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 Mid Cap 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,
Master Mid Cap 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
Master Mid Cap Index 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 Mid Cap Index
Series generated returns that were comparable to that of the
benchmark Standard & Poor's (S&P(R)) MidCap 400 Index, a
market-weighted index composed of 400 common stocks issued by
mid-capitalization companies in a wide range of businesses, as each
provided a +7.98% return.
o Although the value of the S&P MidCap 400 Index fluctuated during the
past 12 months, the portfolio's performance generally tracked that
of the Index.
What factors influenced performance?
o In total, 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. Global equity markets benefited from a
strong first half, which, in most cases, helped to generate positive
performance for the year as a whole. In the U.S., the large-cap S&P
500(R) Index advanced 5.49%, while the small-cap S&P 600 Index lost
.30%. Our mid-cap benchmark index outperformed both, with a return
of +7.98%. Amid strong performance in the technology sector, the
NASDAQ Composite posted an impressive +9.81% return for the year.
o 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.
Solid earnings growth and continued high levels of
merger-and-acquisition activity allowed equities to move upward.
o The second half of 2007 was 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 in an effort to shore up the
functioning of credit markets and fight economic weakness. 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 MidCap 400 Index, the portfolio purchased and sold
securities to maintain its objective of replicating the risks and
return of the benchmark.
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 Mid Cap Index Series
Portfolio Information as of December 31, 2007
- --------------------------------------------------------------------------------
Percent of Long-
Sector Representation Term Investments
- --------------------------------------------------------------------------------
Industrials 15.6%
Financials 15.5%
Information Technology 14.8%
Health Care 12.8%
Consumer Discretionary 12.5%
Energy 9.9%
Utilities 7.9%
Materials 7.1%
Consumer Staples 3.2%
Telecommunication Services 0.7%
- --------------------------------------------------------------------------------
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.
2
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense - 0.9% 4,699 Alliant Techsystems, Inc. (a) $ 534,558
12,958 BE Aerospace, Inc. (a) 685,478
5,700 DRS Technologies, Inc. 309,339
-------------
1,529,375
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Airlines - 0.2% 11,800 AirTran Holdings, Inc. (a) 84,488
5,524 Alaska Air Group, Inc. (a) 138,155
25,262 JetBlue Airways Corp. (a)(b) 149,046
-------------
371,689
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Auto Components - 1.0% 10,045 ArvinMeritor, Inc. 117,828
16,210 BorgWarner, Inc. 784,726
20,027 Gentex Corp. 355,880
10,711 Lear Corp. (a) 296,266
4,121 Modine Manufacturing Co. 68,038
-------------
1,622,738
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Automobiles - 0.1% 4,862 Thor Industries, Inc. 184,805
- -----------------------------------------------------------------------------------------------------------------------------------
Beverages - 0.4% 8,400 Hansen Natural Corp. (a) 372,036
8,007 PepsiAmericas, Inc. 266,793
-------------
638,829
- -----------------------------------------------------------------------------------------------------------------------------------
Biotechnology - 1.2% 9,330 Cephalon, Inc. (a) 669,521
44,552 Millennium Pharmaceuticals, Inc. (a) 667,389
16,288 PDL BioPharma, Inc. (a) 285,366
18,354 Vertex Pharmaceuticals, Inc. (a) 426,363
-------------
2,048,639
- -----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 1.5% 17,185 Eaton Vance Corp. 780,371
15,072 Jefferies Group, Inc. New Shares 347,410
13,154 Raymond James Financial, Inc. 429,610
17,252 SEI Investments Co. 554,997
11,651 Waddell & Reed Financial, Inc. Class A 420,485
-------------
2,532,873
- -----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 3.6% 11,186 Airgas, Inc. 582,902
11,062 Albemarle Corp. 456,307
6,660 CF Industries Holdings, Inc. 733,000
9,211 Cabot Corp. 307,095
32,593 Chemtura Corp. 254,225
5,889 Cytec Industries, Inc. 362,645
10,624 FMC Corp. 579,539
5,581 Ferro Corp. 115,694
9,649 Lubrizol Corp. 522,590
2,687 Minerals Technologies, Inc. 179,895
10,348 Olin Corp. 200,027
16,324 RPM International, Inc. 331,377
6,166 The Scotts Miracle-Gro Co. 230,732
6,624 Sensient Technologies Corp. 187,327
12,790 Terra Industries, Inc. (a) 610,850
14,036 Valspar Corp. 316,371
-------------
5,970,576
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.5% 17,726 Associated Banc-Corp. 480,197
6,931 Bank of Hawaii Corp. 354,451
7,000 Cathay General Bancorp 185,430
5,587 City National Corp. 332,706
See Notes to Financial Statements.
