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 International 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 International 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 International 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
International Series (the "Series") generated returns that trailed
that of the benchmark Morgan Stanley Capital International Europe,
Australasia, Far East (MSCI EAFE) Index, as the Series returned +9.60%
compared to the Index's return of +11.17%. Positive performance from
our stock-substitution strategies was offset by negative results from
our stock-selection strategies.
Describe the market environment.
o On the whole, non-U.S. markets outperformed their U.S. counterparts
for all of 2007, with the MSCI EAFE returning +11.17%.
o Currency movements were a major theme that affected markets, with a
dominant factor being the ongoing depreciation of the U.S. dollar
relative to most other major currencies.
o Among the world's developed markets, Japan's underperformance was a
headline story, as stocks in the region sank nearly 11% for the year.
A high dependence on exports, muted personal consumption and slowing
capital spending all caused economic growth to suffer. Further,
earnings growth was dismal in 2007 and valuations remained high
relative to other developed markets.
o European stocks were the best performers among developed markets for
the year, but the region saw broad-based declines amid concerns over
the economic outlook, as well as credit problems. In particular,
export-oriented companies suffered, as demand from the U.S. slowed and
the appreciating euro hurt profits.
o Finally, emerging markets continued to outperform developed markets,
buoyed by strong earnings growth and firm economic expansion.
Moreover, most emerging markets have, thus far, been less affected by
the problems in financial markets.
Describe recent portfolio activity.
o Throughout the period, as changes were made to the composition of the
MSCI EAFE Index, 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 Series 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 International Series
- --------------------------------------------------------------------------------
Percent of Long-Term
Geographic Region Investments
- --------------------------------------------------------------------------------
December 31,
2007 2006
- --------------------------------------------------------------------------------
United Kingdom 22.1 % 23.5%
Japan 18.7 22.1
France 11.0 9.6
Germany 8.6 7.0
Switzerland 6.6 7.5
Australia 5.5 4.9
Spain 4.4 4.1
Italy 3.7 3.9
Netherlands 3.2 3.4
Hong Kong 2.5 1.3
United States 2.1 1.0
Sweden 2.0 2.9
Finland 1.6 1.6
Singapore 1.4 0.8
Belgium 1.4 1.4
Norway 1.1 1.0
Denmark 1.0 1.1
Ireland 0.9 1.1
Greece 0.8 0.6
Austria 0.5 0.1
Portugal 0.5 0.7
New Zealand 0.2 0.2
Luxembourg 0.2 0.2
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
2
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Europe
- -----------------------------------------------------------------------------------------------------------------------------------
Austria - 0.4% Commercial Banks - 0.1% 2,572 Erste Bank der Oesterreichischen $ 181,604
491 Raiffeisen International Bank Holding AG 73,795
------------
255,399
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 7,162 RHI AG (c) 292,675
-----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 90 Mayr-Melnhof Karton AG 9,741
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 549 Andritz AG 32,980
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.1% 1,561 Voestalpine AG 111,875
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.1% 2,189 OMV AG 176,705
-----------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 0.0% 31 IMMOFINANZ Immobilien Anlagen AG 313
252 Meinl European Land Ltd. (c) 3,466
------------
3,779
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Austria 883,154
- -----------------------------------------------------------------------------------------------------------------------------------
Belgium - 1.3% Beverages - 0.1% 1,434 InBev NV 119,210
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 12 Solvay SA 1,678
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 6,394 Dexia NV 160,535
2,553 KBC Bancassurance Holding 359,346
------------
519,881
-----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 41 D'ieteren SA 14,734
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.2% 16,704 Fortis SA/NV 437,290
85 Groupe Bruxelles Lambert SA 10,871
------------
448,161
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 2 Bekaert SA 269
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 253 Delhaize Group 22,210
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.2% 6,368 Omega Pharma SA 438,249
-----------------------------------------------------------------------------------------------------------------
Health Care Technology - 0.0% 32 AGFA-Gevaert NV 488
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 2,784 Euronav SA 98,520
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 11,941 Mobistar SA 1,089,266
Services - 0.5%
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Belgium 2,752,666
- -----------------------------------------------------------------------------------------------------------------------------------
Denmark - 0.9% Beverages - 0.0% 475 Carlsberg A/S 57,184
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 650 Novozymes A/S Class B 73,746
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.0% 92 Danske Bank A/S 3,596
1 Sydbank A/S 43
------------
3,639
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 750 FLS Industries A/S Class B 76,478
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.2% 2,679 Vestas Wind Systems A/S (c) 289,281
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 225 East Asiatic Co., Ltd. A/S 17,417
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.4% 4,342 GN Store Nord A/S (c) 34,013
8,325 William Demant Holding (c) 764,650
------------
798,663
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 367 TrygVesta A/S 27,829
-----------------------------------------------------------------------------------------------------------------
Marine - 0.1% 7 AP Moller - Maersk A/S 74,755
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 400 D/S Torm A/S 13,955
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.2% 679 H Lundbeck A/S 18,246
6,766 Novo-Nordisk A/S B 441,694
------------
459,940
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Denmark 1,892,887
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
3
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Finland - 1.5% Auto Components - 0.0% 1,401 Nokian Renkaat Oyj $ 48,637
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 1.1% 58,487 Nokia Oyj 2,246,916
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 35 YIT Oyj 762
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 1,347 OKO Bank 25,689
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 3,223 Fortum Oyj 144,779
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 3,004 Kesko Oyj Class B 164,219
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 6,100 Sampo Oyj 160,998
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 1,080 Kone Oyj Class B 75,402
2,718 Metso Oyj 147,358
901 Wartsila Oyj 68,188
------------
290,948
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 35 Outokumpu Oyj 1,076
1,150 Rautaruukki Oyj 49,152
------------
50,228
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 52 Neste Oil Oyj 1,836
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Finland 3,135,012
- -----------------------------------------------------------------------------------------------------------------------------------
France - 10.0% Aerospace & Defense - 0.5% 19,073 Thales SA 1,136,148
-----------------------------------------------------------------------------------------------------------------
Airlines - 0.4% 24,201 Air France-KLM 845,789
-----------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 2,014 Compagnie Generale des Etablissements 230,258
-----------------------------------------------------------------------------------------------------------------
Automobiles - 0.9% 9,496 Peugeot SA 719,559
8,319 Renault SA 1,179,823
------------
1,899,382
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.0% 800 Remy Cointreau SA 56,894
-----------------------------------------------------------------------------------------------------------------
Building Products - 0.3% 5,948 Cie de Saint-Gobain SA 560,530
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 3,010 Air Liquide 447,811
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 4,793 Credit Agricole SA 161,698
2,459 Societe Generale SA 355,643
------------
517,341
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 2 Societe BIC SA 143
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 1 Alcatel-Lucent 7
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.3% 1,100 Eiffage SA 108,329
7,684 Vinci SA 568,276
------------
676,605
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.2% 2,196 Lafarge SA 398,767
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.4% 25,431 France Telecom SA 912,230
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 1,958 Electricite de France SA 233,222
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.2% 1,744 Alstom 374,599
8 Schneider Electric SA 1,084
------------
375,683
-----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.5% 84 Compagnie Generale de
Geophysique SA (c) 23,760
12,354 Technip SA 982,654
------------
1,006,414
-----------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
4
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.5% 9,350 Casino Guichard Perrachon SA $ 1,017,120
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.6% 20,813 Gaz de France SA 1,217,087
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 2,037 Cie Generale d'Optique Essilor 129,936
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 1,192 Accor SA 95,289
1,190 Groupe Partouche (c) 21,403
4 Sodexho Alliance SA 246
------------
116,938
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.1% 2,203 Atos Origin SA (c) 113,823
534 Cap Gemini SA 33,552
1,640 GFI Informatique SA 14,385
------------
161,760
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 1,710 CNP Assurances 222,496
3 Scor SE 77
------------
222,573
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 671 Vallourec SA 181,480
-----------------------------------------------------------------------------------------------------------------
Media - 0.3% 1 Lagardere S.C.A. 75
1 Television Francaise 1 SA 27
14,278 Vivendi SA 655,547
------------
655,649
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.5% 13,448 ArcelorMittal 1,044,277
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.4% 12,043 Suez SA 819,719
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 1.0% 26,041 Total SA 2,156,207
-----------------------------------------------------------------------------------------------------------------
Personal Products - 0.2% 2,250 L'Oreal SA 322,195
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.5% 11,661 Sanofi-Aventis 1,067,453
-----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 0.3% 2,329 Gecina SA 365,389
231 ICADE 34,434
973 Klepierre 49,732
1,000 Unibail - Rodamco 219,131
------------
668,686
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment - 0.0% 13 STMicroelectronics NV 186
-----------------------------------------------------------------------------------------------------------------
Software - 0.4% 10,908 Business Objects SA (c) 666,225
1,000 UBISOFT Entertainment (c) 101,518
------------
767,743
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.3% 939 Hermes International 118,639
3,146 LVMH Moet Hennessy Louis Vuitton SA 380,192
------------
498,831
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 437 Aeroports de Paris 44,706
318 Societe Des Autoroutes Paris-Rhin-Rhone 31,178
------------
75,884
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 0.2% 5,208 Bouygues 432,749
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in France 20,853,697
-----------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
5
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Germany - 7.4% Airlines - 0.1% 3,630 Deutsche Lufthansa AG $ 96,763
-----------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% 1,166 Continental AG 152,572
-----------------------------------------------------------------------------------------------------------------
Automobiles - 0.9% 11,988 DaimlerChrysler AG 1,161,877
118 Porsche Automobil Holding SE
(Preference Shares) 238,294
1,888 Volkswagen AG 433,990
------------
1,834,161
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.9% 1,800 AWD Holding AG 77,369
13,731 Deutsche Bank AG Registered Shares 1,792,927
------------
1,870,296
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 4,731 Altana AG 114,369
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 1 Commerzbank AG 38
1,765 Deutsche Postbank AG 157,033
102 Hypo Real Estate Holding AG 5,388
------------
162,459
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 506 Hochtief AG 67,972
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.3% 3,258 Deutsche Boerse AG 643,013
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.0% 1 Deutsche Telekom AG 22
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.7% 7,160 E.ON AG 1,522,167
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 208 REpower Systems AG (c) 38,123
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.1% 2,606 Metro AG 219,381
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 4,601 TUI AG (c) 128,509
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.8% 9,847 Siemens AG 1,565,698
-----------------------------------------------------------------------------------------------------------------
Insurance - 1.1% 6,308 Allianz AG (Registered Shares) 1,358,994
4,390 Muenchener Rueckversicherungs AG 852,577
------------
2,211,571
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 2 Heidelberger Druckmaschinen AG 67
1,818 MAN AG 301,759
------------
301,826
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 1 Premiere AG (c) 19
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.7% 3,973 Salzgitter AG 593,786
14,904 ThyssenKrupp AG 838,873
------------
1,432,659
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.4% 5,476 RWE AG 767,793
-----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.2% 21,462 KarstadtQuelle AG (c) 513,113
-----------------------------------------------------------------------------------------------------------------
Personal Products - 0.4% 11,634 Beiersdorf AG 901,537
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.1% 1,513 Merck KGaA 195,673
-----------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 0.0% 1,257 IVG Immobilien AG 42,966
-----------------------------------------------------------------------------------------------------------------
Software - 0.2% 8,945 SAP AG 460,429
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 1 Adidas-Salomon AG 74
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 0.0% 3,250 Freenet AG 76,586
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Germany 15,319,751
- -----------------------------------------------------------------------------------------------------------------------------------
Greece - 0.8% Beverages - 0.1% 2,239 Coca-Cola Hellenic Bottling Co. SA 96,628
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.6% 1,671 Alpha Bank AE 60,511
4,400 EFG Eurobank Ergasias SA 154,410
See Notes to Financial Statements.
