8,425 PACCAR, Inc. 458,994
7,150 Parker Hannifin Corp. 538,467
600 Terex Corp. (a) 39,342
------------
10,974,647
- -----------------------------------------------------------------------------------------------------------------------------------
Media - 2.2% 145,348 CBS Corp. Class B 3,960,733
95,300 Clear Channel Communications, Inc. 3,289,756
35 Comcast Corp. Class A (a) 639
30,900 The DIRECTV Group, Inc. (a) 714,408
19,790 Gannett Co., Inc. 771,810
7,600 Liberty Global, Inc. Series C (a) 278,084
2,600 Liberty Media Holding Corp. - Capital (a) 302,874
1,200 The McGraw-Hill Cos., Inc. 52,572
83,100 News Corp. Class A 1,702,719
32,300 News Corp. Class B 686,375
13,400 Omnicom Group Inc. 636,902
33,925 Time Warner, Inc. 560,102
26,107 Walt Disney Co. 842,734
200 The Washington Post Co. Class B 158,286
------------
13,957,994
- -----------------------------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.0% 9,400 Alcoa, Inc. 343,570
33,608 Freeport-McMoRan Copper & Gold, Inc. Class B 3,442,804
4,800 Newmont Mining Corp. 234,384
21,000 United States Steel Corp. 2,539,110
------------
6,559,868
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 1.5% 800 Ameren Corp. 43,368
67,600 DTE Energy Co. 2,971,696
32,800 Dominion Resources, Inc. 1,556,360
15 NiSource, Inc. 283
87,200 PG&E Corp. 3,757,448
10,400 Public Service Enterprise Group, Inc. 1,021,696
4,100 Sempra Energy 253,708
------------
9,604,559
- -----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail 4,500 Big Lots, Inc. (a) 71,955
- - 1.0% 79,000 Family Dollar Stores, Inc. 1,519,170
48,470 Kohl's Corp. (a) 2,219,926
14,200 Nordstrom, Inc. 521,566
14,500 Saks, Inc. (a) 301,020
28,500 Target Corp. 1,425,000
------------
6,058,637
- -----------------------------------------------------------------------------------------------------------------------------------
Office Electronics 38,300 Xerox Corp. 620,077
- - 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 19,000 Anadarko Petroleum Corp. 1,248,110
Fuels - 8.6% 121,102 Chevron Corp. 11,302,449
66,550 ConocoPhillips 5,876,365
6,200 Devon Energy Corp. 551,242
231,290 Exxon Mobil Corp. 21,669,560
11,175 Hess Corp. 1,127,111
27,872 Marathon Oil Corp. 1,696,290
47,100 Murphy Oil Corp. 3,995,964
8,300 Noble Energy, Inc. 660,016
28,204 Occidental Petroleum Corp. 2,171,426
5,100 Peabody Energy Corp. 314,364
4,300 Plains Exploration & Production Co. (a) 232,200
See Notes to Financial Statements.
