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 Extended Market Index Series of Quantitative Master Series
LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive Officer,
Master Extended Market Index Series of Quantitative Master Series LLC, 800
Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011,
Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (800) 441-7762
Date of fiscal year end: 12/31/2007
Date of reporting period: 01/01/2007 - 12/31/2007
Item 1 - Report to Stockholders
Master Extended Market Index Series of Quantitative Master Series LLC
Annual Report, December 31, 2007
PORTFOLIO MANAGEMENT COMMENTARY
How did the Series perform?
o For the fiscal year ended December 31, 2007, the Extended Market
Index Series generated returns that were comparable to that of the
benchmark Wilshire 4500 (Full Cap) Index, as the Series had a total
return of +5.22% compared to +5.77% for the Index.
o The Wilshire 4500 (Full Cap) Index measures the performance of
stocks in the Wilshire 5000 (Full Cap) Index minus the stocks found
in the Standard & Poor's 500 (S&P 500(R)) Index. As the value of the
Wilshire 4500 (Full Cap) Index fluctuated during the past 12 months,
the portfolio's performance generally tracked that of the Index.
What factors influenced performance?
o In total, equity markets performed quite well in 2007. It was a year
of intense market volatility, but still one that resulted in decent
gains for most asset classes. Global equity markets benefited from a
strong first half, which, in most cases, helped to generate positive
performance for the year as a whole. In the United States, the Dow
Jones Industrial Average registered a total return of +8.88%.
Larger-cap stocks noticeably outperformed over the period, as the
S&P 500 Index advanced 5.49%, while the smaller-cap Russell 2000
lost 1.57%. Amid strong performance in the technology sector, the
Nasdaq Composite posted an impressive +9.81% return for the year.
o The annual period began much like 2006 ended, with some slowing in
U.S. economic growth, a Federal Reserve Board (the "Fed") that
remained on hold and a generally positive investment environment.
Solid earnings growth and continued high levels of
merger-and-acquisition activity allowed equities to move upward.
o The second half of 2007 was vastly different, however. The benign
fundamentals that dominated from 2003 to 2006 -- namely, strong
global growth, rising profitability levels and falling risk premiums
-- were replaced by credit stress, pressures on the capital position
of the financial system, question marks about the sustainability of
the business cycle and rising food and energy prices. Reflecting
these woes, U.S. government bond yields plummeted, the dollar's
decline intensified, equities became volatile and trendless, and the
Fed's focus shifted from inflation fighting to providing liquidity
and reducing short-term interest rates in an effort to shore up the
functioning of credit markets and fight economic weakness. Beginning
in September, the Fed lowered the target federal funds rate by 100
basis points (1.00%), from 5.25% to 4.25%.
Describe recent portfolio activity.
o Throughout the period, as changes were made to the composition of
the Wilshire 4500 Index, the portfolio purchased and sold securities
to maintain its objective of replicating the risks and return of the
benchmark.
Describe portfolio positioning at period-end.
o In keeping with its investment objective, the portfolio remains
positioned to match the risk characteristics of its benchmark,
irrespective of the market's future direction.
1
Master Extended Market Index Series
Portfolio Information as of December 31, 2007
Industry Representation Percentage of Net Assets+
- --------------------------------------------------------------------------------
Miscellaneous Finance 12.1%
Business Services 10.9
Drugs & Medicine 9.9
Electronics 7.2
Energy & Raw Materials 5.0
Real Property 4.4
Energy & Utilities 4.4
Domestic Oil 4.2
Producer Goods 4.2
Insurance 4.2
Banks 3.4
Travel & Recreation 2.8
Chemicals 2.8
Media 2.6
Telephone 2.2
Retail 2.1
Food & Agriculture 2.0
Non-Durables 1.7
Construction 1.6
Non-Ferrous Metals 1.2
Business Machines 1.2
Aerospace 1.1
Motor Vehicles 1.1
Apparel 0.9
Miscellaneous 0.9
Consumer - Durables 0.8
Air Transport 0.8
Railroads & Shipping 0.6
Steel 0.6
Containers 0.6
Paper & Forest Products 0.5
Trucking & Freight 0.5
Tobacco 0.3
Soaps & Cosmetics 0.3
Optical Photo & Equipment 0.1
Gold 0.1
Liquor 0.1
Tire & Rubber Goods 0.1
International Oil 0.1
Other* 17.3
- --------------------------------------------------------------------------------
+ Total may not equal 100%.
* Includes portfolio holdings in short-term investments.
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.
2
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
Aerospace - 1.1% 2,600 AeroVironment, Inc. (a) $ 62,920
200 Aerosonic Corp. (a) 960
3,100 Argon ST, Inc. (a) 57,536
1,100 Astronics Corp. (a) 46,750
4,100 Crane Co. 175,890
1,600 Cubic Corp. 62,720
2,633 DRS Technologies, Inc. 142,893
2,600 ESCO Technologies, Inc. (a) 103,844
2,400 EnPro Industries, Inc. (a) 73,560
2,100 Esterline Technologies Corp. (a) 108,675
15,700 Garmin Ltd. (f) 1,522,900
4,100 GenCorp, Inc. (a) 47,806
1,792 Heico Corp. Class A 76,339
2,700 KVH Industries, Inc. (a) 21,762
2,300 Kaman Corp. Class A 84,663
800 MTC Technologies, Inc. (a) 18,800
9,200 SAIC, Inc. (a) 185,104
700 SatCon Technology Corp. (a)(f) 1,155
50 Spacehab, Inc. (a) 76
10,200 Spirit Aerosystems Holdings, Inc. Class A (a) 351,900
2,200 Teledyne Technologies, Inc. (a) 117,326
8,734 Trimble Navigation Ltd. (a) 264,116
4,100 Veeco Instruments, Inc. (a) 68,470
--------------
3,596,165
- ------------------------------------------------------------------------------------------------------------------------------------
Air Transport - 0.8% 2,100 AAR Corp. (a) 79,863