3
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
21,400 The Colonial BancGroup, Inc. $ 289,756
8,262 Cullen/Frost Bankers, Inc. 418,553
3,770 First Community Bancorp, Inc. 155,475
11,329 FirstMerit Corp. 226,693
4,850 SVB Financial Group (a) 244,440
45,270 Synovus Financial Corp. (a) 461,301
15,265 TCF Financial Corp. 273,701
7,664 Webster Financial Corp. 245,018
4,164 Westamerica Bancorp (b) 185,506
9,483 Wilmington Trust Corp. 333,802
-------------
4,187,029
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & 6,761 The Brink's Co. 403,902
Supplies - 3.3% 10,270 ChoicePoint, Inc. (a) 374,033
9,788 Copart, Inc. (a) 416,479
5,025 Corporate Executive Board Co. 302,003
7,014 Deluxe Corp. 230,690
8,164 Dun & Bradstreet Corp. 723,575
6,618 HNI Corp. (b) 232,027
8,642 Herman Miller, Inc. 279,914
2,781 Kelly Services, Inc. Class A 51,893
6,539 Korn/Ferry International (a) 123,064
11,398 Manpower, Inc. 648,546
4,100 Mine Safety Appliances Co. 212,667
5,830 Navigant Consulting, Inc. (a) 79,696
22,716 Republic Services, Inc. Class A 712,147
5,359 Rollins, Inc. 102,893
12,210 Stericycle, Inc. (a) 725,274
-------------
5,618,803
- -----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment - 2.3% 53,481 3Com Corp. (a) 241,734
16,408 ADC Telecommunications, Inc. (a) 255,144
8,557 Adtran, Inc. 182,949
7,083 Avocent Corp. (a) 165,105
9,266 CommScope, Inc. (a) 455,958
5,402 Dycom Industries, Inc. (a) 143,963
11,750 F5 Networks, Inc. (a) 335,110
20,000 Foundry Networks, Inc. (a) 350,400
19,139 Harris Corp. 1,199,633
6,718 Plantronics, Inc. 174,668
12,782 Polycom, Inc. (a) 355,084
-------------
3,859,748
- -----------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 1.2% 9,224 Diebold, Inc. 267,312
4,799 Imation Corp. 100,779
25,140 NCR Corp. (a) 631,014
14,600 Palm, Inc. (b) 92,564
30,600 Western Digital Corp. (a) 924,426
-------------
2,016,095
- -----------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering - 1.4% 4,881 Granite Construction, Inc. 176,595
23,610 KBR, Inc. (a) 916,068
23,443 Quanta Services, Inc. (a) 615,144
11,300 URS Corp. (a) 613,929
-------------
2,321,736
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
4
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Construction Materials - 0.5% 5,803 Martin Marietta Materials, Inc. (b) $ 769,478
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.2% 15,906 AmeriCredit Corp. (a)(b) 203,438
11,600 MoneyGram International, Inc. 178,292
-------------
381,730
- -----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.7% 12,988 Packaging Corp. of America 366,262
13,520 Sonoco Products Co. 441,834
14,040 Temple-Inland, Inc. 292,734
-------------
1,100,830
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 12,748 Career Education Corp. (a) 320,485
1.7% 11,838 Corinthian Colleges, Inc. (a) 182,305
8,274 DeVry, Inc. 429,917
4,124 ITT Educational Services, Inc. (a) 351,653
4,120 Matthews International Corp. Class A 193,104
6,162 Regis Corp. 172,290
39,900 Service Corp. International 560,595
9,275 Sotheby's Holdings, Inc. Class A 353,378
2,050 Strayer Education, Inc. 349,689
-------------
2,913,416
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 33,839 Cincinnati Bell, Inc. (a) 160,735
Services - 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 1.7% 15,799 DPL, Inc. 468,440
11,986 Great Plains Energy, Inc. 351,430
11,576 Hawaiian Electric Industries, Inc. 263,586
6,218 IDACORP, Inc. 218,998
21,616 Northeast Utilities Inc. 676,797
31,718 Sierra Pacific Resources 538,572
12,823 Westar Energy, Inc. 332,629
-------------
2,850,452
- -----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 1.3% 14,577 Ametek, Inc. 682,787
8,280 Hubbell, Inc. Class B 427,248
12,300 Roper Industries, Inc. 769,242
7,127 Thomas & Betts Corp. (a) 349,508
-------------
2,228,785
- -----------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 24,800 Amphenol Corp. Class A 1,149,976
Instruments - 2.3% 17,213 Arrow Electronics, Inc. (a) 676,127
20,913 Avnet, Inc. (a) 731,328
20,400 Ingram Micro, Inc. Class A (a) 368,016
11,783 Kemet Corp. (a) 78,121
7,586 National Instruments Corp. 252,841
7,770 Tech Data Corp. (a) 293,084
25,910 Vishay Intertechnology, Inc. (a) 295,633
-------------
3,845,126
- -----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 30,496 Cameron International Corp. (a) 1,467,772
4.1% 9,127 Exterran Holdings, Inc. (a) 746,589
18,076 FMC Technologies, Inc. (a) 1,024,909
17,885 Grant Prideco, Inc. (a) 992,796
14,122 Helmerich & Payne, Inc. 565,869
21,887 Patterson-UTI Energy, Inc. 427,234
23,267 Pride International, Inc. (a) 788,751
11,360 Superior Energy Services, Inc. (a) 391,011
See Notes to Financial Statements.