8
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
7,300 Range Resources Corp. $ 374,928
3,300 Tesoro Corp. 157,410
22,323 Valero Energy Corp. 1,563,280
23,400 Williams Cos., Inc. 837,252
20,750 XTO Energy, Inc. 1,065,720
------------
54,843,687
- -----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest 11 Domtar Corp. (a) 84
Products - 0.2% 5,700 International Paper Co. 184,566
20,300 MeadWestvaco Corp. 635,390
9,564 Weyerhaeuser Co. 705,249
------------
1,525,289
- -----------------------------------------------------------------------------------------------------------------------------------
Personal Products 7,200 Avon Products, Inc. 284,616
- - 0.0%
- -----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 5.1% 800 Adams Respiratory Therapeutics, Inc. (a) 47,792
7,612 Allergan, Inc. 488,995
8,100 Aspreva Pharmaceuticals Corp. (a) 210,600
9,600 Axcan Pharma Inc. (a) 220,800
67,300 Bristol-Myers Squibb Co. 1,784,796
56,600 Eli Lilly & Co. 3,021,874
12,900 Forest Laboratories, Inc. (a) 470,205
54,309 Johnson & Johnson 3,622,410
179,400 King Pharmaceuticals, Inc. (a) 1,837,056
11,200 MGI Pharma, Inc. (a) 453,936
81,402 Merck & Co., Inc. 4,730,270
426,340 Pfizer, Inc. 9,690,708
134,100 Schering-Plough Corp. 3,572,424
47,400 Wyeth 2,094,606
------------
32,246,472
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment 18,500 General Growth Properties, Inc. 761,830
Trusts (REITs) - 0.9% 21,300 Host Marriott Corp. 362,952
201 Kimco Realty Corp. 7,316
58,700 ProLogis (d) 3,720,406
4 Public Storage, Inc. 294
11,890 Simon Property Group, Inc. 1,032,765
1,300 Vornado Realty Trust 114,335
------------
5,999,898
- -----------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 1.0% 17,100 Burlington Northern Santa Fe Corp. 1,423,233
19,700 CSX Corp. 866,406
16,000 Norfolk Southern Corp. 807,040
24,700 Union Pacific Corp. 3,102,814
------------
6,199,493
- -----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & 14,600 Altera Corp. 282,072
Semiconductor 35,800 Applied Materials, Inc. 635,808
Equipment - 2.6% 222,800 Intel Corp. 5,939,848
347,500 LSI Logic Corp. (a) 1,845,225
9,500 Linear Technology Corp. 302,385
9,200 MEMC Electronic Materials, Inc. (a) 814,108
20,420 Maxim Integrated Products, Inc. 540,722
10,600 Microchip Technology, Inc. 333,052
8,800 Micron Technology, Inc. (a) 63,800
5,100 Novellus Systems, Inc. (a) 140,607
15,150 Nvidia Corp. (a) 515,403
28,500 Teradyne, Inc. (a) 294,690
47,000 Texas Instruments, Inc. 1,569,800
See Notes to Financial Statements.
9
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
136,600 Xilinx, Inc. $ 2,987,442
------------
16,264,962
- -----------------------------------------------------------------------------------------------------------------------------------
Software - 3.7% 15,200 Adobe Systems, Inc. (a) 649,496
9,400 Autodesk, Inc. (a) 467,744
8,200 BMC Software, Inc. (a) 292,248
84,600 CA, Inc. 2,110,770
7,300 Citrix Systems, Inc. (a) 277,473
16,500 Cognos, Inc. (a) 949,905
12,500 Compuware Corp. (a) 111,000
6,600 Electronic Arts, Inc. (a) 385,506
13,900 Intuit, Inc. (a) 439,379
333,760 Microsoft Corp. 11,881,856
15,800 NAVTEQ Corp. (a) 1,194,480
14,400 Novell, Inc. (a) 98,928
141,000 Oracle Corp. (a) 3,183,780
103,600 Symantec Corp. (a) 1,672,104
------------
23,714,669
- -----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail 17 AutoNation, Inc. (a) 266
- - 1.1% 1,900 AutoZone, Inc. (a) 227,829
6,300 GameStop Corp. Class A (a) 391,293
6,800 The Gap, Inc. 144,704
70,200 Home Depot, Inc. 1,891,188
4,374 Limited Brands, Inc. 82,800
40,900 Lowe's Cos., Inc. 925,158
110,100 RadioShack Corp. 1,856,286
24,100 TJX Cos., Inc. 692,393
12,000 Tiffany & Co. 552,360
------------
6,764,277
- -----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & 15,300 Coach, Inc. (a) 467,874
Luxury Goods - 0.7% 15,100 Jones Apparel Group, Inc. 241,449
62,000 Nike, Inc. Class B 3,982,880
------------
4,692,203
- -----------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage 39,800 Fannie Mae 1,591,204
Finance - 0.2% 20 Freddie Mac 681
------------
1,591,885
- -----------------------------------------------------------------------------------------------------------------------------------
Tobacco - 1.3% 105,753 Altria Group, Inc. 7,992,812
- -----------------------------------------------------------------------------------------------------------------------------------