18,000 AMR Corp. (a)(g) 252,540
5,300 AirTran Holdings, Inc. (a) 37,948
5,600 Aircastle Ltd. 147,448
1,900 Alaska Air Group, Inc. (a) 47,519
2,300 Allegiant Travel Co. (a) 73,922
1,500 Atlas Air Worldwide Holdings, Inc. (a) 81,330
1,200 Aviation General, Inc. (a) 0
7,070 Continental Airlines, Inc. Class B (a) 157,307
19,600 Delta Air Lines, Inc. (a) 291,844
1,600 ExpressJet Holdings, Inc. (a) 3,968
6,700 Frontier Airlines Holdings, Inc. (a)(f) 35,242
700 Great Lakes Aviation Ltd. (a) 1,470
7,202 Hawaiian Holdings, Inc. (a) 36,730
12,575 JetBlue Airways Corp. (a)(f) 74,192
1,600 LMI Aerospace, Inc. (a) 42,416
1,400 MAIR Holdings, Inc. (a) 6,482
2,000 Mesa Air Group, Inc. (a) 6,180
800 Midwest Air Group, Inc. (a) 11,840
17,000 Northwest Airlines Corp. (a) 246,670
2,100 PHI, Inc. (a) 65,142
See Notes to Financial Statments. 3
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,400 Pinnacle Airlines Corp. (a) $ 51,850
1,900 Republic Airways Holdings, Inc. (a) 37,221
4,500 SkyWest, Inc. 120,825
3,100 TransDigm Group, Inc. (a) 140,027
8,430 UAL Corp. (f) 300,614
6,659 US Airways Group, Inc. (a) 97,954
200 Vanguard Airlines, Inc. (a) 0
--------------
2,448,544
- ------------------------------------------------------------------------------------------------------------------------------------
Apparel - 0.9% 4,925 Aeropostale, Inc. (a) 130,513
3,400 Ashworth, Inc. (a) 9,690
6,750 bebe Stores, Inc. 86,805
2,700 Brown Shoe Co., Inc. 40,959
1,550 The Buckle, Inc. 51,150
1,100 Cache, Inc. (a) 10,274
3,200 Carter's, Inc. (a) 61,920
1,500 Cherokee, Inc. 48,405
500 Citi Trends, Inc. (a) 7,720
2,600 Columbia Sportswear Co. 114,634
5,900 Crocs, Inc. (a)(f) 217,179
900 Deckers Outdoor Corp. (a) 139,554
900 Dixie Group, Inc. (a) 7,434
900 Escalade, Inc. 8,217
600 Finlay Enterprises, Inc. (a) 1,218
5,017 Fossil, Inc. (a) 210,614
1,200 G-III Apparel Group, Ltd. (a) 17,724
3,400 GSI Commerce, Inc. (a) 66,300
6,700 Guess?, Inc. 253,863
2,100 Hartmarx Corp. (a) 7,161
3,100 Heelys, Inc. (a)(f) 21,576
4,081 Iconix Brand Group, Inc. (a) 80,232
4,400 J. Crew Group, Inc. (a) 212,124
2,300 Joe's Jeans, Inc. (a) 2,622
1,256 Jos. A. Bank Clothiers, Inc. (a)(f) 35,733
3,200 K-Swiss, Inc. Class A 57,920
3,100 Kellwood Co. 51,584
1,500 Kenneth Cole Productions, Inc. Class A 26,235
500 Lacrosse Footwear, Inc. 8,770
1,600 Maidenform Brands, Inc. (a) 21,648
1,200 Mothers Work, Inc. (a) 20,880
2,600 New York & Co., Inc. (a) 16,588
1,600 Oxford Industries, Inc. 41,232
1,100 Perry Ellis International, Inc. (a) 16,918
3,500 Phillips-Van Heusen Corp. 129,010
1,000 Phoenix Footwear Group, Inc. 1,750
7,600 Quiksilver, Inc. (a) 65,208
See Notes to Financial Statments. 4
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,000 Rocky Brands, Inc. (a) $ 6,130
2,700 Skechers U.S.A., Inc. Class A (a) 52,677
2,400 Stage Stores, Inc. 35,520
2,700 Steven Madden Ltd. (a) 54,000
1,500 Superior Uniform Group, Inc. 14,625
200 Tandy Brands Accessories, Inc. 1,950
3,100 The Timberland Co. Class A (a) 56,048
2,700 True Religion Apparel, Inc. (a)(f) 57,645
3,500 Under Armour, Inc. Class A (a)(f) 152,845
3,200 Unifi, Inc. (a) 7,744
2,200 Volcom, Inc. (a) 48,466
3,200 The Warnaco Group, Inc. (a) 111,360
300 Weyco Group, Inc. 8,250
3,600 Wolverine World Wide, Inc. 88,272
300 Xerium Technologies, Inc. 1,560
--------------
2,998,456
- ------------------------------------------------------------------------------------------------------------------------------------
Banks - 3.4% 1,900 Alabama National Bancorp. 147,839
200 Ameriana Bancorp 1,716
400 American National Bankshares, Inc. 7,988
2,200 AmericanWest Bancorp 38,786
720 Ameris Bancorp 12,132
700 Ames National Corp. 13,265
470 Arrow Financial Corp. 10,100
9,059 Associated Banc-Corp. 245,408
1,200 BCSB Bankcorp, Inc. (a) 7,524
1,000 Bancfirst Corp. 42,850
2,800 The Bancorp, Inc. (a) 37,688
5,500 BancorpSouth, Inc. 129,855
6,100 Bank Mutual Corp. 64,477
781 Bank of Granite Corp. 8,255
1,000 BankFinancial Corp. 15,820
3,500 Bank of Hawaii Corp. 178,990
4,200 BankAtlantic Bancorp, Inc. Class A 17,220
200 Bar Harbor Bankshares 6,200
3,100 Beneficial Mutual Bancorp, Inc. (a) 30,132
300 Berkshire Bancorp, Inc. 4,803
3,800 Boston Private Financial Holdings, Inc. 102,904
3,799 Brookline Bancorp, Inc. 38,598
500 Bryn Mawr Bank Corp. 11,465
2,800 CFS Bancorp, Inc. (f) 40,992
300 Camden National Corp. 8,520
1,100 Capital Bank Corp. 11,638
625 Capital City Bank Group, Inc. (f) 17,637
420 Capitol Bancorp Ltd. 8,450
5,440 Capitol Federal Financial (f) 168,640
See Notes to Financial Statments. 5
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
4,800 Cardinal Financial Corp. $ 44,736
210 Carrollton Bancorp 2,925
2,975 Cascade Bancorp 41,412
2,600 Centennial Bank Holdings, Inc. (a) 15,028
2,988 Center Bancorp, Inc. 33,047
900 Center Financial Corp. 11,088
1,300 Century Bancorp, Inc. Class A 26,221
2,913 Chemical Financial Corp. 69,300
2,733 Chittenden Corp. 97,349
612 Citizens & Northern Corp. 10,717
7,685 Citizens Banking Corp. 111,509
2,428 Citizens South Banking Corp. 24,596
1,500 City Holding Co. 50,760
3,400 City National Corp. 202,470
450 CityBank 10,035
980 Clifton Savings Bancorp, Inc. 9,604
1,250 CoBiz Financial, Inc. 18,587
10,946 The Colonial BancGroup, Inc. 148,209
500 Colony Bankcorp, Inc. 7,600
2,030 Columbia Banking System, Inc. 60,352
100 Comm Bancorp, Inc. 4,390
5,195 Commerce Bancshares, Inc. 233,048
2,100 Community Bancorp (a) 36,477
1,600 Community Bank System, Inc. 31,792
880 Community Trust Bancorp, Inc. 24,226
6,400 Corus Bankshares, Inc. (f) 68,288
4,140 Cullen/Frost Bankers, Inc. 209,732
3,777 Doral Financial Corp. (a)(f) 68,137
4,590 East-West Bancorp, Inc. 111,216
2,500 Encore Bancshares, Inc. (a) 49,975
1,400 EuroBancshares, Inc. (a) 5,600
2,985 F.N.B. Corp. 43,880
300 FNB Corp. 6,968
300 FNB United Corp. 3,648
300 Farmers Capital Bank Corp. 7,953
2,000 Financial Institutions, Inc. 35,640