6
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
5,705 National Bank of Greece SA $ 391,221
16,675 Piraeus Bank SA 648,602
------------
1,254,744
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 18 Hellenic Technodomiki Tev SA 257
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 428 Hellenic Exchanges SA 15,011
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.0% 16 Hellenic Telecommunications Organization 585
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 3,143 OPAP SA 125,660
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 15 Viohalco, Hellenic Copper and Aluminum 217
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 1,450 Hellenic Petroleum SA 23,779
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Greece 1,516,881
- -----------------------------------------------------------------------------------------------------------------------------------
Ireland - 0.8% Airlines - 0.0% 139 Ryanair Holdings Plc (c) 954
-----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 46 Kingspan Group Plc 692
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 17,010 Allied Irish Banks Plc 390,075
6,214 Bank of Ireland 92,595
------------
482,670
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 4,006 CRH Plc 139,126
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.4% 70,732 Greencore Group Plc 465,179
2 Iaws Group Plc 44
13,873 Kerry Group Plc 442,997
------------
908,220
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 319 Paddy Power Plc 10,423
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 8,830 Irish Life & Permanent Plc 151,064
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Ireland 1,693,149
- -----------------------------------------------------------------------------------------------------------------------------------
Italy - 3.5% Aerospace & Defense - 0.0% 1,328 Finmeccanica SpA 42,608
-----------------------------------------------------------------------------------------------------------------
Automobiles - 0.1% 7,716 Fiat SpA 198,516
3,700 Fiat SpA (RNC) 78,895
------------
277,411
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 6,904 Mediobanca SpA 141,886
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 1.5% 92,923 Banca Intesa SpA 731,264
157,613 Banca Intesa SpA (RNC) 1,149,082
117,169 UniCredito Italiano SpA 963,593
8,545 Unione Di Banche Italiane SPCA 234,805
------------
3,078,744
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.2% 61,259 Telecom Italia SpA 189,922
40,701 Telecom Italia SpA (RNC) 96,511
------------
286,433
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 64,615 Enel SpA 768,343
16,889 Terna SpA 68,036
------------
836,379
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 1 Parmalat SpA 4
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 12,390 Snam Rete Gas SpA 79,121
-----------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.0% 4,158 Autogrill SpA 70,722
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.4% 6,011 Alleanza Assicurazioni SpA 78,080
13,441 Assicurazioni Generali SpA 608,422
969 Fondiaria-Sai SpA 39,750
13,801 Mediolanum SpA 110,386
12,662 Unipol SpA (Preference Shares) 40,040
------------
876,678
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
7
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.7% 37,249 Eni SpA $ 1,359,454
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.1% 3,461 Autostrade SpA 131,471
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Italy 7,180,911
- -----------------------------------------------------------------------------------------------------------------------------------
Luxembourg - Personal Products - 0.0% 500 Oriflame Cosmetics SA 31,828
0.0%
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Luxembourg 31,828
- -----------------------------------------------------------------------------------------------------------------------------------
Netherlands - Air Freight & Logistics - 0.5% 25,421 TNT NV 1,054,713
3.0%
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 3,308 Heineken NV 213,640
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.5% 13,097 Akzo Nobel NV 1,054,337
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.4% 20,430 ING Groep NV CVA 796,064
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.2% 19,987 Koninklijke KPN NV 364,136
-----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.1% 780 Fugro NV 60,242
5,209 SBM Offshore NV 164,229
------------
224,471
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 35 Koninklijke Ahold NV (c) 485
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.4% 20,535 Unilever NV 754,472
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.2% 9,900 Tele Atlas NV (c) 408,802
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.2% 11,832 Koninklijke Philips Electronics NV 507,004
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.1% 12,531 Aegon NV 221,026
-----------------------------------------------------------------------------------------------------------------
Media - 0.1% 9,556 Reed Elsevier NV (c) 189,642
-----------------------------------------------------------------------------------------------------------------
Real Estate Investment 268 Wereldhave NV 29,226
Trusts (REITs) - 0.0%
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment - 0.1% 5,799 ASML Holding NV (c) 183,097
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.1% 19,501 Hagemeyer NV 133,388
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in the Netherlands 6,134,503
- -----------------------------------------------------------------------------------------------------------------------------------
Norway - 1.0% Chemicals - 0.1% 2,425 Yara International ASA 111,518
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.1% 10,287 DnB NOR ASA 156,486
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.2% 17,500 Tandberg ASA 361,332
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.1% 11,867 Telenor ASA (c) 281,592
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.0% 884 Renewable Energy Corp. AS (c) 44,340
-----------------------------------------------------------------------------------------------------------------
Energy Equipment & Services - 0.2% 72 Acergy SA 1,584
14,626 Aker Kvaerner ASA 386,017
1 Ocean RIG ASA (c) 7
2,192 Petroleum Geo-Services ASA (c) 63,123
2 TGS Nopec Geophysical Co. ASA (c) 27
------------
450,758
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 568 Marine Harvest (c) 362
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 11,472 Orkla ASA 219,653
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.0% 5,454 Storebrand ASA 56,582
-----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 1 Stolt-Nielsen SA 30
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 50 Schibsted ASA 2,158
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.0% 852 Norsk Hydro ASA 12,131
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.2% 550 Frontline Ltd. 26,247
See Notes to Financial Statements.
8
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
13,837 Statoilhydro ASA $ 426,882
------------
453,129
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Norway 2,150,071
- -----------------------------------------------------------------------------------------------------------------------------------
Portugal - 0.5% Commercial Banks - 0.2% 18,985 Banco Espirito Santo SA Registered
Shares 415,638
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.2% 26,635 Portugal Telecom SGPS SA Registered 349,348
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 28,908 Energias de Portugal SA 189,446
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 966 Sonae Industria SGPS SA (c) 9,306
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Portugal 963,738
- -----------------------------------------------------------------------------------------------------------------------------------
Spain - 4.1% Airlines - 0.0% 6,704 Iberia Lineas Aereas de Espana 29,104
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.0% 50,619 Banco Bilbao Vizcaya Argentaria SA 1,232,278
4,471 Banco Popular Espanol SA 76,203
127,835 Banco Santander SA 2,760,980
------------
4,069,461
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 2,980 ACS Actividades de Construccion y 176,483
52 Grupo Ferrovial SA 3,636
8 Sacyr Vallehermoso SA 308
------------
180,427
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 3,500 Bolsas y Mercados Espanoles 237,836
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.3% 17,182 Telefonica SA 556,978
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.8% 18,200 Iberdrola Renovables (c) 150,343
103,938 Iberdrola SA 1,575,727
------------
1,726,070
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% 2,400 Gamesa Corp. Tecnologica SA 111,049
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 1,575 Gas Natural SDG SA 91,939
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 1,613 Indra Sistemas SA 43,744
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.3% 122,841 Corp. Mapfre SA 538,954
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 1 Zardoya Otis SA 28
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 1,318 Gestevision Telecinco SA 33,504
46 Sogecable SA (c) 1,837
1,120 Vertice Trescientos Sesenta Grados (c) 3,504
------------
38,845
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.1% 6,828 Repsol YPF SA 243,577
-----------------------------------------------------------------------------------------------------------------
Tobacco - 0.3% 9,343 Altadis SA 677,921
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Spain 8,545,933
- -----------------------------------------------------------------------------------------------------------------------------------
Sweden - 1.8% Airlines - 0.0% 800 SAS AB (c) 10,217
-----------------------------------------------------------------------------------------------------------------
Building Products - 0.0% 14 Assa Abloy AB Series B 281
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.3% 18,500 Nordea Bank AB 310,040
2,515 Skandinaviska Enskilda Banken AB
Class A 64,203
2,000 Svenska Handelsbanken Class A 63,933
------------
438,176
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 48 Securitas AB 668
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.2% 206,112 Telefonaktiebolaget LM Ericsson 482,421
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 4,884 Skanska AB Class B 91,404
-----------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
9
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 0.0% 10,848 Securitas Direct AB (c) $ 43,718
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.1% 13,505 TeliaSonera AB 126,171
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.0% 19 Axfood AB 762
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & 2,469 Getinge AB Class B 66,008
Supplies - 0.0%
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 3,420 Electrolux AB 56,725
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.6% 1,200 Alfa Laval AB 67,379
38,472 Atlas Copco AB A Shares 571,821
5,120 Atlas Copco AB B Shares 69,781
12,041 Sandvik AB 206,494
4,427 Scania AB 105,070
6,375 Volvo AB A Shares 106,051
5,523 Volvo AB B Shares 92,412
------------
1,219,008
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 4 Modern Times Group AB 277
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.3% 33,324 Boliden AB 414,482
2,443 SSAB Svenskt Stal AB Series A 65,930
1,073 SSAB Svenskt Stal AB Series B 26,154
------------
506,566
-----------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 0.0% 2,160 Castellum AB 22,350
2,036 Fabege AB 20,705
1,645 Kungsleden AB 18,227
421 Wihlborgs Fastigheter AB 7,483
------------
68,765
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.3% 10,675 Hennes & Mauritz AB B Shares 644,830
-----------------------------------------------------------------------------------------------------------------
Tobacco - 0.0% 69 Swedish Match AB 1,643
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Sweden 3,757,640
- -----------------------------------------------------------------------------------------------------------------------------------
Switzerland - Auto Components - 0.4% 1,812 Rieter Holding AG 799,728
6.2% -----------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 1,361 Geberit AG 185,391
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.6% 19,752 Credit Suisse Group 1,188,983
27 UBS AG 1,245
------------
1,190,228
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 3 Ciba Specialty Chemicals AG Registered 139
917 Syngenta AG 232,698
------------
232,837
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.0% 66 SGS SA 78,684
-----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.0% 1 Logitech International SA (c) 36
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.1% 1,703 Holcim Ltd. 181,541
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.4% 27,494 ABB Ltd. 792,701
-----------------------------------------------------------------------------------------------------------------
Food Products - 1.2% 5,226 Nestle SA Registered Shares 2,399,728
-----------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 817 Nobel Biocare Holding AG 217,584
654 Sonova Holding AG 73,427
109 Straumann Holding AG Registered Shares 29,922
7 Synthes, Inc. 870
------------
321,803
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.9% 450 Swiss Life Holding (c) 112,294
See Notes to Financial Statements.