Trading Companies & 10,100 UAP Holding Corp. 389,860
Distributors - 0.2%
23,300 United Rentals, Inc. (a) 427,788
4,200 W.W. Grainger, Inc. 367,584
------------
1,185,232
- -----------------------------------------------------------------------------------------------------------------------------------
Wireless 26,800 American Tower Corp. Class A (a) 1,141,680
Telecommunication 20,800 Rural Cellular Corp. Class A (a) 917,072
Services - 0.4% 100 Sprint Nextel Corp. 1,313
3,400 U.S. Cellular Corp. (a) 285,940
------------
2,346,005
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $485,605,570) - 89.1% 565,613,201
- -----------------------------------------------------------------------------------------------------------------------------------
Exchange-Traded Funds
- -----------------------------------------------------------------------------------------------------------------------------------
900 MidCap SPDR Trust Series 1 139,590
74,425 SPDR Trust Series 1 (d) 10,881,679
- -----------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost - $10,554,499) - 1.7% 11,021,269
- -----------------------------------------------------------------------------------------------------------------------------------
10
Master Enhanced S&P 500 Series
Schedule of Investments as of December 31, 2007
Face
Industry Amount Corporate Bonds Value
- -----------------------------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% $ 475,000 Genzyme Corp., 1.25% due 12/01/2023 (c) $ 547,438
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial 291,000 Tyco International Group SA,
Conglomerates - 0.1% 3.125% due 1/15/2023 (c) 462,326
- -----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds (Cost - $921,050) - 0.2% 1,009,764
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------------
$ 57,542,938 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.04% (b)(e) 57,542,938
28,347,400 BlackRock Liquidity Series, LLC
Money Market Series, 4.78% (b)(e)(f) 28,347,400
- -----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $85,890,338) - 13.5% 85,890,338
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $582,971,457*) - 104.5% 663,534,572
Liabilities in Excess of Other Assets - (4.5%) (28,312,909)
------------
Net Assets - 100.0% $635,221,663
============
* 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 ......................................... $ 590,749,110
=============
Gross unrealized appreciation .......................... $ 90,716,018
Gross unrealized depreciation .......................... (17,930,556)
-------------
Net unrealized appreciation ............................ $ 72,785,462
=============
(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:
-------------------------------------------------------------------------------------------------------
Purchase Sale Realized Interest/Dividend
Affiliate Cost Cost Gain Income
-------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series $26,953,361* -- -- $ 1,798,403
BlackRock Liquidity Series, LLC
Money Market Series $ 8,698,700* -- -- $ 50,928
The PNC Financial Services Group, Inc. -- -- -- $ 29,529
-------------------------------------------------------------------------------------------------------
* Represents net purchase
(c) Convertible security.
(d) Security, or a portion of security, is on loan.
(e) Represents the current yield as of December 31, 2007.
(f) Security was purchased with the cash proceeds from securities loans.
(g) All or a portion of security held as collateral in connection with open
financial futures contracts.
(h) All, or a portion of, security is pledged for collateral purposes.
o For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes
of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percent of net assets. These
industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2007 were as
follows:
------------------------------------------------------------------------------------------
Number Unrealized
of Contracts Issue Expiration Date Face Value Depreciation
------------------------------------------------------------------------------------------
204 S&P 500 Index March 2008 $75,427,961 ($90,761)
------------------------------------------------------------------------------------------
See Notes to Financial Statements.