8,600 First BanCorp., Puerto Rico 62,694
600 First Bancorp, North Carolina 11,334
1,250 First Busey Corp. 24,825
4,000 First Cash Financial Services, Inc. (a) 58,720
3,000 First Charter Corp. 89,580
700 First Citizens BancShares, Inc. Class A 102,095
4,100 First Commonwealth Financial Corp. (f) 43,665
1,200 First Federal Bancshares of Arkansas, Inc. 16,800
4,910 First Financial Bancorp 55,974
See Notes to Financial Statments. 6
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
766 First Financial Bankshares, Inc. $ 28,840
358 First Financial Service Corp. 8,341
600 First M&F Corp. 9,480
815 First Merchants Corp. 17,800
3,475 First Midwest Bancorp, Inc. 106,335
1,512 First Mutual Bancshares, Inc. 39,962
7,406 First Niagara Financial Group, Inc. 89,168
600 First Regional Bancorp (a) 11,334
600 First South Bancorp, Inc. 13,314
3,300 First State Bancorp. 45,870
400 The First of Long Island Corp. 7,420
5,600 FirstMerit Corp. 112,056
4,300 Franklin Bank Corp. (a) 18,533
4,900 Frontier Financial Corp. (f) 90,993
12,111 Fulton Financial Corp. 135,885
661 German American Bancorp, Inc. 8,421
600 Great Southern Bancorp, Inc. 13,176
467 Greater Community Bancorp 7,635
2,100 Greene County Bancshares, Inc. 40,320
2,833 Guaranty Financial Group, Inc. (a) 45,333
3,200 Hancock Holding Co. 122,240
2,856 Hanmi Financial Corp. 24,619
1,698 Harleysville National Corp. 24,740
250 Hawthorn Bancshares, Inc. 6,250
700 Heritage Commerce Corp. 12,873
1,200 Home Federal Bancorp 27,588
625 Horizon Financial Corp. 10,900
300 Imperial Capital Bancorp, Inc. 5,490
2,100 Independent Bank Corp./MA 57,162
2,200 Integra Bank Corp. 31,042
2,175 Internet Capital Group, Inc. (a) 25,534
2,100 Intervest Bancshares Corp. 36,162
1,500 Irwin Financial Corp. 11,025
2,500 Jefferson Bancshares, Inc. 25,250
4,500 Kearny Financial Corp. 53,595
1,700 Lakeland Financial Corp. 35,530
250 MASSBANK Corp. 9,105
787 Macatawa Bank Corp. 6,760
801 MainSource Financial Group, Inc. 12,464
2,170 Mercantile Bank Corp. 33,635
350 Merchants Bancshares, Inc. 8,225
8,100 Metavante Technologies, Inc. (a) 188,892
1,000 Midwest Banc Holdings, Inc. 12,420
1,460 NBT Bancorp, Inc. 33,317
3,100 Nara Bancorp, Inc. 36,177
See Notes to Financial Statments. 7
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,887 National Penn Bancshares, Inc. (f) $ 28,569
8,200 NewAlliance Bancshares, Inc. 94,464
2,004 Newbridge Bancorp 21,623
2,200 North Valley Bancorp 28,798
300 Northern States Financial Corp. 6,258
400 Northfield Bancorp, Inc. (a) 4,328
157 Norwood Financial Corp. 4,906
2,000 OceanFirst Financial Corp. 31,620
875 Ohio Valley Banc Corp. 21,875
5,332 Old National Bancorp 79,767
1,686 Old Second Bancorp, Inc. 45,168
546 Omega Financial Corp. 15,976
3,394 Oriental Financial Group Inc. 45,514
1,660 PFF Bancorp, Inc. 19,986
1,000 Pamrapo Bancorp, Inc. 20,200
830 Park National Corp. (f) 53,535
300 Parkvale Financial Corp. 8,325
563 Peapack-Gladstone Financial Corp. 13,934
400 Pennsylvania Commerce Bancorp, Inc. (a) 11,140
21,617 People's United Financial, Inc. 384,783
200 Peoples Bancorp 2,970
595 Peoples Bancorp, Inc. 14,810
363 Peoples Bancorp of North Carolina, Inc. 5,445
1,200 Peoples Financial Corp. 26,496
380 Pinnacle Financial Partners, Inc. (a) 9,660
20,239 Popular, Inc. (f) 214,533
2,000 Porter Bancorp, Inc. 39,500
2,050 Preferred Bank 53,341
2,500 PrivateBancorp, Inc. (f) 81,625
3,200 Prosperity Bancshares, Inc. 94,048
3,856 Provident Bankshares Corp. 82,480
5,403 Provident New York Bancorp 69,807
3,100 Prudential Bancorp, Inc. of Pennsylvania 38,595
1,348 Republic Bancorp, Inc. Class A 22,282
3,146 Republic First Bancorp, Inc. (a) 21,707
1,300 Rockville Financial, Inc. 15,860
785 Royal Bancshares of Pennsylvania Class A 8,635
1,500 S&T Bancorp, Inc. 41,460
6,000 S1 Corp. (a) 43,800
2,375 SVB Financial Group (a) 119,700
210 SY Bancorp, Inc. 5,027
750 Sandy Spring Bancorp, Inc. 20,865
188 Savannah Bancorp, Inc. 3,267
2,870 Seacoast Banking Corp. of Florida (f) 29,504
450 Shore Bancshares, Inc. 9,864
See Notes to Financial Statments. 8
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,000 Signature Bank (a) $ 101,250
500 Simmons First National Corp. Class A 13,250
5,255 The South Financial Group, Inc. 82,136
525 Southside Bancshares, Inc. 10,742
2,800 Southwest Bancorp, Inc. 51,324
132 Southwest Georgia Financial Corp. 2,343
725 State Bancorp, Inc. 9,425
2,605 Sterling Bancorp 35,532
8,325 Sterling Bancshares, Inc. 92,907
700 Suffolk Bancorp 21,497
500 Summit Financial Group, Inc. 6,810
1,247 Sun Bancorp, Inc. (a) 19,678
1,000 Superior Bancorp (a) 5,370
6,400 Susquehanna Bancshares, Inc. 118,008
8,990 TCF Financial Corp. 161,191
24,200 TFS Financial Corp. (a) 288,948
400 Temecual Valley Bancorp, Inc. 4,692
3,300 Texas Capital Bancshares, Inc. (a) 60,225
632 Tompkins Trustco, Inc. 24,522
900 Trico Bancshares 17,370
8,560 TrustCo Bank Corp. NY (f) 84,915
4,100 Trustmark Corp. 103,976
7,450 UCBH Holdings, Inc. 105,492
3,020 UMB Financial Corp. 115,847
1,183 USB Holding Co., Inc. 23,423
6,436 Umpqua Holdings Corp. 98,728
750 Union Bankshares Corp. 15,855
10,100 UnionBanCal Corp. 493,991
336 United Bancorp, Inc. 3,461
4,200 United Bankshares, Inc. 117,684
1,632 United Community Financial Corp. 9,009
1,800 United Western Bancorp, Inc. 36,000
8,612 Valley National Bancorp (f) 164,145
3,225 Vineyard National Bancorp (f) 32,573
2,800 Virginia Commerce Bancorp (a) 32,844
450 Virginia Financial Group, Inc. 6,683
1,100 WSFS Financial Corp. 55,220
800 Washington Trust Bancorp, Inc. 20,184
2,789 WesBanco, Inc. 57,448
800 West Coast Bancorp 14,800
2,100 Westamerica Bancorp. (f) 93,555
1,300 Western Alliance Bancorp (a)(f) 24,401
4,925 Whitney Holding Corp. 128,789
4,800 Wilmington Trust Corp. 168,960
2,300 Wilshire Bancorp, Inc. 18,055
See Notes to Financial Statments. 9
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,650 Wintrust Financial Corp. $ 87,795
--------------