10
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
17,871 Swiss Reinsurance Co. Registered Shares $ 1,264,272
1,591 Zurich Financial Services AG 466,937
------------
1,843,503
-----------------------------------------------------------------------------------------------------------------
Life Sciences Tools & 9,190 Lonza Group AG Registered Shares 1,111,448
Services - 0.6%
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 16 Schindler Holding AG 1,027
41 Sulzer AG 60,293
------------
61,320
-----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 762 Kuehne & Nagel International AG 73,168
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.0% 8,164 Novartis AG Registered Shares 446,467
9,445 Roche Holding AG 1,632,717
------------
2,079,184
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 7,351 Compagnie Financiere Richemont AG 502,227
Goods - 0.7% 2,547 The Swatch Group Ltd. Bearer Shares 765,694
2,127 The Swatch Group Ltd. Registered Shares 125,353
------------
1,393,274
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Switzerland 12,744,574
- -----------------------------------------------------------------------------------------------------------------------------------
United Kingdom - Aerospace & Defense - 0.4% 47,016 BAE Systems Plc 466,582
20.4% 15,313 Cobham Plc 63,727
22,950 Rolls-Royce Group Plc (c) 249,100
------------
779,409
-----------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 6,709 British Airways Plc (c) 41,010
-----------------------------------------------------------------------------------------------------------------
Auto Components - 0.0% 10,009 GKN Plc 55,942
-----------------------------------------------------------------------------------------------------------------
Beverages - 0.2% 12,085 SABMiller Plc 339,174
10,112 Scottish & Newcastle Plc 148,316
------------
487,490
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.8% 907 Close Brothers Group Plc 17,212
82,055 ICAP Plc 1,182,464
11,053 Man Group Plc 125,471
10,280 Schroders Plc 263,761
1,234 Tullett Prebon Plc 11,398
------------
1,600,306
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.4% 39,833 Imperial Chemical Industries Plc 531,255
6,583 Johnson Matthey Plc 245,725
------------
776,980
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.7% 88,535 Barclays Plc 894,143
54,605 HBOS Plc 794,014
189,237 HSBC Holdings Plc 3,187,608
63,416 Lloyds TSB Group Plc 597,170
1 Royal Bank of Scotland Group Plc 9
4,899 Standard Chartered Plc 178,797
------------
5,651,741
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.2% 2,391 Biffa Plc 15,555
8,183 Capita Group Plc 113,444
1,782 Davis Service Group Plc 18,110
8,329 Experian Group Ltd. 65,786
1,544 Group 4 Securicor Plc 7,547
1 Hays Plc 2
See Notes to Financial Statements.
11
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
1,076 Intertek Group Plc $ 21,242
6,801 Serco Group Plc 62,600
------------
304,286
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 4,064 Amec Plc 67,944
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 2,150 London Stock Exchange Group Plc 84,482
Diversified Telecommunication Services - 0.2% 88,595 BT Group Plc 478,595
4,329 Cable & Wireless Plc 15,973
------------
494,568
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.3% 13,889 British Energy Group Plc 152,090
11,664 Scottish & Southern Energy Plc 380,335
------------
532,425
--------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 0.0% 1 Electrocomponents Plc 4
1 Premier Farnell Plc 3
------------
7
--------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.6% 21,506 J Sainsbury Plc 181,205
105,714 Tesco Plc 1,005,609
------------
1,186,814
--------------------------------------------------------------------------------------------------------------
Food Products - 0.8% 26,563 Cadbury Schweppes Plc 324,783
35,763 Unilever Plc 1,341,286
------------
1,666,069
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.1% 1,999 SSL International Plc 21,206
12,630 Smith & Nephew Plc 144,904
------------
166,110
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.6% 2,312 Carnival Plc 101,667
26,160 Compass Group Plc 159,627
6,696 Enterprise Inns Plc 64,921
4,085 Intercontinental Hotels Group Plc 71,187
8,949 Ladbrokes Plc 57,122
398,801 Rank Group Plc 722,545
7,943 TUI Travel Plc (c) 46,446
2,522 Whitbread Plc 69,355
------------
1,292,870
--------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 1,137 Berkeley Group Holdings Plc (c) 30,572
1,469 Bovis Homes Group Plc 17,885
------------
48,457
--------------------------------------------------------------------------------------------------------------
Independent Power Producers & Energy 18,998 International Power Plc 171,254
Traders - 0.1%
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.5% 2,604 Cookson Group Plc 36,114
53,779 Smiths Group Plc 1,078,951
------------
1,115,065
--------------------------------------------------------------------------------------------------------------
Insurance - 0.4% 1 Friends Provident Plc 3
1 Legal & General Group Plc 3
65,950 Old Mutual Plc 219,729
24,113 Prudential Plc 339,531
8,605 Resolution Plc 121,802
1 Royal & Sun Alliance Insurance Group 3
28,478 Standard Life Plc 142,642
------------
823,713
--------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
12
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Internet & Catalog Retail - 0.0% 8,760 Home Retail Group $ 56,932
--------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Services - 0.0% 6 Lighthouse Caledonia ASA (c) 5
--------------------------------------------------------------------------------------------------------------
Machinery - 0.0% 2,243 Charter Plc (c) 35,333
10,762 Invensys Plc (c) 48,304
------------
83,637
--------------------------------------------------------------------------------------------------------------
Media - 0.7% 2,914 Emap Plc 53,195
1 ITV Plc 2
2,344 Pearson Plc 33,946
86,479 Reed Elsevier Plc 1,161,467
6,658 Reuters Group Plc 84,181
14,815 WPP Group Plc 189,797
------------
1,522,588
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 2.7% 35,055 Anglo American Plc 2,127,888
31,503 BHP Billiton Plc 960,633
22,617 Rio Tinto Plc Registered Shares 2,380,269
------------
5,468,790
--------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.2% 50,122 Centrica Plc 357,025
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.1% 2,882 Next Plc 92,832
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 4.0% 45,944 BG Group Plc 1,054,119
252,448 BP Plc 3,084,978
100,101 Royal Dutch Shell Plc Class B 4,172,782
------------
8,311,879
--------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 5,279 Mondi Plc 44,175
--------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.7% 39,108 AstraZeneca Plc 1,683,321
72,177 GlaxoSmithKline Plc 1,833,049
------------
3,516,370
--------------------------------------------------------------------------------------------------------------
Real Estate Investment 3,071 Brixton Plc 17,841
Trusts (REITs) - 0.2% 9,512 Land Securities Group Plc 285,051
4,987 Segro Plc 46,396
------------
349,288
--------------------------------------------------------------------------------------------------------------
Road & Rail - 0.1% 1,357 Arriva Plc 21,128
5,583 Firstgroup Plc 90,120
1,664 National Express Group Plc 40,928
1 Stagecoach Group Plc 6
------------
152,182
--------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 15,612 ARM Holdings Plc 38,503
Equipment - 0.0%
--------------------------------------------------------------------------------------------------------------
Software - 0.0% 3,441 Misys Plc 12,520
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 1 DSG International Plc 2
8,552 Galiform Plc (c) 15,147
1 Kingfisher Plc 3
------------
15,152
--------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 5,378 Burberry Group Plc 60,785
Goods - 0.0%
--------------------------------------------------------------------------------------------------------------
Tobacco - 0.6% 17,255 British American Tobacco Plc 674,552
9,194 Imperial Tobacco Group Plc 497,275
------------
1,171,827
--------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
13
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Water Utilities - 0.0% 3,175 Severn Trent Plc $ 96,561
--------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 972,887 Vodafone Group Plc 3,652,141
Services - 1.8%
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
United Kingdom 42,350,134
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in
Europe - 63.6% 131,906,529
- -----------------------------------------------------------------------------------------------------------------------------------
Latin America
- -----------------------------------------------------------------------------------------------------------------------------------
Cayman Islands - Wireless Telecommunication 19,000 Hutchison Telecommunications 28,640
0.0% Services - 0.0%
--------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.0% 959 Foxconn International Holdings Ltd. (c) 2,133
--------------------------------------------------------------------------------------------------------------
Real Estate Management & 186 Shui On Land Ltd. 215
Development - 0.0%
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Latin
America - 0.0% 30,988
- -----------------------------------------------------------------------------------------------------------------------------------
North America
- -----------------------------------------------------------------------------------------------------------------------------------
Bermuda - 0.0% Energy Equipment & Services - 0.0% 1 SeaDrill Ltd. (c) 24
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in
North America - 0.0% 24
- -----------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia
- -----------------------------------------------------------------------------------------------------------------------------------
Australia - 5.1% Air Freight & Logistics - 0.0% 6,605 Toll Holdings Ltd. 65,945
--------------------------------------------------------------------------------------------------------------
Airlines - 0.0% 11,059 Qantas Airways Ltd. 52,545
--------------------------------------------------------------------------------------------------------------
Beverages - 0.1% 47,195 Foster's Group Ltd. 269,977