11
Master Enhanced S&P 500 Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------
Assets: Investments in unaffiliated securities, at value (including
securities loaned of $24,463,716) (identified cost - $496,395,300).. $576,849,738
Investments in affiliated securities, at value
(identified cost - $86,576,157)..................................... 86,684,834
Foreign cash (cost - $3,715) .......................................... 3,698
Receivables:
Securities sold..................................................... $ 6,039,762
Dividends........................................................... 952,366
Contributions....................................................... 360,922
Securities lending.................................................. 14,852
Interest............................................................ 4,703 7,372,605
-----------
Prepaid expenses and other assets...................................... 76,418
------------
Total assets........................................................... 670,987,293
------------
- -------------------------------------------------------------------------------------------------------------------------
Liabilities: Collateral on securities loaned, at value.............................. 28,347,400
Bank overdraft......................................................... 3,975,313
Payables:
Securities purchased................................................ 2,936,695
Variation margin.................................................... 423,300
Investment adviser.................................................. 5,441
Other affiliates.................................................... 5,342 3,370,778
-----------
Accrued expenses ...................................................... 72,139
------------
Total liabilities...................................................... 35,765,630
------------
- -------------------------------------------------------------------------------------------------------------------------
Net Assets: Net assets............................................................. $635,221,663
============
- -------------------------------------------------------------------------------------------------------------------------
Net Assets Investors' capital..................................................... $554,749,326
Consist of: Unrealized appreciation - net.......................................... 80,472,337
------------
Net assets............................................................. $635,221,663
============
- -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
12
Master Enhanced S&P 500 Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------
Investment Dividends (including $29,529 from affiliates and
Income: net of $936 foreign withholding tax) ............................... $ 10,617,998
Interest (including $1,798,403 from affiliates)........................ 1,807,948
Securities lending - net............................................... 50,928
------------
Total income........................................................... 12,476,874
------------
- -------------------------------------------------------------------------------------------------------------------------
Expenses: Accounting services.................................................... $ 132,981
Professional fees...................................................... 80,095
Custodian fees......................................................... 65,628
Investment advisory fees............................................... 64,032
Directors' fees and expenses........................................... 11,239
Printing and shareholder reports....................................... 5,623
Pricing fees........................................................... 935
Other.................................................................. 16,706
-----------
Total expenses......................................................... 377,239
------------
Investment income-net.................................................. 12,099,635
------------
- -------------------------------------------------------------------------------------------------------------------------
Realized & Realized gain(loss) on:
Unrealized Investments - net .................................................. 33,870,313
Gain (Loss) - Financial futures contracts - net................................... (343,573)
Net Foreign currency transactions - net................................. (1,000) 33,525,740
-----------
Change in unrealized appreciation/depreciation on:
Investments - net................................................... (8,567,357)
Financial futures contracts - net................................... (189,471)
Foreign currency transactions - net................................. (17) (8,756,845)
----------- ------------
Total realized and unrealized gain - net............................... 24,768,895
------------
Net Increase in Net Assets Resulting from Operations................... $ 36,868,530
============
- -------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
13
Master Enhanced S&P 500 Series
STATEMENTS OF CHANGES IN NET ASSETS
For the
Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2007 2006
- ----------------------------------------------------------------------------------------------------------------------
Operations: Investment income - net........................................ $ 12,099,635 $ 11,650,744
Realized gain - net............................................ 33,525,740 41,421,169
Change in unrealized appreciation/depreciation - net........... (8,756,845) 26,578,426
------------- ------------
Net increase in net assets resulting from operations........... 36,868,530 79,650,339
------------- ------------
- ----------------------------------------------------------------------------------------------------------------------
Capital Proceeds from contributions.................................... 95,627,183 41,176,802
Transactions: Fair value of withdrawals...................................... (88,454,883) (42,346,836)
------------- ------------
Net increase (decrease) in net assets
derived from capital transactions........................... 7,172,300 (1,170,034)
------------- ------------
- ----------------------------------------------------------------------------------------------------------------------
Net Assets: Total increase in net assets................................... 44,040,830 78,480,305
Beginning of year.............................................. 591,180,833 512,700,528
------------- ------------
End of year.................................................... $ 635,221,663 $591,180,833
================================
- ----------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
14
Master Enhanced S&P 500 Series
FINANCIAL HIGHLIGHTS
The following ratios have For the Year Ended December 31,
been derived from information provided --------------------------------------------------------
in the financial statements. 2007 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------
Total Investment 5.67% 15.64% 5.66% 11.51% 27.63%
======== ======== ======== ======== ========
Return:
- ------------------------------------------------------------------------------------------------------------------------------
Ratios to Expenses.................................... .06% .06% .06% .06% .09%
======== ======== ======== ======== ========
Average Net Investment income - net..................... 1.89% 2.13% 1.79% 1.99% 1.70%
======== ======== ======== ======== ========
Assets:
- ------------------------------------------------------------------------------------------------------------------------------
Supplemental Net assets, end of the year (in thousands).. $635,222 $591,181 $512,701 $346,274 $269,475
======== ======== ======== ======== ========
Data: Portfolio turnover.......................... 196% 179% 177% 120% 79%
======== ======== ======== ======== ========
- ------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
15
Master Enhanced S&P 500 Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Enhanced S&P 500 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
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 Series, subject to certain limitations. Throughout this report,
the Trust and the Master LLC are referred to as the Master LLC and the Board of
Trustees of the Trust and the Board of Directors of the Master LLC are referred
to as the Board of Directors. The financial statements of the Series are
prepared in conformity with U.S. generally accepted accounting principles, which
may require the use of management accruals and estimates. Actual results may
differ from these estimates. The following is a summary of significant
accounting policies followed by the Series.