10,790,408
- ------------------------------------------------------------------------------------------------------------------------------------
Business Machines - 1.2% 33,490 3Com Corp. (a) 151,375
2,200 3D Systems Corp. (a)(f) 33,968
3,700 ActivIdentity Corp. (a) 14,356
16,000 Adaptec, Inc. (a) 54,080
2,200 American Railcar Industries, Inc. (f) 42,350
4,500 American Software Class A 38,250
1,000 Analogic Corp. 67,720
2,000 Arbitron, Inc. 83,140
3,315 Avici Systems, Inc. 26,288
3,500 Avocent Corp. (a) 81,585
30,940 BEA Systems, Inc. (a) 488,233
1,300 Black Box Corp. 47,021
5,300 Borland Software Corp. (a) 15,953
600 California First National Bancorp 5,838
1,750 Charles & Colvard Ltd. (f) 3,850
700 Communication Intelligence Corp. (a) 157
3,900 Concurrent Computer Corp. (a) 3,237
9,200 Convera Corp. (a)(f) 25,484
2,475 Cray, Inc. (a) 14,825
4,700 Diebold, Inc. 136,206
900 Digi International, Inc. (a) 12,771
3,600 Digital Lightwave, Inc. (a) 378
4,100 Emageon, Inc. (a) 16,400
3,551 Fair Isaac Corp. 114,165
5,000 Flow International Corp. (a) 46,600
10,700 Foundry Networks, Inc. (a) 187,464
1,600 Hanger Orthopedic Group, Inc. (a) 17,616
3,100 Hypercom Corp. (a) 15,438
8,000 IKON Office Solutions, Inc. 104,160
3,400 Immersion Corp. (a) 44,030
13,570 Integrated Device Technology, Inc. (a) 153,477
2,200 InterVoice, Inc. (a) 17,578
3,060 Iomega Corp. (a) 10,618
1,400 iRobot Corp. (a)(f) 25,312
6,000 LTX Corp. (a) 19,080
2,100 Lantronix, Inc. (a) 1,596
3,200 MIPS Technologies, Inc. (a) 15,872
3,000 Micros Systems, Inc. (a) 210,480
6,200 Napster, Inc. (a) 12,214
7,500 Network Engines, Inc. (a) 12,075
2,500 Omnicell, Inc. (a) 67,325
1,000 PAR Technology Corp. (a) 7,710
7,326 Palm, Inc. (f) 46,447
See Notes to Financial Statments. 10
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,385 Premiere Global Services, Inc. (a) $ 50,267
4,100 Rackable Systems, Inc. (a) 41,000
1,700 Rimage Corp. (a) 44,115
8,543 Salesforce.com, Inc. (a) 535,561
1,900 ScanSource, Inc. (a) 61,465
2,000 Sigma Designs, Inc. (a) 110,400
445 SumTotal Systems, Inc. (a) 2,114
5,855 Sybase, Inc. (a) 152,757
3,900 Tech Data Corp. (a) 147,108
940 Transact Technologies, Inc. (a) 4,503
6,000 VeriFone Holdings, Inc. (a)(f) 139,500
3,100 White Electronic Designs Corp. (a) 14,384
--------------
3,795,896
- ------------------------------------------------------------------------------------------------------------------------------------
Business Services - 10.9% 1,000 4Kids Entertainment, Inc. (a) 13,150
2,900 ABM Industries, Inc. 59,131
3,900 ACI Worldwide, Inc. (a) 74,256
3,400 AMICAS, Inc. (a) 9,044
2,420 AMN Healthcare Services, Inc. (a) 41,551
11,100 Aastrom Biosciences, Inc. (a)(f) 5,772
55,400 Accenture Ltd. Class A 1,996,062
3,700 Actuate Corp. (a) 28,749
40 Adept Technology, Inc. (a) 318
1,800 Administaff, Inc. 50,904
1,900 Advent Software, Inc. (a) 102,790
1,300 The Advisory Board Co. (a) 83,447
4,860 Affymetrix, Inc. (a) 112,460
3,400 Alfacell Corp. (a)(f) 5,848
6,000 Alliance Data Systems Corp. (a) 449,940
1,000 The Allied Defense Group, Inc. (a) 5,770
3,100 Allied Healthcare International, Inc. (a) 7,533
2,900 Alnylam Pharmaceuticals, Inc. (a) 84,332
1,800 Ambassadors International, Inc. 26,244
2,660 American Ecology Corp. 62,457
48 American Independence Corp. (a) 439
1,500 American Public Education, Inc. (a) 62,670
2,300 American Reprographics Co. (a) 37,904
3,400 American Superconductor Corp. (a)(f) 92,956
200 Analysts International Corp. (a) 306
700 Angelica Corp. 13,370
2,900 Ansoft Corp. (a) 74,965
2,600 Answerthink, Inc. (a) 12,584
5,600 Ansys, Inc. (a) 232,176
4,700 Arbinet-Thexchange, Inc. (a) 28,435
4,454 Ariba, Inc. (a) 49,662
6,271 Art Technology Group, Inc. (a) 27,091
See Notes to Financial Statments. 11
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
5,500 Aspen Technology, Inc. (a) $ 89,210
940 Atari, Inc. (a) 1,194
2,300 athenahealth, Inc. (a)(f) 82,800
2,600 Audible, Inc. (a) 23,192
2,000 Authentidate Holding Corp. (a) 1,180
1,150 BSQUARE Corp. (a) 7,705
1,300 Bankrate, Inc. (a) 62,517
102 Baran Group Ltd. 1,836
600 Barrett Business Services, Inc. 10,806
14,000 BearingPoint, Inc. (a) 39,620
2,248 Blackbaud, Inc. 63,034
2,100 Blackboard, Inc. (a) 84,525
1,200 BladeLogic, Inc. (a) 35,484
2,340 Blue Coat Systems, Inc. (a) 76,916
100 Bottomline Technologies, Inc. (a) 1,400
2,100 Bowne & Co., Inc. 36,960
2,800 Bright Horizons Family Solutions, Inc. (a) 96,712
3,400 The Brink's Co. 203,116
28,357 Brocade Communications Systems, Inc. (a) 208,140
7,400 Brookdale Senior Living, Inc. 210,234
2,200 CACI International, Inc. Class A (a) 98,494
7,845 CBIZ, Inc. (a) 76,959
1,200 CDI Corp. 29,112
1,400 COMSYS IT Partners, Inc. (a) 22,092
1,500 CRA International, Inc. (a) 71,415
4,365 CSG Systems International, Inc. (a) 64,253
1,900 Callidus Software Inc. (a) 9,823
46 Callwave, Inc. (a) 143
1,600 Capella Education Co. (a) 104,736
6,468 Career Education Corp. (a) 162,605
4,000 Casella Waste Systems, Inc. (a) 52,160
1,000 Catapult Communications Corp. (a) 7,550
2,000 Cbeyond Communications, Inc. (a) 77,980
5,750 Cell Genesys, Inc. (a) 13,225
5,700 Cerner Corp. (a) 321,480
1,700 Chemed Corp. 94,996
500 Chindex International Inc. (a) 17,265
2,300 Chipotle Mexican Grill, Inc. Class A (a)(f) 338,261
5,033 ChoicePoint, Inc. (a) 183,302
1,720 Chordiant Software, Inc. (a) 14,706
3,800 Ciber, Inc. (a) 23,218
1 Cicero, Inc. (a) 0
2,100 Clean Harbors, Inc. (a) 108,570
25,800 Clear Channel Outdoor Holdings, Inc. Class A (a) 713,628
11,800 Clearwire Corp. Class A (a)(f) 161,778
See Notes to Financial Statments. 12
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,300 CoStar Group, Inc. (a) $ 61,425
3,500 Cogent Communications Group, Inc. (a) 82,985
7,800 Cogent, Inc. (a) 86,970
1,700 Collectors Universe, Inc. 20,978
1,700 ComScore, Inc. (a) 55,471
3,100 Commvault Systems, Inc. (a) 65,658
800 Computer Programs & Systems, Inc. 18,192