5
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
7,401 Tidewater, Inc. $ 406,019
-------------
6,810,950
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.3% 9,045 BJ's Wholesale Club, Inc. (a) 305,992
5,140 Ruddick Corp. 178,204
-------------
484,196
- -----------------------------------------------------------------------------------------------------------------------------------
Food Products - 1.1% 10,390 Corn Products International, Inc. 381,833
9,779 Hormel Foods Corp. 395,854
8,020 The J.M. Smucker Co. 412,549
2,761 Lancaster Colony Corp. 109,612
16,280 Smithfield Foods, Inc. (a) 470,818
3,236 Tootsie Roll Industries, Inc. 88,731
-------------
1,859,397
- -----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities - 2.0% 10,818 AGL Resources, Inc. 407,189
10,000 Energen Corp. 642,300
16,915 Equitable Resources, Inc. 901,231
11,608 National Fuel Gas Co. 541,861
14,472 Oneok, Inc. 647,911
6,948 WGL Holdings, Inc. 227,616
-------------
3,368,108
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 8,469 Advanced Medical Optics, Inc. (a) 207,744
Supplies - 4.3% 8,633 Beckman Coulter, Inc. 628,482
21,110 Dentsply International, Inc. 950,372
7,995 Edwards Lifesciences Corp. (a) 367,690
7,375 Gen-Probe, Inc. (a) 464,109
8,655 Hillenbrand Industries, Inc. 482,343
17,459 Hologic, Inc. (a) 1,198,386
5,325 Intuitive Surgical, Inc. (a) 1,727,963
7,500 Kinetic Concepts, Inc. (a) 401,700
10,800 ResMed, Inc. (a) 567,324
9,094 Steris Corp. 262,271
-------------
7,258,384
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Services 6,142 Apria Healthcare Group, Inc. (a) 132,483
- - 2.9% 13,406 Community Health Systems, Inc. (a) 494,145
33,830 Health Management Associates, Inc. Class A 202,303
15,313 Health Net, Inc. (a) 739,618
12,478 Henry Schein, Inc. (a) 766,149
4,230 Kindred Healthcare, Inc. (a) 105,665
8,133 LifePoint Hospitals, Inc. (a) 241,875
11,163 Lincare Holdings, Inc. (a) 392,491
16,950 Omnicare, Inc. (b) 386,630
7,600 Psychiatric Solutions, Inc. (a) 247,000
7,577 Universal Health Services, Inc. Class B 387,942
11,750 VCA Antech, Inc. (a) 519,703
5,830 WellCare Health Plans, Inc. (a) 247,250
-------------
4,863,254
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Technology - 0.3% 9,190 Cerner Corp. (a) 518,316
- -----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 4,955 Bob Evans Farms, Inc. 133,438
1.5% 7,820 Boyd Gaming Corp. 266,427
14,725 Brinker International, Inc. 288,021
3,454 CBRL Group, Inc. 111,875
10,132 The Cheesecake Factory, Inc. (a) 240,230
See Notes to Financial Statements.
6
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
4,560 Chipotle Mexican Grill, Inc. Class A (a)(b) $ 670,639
3,964 International Speedway Corp. Class A 163,238
4,690 Life Time Fitness, Inc. (a) 232,999
7,143 Ruby Tuesday, Inc. 69,644
9,100 Scientific Games Corp. Class A (a) 302,575
-------------
2,479,086
- -----------------------------------------------------------------------------------------------------------------------------------
Household Durables - 1.4% 7,782 American Greetings Corp. Class A 157,975
3,624 Blyth, Inc. 79,511
6,701 Furniture Brands International, Inc. 67,412
5,233 Hovnanian Enterprises, Inc. Class A (a)(b) 37,521
4,900 MDC Holdings, Inc. 181,937
7,530 Mohawk Industries, Inc. (a) 560,232
750 NVR, Inc. (a) 393,000
5,917 Ryland Group, Inc. 163,013
17,677 Toll Brothers, Inc. (a)(b) 354,601
8,645 Tupperware Corp. 285,544
-------------
2,280,746
- -----------------------------------------------------------------------------------------------------------------------------------
Household Products - 0.8% 9,143 Church & Dwight Co., Inc. 494,362
7,970 Energizer Holdings, Inc. (a) 893,676
-------------
1,388,038
- -----------------------------------------------------------------------------------------------------------------------------------
IT Services - 2.2% 9,199 Acxiom Corp. 107,904
10,981 Alliance Data Systems Corp. (a) 823,465
19,030 Broadridge Financial Solutions LLC 426,843
5,358 CSG Systems International, Inc. (a) 78,870
7,057 DST Systems, Inc. (a) 582,555
9,727 Gartner, Inc. Class A (a) 170,806
10,970 Global Payments, Inc. 510,324
13,288 MPS Group, Inc. (a) 145,371
12,230 Metavante Technologies, Inc. (a) 285,204
10,690 NeuStar, Inc. Class A (a) 306,589
5,900 SRA International, Inc. Class A (a) 173,755
-------------
3,611,686
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.4% 8,742 Carlisle Cos., Inc. 323,716
5,552 Teleflex, Inc. 349,832
-------------
673,548
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance - 3.8% 10,474 American Financial Group, Inc. 302,489
13,361 Arthur J. Gallagher & Co. 323,203
15,310 Brown & Brown, Inc. (f) 359,785
5,940 Commerce Group, Inc. 213,721
8,830 Everest Re Group Ltd. 886,532
29,768 Fidelity National Title Group, Inc. Class A 434,910
13,029 First American Corp. 444,549
15,699 HCC Insurance Holdings, Inc. 450,247
6,930 The Hanover Insurance Group, Inc. 317,394
6,100 Horace Mann Educators Corp. 115,534
4,650 Mercury General Corp. 231,617
32,301 Old Republic International Corp. 497,758
9,470 Protective Life Corp. 388,459
6,962 Stancorp Financial Group, Inc. 350,746
See Notes to Financial Statements.