(a) Valuation of investments - Equity securities held by the Series that are
traded on stock exchanges or the NASDAQ Global Market are valued at the last
sale price or official close price on the exchange, as of the close of business
on the day the securities are being valued or, lacking any sales, at the last
available bid price for long positions, and at the last available asked price
for short positions. In cases where equity securities are traded on more than
one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Directors. Long
positions traded in the over-the-counter ("OTC") market, NASDAQ Capital Market
or Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Directors. Short positions traded in the OTC market are valued at the last
available asked price. Portfolio securities that are traded both in the OTC
market and on a stock exchange are valued according to the broadest and most
representative market.
Effective September 4, 2007, exchange-traded options are valued at the mean
between the last bid and asked prices at the close of the options market in
which the options trade and previously were valued at the last sales price as of
the close of options trading on applicable exchanges. Options traded in the OTC
market are valued at the last asked price (options written) or the last bid
price (options purchased). Swap agreements are valued based upon quoted fair
valuations by the Series from a pricing service or counterparty. Financial
futures contracts and options thereon, which are traded on exchanges, are valued
at their last sale price as of the close of such exchanges. Valuation of
short-term investment vehicles is generally based on the net asset value of the
underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Directors, including valuations furnished by the pricing services
retained by the Master LLC, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed by the officers
of the Master LLC under the general supervision of the Board of Directors. Such
valuations and procedures are 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.
16
(b) Derivative financial instruments - The Series may engage in various
portfolio investment strategies to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' Index. Losses may arise due to
changes in the value of the contract due to an unfavorable change in the price
of the underlying security, or index, or if the counterparty does not perform
under the contract. The counterparty, for certain instruments, may pledge cash
or securities as collateral.
o Financial futures contracts - The Series may purchase or sell financial
futures contracts and options on such financial futures contracts.
Financial futures contracts are contracts for delayed delivery of
securities at a specific future date and at a specific price or yield.
Upon entering into a contract, the Series deposits, and maintains as
collateral, such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Series agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as variation margin and are recorded by the Series as unrealized gains or
losses. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
o Swaps - The Series may enter into swap agreements, which are OTC contracts
in which the Series and a counterparty agree to make periodic net payments
on a specified notional amount. The net payments can be made for a set
period of time or may be triggered by a predetermined credit event. The
net periodic payments may be based on a fixed or variable interest rate;
the change in market value of a specified security, basket of securities,
or index; or the return generated by a security. These periodic payments
received or made by the Series are recorded in the accompanying Statement
of Operations as realized gains or losses, respectively. Gains or losses
are also realized upon termination of the swap agreements. Swaps are
marked-to-market daily (based on dealer supplied valuations) and changes
in value are recorded as unrealized appreciation (depreciation). Risks
include changes in the returns of the underlying instruments, failure of
the counterparties to perform under the contracts' terms and the possible
lack of liquidity with respect to the swap agreements.
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 gain or loss to the extent the cost of the closing
transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
o Forward foreign exchange contracts - The Series may enter into forward
foreign exchange contracts as a hedge against either specific transactions
or portfolio positions. The contract is marked-to-market daily and the
change in market value is recorded by the Series as an unrealized gain or
loss. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value at the time it was opened
and the value at the time it was closed.
o Foreign currency options and futures - The Series may also purchase or
sell listed or OTC foreign currency options, foreign currency futures and
related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions
may be effected with respect to hedges on non-U.S. dollar-denominated
securities owned by the Series, sold by the Series but not yet delivered,
or committed or anticipated to be purchased by the Series.