3,100 Concur Technologies, Inc. (a) 112,251
3,000 Constant Contact, Inc. (a)(f) 64,500
6,350 Copart, Inc. (a) 270,192
5,935 Corinthian Colleges, Inc. (a) 91,399
2,300 Cornell Cos., Inc. (a) 53,636
2,600 Corporate Executive Board Co. 156,260
337 Courier Corp. 11,124
3,181 Credit Acceptance Corp. (a)(f) 65,751
3,600 Cross Country Healthcare, Inc. (a) 51,264
8,400 CuraGen Corp. (a) 7,728
4,850 CyberSource Corp. (a) 86,184
440 DG FastChannel, Inc. (a) 11,282
4,400 DST Systems, Inc. (a) 363,220
5,000 DeVry, Inc. 259,800
1,500 Delrek, Inc. (a) 22,845
100 Deltathree, Inc. Class A (a) 41
3,500 Deluxe Corp. 115,115
3,000 DemandTec, Inc. (a) 57,870
3,100 Dice Holdings, Inc. (a) 24,769
4,100 Digimarc Corp. (a) 36,162
2,500 Digital River, Inc. (a) 82,675
20,434 Discovery Holding Co. (a) 513,711
2,500 DivX, Inc. (a) 35,000
1,700 Dollar Financial Corp. (a) 52,173
3,900 Dot Hill Systems Corp. (a) 9,477
2,700 Double-Take Software, Inc. (a) 58,644
4,100 Dun & Bradstreet Corp. 363,383
8,700 Dyax Corp. (a) 31,842
500 ENGlobal Corp. (a) 5,680
2,700 EPIQ Systems, Inc. (a) 47,007
592 EVCI Career Colleges Holding Corp. (a) 142
12,300 EarthLink, Inc. (a) 86,961
3,800 Echelon Corp. (a)(f) 78,432
2,900 Eclipsys Corp. (a) 73,399
600 Ediets.Com, Inc. (a)(f) 3,522
20 Egain Communications Corp. (a) 9
40 eLoyalty Corp. (a) 534
16,300 Encysive Pharmaceuticals, Inc. (a)(f) 13,855
See Notes to Financial Statments. 13
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
5,900 EnergySolutions, Inc. (a) $ 159,241
2,300 Ennis, Inc. 41,400
4,200 Entrust, Inc. (a) 8,106
4,200 Epicor Software Corp. (a) 49,476
2,975 eResearch Technology, Inc. (a) 35,165
2,945 Euronet Worldwide, Inc. (a) 88,350
2 Evolve Software, Inc. (a) 0
3,200 Evolving Systems, Inc. (a) 9,344
9,700 Exelixis, Inc. (a) 83,711
3,000 ExlService Holdings, Inc. (a) 69,240
900 Exponent, Inc. (a) 24,336
5,700 F5 Networks, Inc. (a) 162,564
1,600 FTD Group, Inc. 20,608
3,350 FTI Consulting, Inc. (a) 206,494
3,550 Factset Research Systems, Inc. 197,735
5,800 FalconStor Software, Inc. (a) 65,308
3,700 First Advantage Corp. Class A (a) 60,939
3,600 First Consulting Group, Inc. (a) 46,548
108 Five Star Quality Care, Inc. (a) 896
1,300 Forrester Research, Inc. (a) 36,426
3,300 Franklin Covey Co. (a) 26,202
1,600 Fuel Tech, Inc. (a)(f) 36,240
1,500 G&K Services, Inc. Class A 56,280
3,900 GP Strategies Corp. (a) 41,535
1,103 GSE Systems, Inc. (a) 11,295
1,700 GTSI Corp. (a) 16,813
2,560 Gaiam, Inc. (a) 75,981
15,400 Genpact Ltd. (a) 234,542
3,700 Gentiva Health Services, Inc. (a) 70,448
3,600 The Geo Group, Inc. (a) 100,800
2,700 Gevity HR, Inc. 20,763
100 Gliatech, Inc. (a) 0
4,400 Global Cash Access, Inc. (a) 26,664
5,620 Global Payments, Inc. 261,442
3,700 Greenfield Online, Inc. (a) 54,057
3,300 Guidance Software, Inc. (a) 46,002
4,500 Gulfport Energy Corp. (a) 82,170
13,192 HLTH Corp. (a) 176,773
6,600 Hansen Natural Corp. (a) 292,314
3,900 Harris Interactive, Inc. (a) 16,614
3,300 Harris Stratex Networks, Inc. Class A (a) 55,110
4,300 Harte-Hanks, Inc. 74,390
1,300 Heidrick & Struggles International, Inc. 48,243
7,820 Hewitt Associates, Inc. Class A (a) 299,428
2,400 HireRight, Inc. (a) 29,904
See Notes to Financial Statments. 14
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,800 Hudson Highland Group, Inc. (a) $ 15,138
1,400 Huron Consulting Group, Inc. (a) 112,882
2,600 i2 Technologies, Inc. (a) 32,760
2,800 I-many, Inc. (a) 8,680
1,900 ICF International, Inc. (a) 47,994
800 ICT Group, Inc. (a) 9,560
4,500 IHS, Inc. Class A (a) 272,520
2,810 ITT Educational Services, Inc. (a) 239,609
2,000 Idenix Pharmaceuticals, Inc. (a) 5,400
6,800 iGate Corp. (a) 57,596
1,800 Imergent, Inc. (f) 19,062
3,900 InFocus Corp. (a) 7,098
1,000 Infinity Pharmaceuticals, Inc. (a) 9,550
2,340 InfoSpace, Inc. 43,992
3,200 infoUSA, Inc. 28,576
6,200 Informatica Corp. (a) 111,724
4,800 Innerworkings, Inc. (a)(f) 82,848
1,193 Innovative Solutions & Support, Inc. (a)(f) 11,560
83 InsWeb Corp. (a) 726
1,300 Insteel Industries, Inc. 15,249
366 Insure.com, Inc. (a) 1,464
540 Integral Systems, Inc. 12,560
6,800 Interactive Data Corp. 224,468
2,100 Interactive Intelligence, Inc. (a) 55,335
4,200 Intermec, Inc. (a)(f) 85,302
2,510 Internap Network Services Corp. (a) 20,908
1,000 Intersections, Inc. (a) 8,330
2,800 Interwoven, Inc. (a) 39,816
2,200 Intevac, Inc. (a) 31,988
2,680 inVentiv Health, Inc. (a) 82,973
3,300 Invitrogen Corp. (a) 308,253
3,600 Ipass, Inc. (a) 14,616
14,475 Iron Mountain, Inc. (a) 535,864
1,900 JDA Software Group, Inc. (a) 38,874
6,300 Jack Henry & Associates, Inc. 153,342
1,900 Jupitermedia Corp. (a) 7,258
4,100 Kelly Services, Inc. Class A 76,506
1,800 Kenexa Corp. (a) 34,956
1,500 Keryx Biopharmaceuticals, Inc. (a) 12,600
3,500 Keynote Systems, Inc. (a) 49,175
3,970 Kforce, Inc. (a) 38,707
5,295 Kinder Morgan Management LLC (a) 280,317
1,700 Kintera, Inc. (a) 2,533
3,300 Knology, Inc. (a) 42,174
2,600 Korn/Ferry International (a) 48,932
4,400 Kratos Defense & Security Solutions, Inc. (a) 10,340
See Notes to Financial Statments. 15
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
5,451 L-1 Identity Solutions, Inc. (a) $ 97,845
3,500 LECG Corp. (a) 52,710
6,707 Lamar Advertising Co. Class A 322,405
12,900 Lawson Software, Inc. (a) 132,096
2,000 Layne Christensen Co. (a) 98,420
2,300 Learning Tree International, Inc. (a) 52,808
1,500 Lincoln Educational Services Corp. (a) 22,080
2,700 Lionbridge Technologies, Inc. (a) 9,585
5,600 LivePerson, Inc. (a) 29,848
3,200 LoJack Corp. (a) 53,792
500 Local.com Corp. (a) 2,385
1,342 LookSmart, Ltd. (a) 4,281
1,200 Luminex Corp. (a) 19,488
900 MAXIMUS, Inc. 34,749
4,400 MIVA, Inc. (a) 8,404
5,300 MPS Group, Inc. (a) 57,982
1,700 MSC.Software Corp. (a) 22,083
1,700 MWI Veterinary Supply, Inc. (a) 68,000
2,900 Macquarie Infrastructure Co. LLC 117,537
3,790 Macrovision Corp. (a) 69,471
4,940 Magma Design Automation, Inc. (a) 60,317