3,577 Lion Nathan Ltd. 30,035
------------
300,012
--------------------------------------------------------------------------------------------------------------
Biotechnology - 0.1% 3,712 CSL Ltd. 117,596
--------------------------------------------------------------------------------------------------------------
Capital Markets - 0.2% 4,821 Macquarie Group Ltd. 322,560
3,094 Tower Australia Group Ltd. 7,541
------------
330,101
--------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 11,100 Nufarm Ltd. 137,406
8,861 Orica Ltd. 245,153
------------
382,559
--------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.7% 227 Australia & New Zealand Banking Group 5,432
16,017 Commonwealth Bank of Australia Ltd. 825,817
26,687 Westpac Banking Corp. 648,947
------------
1,480,196
--------------------------------------------------------------------------------------------------------------
Commercial Services & 86,890 Brambles Ltd. 872,464
Supplies - 0.4%
--------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.0% 1,690 Leighton Holdings Ltd. 89,423
--------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 11,058 Amcor Ltd. 66,737
--------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 4,447 Pacific Brands Ltd. 12,629
--------------------------------------------------------------------------------------------------------------
Diversified Consumer Services - 0.0% 1 ABC Learning Centres Ltd. 5
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 2,110 Australian Stock Exchange Ltd. 111,074
2,716 Babcock & Brown Ltd. 63,887
4,539 Challenger Financial Services Group Ltd. 19,661
------------
194,622
--------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services 1 Telstra Corp. Ltd. 4
- 0.0%
--------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
14
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.7% 806 Wesfarmers Ltd. $ 28,488
49,114 Woolworths Ltd. 1,456,526
------------
1,485,014
--------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 86 Futuris Corp. Ltd. 161
--------------------------------------------------------------------------------------------------------------
Health Care Equipment & Supplies - 0.0% 1,630 Ansell Ltd. 17,163
--------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 1 Symbion Health Ltd. 3
372 Sonic Healthcare Ltd. 5,428
------------
5,431
--------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.5% 294 Aristocrat Leisure Ltd. 2,881
11,935 Crown Ltd. (c) 140,949
63,951 Tabcorp Holdings Ltd. 826,818
------------
970,648
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.0% 1 CSR Ltd. 3
--------------------------------------------------------------------------------------------------------------
Insurance - 0.8% 23,353 AMP Ltd. 202,661
1 AXA Asia Pacific Holdings Ltd. 6
44,643 QBE Insurance Group Ltd. 1,296,110
3,653 Suncorp-Metway Ltd. 53,918
------------
1,552,695
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 1 Fairfax Media Ltd. 4
1 Macquarie Communications Infrastructure 5
4,435 Publishing and Broadcasting Ltd. 16,249
------------
16,258
--------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.9% 468 Alumina Ltd. 2,591
39,996 BHP Billiton Ltd. 1,398,181
32,947 BlueScope Steel Ltd. 276,566
1 Iluka Resources Ltd. 4
2,926 Newcrest Mining Ltd. 84,371
9,153 OneSteel Ltd. 49,090
------------
1,810,803
--------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 6,468 Harvey Norman Holdings Ltd. 38,228
--------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 1 Paladin Resources Ltd. (c) 6
--------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 5,545 PaperlinX Ltd. 12,848
--------------------------------------------------------------------------------------------------------------
Real Estate Investment 17,055 CFS Retail Property Trust 34,881
Trusts (REITs) - 0.4% 1 Commonwealth Property Office Fund 1
48,239 DB RREEF Trust 84,209
17,600 Goodman Group 74,904
12,512 ING Industrial Fund 27,721
87,954 Macquarie Office Trust 107,532
384 Stockland 2,819
21,606 Westfield Group 395,012
------------
727,079
--------------------------------------------------------------------------------------------------------------
Real Estate Management & 460 Lend Lease Corp., Ltd. 6,946
Development - 0.0%
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 6,337 Macquarie Airports Group 22,382
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Australia 10,630,503
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
15
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 2.3% Commercial Banks - 0.8% 503 BOC Hong Kong Holdings Ltd. $ 1,395
77,000 Hang Seng Bank Ltd. 1,576,167
------------
1,577,562
--------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.1% 8,500 Hong Kong Exchanges and Clearing Ltd. 238,287
--------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.1% 6,000 Cheung Kong Infrastructure Holdings Ltd. 22,272
18,000 HongKong Electric Holdings Ltd. 103,011
------------
125,283
--------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 2,000 Tingyi (Cayman Islands) Holding Corp. 3,193
--------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 1,000 The Hong Kong & China Gas Ltd. 3,046
--------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 19,000 Hutchison Whampoa Ltd. 214,041
--------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.0% 1,000 Tencent Holdings Ltd. 7,469
--------------------------------------------------------------------------------------------------------------
Marine - 0.0% 3,159 Orient Overseas International Ltd. 23,144
--------------------------------------------------------------------------------------------------------------
Media - 0.0% 3,000 Television Broadcasts Ltd. 17,932
--------------------------------------------------------------------------------------------------------------
Real Estate Investment 500 Link REIT 1,076
Trusts (REITs) - 0.0%
--------------------------------------------------------------------------------------------------------------
Real Estate Management & 13,000 Cheung Kong Holdings Ltd. 237,503
Development - 0.8% 7 Hang Lung Group Ltd. 38
11,000 Henderson Land Development Co., Ltd. 102,158
251,000 Hysan Development Co., Ltd. 708,923
8,000 Kerry Properties Ltd. 63,611
5,000 New World Development Ltd. 17,505
20,000 Sun Hung Kai Properties Ltd. 420,071
15,000 Wharf Holdings Ltd. (c) 77,595
------------
1,627,404
--------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor 2,000 ASM Pacific Technology Ltd. 14,538
Equipment - 0.0%
--------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.4% 59,800 Esprit Holdings Ltd. 880,571
--------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 7,321 Hopewell Holdings Ltd. 33,566
--------------------------------------------------------------------------------------------------------------
Total Common Stocks in Hong Kong 4,767,112
- -----------------------------------------------------------------------------------------------------------------------------------
Japan - 17.2% Airlines - 0.0% 8,000 All Nippon Airways Co., Ltd. 29,480
--------------------------------------------------------------------------------------------------------------
Auto Components - 0.2% 2,500 Aisin Seiki Co., Ltd. 103,506
1,100 Bridgestone Corp. 19,421
3,100 Denso Corp. 126,152
2,000 NGK Spark Plug Co., Ltd. 34,679
2,100 Sumitomo Rubber Industries, Ltd. 18,395
800 Tokai Rika Co., Ltd. 24,665
2,500 Toyota Industries Corp. 101,359
------------
428,177
--------------------------------------------------------------------------------------------------------------
Automobiles - 1.4% 20,200 Honda Motor Co., Ltd. 667,304
6 Mitsubishi Motors Corp. (c) 10
29,400 Nissan Motor Co., Ltd. 320,886
34,400 Toyota Motor Corp. 1,832,100
2,300 Yamaha Motor Co., Ltd. 55,045
------------
2,875,345
--------------------------------------------------------------------------------------------------------------
Beverages - 0.4% 48,800 Asahi Breweries Ltd. 823,158
700 Ito En, Ltd. 13,318
6,000 Kirin Holdings Co., Ltd. 88,024
------------
924,500
--------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
16
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Building Products - 0.1% 3,000 Asahi Glass Co., Ltd. $ 39,676
3,400 Daikin Industries Ltd. 189,639
100 JS Group Corp. 1,596
2,000 Sanwa Holdings Corp. 9,819
------------
240,730
-----------------------------------------------------------------------------------------------------------------
Capital Markets - 0.3% 2,000 Daiwa Securities Group, Inc. 17,955
100 Jafco Co., Ltd. 3,275
1,100 Matsui Securities Co., Ltd. 8,591
27,300 Nomura Holdings, Inc. 457,408
1 SBI E*trade Securities Co. Ltd. 907
126 SBI Holdings, Inc. 33,880
7,000 Shinko Securities Co., Ltd. 28,631
------------
550,647
-----------------------------------------------------------------------------------------------------------------
Chemicals - 0.6% 16,000 Asahi Kasei Corp. 105,592
32,000 Dainippon Ink and Chemicals, Inc. 159,537
5,000 Denki Kagaku Kogyo Kabushiki Kaisha 21,612
2,300 JSR Corp. 58,884
4,000 Kaneka Corp. 32,979
4,500 Kuraray Co., Ltd. 54,289
15,000 Mitsubishi Chemical Holdings Corp. 114,445
9,000 Mitsui Chemicals, Inc. 58,427
2,000 Nippon Kayaku Co., Ltd. 12,980
1,000 Nippon Shokubai Co., Ltd. 9,582
2,000 Nissan Chemical Industries Ltd. 26,087
6,700 Shin-Etsu Chemical Co., Ltd. 416,681
13,000 Showa Denko KK 46,170
8,000 Sumitomo Chemical Co., Ltd. 70,845
12,000 Ube Industries Ltd. 40,617
------------
1,228,727
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 2.3% 9,000 The 77 Bank Ltd. 56,000
13,000 Chuo Mitsui Trust Holdings, Inc. 99,139
454 Fukuoka Financial Group, Inc. 2,651
4,000 The Gunma Bank Ltd. 26,301
5,000 The Hachijuni Bank Ltd. 33,595
6,000 The Hiroshima Bank Ltd. 32,385
16,000 Hokuhoku Financial Group, Inc. 46,254
7,000 The Joyo Bank Ltd. 39,122
102,300 Mitsubishi UFJ Financial Group, Inc. 964,681
255 Mizuho Financial Group, Inc. 1,214,679
114 Resona Holdings, Inc. 202,082
93,000 Shinsei Bank Ltd. 337,635
7,000 The Shizuoka Bank Ltd. 76,779
184 Sumitomo Mitsui Financial Group, Inc. 1,361,651
24,000 The Sumitomo Trust & Banking Co., Ltd. 158,178
2,000 Suruga Bank Ltd. 21,757
------------
4,672,889
-----------------------------------------------------------------------------------------------------------------
Commercial Services & Supplies - 0.6% 106,700 Kokuyo Co., Ltd. 964,166
See Notes to Financial Statements.