(c) Foreign currency transactions - Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized
17
gains or losses from investments include the effects of foreign exchange rates
on investments. The Series invests in foreign securities, which may involve a
number of risk factors and special considerations, not present with investments
in securities of U.S. corporations.
(d) Income taxes - The Series is classified as a partnership for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. It is
intended that the Series' assets will be managed so an investor in the Series
can satisfy the requirements of Subchapter M of the Internal Revenue Code.
(e) Security transactions and investment income - Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(f) Securities lending - The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable 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.
(g) Bank overdraft - The Series recorded a bank overdraft which resulted from
failed securities settlements.
(h) 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. That statue 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
18
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.
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' portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Series. For such services, the
Series pays a monthly fee at an annual rate of .01% of the average daily value
of the Series' net assets. In addition, the Manager has entered into a
sub-advisory agreement with BlackRock Investment Management, LLC ("BIM"), an
affiliate of the Manager, under which the Manager pays BIM for services it
provides a monthly fee at an annual rate that is a percentage of the management
fee paid by the Series to the Manager.
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"), an
indirect wholly owned subsidiary of Merrill Lynch, or its affiliates. As of
December 31, 2007, the Series lent securities with a value of $7,685,818 to
MLPF&S or its affiliates. Pursuant to that order, the Master LLC 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 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 $16,251 in securities lending agent fees.
In addition, MLPF&S received $7,233 in commissions on the execution of portfolio
security transactions for the Series for the year ended December 31, 2007.
For the year ended December 31, 2007, the Series reimbursed the Manager $11,687
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 $1,171,598,347 and $1,175,789,360,
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.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Investors and Board of Directors of
Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Enhanced S&P 500 Series, one of the
portfolios constituting Quantitative Master Series LLC (the "Master
LLC")(formerly Quantitative Master Series Trust), 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 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
Enhanced S&P 500 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
20
Officers and Directors
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Non-Interested
Directors *
David O. Beim Director 2007 to Professor of Finance and 35 Funds None
40 East 52nd Street present Economics at the 81 Portfolios
New York, NY 10022 Columbia University
1940 Graduate School of
Business since 1991;
Chairman of Outward
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 and 2007 to Professor Emeritus of 35 Funds None
40 East 52nd Street Co-Chairman of present Finance, School of 81 Portfolios
New York, NY 10022 the Board of Business, State
1940 Directors University of New York
at Albany since 2000 and
Professor thereof from
1989 to 2000;
International
Consultant, Urban
Institute, Washington,
D.C. from 1995 to 1999.
Dr. Matina Horner Director 2007 to Executive Vice President 35 Funds NSTAR (electric
40 East 52nd Street present of Teachers Insurance 81 Portfolios and gas utility)
New York, NY 10022 and Annuity Association
1939 and College Retirement
Equities Fund from 1989
to 2003.
Rodney D. Johnson Director 2007 to President, Fairmount 35 Funds None
40 East 52nd Street and Co-Chairman present Capital Advisors, Inc. 81 Portfolios
New York, NY 10022 of the Board of since 1987; Director,
1941 Directors Fox Chase Cancer Center
since 2002; Member of
the Archdiocesan
Investment Committee of
the Archdioceses of
Philadelphia since 2003.
21
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Non-Interested
Directors *
Herbert I. London Director 2007 to Professor Emeritus, New 35 Funds AIMS Worldwide,
40 East 52nd Street and Member of present York University since 81 Portfolios Inc. (marketing)
New York, NY 10022 the Audit 2005; John M. Olin
1939 Committee Professor of Humanities,
New York University from
1993 to 2005 and
Professor thereof from
1980 to 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.