7
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
6,964 Unitrin, Inc. $ 334,202
21,966 W.R. Berkley Corp. 654,806
-------------
6,305,952
- -----------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.1% 6,940 NetFlix, Inc. (a)(b) 184,743
- -----------------------------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.3% 5,600 Digital River, Inc. (a) 185,192
13,970 ValueClick, Inc. (a) 305,943
-------------
491,135
- -----------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.1% 9,410 Callaway Golf Co. 164,016
- -----------------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services - 9,600 Affymetrix, Inc. (a) 222,144
2.3% 9,474 Charles River Laboratories International, Inc. (a) 623,389
8,918 Covance, Inc. (a) 772,477
6,475 Invitrogen Corp. (a) 604,830
14,600 Pharmaceutical Product Development, Inc. 589,402
5,525 Techne Corp. (a) 364,926
4,221 Varian, Inc. (a) 275,631
4,060 Ventana Medical Systems, Inc. (a) 354,154
-------------
3,806,953
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery - 5.2% 12,705 AGCO Corp. (a) 863,686
7,091 Crane Co. 304,204
9,605 Donaldson Co., Inc. 445,480
6,700 Federal Signal Corp. 75,174
7,914 Flowserve Corp. 761,327
9,083 Graco, Inc. 338,433
11,724 Harsco Corp. 751,157
11,160 IDEX Corp. 403,211
15,062 Joy Global, Inc. 991,381
10,800 Kennametal, Inc. 408,888
5,800 Lincoln Electric Holdings, Inc. 412,844
4,499 Nordson Corp. 260,762
10,300 Oshkosh Truck Corp. 486,778
13,954 Pentair, Inc. 485,739
7,410 SPX Corp. 762,119
12,975 Timken Co. 426,229
11,303 Trinity Industries, Inc. 313,771
6,810 Westinghouse Air Brake Technologies Corp. 234,536
-------------
8,725,719
- -----------------------------------------------------------------------------------------------------------------------------------
Marine - 0.2% 6,021 Alexander & Baldwin, Inc. 311,045
- -----------------------------------------------------------------------------------------------------------------------------------
Media - 1.0% 12,326 Belo Corp. Class A 214,965
3,845 Entercom Communications Corp. 52,638
6,680 Getty Images, Inc. (a) 193,720
7,017 Harte-Hanks, Inc. 121,394
5,950 John Wiley & Sons, Inc. Class A 254,898
11,300 Lamar Advertising Co. Class A 543,191
5,062 Lee Enterprises, Inc. 74,158
3,231 Media General, Inc. Class A 68,659
3,705 Scholastic Corp. (a) 129,267
6,667 Valassis Communications, Inc. (a) 77,937
-------------
1,730,827
- -----------------------------------------------------------------------------------------------------------------------------------
Metals & Mining - 1.8% 6,960 Carpenter Technology Corp. 523,183
5,770 Cleveland-Cliffs, Inc. 581,616
16,700 Commercial Metals Co. 491,815
9,200 Reliance Steel & Aluminum Co. 498,640
See Notes to Financial Statements.
8
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
13,600 Steel Dynamics, Inc. $ 810,152
9,627 Worthington Industries, Inc. 172,131
-------------
3,077,537
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 3.5% 15,613 Alliant Energy Corp. 635,293
49,135 Aquila, Inc. (a) 183,273
5,274 Black Hills Corp. 232,583
21,581 Energy East Corp. 587,219
24,928 MDU Resources Group, Inc. 688,262
14,879 NSTAR 538,917
12,819 OGE Energy Corp. 465,202
10,774 PNM Resources, Inc. 231,102
15,805 Puget Energy, Inc. 433,531
16,216 SCANA Corp. 683,504
10,726 Vectren Corp. 311,161
16,329 Wisconsin Energy Corp. 795,386
-------------
5,785,433
- -----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.5% 6,576 99 Cents Only Stores (a) 52,345
13,013 Dollar Tree Stores, Inc. (a) 337,297
19,971 Saks, Inc. (a) 414,598
-------------
804,240
- -----------------------------------------------------------------------------------------------------------------------------------
Office Electronics - 0.2% 9,696 Zebra Technologies Corp. Class A (a) 336,451
- -----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 19,910 Arch Coal, Inc. 894,556
5.2% 4,680 Bill Barrett Corp. (a) 195,952
11,600 Cimarex Energy Co. 493,348
34,000 Denbury Resources, Inc. (a) 1,011,500
7,420 Encore Acquisition Co. (a) 247,605
12,307 Forest Oil Corp. (a) 625,688
14,900 Frontier Oil Corp. 604,642
18,215 Newfield Exploration Co. (a) 959,931
3,974 Overseas Shipholding Group, Inc. 295,785
16,854 Pioneer Natural Resources Co. 823,149
15,667 Plains Exploration & Production Co. (a) 846,018
7,100 Quicksilver Resources, Inc. (a) 423,089
23,700 Southwestern Energy Co. (a) 1,320,564
-------------
8,741,827
- -----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% 14,610 Louisiana-Pacific Corp. 199,865
- -----------------------------------------------------------------------------------------------------------------------------------
Personal Products - 0.3% 11,800 Alberto-Culver Co. 289,572
7,900 NBTY, Inc. (a) 216,460
-------------
506,032
- -----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.1% 18,680 Endo Pharmaceuticals Holdings, Inc. (a) 498,196
7,800 Medicis Pharmaceutical Corp. Class A 202,566
4,983 Par Pharmaceutical Cos., Inc. (a) 119,592
10,883 Perrigo Co. 381,014
15,270 Sepracor, Inc. (a) 400,838
12,773 Valeant Pharmaceuticals International (a) 152,893
-------------
1,755,099
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 13,896 AMB Property Corp. 799,854
(REITs) - 5.2% 4,450 Alexandria Real Estate Equities, Inc. 452,432
7,100 BRE Properties 287,763
See Notes to Financial Statements.