17
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
300 Meitec Corp. $ 9,025
5,000 Secom Co., Ltd. 272,969
6,000 Toppan Printing Co., Ltd. 58,841
------------
1,305,001
-----------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.7% 149,000 Fujitsu Ltd. 996,732
900 Mitsumi Electric Co., Ltd. 30,111
25,000 NEC Corp. 114,831
100 Seiko Epson Corp. 2,130
42,000 Toshiba Corp. 309,958
------------
1,453,762
-----------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% 1,000 COMSYS Holdings Corp. 8,139
2,000 Chiyoda Corp. 22,555
3,000 JGC Corp. 51,439
1,000 Kinden Corp. 7,818
3,000 Nishimatsu Construction Co., Ltd. 8,330
18,000 Obayashi Corp. 89,897
1,000 Toda Corp. 4,794
------------
192,972
-----------------------------------------------------------------------------------------------------------------
Construction Materials - 0.0% 5,000 Sumitomo Osaka Cement Co., Ltd. 9,453
-----------------------------------------------------------------------------------------------------------------
Consumer Finance - 0.5% 29,500 Credit Saison Co., Ltd. 803,608
1,250 ORIX Corp. 210,234
4,390 Takefuji Corp. 105,442
------------
1,119,284
-----------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.0% 100 Toyo Seikan Kaisha Ltd. 1,773
-----------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.0% 10 Diamond Lease Co., Ltd. 331
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.2% 93 Nippon Telegraph & Telephone Corp. 462,297
-----------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4% 5,400 Chubu Electric Power Co., Inc. 140,373
2 Hokuriku Electric Power 42
8,000 The Kansai Electric Power Co., Inc. 186,343
100 Tohoku Electric Power Co., Inc. 2,250
21,100 The Tokyo Electric Power Co., Inc. 546,200
------------
875,208
-----------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.7% 2,000 Hitachi Cable, Ltd. 11,802
4,000 Matsushita Electric Works Ltd. 43,749
110,000 Mitsubishi Electric Corp. 1,139,289
8,700 Sumitomo Electric Industries Ltd. 137,212
------------
1,332,052
-----------------------------------------------------------------------------------------------------------------
Electronic Equipment & Instruments - 1.2% 2,000 Alps Electric Co., Ltd. 25,838
4,730 Citizens Holding Co. Ltd. 45,935
9,300 Fuji Photo Film Co., Ltd. 389,256
300 Hirose Electric Co., Ltd. 34,428
193,000 Hitachi Ltd. 1,433,865
5,700 Hoya Corp. 180,343
1,700 Ibiden Co., Ltd. 117,553
800 Kyocera Corp. 70,699
1,200 Murata Manufacturing Co., Ltd. 68,910
See Notes to Financial Statements.
18
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
100 Nidec Corp. $ 7,225
400 TDK Corp. 29,461
------------
2,403,513
-----------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.2% 400 Circle K Sunkus Co., Ltd. 5,912
800 FamilyMart Co., Ltd. 25,052
600 Matsumotokiyoshi Holdings Co. Ltd. (c) 14,609
13,536 Seven & I Holdings Co. Ltd. 393,254
------------
438,827
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.2% 19,000 Ajinomoto Co., Inc. 215,028
2,000 Meiji Dairies Corp. 10,189
33,000 Nichirei Corp. 135,888
1,000 Nippon Meat Packers, Inc. 10,092
2,000 Nisshin Seifun Group, Inc. 20,109
900 QP Corp. 9,361
1,000 Yamazaki Baking Co., Ltd. 9,760
------------
410,427
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 400 Alfresa Holdings Corp. 24,117
2,000 Mediceo Paltac Holdings Co., Ltd. 29,517
900 Suzuken Co., Ltd. 32,035
------------
85,669
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.9% 1,600 Makita Corp. 66,891
49,000 Matsushita Electric Industrial Co., Ltd. 1,004,053
4,850 Sharp Corp. 86,515
13,390 Sony Corp. 729,526
------------
1,886,985
-----------------------------------------------------------------------------------------------------------------
IT Services - 0.0% 400 TIS, Inc. 6,879
-----------------------------------------------------------------------------------------------------------------
Insurance - 0.3% 13,033 Millea Holdings, Inc. 437,550
15,000 Mitsui Sumitomo Insurance Co., Ltd. 145,232
------------
582,782
-----------------------------------------------------------------------------------------------------------------
Internet Software & Services - 0.0% 1 Yahoo! Japan Corp. 446
-----------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products - 0.0% 2,500 Yamaha Corp. 57,041
-----------------------------------------------------------------------------------------------------------------
Machinery - 0.6% 2,600 Fanuc Ltd. 252,065
800 GLORY Ltd. 18,383
3,000 Hino Motors Ltd. 19,389
1,300 Hitachi Construction Machinery Co., Ltd. 38,590
19,000 IHI Corp. 39,232
2,500 JTEKT Corp. 44,682
2,000 Kawasaki Heavy Industries Ltd. 5,851
11,800 Komatsu Ltd. 316,466
1,000 Komori Corp. 22,036
15,000 Kubota Corp. 100,943
23,000 Mitsubishi Heavy Industries Ltd. 97,735
4,000 NGK Insulators Ltd. 107,245
2,000 OKUMA Corp. 21,165
7,000 Sumitomo Heavy Industries Ltd. 63,823
See Notes to Financial Statements.
19
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
1,600 THK Co., Ltd. $ 32,338
------------
1,179,943
-----------------------------------------------------------------------------------------------------------------
Marine - 0.1% 1,000 Kawasaki Kisen Kaisha Ltd. 9,708
15,000 Mitsui OSK Lines Ltd. 189,634
3,000 Nippon Yusen Kabushiki Kaisha 23,634
------------
222,976
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 1 Fuji Television Network, Inc. 1,645
-----------------------------------------------------------------------------------------------------------------
Metals & Mining - 0.6% 4,000 Dowa Mining Co., Ltd. 27,780
7,600 JFE Holdings, Inc. 381,096
14,100 Mitsubishi Materials Corp. 59,538
6,000 Mitsui Mining & Smelting Co., Ltd. 23,882
5,000 Nippon Light Metal Co., Ltd. 8,658
78,000 Nippon Steel Corp. 477,433
11,000 Nisshin Steel Co., Ltd. 38,007
34,300 Sumitomo Metal Industries Ltd. 156,852
7,000 Sumitomo Metal Mining Co., Ltd. 118,346
800 Tokyo Steel Manufacturing Co., Ltd. 8,846
------------
1,300,438
-----------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.0% 2,700 Isetan Co., Ltd. 36,370
4,000 Takashimaya Co., Ltd. 48,204
------------
84,574
-----------------------------------------------------------------------------------------------------------------
Office Electronics - 0.4% 2 Brother Industries Ltd. 26
13,200 Canon, Inc. 604,119
11,000 Ricoh Co., Ltd. 200,820
------------
804,965
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.2% 35 Cosmo Oil Co., Ltd. 129
11 Inpex Holdings, Inc. 119,378
1,500 Nippon Mining Holdings, Inc. 9,514
16,000 Nippon Oil Corp. 129,350
2,500 Showa Shell Sekiyu KK 27,598
4,000 TonenGeneral Sekiyu KK 39,332
------------
325,301
-----------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.0% 2 Nippon Paper Group, Inc. 6,025
-----------------------------------------------------------------------------------------------------------------
Personal Products - 0.0% 300 Aderans Co., Ltd. 4,719
300 Kose Corp. 7,980
------------
12,699
-----------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 1.1% 27,900 Astellas Pharma, Inc. 1,210,040
7,100 Daiichi Sankyo Co. Ltd. 218,459
900 Eisai Co., Ltd. 35,224
2,000 Kyowa Hakko Kogyo Co., Ltd. 21,360
700 Santen Pharmaceutical Co., Ltd. 17,137
2,000 Taisho Pharmaceutical Co., Ltd. 38,488
12,800 Takeda Pharmaceutical Co., Ltd. 747,787
------------
2,288,495
-----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 0.2% 5 Japan Real Estate Investment Corp. 62,055
48 Japan Retail Fund Investment Corp. 340,376
6 Nippon Building Fund, Inc. 83,789
3 Nomura Real Estate Office Fund, Inc. 28,231
------------
514,451
-----------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
20
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 0.2% 1,600 Leopalace21 Corp. $ 42,988
15,000 Mitsubishi Estate Co., Ltd. 357,374
3 Urban Corp. 40
------------
400,402
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.4% 20 Central Japan Railway Co. 170,001
43 East Japan Railway Co. 353,698
6,000 Keio Electric Railway Co., Ltd. 36,337
1,000 Kintetsu Corp. 3,101
10,000 Nippon Express Co., Ltd. 51,021
8,000 Odakyu Electric Railway Co., Ltd. 50,894
2,000 Seino Holdings Corp. 13,458
9,000 Tobu Railway Co., Ltd. 41,903
------------
720,413
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment - 0.4% 100 Advantest Corp. 2,828
500 NEC Electronics Corp. (c) 11,849
200 Rohm Co., Ltd. 17,351
1,000 Sanken Electric Co., Ltd. 5,317
22,000 Sumco Corp. 625,741
2,300 Tokyo Electron Ltd. 139,775
------------
802,861
-----------------------------------------------------------------------------------------------------------------
Software - 0.7% 13,100 Konami Corp. 429,662
1,300 Nintendo Co., Ltd. 763,298
100 Oracle Corp. Japan 4,391
3 Square Enix Co. Ltd. 91
4,500 Trend Micro, Inc. 160,059
------------
1,357,501
-----------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.0% 200 Autobacs Seven Co., Ltd. 4,029
600 Shimachu Co., Ltd. 16,905
10 USS Co., Ltd. 621
------------
21,555
-----------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods - 0.0% 2,000 Gunze Ltd. 8,748
2,000 Onward Holdings Co., Ltd. 20,460
------------
29,208
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.6% 100 Hitachi High-Technologies Corp. 2,171
19,000 Itochu Corp. 183,343
21,000 Marubeni Corp. 147,147
8,700 Mitsubishi Corp. 235,463
19,000 Mitsui & Co., Ltd. 396,770
15,200 Sumitomo Corp. 212,669
------------
1,177,563
-----------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Services - 0.4% 30 KDDI Corp. 221,972
217 NTT DoCoMo, Inc. 357,249
10,100 Softbank Corp. 207,149
------------
786,370
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Japan 35,612,582
- -----------------------------------------------------------------------------------------------------------------------------------
New Zealand -
0.1% Construction Materials - 0.0% 6,585 Fletcher Building Ltd. 58,105
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.0% 25,116 Telecom Corp. of New Zealand Ltd. 83,901
-----------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
21
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure - 0.1% 39,453 Sky City Ltd. $ 139,388
-----------------------------------------------------------------------------------------------------------------
Household Durables - 0.0% 2,277 Fisher & Paykel Appliances Holdings Ltd. 5,998
-----------------------------------------------------------------------------------------------------------------