22
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Non-Interested
Directors *
Cynthia A. Montgomery Director 2007 to Professor, Harvard 35 Funds Newell
40 East 52nd Street present Business School since 81 Portfolios Rubbermaid, Inc.
New York, NY 10022 1989; Associate (manufacturing)
1952 Professor, J.L. Kellogg
Graduate School of
Management, Northwestern
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 35 Funds Greenlight
40 East 52nd Street present Corporation, LLC 81 Portfolios Capital Re, Ltd.
New York, NY 10022 (private investment (reinsurance
1947 company) since 2002; company)
Director, Jones and
Brown (Canadian
insurance broker) 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.
23
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Non-Interested
Directors *
Robert C. Robb, Jr. Director 2007 to Partner, Lewis, Eckert, 35 Funds None
40 East 52nd Street present Robb and Company 81 Portfolios
New York, NY 10022 (management and
1945 financial consulting
firm) since 1981;
Trustee, Medical College
of Pennsylvania/
Hahnemann University
from 1998 to 2002;
Trustee, EQK Realty
Investors from 1994 to
2000; Director, Tamaqua
Cable Products Company
from 1981 to 1998;
Director, Brynwood
Partners from 1984 to
1998; Director, The PNC
Bank Corp. from 1994 to
1998; Director,
Provident National Bank
from 1983 to 1993;
Director, Brinks, Inc.
from 1981 to 1986.
Toby Rosenblatt Director 2007 to President since 1999 and 35 Funds A.P. Pharma, Inc.
40 East 52nd Street and Vice present Vice President General 81 Portfolios (specialty
New York, NY 10022 Chairman of the Partner since 1990, pharmaceuticals)
1938 Performance Founders Investments
Oversight Ltd. (private
Committee investments); Director,
Forward Management, LLC
since 2007; Trustee, SSR
Funds from 1990 to 2005;
Trustee, Metropolitan
Series Funds, Inc. from
2001 to 2005.
Kenneth L. Urish Director and 2007 to Managing Partner, Urish 35 Funds None
40 East 52nd Street Chairman of the present Popeck & Co., LLC 81 Portfolios
New York, NY 10022 Audit Committee (certified public
1951 accountants and
consultants) since 1976;
External Advisory Board,
The Pennsylvania State
University Accounting
Department since 2001;
Trustee, The Holy Family
Foundation since 2001;
President and Trustee,
Pittsburgh Catholic
Publishing Associates
since 2003; Director,
Inter-Tel from 2006 to
2007.
24
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Non-Interested
Directors *
Frederick W. Winter Director 2007 to Professor and Dean 35 Funds None
40 East 52nd Street and Member of present Emeritus of the Joseph 81 Portfolios
New York, NY 10022 the Audit M. Katz School of
1945 Committee Business University of
Pittsburgh since 2005
and Dean therof from
1997 to 2005; Director,
Alkon Corporation
(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, 184 Funds None
40 East 52nd Street present BlackRock, Inc. since 2005; 289 Portfolios
New York, NY 10022 Chief Executive Officer,
1945 State Street Research &
Management Company from 2000
to 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.
25
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Non-Interested
Directors *
Henry Gabbay Director 2007 to Consultant, BlackRock, Inc. 183 Funds None
40 East 52nd Street present since 2007; Managing 288 Portfolios
New York, NY 10022 Director, BlackRock, Inc.
1947 from 1989 to June 2007;
Chief Administrative
Officer, 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
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. Wilmerding, Jr. * Advisory 2007 Chairman, Wilmerding & 35 Funds Chestnut Street
40 East 52nd Street Board Member Associates, Inc. (investment 81 Portfolios Exchange Fund
New York, NY 10022 advisers) from 1989 to 2005; (open-end
1935 Chairman, Coho Partners, investment
Ltd. (investment advisers) company)
from 2003 to 2005. Director,
Beaver Management
Corporation.
* David R. Wilmerding, Jr. resigned from the Advisory Board of the Master LLC, effective December 31, 2007.
Master LLC Officers *
Donald C. Burke Fund 2007 to Managing Director of
40 East 52nd Street President and present BlackRock, Inc. since
New York, NY 10022 Chief 2006; Formerly Managing
1960 Executive Director of Merrill Lynch
Officer Investment Managers, L.P.