9
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
7,800 Camden Property Trust $ 375,570
5,290 Cousins Properties, Inc. 116,909
20,110 Duke Realty Corp. 524,469
4,560 Equity One, Inc. 105,017
8,000 Federal Realty Investment Trust 657,200
11,500 Health Care REIT, Inc. 513,935
7,964 Highwoods Properties, Inc. 233,982
13,110 Hospitality Properties Trust 422,404
12,698 Liberty Property Trust 365,829
10,000 The Macerich Co. 710,600
9,465 Mack-Cali Realty Corp. 321,810
12,730 Nationwide Health Properties, Inc. 399,340
5,463 Potlatch Corp. 242,776
10,816 Rayonier, Inc. 510,948
14,100 Realty Income Corp. 380,982
9,725 Regency Centers Corp. 627,165
18,775 UDR, Inc. 372,684
10,775 Weingarten Realty Investors 338,766
-------------
8,760,435
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & 5,020 Jones Lang LaSalle, Inc. 357,223
Development - 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 0.8% 14,560 Avis Budget Group, Inc. (a) 189,280
6,395 Con-way, Inc. 265,648
12,196 J.B. Hunt Transport Services, Inc. 336,000
10,400 Kansas City Southern (a) 357,032
6,533 Werner Enterprises, Inc. 111,257
8,106 YRC Worldwide, Inc. (a) 138,532
-------------
1,397,749
- -----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 62,570 Atmel Corp. (a) 270,302
Equipment - 2.6% 11,843 Cree, Inc. (a)(b) 325,327
22,127 Cypress Semiconductor Corp. (a) 797,236
17,407 Fairchild Semiconductor International, Inc. (a) 251,183
27,320 Integrated Device Technology, Inc. (a) 308,989
10,124 International Rectifier Corp. (a) 343,912
18,563 Intersil Corp. Class A 454,422
18,759 Lam Research Corp. (a) 810,952
40,171 RF Micro Devices, Inc. (a) 229,376
8,907 Semtech Corp. (a) 138,237
7,664 Silicon Laboratories, Inc. (a) 286,864
19,445 TriQuint Semiconductor, Inc. (a) 128,920
-------------
4,345,720
- -----------------------------------------------------------------------------------------------------------------------------------
Software - 2.9% 5,121 ACI Worldwide, Inc. (a) 97,504
40,521 Activision, Inc. (a)(f) 1,203,474
2,500 Advent Software, Inc. (a) 135,250
38,029 Cadence Design Systems, Inc. (a) 646,873
7,326 Fair Isaac Corp. 235,531
11,017 Jack Henry & Associates, Inc. 268,154
7,702 Macrovision Corp. (a) 141,178
22,237 McAfee, Inc. (a) 833,888
11,743 Mentor Graphics Corp. (a) 126,590
16,000 Parametric Technology Corp. (a) 285,600
See Notes to Financial Statements.
10
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
12,739 Sybase, Inc. (a) $ 332,361
19,769 Synopsys, Inc. (a) 512,610
10,483 Wind River Systems, Inc. (a) 93,613
-------------
4,912,626
- -----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail - 3.8% 13,975 Advance Auto Parts, Inc. 530,910
9,550 Aeropostale, Inc. (a) 253,075
29,327 American Eagle Outfitters, Inc. 609,122
8,200 AnnTaylor Stores Corp. (a) 209,592
6,976 Barnes & Noble, Inc. 240,323
8,183 Borders Group, Inc. 87,149
30,322 Carmax, Inc. (a)(b)(f) 598,860
17,200 Charming Shoppes, Inc. (a) 93,052
23,784 Chico's FAS, Inc. (a) 214,770
8,700 Coldwater Creek, Inc. (a) 58,203
9,145 Collective Brands, Inc. (a) 159,032
11,540 Dick's Sporting Goods, Inc. (a) 320,350
21,425 Foot Locker, Inc. 292,666
7,600 Guess?, Inc. 287,964
15,623 O'Reilly Automotive, Inc. (a) 506,654
9,773 Pacific Sunwear of California, Inc. (a) 137,897
18,341 PetSmart, Inc. 431,564
9,682 Rent-A-Center, Inc. (a) 140,583
19,081 Ross Stores, Inc. 487,901
15,375 Urban Outfitters, Inc. (a) 419,123
11,869 Williams-Sonoma, Inc. 307,407
-------------
6,386,197
- -----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 12,900 Hanesbrands, Inc. (a) 350,493
- - 0.6% 7,870 Phillips-Van Heusen Corp. 290,088
6,586 The Timberland Co. Class A (a) 119,075
6,310 The Warnaco Group, Inc. (a) 219,588
-------------
979,244
- -----------------------------------------------------------------------------------------------------------------------------------
Thrifts & Mortgage Finance - 1.1% 11,529 Astoria Financial Corp. 268,280
14,700 First Niagara Financial Group, Inc. 176,988
9,651 IndyMac Bancorp, Inc. (b) 57,423
44,988 New York Community Bancorp, Inc. 790,889
11,229 The PMI Group, Inc. 149,121
11,261 Radian Group, Inc. (b) 131,528
12,213 Washington Federal, Inc. 257,816
-------------
1,832,045
- -----------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% 3,852 Universal Corp. 197,299
- -----------------------------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors 17,602 Fastenal Co. 711,473
- - 0.8% 6,695 GATX Corp. 245,573
6,600 MSC Industrial Direct Co. Class A 267,102
10,199 United Rentals, Inc. (a) 187,254
-------------
1,411,402
- -----------------------------------------------------------------------------------------------------------------------------------
Water Utilities - 0.2% 18,501 Aqua America, Inc. (b) 392,221
- -----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 9,258 Telephone & Data Systems, Inc. 579,551
Services - 0.5% 5,583 Telephone & Data Systems, Inc. (Special Shares) 321,581
-------------
901,132
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost - $129,990,566) - 93.9% 157,549,363
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
11
Master Mid Cap Index Series
Schedule of Investments as of December 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Industry Interest Short-Term Securities Value
- -----------------------------------------------------------------------------------------------------------------------------------
$ 10,256,436 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.04% (c)(d) $ 10,256,436
4,038,850 BlackRock Liquidity Series, LLC
Money Market Series, 4.78% (c)(d)(e) 4,038,850
- -----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $14,295,286) -8.5% 14,295,286
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $144,285,852*) - 102.4% 171,844,649
Liabilities in Excess of Other Assets - (2.4%) (4,098,201)
-------------
Net Assets - 100.0% $ 167,746,448
=============
* 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 $ 145,335,060
=============
Gross unrealized appreciation $ 35,055,187
Gross unrealized depreciation (8,545,598)
-------------
Net unrealized appreciation $ 26,509,589
=============
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
----------------------------------------------------------------------------------------------------------
Affiliate Net Activity Interest Income
----------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series $ 1,250,499 $ 783,769
BlackRock Liquidity Series, LLC
Money Market Series $ 2,610,350 $ 32,410
----------------------------------------------------------------------------------------------------------
(d) Represents the current yield as of December 31, 2007.