3,900 Management Network Group, Inc. (a) 10,296
1,700 Manhattan Associates, Inc. (a) 44,812
5,716 Manpower, Inc. 325,240
1,995 Mantech International Corp. Class A (a) 87,421
3,200 Marchex, Inc. Class B (f) 34,752
1,200 MarketAxess Holdings, Inc. (a) 15,396
2,800 Marlin Business Services, Inc. (a) 33,768
2,087 Matria Healthcare, Inc. (a) 49,608
5,000 Maxygen, Inc. (a) 40,150
11,277 McAfee, Inc. (a) 422,888
4,100 Mechanical Technology, Inc. (a) 3,075
1,800 Medical Staffing Network Holdings, Inc. (a) 10,854
6,300 Mentor Graphics Corp. (a) 67,914
3,500 Merge Technologies, Inc. (a) 4,165
925 Metro One Telecommunications, Inc. (a) 1,554
400 Michael Baker Corp. (a) 16,440
1,090 MicroStrategy, Inc. Class A (a) 103,659
7,600 Microvision, Inc. (a)(f) 29,640
3,700 Millennium Cell, Inc. (a)(f) 1,114
5,966 Mindspeed Technologies, Inc. (a) 7,279
2,200 Moldflow Corp. (a) 35,442
1,000 Monotype Imaging Holdings, Inc. (a) 15,170
See Notes to Financial Statments. 16
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,200 Morningstar, Inc. (a) $ 248,800
7,500 NAVTEQ Corp. (a) 567,000
12,674 NCR Corp. (a) 318,117
3,200 NIC, Inc. 27,008
2,800 NMS Communications Corp. (a) 4,536
1,900 NMT Medical, Inc. (a) 10,678
1,000 NVE Corp. (f) 24,470
5,800 National Instruments Corp. 193,314
240 Natural Health Trends Corp. (a) 290
2,400 Nautilus, Inc. (f) 11,640
313 NaviSite, Inc. (a) 1,568
4,700 Navigant Consulting, Inc. (a) 64,249
4,620 NetFlix, Inc. (a)(f) 122,984
57 NetManage, Inc. (a) 344
1,600 NetScout Systems, Inc. (a) 20,432
20 NetSol Technologies, Inc. (a) 48
5,400 NeuStar, Inc. Class A (a) 154,872
200 New Century Equity Holdings Corp. (a) 39
5,300 New Frontier Media, Inc. 29,150
4,100 NexCen Brands, Inc. (a) 19,844
2,200 Nighthawk Radiology Holdings, Inc. (a)(f) 46,310
2,500 Nutri/System, Inc. (a)(f) 67,450
1,800 ORBCOMM, Inc. (a) 11,322
3,200 Odyssey Marine Exploration, Inc. (a) 19,808
4,300 Omniture, Inc. (a) 143,147
2,500 On Assignment, Inc. (a) 17,525
16,300 On2 Technologies, Inc. (a)(f) 16,626
1,900 Online Resources Corp. (a) 22,648
60 Onvia, Inc. (a) 513
13,000 OpenTV Corp. (a) 17,160
6,061 Openwave Systems, Inc. 15,759
1,200 Opnet Technologies, Inc. (a) 10,872
3,400 Orbital Sciences Corp. (a) 83,368
1,745 Orchid Cellmark, Inc. (a) 8,725
800 Overland Storage, Inc. (a) 1,176
2,800 PC Mall, Inc. (a) 26,068
1,200 PC-Tel, Inc. (a) 8,232
900 PDI, Inc. (a) 8,433
3,000 PHH Corp. (a) 52,920
4,591 PLATO Learning, Inc. (a) 18,226
570 PRG-Schultz International, Inc. (a) 4,885
700 PROS Holdings, Inc. (a) 13,734
2,900 Pacific Ethanol, Inc. (a)(f) 23,751
2,000 Packeteer, Inc. (a) 12,320
See Notes to Financial Statments. 17
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
8,000 Parametric Technology Corp. (a) $ 142,800
500 Pegasystems, Inc. 5,965
1,600 People Support, Inc. (a) 21,888
3,400 Perficient, Inc. (a) 53,516
7,500 Perot Systems Corp. Class A (a) 101,250
120 Pfsweb, Inc. (a) 150
1,350 PharmaNet Development Group, Inc. (a) 52,934
3,500 Phase Forward, Inc. (a) 76,125
3,800 Phoenix Technologies Ltd. (a) 48,944
6,429 Polycom, Inc. (a) 178,598
2,300 Pomeroy IT Solutions, Inc. (a) 15,939
33 Poniard Pharmaceuticals, Inc. (a) 146
930 Pre-Paid Legal Services, Inc. (a) 51,476
10 Prescient Applied Intelligence, Inc. (a) 1
2,733 Priceline.com, Inc. (a) 313,912
3,200 Primus Guaranty Ltd. (a)(f) 22,432
1,600 The Princeton Review, Inc. (a) 13,328
3,000 Progress Software Corp. (a) 101,040
1,175 Protection One, Inc. (a) 13,971
1,900 The Providence Service Corp. (a) 53,466
1,700 QAD, Inc. 15,878
2,900 Quality Systems, Inc. (f) 88,421
7,300 Quest Software, Inc. (a) 134,612
1,000 Quixote Corp. 18,990
5,122 R.H. Donnelley Corp. (a) 186,851
6,375 RPC, Inc. (f) 74,651
1,700 Radiant Systems, Inc. (a) 29,291
9,000 RealNetworks, Inc. (a) 54,810
14,100 Red Hat, Inc. (a) 293,844
1,700 Renaissance Learning, Inc. (f) 23,800
13,300 Republic Services, Inc. Class A 416,955
3,500 Resources Connection, Inc. 63,560
2,000 RightNow Technologies, Inc. (a) 31,700
5,100 Riverbed Technology, Inc. (a) 136,374
1,600 Rural Cellular Corp. Class A (a) 70,544
4,100 Rural/Metro Corp. (a) 8,774
3,833 SAVVIS, Inc. (a) 106,826
2,415 The SCO Group, Inc. (a) 229
4,900 SM&A (a) 28,567
1,400 SPAR Group, Inc. (a) 938
1,409 SPSS, Inc. (a) 50,597
3,200 SRA International, Inc. Class A (a) 94,240
2,400 SYKES Enterprises, Inc. (a) 43,200
800 SYNNEX Corp. (a) 15,680
See Notes to Financial Statments. 18
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,229 Saba Software, Inc. (a) $ 6,317
30 Salon Media Group, Inc. (a) 48
9,000 Sapient Corp. (a) 79,290
100 Scientific Learning Corp. (a) 536
1,900 SeaChange International, Inc. (a) 13,737
3,200 Secure Computing Corp. (a) 30,720
5,700 Selectica, Inc. (a) 10,260
2,200 Senomyx, Inc. (a) 16,478
4,966 Sequenom, Inc. (a) 47,425
106,425 Sirius Satellite Radio, Inc. (a)(f) 322,468
4,000 Sirona Dental Systems, Inc. (a)(f) 133,920
2,200 Smith Micro Software, Inc. (a) 18,634
4,700 Solera Holdings, Inc. (a) 116,466
6,500 Sonic Foundry, Inc. (a) 9,230
3,700 SonicWALL, Inc. (a) 39,664
1,800 Sourcefire, Inc. (a) 15,012
3,600 Sourceforge, Inc. (a) 8,820
2,300 Spartech Corp. 32,430
3,600 Spherion Corp. (a) 26,208
200 Standard Parking Corp. (a) 9,698
1,800 The Standard Register Co. 20,988
2,400 Stanley, Inc. (a) 76,848
800 Startek, Inc. (a) 7,448
6,300 Stericycle, Inc. (a) 374,220
2,440 Stratasys, Inc. (a) 63,050
5,400 Strategic Diagnostics, Inc. (a) 29,052
1,000 Strayer Education, Inc. 170,580
1,500 SuccessFactors, Inc. (a) 17,730
3,000 SupportSoft, Inc. (a) 13,350
4,200 Switch and Data Facilities Co., Inc. (a) 67,284
20,300 Sycamore Networks, Inc. (a) 77,952
2,400 Symyx Technologies Inc. (a) 18,432
2,300 Synchronoss Technologies, Inc. (a) 81,512
10,105 Synopsys, Inc. (a) 262,023
1,600 Synplicity, Inc. (a) 9,280
3,000 Syntel, Inc. 115,560
1,300 Sypris Solutions, Inc. 7,930
13,800 TIBCO Software, Inc. (a) 111,366
1,700 TNS, Inc. 30,175