("MLIM") and Fund Asset
Management, L.P. ("FAM")
in 2006; First Vice
President thereof from
1997 to 2005; Treasurer
thereof from 1999 to 2006
and Vice President thereof
from 1990 to 1997.
26
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Master LLC Officers *
Anne F. Ackerley Vice President 2007 to Managing Director of
40 East 52nd Street present BlackRock, Inc. since 2000
New York, NY 10022 and First Vice President
1962 and Chief Operating
Officer of Mergers and
Acquisitions Group from
1997 to 2000; First Vice
President and Chief
Operating Officer of
Public Finance Group
thereof from 1995 to 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
40 East 52nd Street Financial present BlackRock Inc. since 2006;
New York, NY 10022 Officer Formerly Senior Vice
1966 President and Line of
Business Head of Fund
Accounting and
Administration at PFPC
Inc. from 1992 to 2006.
Jay M. Fife Treasurer 2007 to Managing Director of
40 East 52nd Street present BlackRock, Inc. since 2007
New York, NY 10022 and Director in 2006;
1970 Formerly Assistant
Treasurer of the MLIM/FAM
advised funds from 2005 to
2006; Director of MLIM
Fund Services Group from
2001 to 2006.
Brian P. Kindelan Chief 2007 to Chief Compliance Officer
40 East 52nd Street Compliance present of the Funds since 2007;
New York, NY 10022 Officer Managing Director and
1959 Senior Counsel thereof
since 2005; Director and
Senior Counsel of
BlackRock Advisors, Inc.
from 2001 to 2004 and Vice
President and Senior
Counsel thereof from 1998
to 2000; Senior Counsel of
The PNC Bank Corp. from
1995 to 1998.
27
Number of
BlackRock-
Advised
Position(s) Length Principal Funds and
Name, Address and Held with of Time Occupation(s) During Portfolios Public
Year of Birth Master LLC Served Past Five Years Overseen Directorships
Master LLC Officers *
Howard Surloff Secretary 2007 to Managing Director of
40 East 52nd Street present BlackRock, Inc. and
New York, NY 10022 General Counsel of U.S.
1965 Funds at BlackRock, Inc.
since 2006; Formerly
General Counsel (U.S.)of
Goldman Sachs Asset
Management, L.P. from 1993
to 2006.
* Officers of the Master LLC serve at the pleasure of the Board of Directors.
Proxy Results
During the six-month period ended December 31, 2007, the holders of interests of
Master Enhanced S&P 500 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 of Quantitative Master Series LLC:
David O. Beim, Richard S. Davis, Ronald W. Forbes, 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 517,077,457 0
- -----------------------------------------------------------------------------------------------------------------------
28
Additional Information
Custodian
JPMorgan Chase Bank
Brooklyn, NY 11245
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
- --------------------------------------------------------------------------------
Availability of Quarterly Schedule of Investments
- --------------------------------------------------------------------------------
The Series files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Series' Forms N-Q are available on the SEC's website at
http://www.sec.gov. The Series' Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling (800) SEC-0330.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Availability of Proxy Voting
- --------------------------------------------------------------------------------
A description of the policies and procedures that the Series uses to determine
how to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free (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 Series voted proxies relating
to securities held in the Series' 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.
- --------------------------------------------------------------------------------
29
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
- ----------------------------------------------------------------------------------------------------------------------------------
Master Enhanced S&P
500 Series of
Quantitative Master
Series LLC $33,400 $33,400 $0 $0 $9,200 $9,200 $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
--------------------------------------------------------------------
Master Enhanced S&P 500
Series of Quantitative
Master Series LLC $293,700 $3,080,650
--------------------------------------------------------------------
(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 - The registrant's Schedule of Investments
is included as part of the Report to Stockholders filed under Item 1
of this form.
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.
Master Enhanced S&P 500 Series of Quantitative Master Series LLC
By: /s/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
Master Enhanced S&P 500 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
Master Enhanced S&P 500 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
Master Enhanced S&P 500 Series of Quantitative Master Series LLC
Date: February 21, 2008