(e) Security was purchased with the cash proceeds from securities loans.
(f) All or a portion of security held as collateral in connection with open
financial futures contracts.
o For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for 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:
-----------------------------------------------------------------------------------------------------
Unrealized
Number of Contracts Issue Expiration Date Face Value Appreciation
-----------------------------------------------------------------------------------------------------
23 S&P 400 MidCap Index March 2008 $ 9,894,912 $ 50,288
-----------------------------------------------------------------------------------------------------
12
Master Mid Cap Index Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2007
- ------------------------------------------------------------------------------------------------------------------------
Assets: Investments in unaffiliated securities, at value (including securities loaned
of $3,897,462) (identified cost - $129,990,566) ........................... $157,549,363
Investments in affiliated securities, at value (identified cost - $14,295,286) 14,295,286
Cash ......................................................................... 12
Receivables:
Securities sold ..................................................... $ 708,004
Contributions ....................................................... 400,835
Dividends ........................................................... 105,828
Securities lending .................................................. 6,889 1,221,556
---------
Prepaid expenses ............................................................. 4,049
------------
Total assets ................................................................. 173,070,266
------------
- ------------------------------------------------------------------------------------------------------------------------
Liabilities: Collateral on securities loaned, at value .................................... 4,038,850
Payables:
Securities purchased ................................................ 1,077,518
Withdrawals ......................................................... 146,210
Variation margin .................................................... 41,400
Investment adviser .................................................. 1,419
Other affiliates .................................................... 1,318 1,267,865
---------
Accrued expenses and other liabilities ....................................... 17,103
------------
Total liabilities ............................................................ 5,323,818
------------
Net Assets: Net assets ................................................................... $167,746,448
============
- ------------------------------------------------------------------------------------------------------------------------
Net Assets Investors' capital ........................................................... $140,137,363
Consist of: Unrealized appreciation-net .................................................. 27,609,085
------------
Net assets ................................................................... $167,746,448
============
See Notes to Financial Statements.
13
Master Mid Cap Index Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2007
- --------------------------------------------------------------------------------------------------------
Investment Dividends .......................................... $ 1,519,329
Income: Interest from affiliates ........................... 783,769
Securities lending-net ............................. 32,410
-----------
Total income ....................................... 2,335,508
-----------
- --------------------------------------------------------------------------------------------------------
Expenses: Professional fees .................................. $ 41,862
Accounting services ................................ 41,177
Custodian fees ..................................... 23,550
Investment advisory fees ........................... 14,695
Licensing fees ..................................... 10,000
Directors' fees and expenses ....................... 5,905
Printing and shareholder reports ................... 4,564
Pricing fees ....................................... 143
Other .............................................. 6,395
------------
Total expenses ..................................... 148,291
-----------
Investment income-net .............................. 2,187,217
-----------
- --------------------------------------------------------------------------------------------------------
Realized & Unrealized Realized gain on:
Gain (Loss) - Net: Investments-net ............................... 11,057,926
Financial futures contracts-net ............... 885,166 11,943,092
------------
Change in unrealized appreciation/depreciation on:
Investments-net ............................... (5,098,378)
Financial futures contracts-net ............... 183,607 (4,914,771)
------------ -----------
Total realized and unrealized gain-net ............. 7,028,321
-----------
Net Increase in Net Assets Resulting from Operations $ 9,215,538
===========
See Notes to Financial Statements.
14
Master Mid Cap Index Series
STATEMENTS OF CHANGES IN NET ASSETS
For the
Year Ended
December 31,
Increase (Decrease) in Net Assets: 2007 2006
- ------------------------------------------------------------------------------------------------------------------------
Operations: Investment income-net .................................................. $ 2,187,217 $ 2,025,276
Realized gain-net ...................................................... 11,943,092 16,266,960
Change in unrealized appreciation/depreciation-net ..................... (4,914,771) (4,770,657)
------------- -------------
Net increase in net assets resulting from operations ................... 9,215,538 13,521,579
------------- -------------
- ------------------------------------------------------------------------------------------------------------------------
Capital Proceeds from contributions ............................................ 84,515,341 114,776,687
Transactions: Fair value of withdrawals .............................................. (46,348,953) (158,466,451)
------------- -------------
Net increase (decrease) in net assets derived from capital transactions. 38,166,388 (43,689,764)
------------- -------------
- ------------------------------------------------------------------------------------------------------------------------
Net Assets: Total increase (decrease) in net assets ................................ 47,381,926 (30,168,185)
Beginning of year ...................................................... 120,364,522 150,532,707
------------- -------------
End of year ............................................................ $ 167,746,448 $ 120,364,522
============= =============
See Notes to Financial Statements.