800 TRC Cos., Inc. (a) 6,400
2,600 Taleo Corp. Class A (a) 77,428
2,100 TechTarget, Inc. (a) 31,038
2,300 TechTeam Global, Inc. (a) 28,980
15 Technology Solutions Co. (a) 42
See Notes to Financial Statments. 19
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
200 TeleCommunication Systems, Inc. Class A (a) $ 722
5,100 TeleTech Holdings, Inc. (a) 108,477
200 Tenfold Corp. (a) 30
4,225 Tetra Tech, Inc. (a) 90,838
5,350 Tetra Technologies, Inc. (a) 83,300
1,500 TheStreet.com, Inc. 23,880
2,000 Thomas Group, Inc. 14,860
4,200 TradeStation Group, Inc. (a) 59,682
3,300 The TriZetto Group, Inc. (a) 57,321
3,400 Trident Microsystems, Inc. (a) 22,304
3,200 TrueBlue, Inc. (a) 46,336
8,777 Tumbleweed Communications Corp. (a) 14,745
5,694 URS Corp. (a) 309,350
2,600 Ultimate Software Group, Inc. (a) 81,822
10,700 Unigene Laboratories, Inc. (a) 20,330
4,853 United Online, Inc. 57,362
1,700 Universal Electronics, Inc. (a) 56,848
1,255 Universal Technical Institute, Inc. (a) 21,335
3,300 VASCO Data Security International, Inc. (a) 92,136
27,700 VMware, Inc. (a)(f) 2,354,223
800 VSE Corp. 39,072
6,655 ValueClick, Inc. (a) 145,745
3,300 Veraz Networks, Inc. (a) 15,906
4,700 Verenium Corp. (a)(f) 23,453
1,574 Verso Technologies, Inc. (a)(f) 458
8 VerticalNet, Inc. (a) 20
1,450 Viad Corp. 45,791
6,030 Viewpoint Corp. (a) 6,693
1,730 Vignette Corp. (a) 25,275
3,000 Virtusa Corp. (a) 51,990
3,200 VistaPrint Ltd. (a) 137,120
2,400 Visual Sciences, Inc. (a) 44,352
2,500 Vital Images, Inc. (a) 45,175
1,600 Volt Information Sciences, Inc. (a) 29,216
4,725 Waste Connections, Inc. (a) 146,003
600 Waste Industries USA, Inc. 21,780
3,040 Watson Wyatt Worldwide, Inc. 141,086
666 Wave Systems Corp. Class A (a) 966
4,700 WebMD Health Corp. Class A (a)(f) 193,029
2,800 Websense, Inc. (a) 47,544
3,823 Website Pros, Inc. (a) 44,385
5,750 Weight Watchers International, Inc. 259,785
500 Westaff, Inc. (a) 2,000
5,000 Wind River Systems, Inc. (a) 44,650
200 WorldGate Communications, Inc. (a) 34
See Notes to Financial Statments. 20
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
4,500 Zix Corp. (a)(f) $ 20,700
--------------
34,644,833
- ------------------------------------------------------------------------------------------------------------------------------------
Chemicals - 2.8% 1,300 AEP Industries, Inc. (a) 41,613
1,600 AMCOL International Corp. 57,648
1,425 Aceto Corp. 11,400
5,800 Airgas, Inc. 302,238
6,800 Albemarle Corp. 280,500
1,400 Anika Therapeutics, Inc. (a) 20,328
1,200 Arch Chemicals, Inc. 44,100
1,900 Bio-Rad Laboratories, Inc. Class A (a) 196,878
3,400 Brady Corp. 119,306
4,400 Cabot Corp. 146,696
2,900 Calgon Carbon Corp. (a)(f) 46,081
11,000 Celanese Corp. Series A 465,520
14,900 Chemtura Corp. 116,220
3,400 Cytec Industries, Inc. 209,372
8,336 Entegris, Inc. (a) 71,940
3,000 Ferro Corp. 62,190
1,700 GenTek Inc. (a) 49,759
2,500 Georgia Gulf Corp. 16,550
3,700 H.B. Fuller Co. 83,065
300 Hawkins, Inc. 4,500
17,300 Huntsman Corp. 444,610
2,150 KMG Chemicals, Inc. 31,089
1,500 Koppers Holdings, Inc. 64,860
4,882 Kronos Worldwide, Inc. (f) 85,191
600 LSB Industries, Inc. (a) 16,932
3,800 Landec Corp. (a) 50,920
4,815 Lubrizol Corp. 260,780
450 Mace Security International, Inc. (a) 905
1,600 Matrixx Initiatives, Inc. (a) 22,256
31,800 The Mosaic Co. (a) 3,000,012
10,500 Nalco Holding Co. 253,890
820 NewMarket Corp. 45,666
2,200 Nuco2, Inc. (a) 54,780
2,200 OM Group, Inc. (a) 126,588
5,092 Olin Corp. 98,428
2,400 Omnova Solutions, Inc. (a) 10,584
2,000 OxiGene, Inc. (a) 4,980
600 Penford Corp. 15,354
5,500 PolyOne Corp. (a) 36,190
4,400 Polypore International, Inc. (a) 77,000
600 Quaker Chemical Corp. 13,182
8,600 RPM International, Inc. 174,580
See Notes to Financial Statments. 21
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
22,400 Rentech, Inc. (a) $ 40,544
1,900 Repligen Corp. (a) 12,445
5,100 Rockwood Holdings, Inc. (a) 169,422
1,600 Rogers Corp. (a) 69,392
6,450 Rollins, Inc. 123,840
2,800 SRS Labs Inc. (a) 14,980
2,400 Schawk, Inc. 37,248
3,500 Schulman A, Inc. 75,425
2,300 Sensient Technologies Corp. 65,044
400 Stepan Co. 13,012
1,300 TOR Minerals International, Inc. (a) 2,730
1,400 Terra Nitrogen Co. LP (f) 209,342
1,600 Tredegar Corp. 25,728
1,300 Trex Co., Inc. (a)(f) 11,063
6,200 Tronox, Inc. Class A 55,180
5,300 UAP Holding Corp. 204,580
6,700 Valspar Corp. 151,018
4,900 W.R. Grace & Co. (a) 128,282
2,100 WD-40 Co. 79,737
4,500 Westlake Chemical Corp. 85,455
1,600 Zep, Inc. (a) 22,192
2,400 Zoltek Cos., Inc. (a) 102,888
--------------
8,934,228
- ------------------------------------------------------------------------------------------------------------------------------------
Construction - 1.6% 7,100 Aecom Technology Corp. (a) 202,847
1,000 American Woodmark Corp. 18,180
600 Ameron International Corp. 55,290
2,100 Apogee Enterprises, Inc. 35,931
3,900 Armstrong World Industries, Inc. (a) 156,429
4,400 Beacon Roofing Supply, Inc. (a) 37,048
2,864 Beazer Homes USA, Inc. (f) 21,279
2,000 BlueLinx Holdings, Inc. (f) 7,860
1,876 Brookfield Homes Corp. (f) 29,641
2,600 Bucyrus International, Inc. 258,414
1,900 Builders FirstSource, Inc. (a)(f) 13,718
2,180 Building Material Holding Corp. (f) 12,055
510 Cavco Industries, Inc. (a) 17,258
1,975 Ceradyne, Inc. (a) 92,687
3,800 Comstock Homebuilding Cos., Inc. Class A (a)(f) 2,508
500 Dominion Homes, Inc. (a)(f) 185
2,133 Dycom Industries, Inc. (a) 56,844
4,000 EMCOR Group, Inc. (a) 94,520
3,220 Eagle Materials, Inc. 114,246
2,950 Granite Construction, Inc. 106,731
6,000 Great Lakes Dredge & Dock Corp. 52,320
600 Hill International, Inc. (a) 8,502
See Notes to Financial Statments. 22
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
400 Home Solutions of America, Inc. (a)(f) $ 400
4,500 Hovnanian Enterprises, Inc. Class A (a)(f) 32,265
1,400 Huttig Building Products, Inc. (a) 4,886
2,000 Insituform Technologies, Inc. Class A (a) 29,600