Media - 0.0% 2,804 Sky Network Television Ltd. 12,915
-----------------------------------------------------------------------------------------------------------------
Transportation Infrastructure - 0.0% 44 Auckland International Airport Ltd. 98
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in New Zealand 300,405
- -----------------------------------------------------------------------------------------------------------------------------------
Singapore - 1.3% Airlines - 0.2% 33,466 Singapore Airlines Ltd. 402,034
-----------------------------------------------------------------------------------------------------------------
Commercial Banks - 0.2% 53,134 Oversea-Chinese Banking Corp. 302,837
-----------------------------------------------------------------------------------------------------------------
Distributors - 0.0% 2,099 Jardine Cycle & Carriage Ltd. 31,342
-----------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Services - 0.1% 83,726 Singapore Telecommunications Ltd. 230,353
-----------------------------------------------------------------------------------------------------------------
Food Products - 0.0% 3 Wilmar International Ltd. 11
-----------------------------------------------------------------------------------------------------------------
Health Care Providers & Services - 0.0% 7,000 Parkway Holdings Ltd. 19,023
-----------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - 0.1% 528 Fraser and Neave Ltd. 2,139
14,912 Keppel Corp. Ltd. 132,876
12,000 SembCorp Industries Ltd. 47,695
------------
182,710
-----------------------------------------------------------------------------------------------------------------
Marine - 0.0% 6,000 Neptune Orient Lines Ltd. 16,129
-----------------------------------------------------------------------------------------------------------------
Media - 0.5% 361,000 Singapore Press Holdings Ltd. 1,120,833
-----------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 0.0% 3,000 Singapore Petroleum Co. Ltd. 15,662
-----------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) - 0.0% 14,000 Capita Commercial Trust 23,469
-----------------------------------------------------------------------------------------------------------------
Real Estate Management & Development - 0.2% 154,884 Allgreen Properties Ltd. 157,806
22,000 CapitaLand Ltd. 94,653
5,000 Keppel Land Ltd. 25,017
20,600 Wing Tai Holdings Ltd. 38,094
------------
315,570
-----------------------------------------------------------------------------------------------------------------
Road & Rail - 0.0% 4,969 SMRT Corp. Ltd. 5,765
-----------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Equipment - 0.0% 1 Chartered Semiconductor
Manufacturing Ltd. (c) 1
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.0% 14,000 Noble Group Ltd. 23,291
-----------------------------------------------------------------------------------------------------------------
Total Common Stocks in Singapore 2,689,030
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks in the
Pacific Basin/Asia - 26.0% 53,999,632
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $158,192,601) - 89.6% 185,937,173
- -----------------------------------------------------------------------------------------------------------------------------------
North America Exchange-Traded Funds
- -----------------------------------------------------------------------------------------------------------------------------------
United States -
1.9% 50,140 iShares MSCI EAFE Index Fund (d) 3,940,503
-----------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost - $3,538,487) - 1.9% 3,940,503
- -----------------------------------------------------------------------------------------------------------------------------------
Europe Preferred Stocks
- -----------------------------------------------------------------------------------------------------------------------------------
Germany - 0.6% Automobiles - 0.1% 923 Volkswagen AG, 4.35% 135,632
-----------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.5% 9,305 RWE AG, 3.50% 1,131,337
-----------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(Cost - $1,109,801) - 0.6% 1,266,969
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
22
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
Shares
Industry Held Rights Value
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia
- ------------------------------------------------------------------------------------------------------------------------------------
Hong Kong - 0.0% Real Estate Management & Development - 0.0% 1,875 Wharf Holdings Ltd. (f) $ 2,573
-----------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $0) - 0.0% 2,573
- ------------------------------------------------------------------------------------------------------------------------------------
Face
Amount Fixed Income Securities
- ------------------------------------------------------------------------------------------------------------------------------------
Europe
- ------------------------------------------------------------------------------------------------------------------------------------
France - 0.1% Airlines - 0.0% EUR 38,950 Societe Air France, 2.75% due
4/01/2020 (a) 77,541
-----------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.1% 113,260 Alcatel SA, 4.75% due 1/01/2011 (a) 152,794
-----------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in France 230,335
- ------------------------------------------------------------------------------------------------------------------------------------
Luxembourg -
0.2 % Diversified Financial Services - 0.2% USD 66,000 Glencore Finance (Europe) SA,
4.125% due 10/06/2010 (a) 386,331
-----------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in
Luxembourg 386,331
- ------------------------------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in
Europe - 0.3% 616,666
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Basin/Asia
- ------------------------------------------------------------------------------------------------------------------------------------
Japan - 0.2% Air Freight & Logistics - 0.0% JPY 3,000,000 Yamato Transport Yamtra Series 7, 1.20% 36,483
due 9/30/2009 (a)
-----------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.0% 5,000,000 Tokyo Gas Co. Ltd. Series 5,
1.20% due 3/31/2009 (a) 69,108
-----------------------------------------------------------------------------------------------------------------
Trading Companies & Distributors - 0.2% 5,000,000 Mitsubishi Corp., 0% due 6/17/2011 (a) 115,764
5,000,000 Mitsui & Co. Ltd. Series 6,
1.05% due 9/30/2009 (a) 120,526
------------
236,290
-----------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities in the
Pacific Basin/Asia - 0.2% 341,881
- ------------------------------------------------------------------------------------------------------------------------------------
Total Fixed Income Securities
(Cost - $668,044) - 0.5% 958,547
- ------------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Short-Term Securities
- ------------------------------------------------------------------------------------------------------------------------------------
USD 8,374,331 BlackRock Liquidity Series,
LLC Cash Sweep Series, 5.04% (b)(e) 8,374,331
- ------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $8,374,331) - 4.0% 8,374,331
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $171,883,264*) - 96.6% 200,480,096
Other Assets Less Liabilities - 3.4% 7,077,278
------------
Net Assets - 100.0% $207,557,374
============
* 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 $ 177,626,541
==============
Gross unrealized appreciation $ 27,319,501
Gross unrealized depreciation (4,465,946)
--------------
Net unrealized appreciation $ 22,853,555
==============
See Notes to Financial Statements.
23
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
(a) Convertible security.
(b) Investments in companies considered to be an affiliate of the
Series, for purposes of Section 2(a)(3) of the Investment Company
Act of 1940, were as follows:
--------------------------------------------------------------------
Interest
Affiliate Net Activity Income
--------------------------------------------------------------------
BlackRock Liquidity Series,
LLC Cash Sweep Series $ 328,639 $ 296,775
--------------------------------------------------------------------
(c) Non-income producing security.
(d) All or a portion of security held as collateral in connection with
open financial futures contracts.
(e) Represents the current yield as of December 31, 2007.
(f) The rights may be exercised until January 4, 2008.
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 Forward foreign exchange contracts as of December 31, 2007 were as
follows:
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------
Unrealized
Appreciation
Foreign Currency Purchased Foreign Currency Sold Settlement Date (Depreciaion)
- ------------------------------------------------------------------------------------------
DKK 160,000 USD 31,569 1/02/08 $ (196)
HKD 1,160,000 USD 148,663 1/02/08 117
AUD 260,000 USD 225,621 2/12/08 2,102
AUD 1,812,000 USD 1,658,701 2/12/08 (71,652)
CHF 566,000 USD 500,013 2/12/08 1,271
CHF 967,000 USD 859,498 2/12/08 (3,064)
DKK 220,000 USD 43,234 2/12/08 (72)
EUR 3,323,000 USD 4,880,821 2/12/08 (19,279)
EUR 350,000 USD 511,211 2/12/08 838
GBP 1,389,000 USD 2,907,486 2/12/08 (145,892)
GBP 639,000 USD 1,284,430 2/12/08 (13,977)
JPY 349,119,000 USD 3,127,053 2/12/08 13,062
JPY 128,800,000 USD 1,168,176 2/12/08 (9,698)
SEK 2,420,000 USD 379,172 2/12/08 (4,594)
SEK 650,000 USD 101,953 2/12/08 (1,343)
USD 57,993 AUD 66,000 2/12/08 187
USD 371,253 AUD 430,000 2/12/08 (5,364)
USD 360,371 CHF 400,000 2/12/08 6,107
USD 619,923 CHF 683,000 2/12/08 15,018
USD 43,271 DKK 220,000 2/12/08 109
USD 215,900 EUR 150,000 2/12/08 (3,550)
USD 1,926,610 EUR 1,304,000 2/12/08 18,860
USD 756,238 GBP 370,000 2/12/08 20,608
USD 2,175,544 GBP 1,063,000 2/12/08 62,100
USD 1,063,021 JPY 114,800,000 2/12/08 30,464
USD 1,070,416 JPY 116,800,000 2/12/08 19,870
USD 272,931 SEK 1,740,000 2/12/08 3,606
USD 210,698 SEK 1,330,000 2/12/08 4,835
- ------------------------------------------------------------------------------------------
Total Unrealized Depreciation on Forward Foreign Exchange Contracts - Net $ (79,527)
=============
See Notes to Financial Statements.