15
Master Mid Cap Index Series
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------------------------------------------------------
The following ratios have
been derived from information provided For the Year Ended December 31,
in the financial statements. 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
Total Investment
Return: 7.98% 10.30% 12.56% 16.41% 35.53%
=========== =========== =========== =========== ===========
- -------------------------------------------------------------------------------------------------------------------------------
Ratios to Expenses, net of reimbursement ........ .10% .09% .08% .09% .17%
=========== =========== =========== =========== ===========
Average Net Expenses .............................. .10% .09% .08% .09% .17%
=========== =========== =========== =========== ===========
Assets: Investment income-net ................. 1.49% 1.61% 1.50% 1.12% 1.06%
=========== =========== =========== =========== ===========
- -------------------------------------------------------------------------------------------------------------------------------
Supplemental Net assets, end of year (in thousands). $ 167,746 $ 120,365 $ 150,533 $ 179,289 $ 83,858
=========== =========== =========== =========== ===========
Data: Portfolio turnover .................... 23% 28% 23% 17% 8%
=========== =========== =========== =========== ===========
See Notes to Financial Statements.
16
Master Mid Cap Index Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Mid Cap 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 Master LLC's Limited Liability Company Agreement permits the
Directors (and prior to June 15, 2007, the Declaration of Trust permitted the
Trustees) to issue non-transferable interests in the Series subject to certain
limitations. Throughout this report the Trust and the Master LLC are referred to
as the Master LLC and the Board of Trustees of the Trust and the Board of
Directors of the Master LLC are referred to as the Board of Directors. The
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. All such
adjustments are of a normal, recurring nature. 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") 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 in the OTC
market are valued at the last asked price (options written) or the last bid
price (options purchased). Swap agreements are valued based upon quoted fair
valuations received daily by the Series from a pricing service or counterparty.
Financial futures contracts and options thereon, which are traded on exchanges,
are valued at their last sale price as of the close of such exchanges. Valuation
of short-term investment vehicles is generally based on the net asset value of
the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Directors, including valuations furnished by the pricing services
retained by the Master LLC, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed by the officers
of the Master LLC under the general supervision of the Board of Directors. Such
valuations and procedures will be reviewed periodically by the Board of
Directors.
Generally, trading in foreign securities, as well as U.S. government securities,
money market instruments and certain fixed income securities is substantially
completed each day at various times prior to the close of business on the New
York Stock Exchange ("NYSE"). The values of such securities used in computing
the net assets of the Series are determined as of such times. Foreign currency
exchange rates will generally be determined as of the close of business on the
NYSE. Occasionally, events affecting the values of such securities and such
exchange rates may occur between the times at which they are determined and the
close of business on the NYSE that may not be reflected in the computation of
the Series' net assets. If events (for example, a company announcement, market
volatility or a natural disaster) occur during such periods that are expected to
materially affect the value of such securities, those securities will be valued
at their fair value as determined in good faith by the Board of Directors or
17
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 both to increase the return of the Series and to
hedge, or protect, its exposure to interest rate movements and movements in the
securities markets. Losses may arise due to changes in the value of the contract
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 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 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.
18
(f) 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.
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. ("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 Series' average daily
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 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 $132,325 to MLPF&S and its
affiliates. Pursuant to that order, the Series 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 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 $9,149 in securities lending agent fees.
In addition, MLPF&S received $2,171 in commissions on the execution of portfolio
security transactions for the year ended December 31, 2007.
For the year ended December 31, 2007, the Series reimbursed the Manager $2,621
for certain accounting services.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock, Inc. or its affiliates.
19
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2007 were $71,266,566 and $30,417,122, 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.
20
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 Mid Cap 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 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
Mid Cap 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 26, 2008
21
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 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 Co- present Business, State University of New York at 81 Portfolios
New York, NY 10022 Chairman of Albany since 2000 and Professor thereof
1940 the Board of from 1989 to 2000; International
Directors Consultant, 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.
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 *
Rodney D. Johnson Director 2007 to President, Fairmount Capital Advisors, 35 Funds None
40 East 52nd Street and Co- present Inc. since 1987; Director, Fox Chase 81 Portfolios
New York, NY 10022 Chairman of Cancer Center since 2002; Member of the
1941 the Board of Archdiocesan Investment Committee of the
Directors Archdioceses of Philadelphia since 2003.
Herbert I. London Director 2007 to Professor Emeritus, New York University 35 Funds AIMS Worldwide,
40 East 52nd Street and Member present since 2005; John M. Olin Professor of 81 Portfolios Inc. (marketing)
New York, NY 10022 of the Audit Humanities, New York University from 1993
1939 Committee 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.
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 *
Cynthia A. Montgomery Director 2007 to Professor, Harvard Business School since 35 Funds Newell
40 East 52nd Street present 1989; Associate Professor, J.L. Kellogg 81 Portfolios Rubbermaid, Inc.
New York, NY 10022 Graduate School of Management, (manufacturing)
1952 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 Corporation, LLC (private 35 Funds Greenlight
40 East 52nd Street present investment company) since 2002; Director, 81 Portfolios Capital Re, Ltd.
New York, NY 10022 Jones and Brown (Canadian insurance (reinsurance
1947 broker) since 1998; Director, Greenlight company)
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.
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 *
Robert C. Robb, Jr. Director 2007 to Partner, Lewis, Eckert, Robb and Company 35 Funds None
40 East 52nd Street present (management and financial consulting firm) 81 Portfolios
New York, NY 10022 since 1981; Trustee, Medical College of
1945 Pennsylvania/ Hahnemann University from
1998 to 2002; Trustee, EQK Realty
Investors from 1994 to 2000; Director,
Tamaqua Cable Products Company from 1981
to 1998; Director, Brynwood Partners from
1984 to 1998; Director, The PNC Bank Corp.
from 1994 to 1998; Director, Provident
National Bank from 1983 to 1993; Director,
Brinks, Inc. from 1981 to 1986.
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 (specialty
New York, NY 10022 Chairman of Investments Ltd. (private investments); pharmaceuticals)
1938 the Director, Forward Management, LLC since
Performance 2007; Trustee, SSR Funds from 1990 to
Oversight 2005; Trustee, Metropolitan Series Funds,
Committee Inc. from 2001 to 2005.
Kenneth L. Urish Director and 2007 to Managing Partner, Urish Popeck & Co., LLC 35 Funds None
40 East 52nd Street Chairman of present (certified public accountants and 81 Portfolios
New York, NY 10022 the Audit consultants) since 1976; External Advisory
1951 Committee 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.
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 *
Frederick W. Winter Director 2007 to Professor and Dean Emeritus of the Joseph 35 Funds None
40 East 52nd Street and Member present M. Katz School of Business - University of 81 Portfolios
New York, NY 10022 of the Audit Pittsburgh since 2005 and Dean therof from
1945 Committee 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, BlackRock, Inc. since 2005; 184 Funds None
40 East 52nd Street present Chief Executive Officer, State Street Research 289 Portfolios
New York, NY 10022 & Management Company from 2000 to 2005;
1945 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.
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
Non-Interested
Directors *
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 Master LLC based
on their positions with BlackRock, Inc. and its affiliates. Directors serve until their resignation, removal or death, or until
December 31 of the year in which they turn 72.
Advisory Board Member
David R. Advisory 2007 to Chairman, Wilmerding & Associates, Inc. 35 Funds Chestnut Street
Wilmerding, Jr.* Board present (investment advisers) from 1989 to 2005; 81 Portfolios Exchange Fund
40 East 52nd Street Member Chairman, Coho Partners, Ltd. (investment (open-end
New York, NY 10022 advisers) from 2003 to 2005. Director, Beaver investment
1935 Management Corporation. company)
27
Position(s) Length Principal
Name, Address and Held with of Time Occupation(s) During
Year of Birth Master LLC Served Past Five Years
Non-Interested
Directors *
Master LLC Officers *
Donald C. Burke Fund 2007 to Managing Director of BlackRock, Inc. since 2006;
40 East 52nd Street President present Formerly Managing Director of Merrill Lynch
New York, NY 10022 and Chief Investment Managers, L.P. ("MLIM") and Fund Asset
1960 Executive Management, L.P. ("FAM") in 2006; First Vice
Officer President thereof from 1997 to 2005; Treasurer
thereof from 1999 to 2006 and Vice President
thereof from 1990 to 1997.
Anne F. Ackerley Vice 2007 to Managing Director of BlackRock, Inc. since 2000 and
40 East 52nd Street President present First Vice President and Chief Operating Officer of
New York, NY 10022 Mergers and Acquisitions Group from 1997 to 2000;
1962 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 BlackRock Inc. since 2006;
40 East 52nd Street Financial present Formerly Senior Vice President and Line of Business
New York, NY 10022 Officer Head of Fund Accounting and Administration at PFPC
1966 Inc. from 1992 to 2006.
Jay M. Fife Treasurer 2007 to Managing Director of BlackRock, Inc. since 2007 and
40 East 52nd Street present Director in 2006; Formerly Assistant Treasurer of
New York, NY 10022 the MLIM/FAM advised funds from 2005 to 2006;
1970 Director of MLIM Fund Services Group from 2001 to
2006.
28
Position(s) Length Principal
Name, Address and Held with of Time Occupation(s) During
Year of Birth Master LLC Served Past Five Years
Non-Interested
Directors *
Brian P. Kindelan Chief 2007 to Chief Compliance Officer of the Funds since 2007;
40 East 52nd Street Compliance present Managing Director and Senior Counsel thereof since
New York, NY 10022 Officer 2005; Director and Senior Counsel of BlackRock
1959 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.
Howard Surloff Secretary 2007 to Managing Director of BlackRock, Inc. and
40 East 52nd Street present General Counsel of U.S. Funds at BlackRock, Inc.
New York, NY 10022 since 2006; Formerly General Counsel (U.S.) of
1965 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 shareholders of Master
Mid Cap Index Series of Quantitative Master Series LLC 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 Board of Directors
of Master Quantitative 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:
Shares Voted Shares Withheld
For 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 113,613,469 0
- ------------------------------------------------------------------------------------------------------------
29
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.
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 Mid Cap
Index Series of
Quantitative Master
Series LLC $27,300 $27,300 $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 Mid Cap Index 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 Mid Cap Index Series of Quantitative Master Series LLC
By: /s/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
Master Mid Cap 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
Master Mid Cap 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
Master Mid Cap Index Series of Quantitative Master Series LLC
Date: February 21, 2008