24
Master Enhanced International Series
Schedule of Investments as of December 31, 2007 (in U.S. dollars)
- --------------------------------------------------------------------------------
o Financial futures purchased as of December 31, 2007 were as follows:
- --------------------------------------------------------------------------------------------------
Unrealized
Number of Expiration Face Appreciation
Contracts Issue Exchange Date Value (Depreciation)
- --------------------------------------------------------------------------------------------------
1 Hang Seng Index Future Hong Kong January 2008 $ 175,877 $ 3,093
32 OMX Stock Index Future Stockholm January 2008 $ 529,912 6,664
4 DAX Index 25 Euro Eurex March 2008 $ 1,163,849 26,920
71 DJ Euro Stoxx 50 Eurex March 2008 $ 4,558,624 45,160
22 FTSE 100 Index Future London Finance March 2008 $ 2,783,974 42,883
18 SPI 200 Index Future Sydney March 2008 $ 2,474,174 34,057
33 TOPIX Index Future Tokyo March 2008 $ 4,516,853 (174,553)
- --------------------------------------------------------------------------------------------------
Total Unrealized Depreciation - Net $ (15,776)
===============
o Currency Abbreviations:
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
SEK Swedish Krona
USD U.S. Dollar
See Notes to Financial Statements.
25
Master Enhanced International Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------
Assets: Investments in unaffiliated securities, at value
(identified cost - $163,508,933) .............................. $ 192,105,765
Investments in affiliated securities, at value
(identified cost - $8,374,331) ................................ 8,374,331
Foreign cash (cost - $6,267,623) ................................. 6,234,815
Unrealized appreciation on forward foreign exchange contracts .... 199,154
Receivables:
Dividends ..................................................... $ 507,911
Contributions ................................................. 458,109
Securities sold ............................................... 381,029
Investment adviser ............................................ 38,550
Interest ...................................................... 11,321 1,396,920
-------------
Prepaid expenses ................................................. 5,194
----------------
Total assets ..................................................... 208,316,179
----------------
- -------------------------------------------------------------------------------------------------------------------
Liabilities: Bank overdraft ................................................... 27,880
Unrealized depreciation on forward foreign exchange contracts .... 278,681
Payables:
Variation margin .............................................. 152,129
Securities purchased .......................................... 151,197
Withdrawals ................................................... 75,029
Other affiliates .............................................. 1,643 379,998
-------------
Accrued expenses and other liablities ............................ 72,246
----------------
Total liabilities ................................................ 758,805
----------------
- -------------------------------------------------------------------------------------------------------------------
Net Assets: Net assets ....................................................... $ 207,557,374
================
- -------------------------------------------------------------------------------------------------------------------
Net Assets Investors' capital ............................................... $ 179,063,342
Consist of: Unrealized appreciation-net ...................................... 28,494,032
----------------
Net Assets ....................................................... $ 207,557,374
================
- -------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
26
Master Enhanced International Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2007
- -------------------------------------------------------------------------------------------------------------------
Investment Dividends (net of $398,867 foreign withholding tax) .............. $ 4,765,846
Income: Interest (including $296,775 from affiliates
and net of $68 foreign withholding tax) ....................... 361,982
----------------
Total income ..................................................... 5,127,828
----------------
- -------------------------------------------------------------------------------------------------------------------
Expenses: Custodian fees ................................................... $ 152,348
Professional fees ................................................ 62,497
Pricing fees ..................................................... 52,463
Accounting services .............................................. 35,380
Investment advisory fees ......................................... 18,659
Printing and shareholder reports ................................. 7,837
Directors fees and expenses ...................................... 6,327
Other ............................................................ 9,928
-------------
Total expenses before reimbursement .............................. 345,439
Reimbursement of expenses ........................................ (121,525)
-------------
Total expenses after reimbursement ............................... 223,914
----------------
Investment income-net ............................................ 4,903,914
----------------
- -------------------------------------------------------------------------------------------------------------------
Realized & Realized gain (loss) on:
Unrealized Investments-net ............................................... 14,607,556
Gain (Loss) - Financial futures contracts-net ............................... (207,111)
Net: Foreign currency transactions-net ............................. 778,484 15,178,929
-------------
Change in unrealized appreciation/depreciation on:
Investments-net ............................................... (3,899,839)
Financial futures contracts-net ............................... (256,014)
Foreign currency transactions-net ............................. (190,068) (4,345,921)
------------- ----------------
Total realized and unrealized gain-net ........................... 10,833,008
----------------
Net Increase in Net Assets Resulting from Operations ............. $ 15,736,922
================
- -------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
27
Master Enhanced International Series
STATEMENTS OF CHANGES IN NET ASSETS
For the
Year Ended
December 31,
--------------------------------
Increase (Decrease) in Net Assets: 2007 2006
- --------------------------------------------------------------------------------------------------------------------
Operations: Investment income-net ............................................ $ 4,903,914 $ 3,189,783
Realized gain-net ................................................ 15,178,929 21,892,084
Change in unrealized appreciation/depreciation-net ............... (4,345,921) 4,471,335
---------------- --------------
Net increase in net assets resulting from operations ............. 15,736,922 29,553,202
---------------- --------------
- --------------------------------------------------------------------------------------------------------------------
Capital Proceeds from contributions ...................................... 93,327,459 62,906,833
Transactions: Fair value of withdrawals ........................................ (57,637,724) (34,303,285)
---------------- --------------
Net increase in net assets derived from capital transactions ..... 35,689,735 28,603,548
---------------- --------------
- --------------------------------------------------------------------------------------------------------------------
Net Assets: Total increase in net assets ..................................... 51,426,657 58,156,750
Beginning of year ................................................ 156,130,717 97,973,967
---------------- --------------
End of year ...................................................... $ 207,557,374 $ 156,130,717
================ ==============
- --------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
28
Master Enhanced International Series
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------------------------------------------------
The following ratios have
been derived from For the Year Ended December 31,
information provided in the ---------------------------------------------------------------
financial statements. 2007 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------
Total Total investment return ............... 9.60% 27.09% 13.38% 20.79% 38.45%
========== ========== ========== ============ =============
Investment
Return:
- ------------------------------------------------------------------------------------------------------------------------
Ratios to Expenses, net of
Average Net reimbursement ...................... .12% .17% .19% .07% .09%
Assets: ========== ========== ========== ============ =============
Expenses .............................. .19% .27% .19% .07% .09%
========== ========== ========== ============ =============
Investment income-net ................. 2.63% 2.62% 1.95% 2.38% 2.55%
========== ========== ========== ============ =============
- ------------------------------------------------------------------------------------------------------------------------
Supplemental Net assets,
Data: end of year (in thousands) ......... $ 207,557 $ 156,131 $ 97,974 $ 1,197,688 $ 1,065,822
========== ========== ========== ============ =============
Portfolio turnover .................... 126% 145% 67% 91% 91%
========== ========== ========== ============ =============
- ------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
29
Master Enhanced International Series
Notes to Financial Statements
1. Significant Accounting Policies:
Master Enhanced International Series (the "Series"), a non-diversified
management investment company, is part of Quantitative Master Series LLC (the
"Master LLC"). The Master LLC is registered under the Investment Company Act of
1940, as amended, and is organized as a Delaware limited liability company.
Prior to June 15, 2007, the Master LLC was organized as a Delaware statutory
trust (the "Trust"). The Limited Liability Company Agreement permits the
directors (and prior to June 15, 2007, the Declaration of Trust permitted the
Trustees) to issue non-transferable interests in the Series, subject to certain
limitations. Throughout this report, the Trust and the Master LLC are referred
to as the Master LLC and the Board of Trustees of the Trust and the Board of
Directors of the Master LLC are referred to as the Board of Directors. The
Series' financial statements are prepared in conformity with U.S. generally
accepted accounting principles, which may require the use of management accruals
and estimates. Actual results may differ from these estimates. The following is
a summary of significant accounting policies followed by the Series.
(a) Valuation of investments - Equity securities that are held by the Series
that are traded on stock exchanges or the NASDAQ Global Market are valued at the
last sale price or official close price on the exchange, as of the close of
business on the day the securities are being valued or, lacking any sales, at
the last available bid price for long positions, and at the last available asked
price for short positions. In cases where equity securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Directors. Long
positions traded in the over-the-counter ("OTC") 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 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 other short-term investment vehicles is generally based on the net asset
value of the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of 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 are generally determined as of the close of business on the NYSE.
Occasionally, events affecting the values of such securities and such exchange
rates may occur between the times at which they are determined and the close of
business on the NYSE that may not be reflected in the computation of the Series'
net assets. If events (for example, a company announcement, market volatility or
a natural disaster) occur during such periods that are expected to materially
affect the value of such securities, those securities will be valued at their
fair value as determined in good faith by the Board of Directors or by BlackRock
Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., using a pricing service and/or procedures approved by the Board
of Directors.
(b) Derivative financial instruments - The Series may engage in various
portfolio investment strategies to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract due to an unfavorable change in the price
of the underlying security or if the counterparty does not perform under the
contract. The counterparty, for certain instruments, may pledge cash or
securities as collateral.
o Financial futures contracts - The Series may purchase or sell
financial futures contracts and options on such financial futures
contracts. Financial futures contracts are contracts for delayed
delivery of securities at a specific future date
30
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.
o Forward foreign exchange contracts - The Series may enter into
forward foreign exchange contracts as a hedge against either
specific transactions or portfolio positions. The contract is
marked-to-market daily and the change in market value is recorded by
the Series as an unrealized gain or loss. When the contract is
closed, the Series records a realized gain or loss equal to the
difference between the value at the time it was opened and the value
at the time it was closed.
o Foreign currency options and futures - The Series may also purchase
or sell listed or OTC foreign currency options, foreign currency
futures and related options on foreign currency futures as a short
or long hedge against possible variations in foreign exchange rates.
Such transactions may be effected with respect to hedges on non-U.S.
dollar-denominated securities owned by the Series, sold by the
Series but not yet delivered, or committed or anticipated to be
purchased by the Series.
(c) Foreign currency transactions - Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into U.S. dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates on investments.
The Series invests in foreign securities, which may involve a number of risk
factors and special considerations, not present with investments in securities
of U.S. corporations.
(d) Income taxes - The Series is classified as a partnership for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. It is
intended that the Series' assets will be managed so an investor in the Series
can satisfy the requirements of Subchapter M of the Internal Revenue Code.
(e) Security transactions and investment income - Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Series has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(f) Securities lending - The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable lending agent, administrative and
custodial fees in
31
connection with its loans. In the event that the borrower defaults on its
obligation to return borrowed securities because of insolvency or for any other
reason, the Series also could suffer a loss where the value of the collateral
falls below the market value of the borrowed securities, in the event of
borrower default or in the event of losses on investments made with cash
collateral.
(g) Recent accounting pronouncements - Effective June 29, 2007, the Series
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109" ("FIN 48"). FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for
uncertainties in income tax positions taken or expected to be taken by an
entity, including investment companies, before being measured and recognized in
the financial statements. Management has evaluated the application of FIN 48 to
the Series, and has determined that the adoption of FIN 48 does not have a
material impact on the Series' financial statements. The Series files U.S.
federal and various state and local tax returns. No income tax returns are
currently under examination. The statute of limitations on the Series' U.S.
federal tax returns remains open for the years ended December 31, 2004 through
December 31, 2006. The statute of limitations on the Series' state and local tax
returns may remain open for an additional year depending upon the jurisdiction.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. The impact on the Series' financial statement disclosures, if any,
is currently being assessed.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. The impact on the Series' financial
statement disclosures, if any, is currently being assessed.
(h) Bank overdraft - The Fund recorded a bank overdraft, which resulted from
management estimates of available cash.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Master LLC, on behalf of the Series, has entered into an Investment Advisory
Agreement with the Manager. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The
PNC Financial Services Group, Inc. are the principal owners of BlackRock, Inc.
The Manager is responsible for the management of the Series' 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. The Manager has agreed to a voluntary waiver with the
Series under which the expenses incurred by the Series will not exceed .12%.
This waiver is in place until December 31, 2007. For the year ended December 31,
2007, the Manager earned fees of $18,659, all of which were waived. Also, the
Manager reimbursed the Series in the amount of $102,866 in additional operating
expenses.
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the sub-adviser for services it provides a monthly fee at
an annual rate that is a percentage of the management fee paid by the Series to
the Manager.
In addition, Merrill Lynch, Pierce, Fenner & Smith Incorporated, a wholly owned
subsidiary of Merrill Lynch, received $10,957 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 $3,447
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 $254,964,453 and $221,551,247, respectively.
32
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 renewed for one year under
substantially the same terms.
5. Commitments:
At December 31, 2007, the Series entered into foreign exchange contracts under
which it had agreed to sell various foreign currencies with approximate values
of $146,000.
33
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 International 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
Enhanced International Series of Quantitative Master Series LLC as of December
31, 2007, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended, and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 27, 2008
34
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 35 Funds None
40 East 52nd Street present the Columbia University Graduate 81 Portfolios
New York, NY 10022 School of Business since 1991;
1940 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 2007 to Professor Emeritus of Finance, School 35 Funds None
and Co- present of Business, State University of New 81 Portfolios
40 East 52nd Street Chairman of York at Albany since 2000 and
New York, NY 10022 the Board of Professor thereof from 1989 to 2000;
1940 Directors International Consultant, Urban
Institute, Washington, D.C. from 1995
to 1999.
Dr. Matina Horner Director 2007 to Executive Vice President of Teachers 35 Funds NSTAR
40 East 52nd Street present Insurance and Annuity Association and 81 Portfolios (electric and
New York, NY 10022 College Retirement Equities Fund from gas utility)
1939 1989 to 2003.
Rodney D. Johnson Director 2007 to President, Fairmount Capital 35 Funds None
40 East 52nd Street and Co- present Advisors, Inc. since 1987; Director, 81 Portfolios
New York, NY 10022 Chairman of Fox Chase Cancer Center since 2002;
1941 the Board of Member of the Archdiocesan Investment
Directors Committee of the Archdioceses of
Philadelphia since 2003.
35
Herbert I. London Director 2007 to Professor Emeritus, New York 35 Funds AIMS
40 East 52nd Street and Member present University since 2005; John M. Olin 81 Portfolios Worldwide,
New York, NY 10022 of the Audit Professor of Humanities, New York Inc.
1939 Committee University from 1993 to 2005 and (marketing)
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.
36
Cynthia A. Director 2007 to Professor, Harvard Business School 35 Funds Newell
Montgomery present since 1989; Associate Professor, J.L. 81 Portfolios Rubbermaid,
40 East 52nd Street Kellogg Graduate School of Inc. (manufacturing)
New York, NY 10022 Management, Northwestern University
1952 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 35 Funds Greenlight
40 East 52nd Street present (private investment company) since 81 Portfolios Capital Re,
New York, NY 10022 2002; Director, Jones and Brown Ltd.
1947 (Canadian insurance broker) since (reinsurance
1998; Director, Greenlight Capital 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.
37
Robert C. Robb, Director 2007 to Partner, Lewis, Eckert, Robb and 35 Funds None
Jr. present Company (management and financial 81 Portfolios
consulting firm) since 1981; Trustee,
40 East 52nd Street Medical College of Pennsylvania/
New York, NY 10022 Hahnemann University from 1998 to
1945 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 35 Funds A.P. Pharma,
40 East 52nd Street and Vice present President - General Partner since 81 Portfolios Inc. (specialty
New York, NY 10022 Chairman of 1990, Founders Investments Ltd. pharmaceuticals)
1938 the (private investments); Director,
Performance Forward Management, LLC since 2007;
Oversight Trustee, SSR Funds from 1990 to 2005;
Committee Trustee, Metropolitan Series Funds,
Inc. from 2001 to 2005.
Kenneth L. Urish Director and 2007 to Managing Partner, Urish Popeck & Co., 35 Funds None
40 East 52nd Street Chairman of present LLC (certified public accountants and 81 Portfolios
New York, NY 10022 the Audit consultants) since 1976; External
1951 Committee 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.
38
Frederick W. Director 2007 to Professor and Dean Emeritus of the 35 Funds None
Winter and Member present Joseph M. Katz School of Business - 81 Portfolios
40 East 52nd Street of the Audit University of Pittsburgh since 2005
New York, NY 10022 Committee and Dean therof from 1997 to 2005;
1945 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.
39
Interested
Directors*
Richard S. Davis Director 2007 to Managing Director, BlackRock, Inc. 184 Funds None
40 East 52nd Street present since 2005; Chief Executive Officer, 289 Portfolios
New York, NY 10022 State Street Research & Management
1945 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.
Henry Gabbay Director 2007 to Consultant, BlackRock, Inc. since 183 Funds None
40 East 52nd Street present 2007; Managing Director, BlackRock, 288 Portfolios
New York, NY 10022 Inc. from 1989 to June 2007; Chief
1947 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.
40
Advisory Board
Member
David R. Wilmerding, Jr. * Advisory 2007 Chairman, Wilmerding & Associates, 35 Funds Chestnut
40 East 52nd Street Board Inc. (investment advisers) from 1989 81 Portfolios Street
New York, NY 10022 Member to 2005; Chairman, Coho Partners, Exchange Fund
1935 Ltd. (investment advisers) from 2003 (open-end
to 2005. Director, Beaver Management investment
Corporation. company)
* David R. Wilmerding, Jr. resigned from the Advisory Board of the Master LLC,
effective December 31, 2007.
Master LLC Officers *
Donald C. Burke Fund President and 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Managing
40 East 52nd Street Chief Executive present Director of Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund
New York, NY 10022 Officer Asset Management, L.P. ("FAM") in 2006; First Vice President thereof
1960 from 1997 to 2005; Treasurer thereof from 1999 to 2006 and Vice
President thereof from 1990 to 1997.
Anne F. Ackerley Vice President 2007 to Managing Director of BlackRock, Inc. since 2000 and First Vice
40 East 52nd Street present President and Chief Operating Officer of Mergers and Acquisitions
New York, NY 10022 Group from 1997 to 2000; First Vice President and Chief Operating
1962 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.
41
Neal J. Andrews Chief 2007 to Managing Director of BlackRock Inc. since 2006; Formerly Senior Vice
40 East 52nd Street Financial present President and Line of Business Head of Fund Accounting and
New York, NY 10022 Officer Administration at PFPC Inc. from 1992 to 2006.
1966
Jay M. Fife Treasurer 2007 to Managing Director of BlackRock, Inc. since 2007 and Director in 2006;
40 East 52nd Street present Formerly Assistant Treasurer of the MLIM/FAM advised funds from 2005
New York, NY 10022 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
1970
Brian P. Kindelan Chief 2007 to Chief Compliance Officer of the Funds since 2007; Managing Director
40 East 52nd Street Compliance present and Senior Counsel thereof since 2005; Director and Senior Counsel of
New York, NY 10022 Officer BlackRock Advisors, Inc. from 2001 to 2004 and Vice President and
1959 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 General Counsel of U.S. Funds
40 East 52nd Street present at BlackRock, Inc. since 2006; Formerly General Counsel (U.S.)of
New York, NY Goldman Sachs Asset Management, L.P. from 1993 to 2006.
10022
1965
* Officers of the Master LLC serve at the pleasure of the Board of Directors.
42
- --------------------------------------------------------------------------------
Proxy Results
- --------------------------------------------------------------------------------
During the six-month period ended December 31, 2007, the holders of interests of
Master Enhanced International 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 Unit 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 117,766,717 0
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
43
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.
- --------------------------------------------------------------------------------
44
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 Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year
Entity Name End End End End End End End End
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Master Enhanced
International Series of
Quantitative Master
Series LLC $45,300 $45,300 $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 Year Previous Fiscal Year
Entity Name End End
---------------------------------------------------------------------
---------------------------------------------------------------------
Master Enhanced
International 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 International Series of Quantitative Master Series
LLC
By: /s/ Donald C. Burke
-------------------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
Master Enhanced International 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 International 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 International Series of Quantitative Master
Series LLC
Date: February 21, 2008