1,800 Interline Brands, Inc. (a) 39,438
11,900 KBR, Inc. (a) 461,720
300 L.S. Starrett Co. Class A 5,073
2,950 LSI Industries, Inc. 53,690
1,380 Levitt Corp. Class A 3,036
2,700 M/I Homes, Inc. (f) 28,350
3,316 MDC Holdings, Inc. 123,123
3,000 Martin Marietta Materials, Inc. 397,800
3,700 Mastec, Inc. (a) 37,629
1,900 Meritage Homes Corp. (a)(f) 27,683
2,300 NCI Building Systems, Inc. (a) 66,217
319 NVR, Inc. (a) 167,156
9,500 Owens Corning, Inc. (a) 192,090
500 PGT, Inc. (a) 2,380
3,700 Palm Harbor Homes, Inc. (a)(f) 39,035
100 Patriot Transportation Holding, Inc. (a) 9,223
500 Performance Technologies, Inc. (a) 2,750
1,900 Perini Corp. (a) 78,698
12,035 Quanta Services, Inc. (a) 315,798
5,200 Quest Resource Corp. (a) 37,284
3,000 Ryland Group, Inc. 82,650
7,700 SBA Communications Corp. Class A (a) 260,568
2,800 Simpson Manufacturing Co., Inc. 74,452
600 Skyline Corp. 17,610
5,400 Standard-Pacific Corp. (f) 18,090
2,000 Texas Industries, Inc. 140,200
10,900 Toll Brothers, Inc. (a) 218,654
5,600 U.S. Concrete, Inc. (a) 18,648
500 UMH Properties, Inc. 5,900
7,100 USG Corp. (a)(f) 254,109
3,100 WCI Communities, Inc. (a)(f) 11,718
3,200 WESCO International, Inc. (a) 126,848
3,800 Walter Industries, Inc. 136,534
5,300 Westell Technologies, Inc. Class A (a) 7,657
--------------
4,923,455
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer - Durables - 0.8% 1,700 American Technology Corp. (a)(f) 3,621
6,340 Avis Budget Group, Inc. (a) 82,420
800 Bassett Furniture Industries, Inc. 7,472
4,400 Champion Enterprises, Inc. (a) 41,448
2,900 Compx International, Inc. 42,398
See Notes to Financial Statments. 23
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
800 Conn's, Inc. (a)(f) $ 13,688
1,000 Design Within Reach, Inc. (a) 3,700
1,700 Emerson Radio Corp. (a) 2,210
3,300 Ethan Allen Interiors, Inc. 94,050
200 Flexsteel Industries, Inc. 2,400
5,700 Furniture Brands International, Inc. 57,342
36,401 Gemstar-TV Guide International, Inc. (a) 173,269
3,000 Genlyte Group, Inc. (a) 285,600
2,220 Griffon Corp. (a) 27,639
1,600 Haverty Furniture Cos., Inc. 14,384
2,800 Helen of Troy Ltd. (a) 47,992
23,300 Hertz Global Holdings, Inc. (a) 370,237
1,700 Hooker Furniture Corp. 34,170
4,400 Interface, Inc. Class A 71,808
2,800 Kimball International, Inc. Class B 38,360
200 Koss Corp. 3,580
3,100 La-Z-Boy, Inc. (f) 24,583
2,900 Lifetime Brands, Inc. (f) 37,642
500 Mac-Gray Corp. (a) 5,630
4,864 Mohawk Industries, Inc. (a) 361,882
400 National Presto Industries, Inc. 21,064
7,500 RSC Holdings, Inc. (a) 94,125
4,505 Restoration Hardware, Inc. (a) 29,598
1,700 Rockford Corp. (a)(f) 3,077
6,100 Sealy Corp. (f) 68,259
5,850 Select Comfort Corp. (a)(f) 41,009
2,800 Stanley Furniture Co., Inc. 33,600
1,600 Sturm Ruger & Co., Inc. (a) 13,248
5,400 Tempur-Pedic International, Inc. (f) 140,238
2,890 Toro Co. 157,332
6,600 United Rentals, Inc. (a) 121,176
642 Virco Manufacturing Corp. 4,622
--------------
2,574,873
- ------------------------------------------------------------------------------------------------------------------------------------
Containers - 0.6% 11,600 Crown Holdings, Inc. (a) 297,540
14,700 Graphic Packaging Corp. (a) 54,243
3,300 Greif, Inc. 215,721
4,000 Mobile Mini, Inc. (a) 74,160
11,400 Owens-Illinois, Inc. (a) 564,300
2,700 Silgan Holdings, Inc. 140,238
7,000 Sonoco Products Co. 228,760
8,500 Temple-Inland, Inc. 177,225
5,000 Textainer Group Holdings Ltd. 72,650
4,600 Trimas Corp. (a) 48,714
--------------
1,873,551
- ------------------------------------------------------------------------------------------------------------------------------------
Domestic Oil - 4.2% 8,900 Abraxas Petroleum Corp. (a) 34,354
See Notes to Financial Statments. 24
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,200 Alon USA Energy, Inc. $ 86,976
8,000 American Oil & Gas, Inc. (a) 46,400
2,500 Arena Resources, Inc. (a) 104,275
1,933 Atlas America, Inc. 114,395
4,000 Atlas Energy Resources LLC (f) 124,360
2,700 Atlas Pipeline Holdings LP 73,575
3,000 BPZ Resources, Inc. (a) 33,540
1,800 Basic Energy Services, Inc. (a) 39,510
3,100 Bill Barrett Corp. (a) 129,797
3,600 Bois d'Arc Energy, Inc. (a) 71,460
400 Bolt Technology Corp. (a) 15,192
4,400 BreitBurn Energy Partners LP 127,160
11,000 CNX Gas Corp. (a) 351,450
1,000 Callon Petroleum Co. (a) 16,450
2,000 Carrizo Oil & Gas, Inc. (a) 109,500
1,600 Clayton Williams Energy, Inc. (a) 49,856
3,200 Clean Energy Fuels Corp. (a) 48,448
2,600 Comstock Resources, Inc. (a) 88,400
5,500 Concho Resources, Inc. (a) 113,355
12,200 Continental Resources, Inc. (a) 318,786
3,200 Crosstex Energy LP (f) 99,264
4,735 Delta Petroleum Corp. (a) 89,255
10,100 Diamond Offshore Drilling, Inc. 1,434,200
1,300 Dorchester Minerals LP 26,169
6,200 Dresser-Rand Group, Inc. (a) 242,110
100 EV Energy Partner LP 3,250
6,200 EXCO Resources, Inc. (a) 95,976
2,200 Edge Petroleum Corp. (a) 13,046
1,462 Enbridge Energy Management LLC (a) 76,512
6,600 Enbridge Energy Partners LP 333,564
3,800 Encore Acquisition Co. (a) 126,806
3,300 Encore Energy Partners LP (f) 59,400
12,100 Endeavour International Corp. (a) 16,214
2,326 Energy Partners Ltd. (a) 27,470
16,200 Energy Transfer Equity LP 570,726
5,900 FX Energy, Inc. (a) 33,512
7,500 Frontier Oil Corp. 304,350
1,300 GMX Resources Inc. (a)(f) 41,964
5,100 Gasco Energy, Inc. (a) 10,098
1,500 Geokinetics, Inc. (a) 29,175
8,530 Global Industries Ltd. (a) 182,713
2,130 Gulf Island Fabrication, Inc. 67,542
1,600 Gulfmark Offshore, Inc. (a) 74,864
3,700 Harvest Natural Resources, Inc. (a) 46,250
6,684 Helix Energy Solutions Group, Inc. (a) 277,386
See Notes to Financial Statments. 25
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
6,400 Hercules Offshore, Inc. (a) $ 152,192
1,800 Hiland Holdings GP LP 48,582
100 Hiland Partners LP 5,055
4,000 Holly Corp. 203,560
1,200 Inergy Holdings LP 51,876
8,500 Key Energy Services, Inc. (a) 122,315
700 Legacy Reserves LP 14,427
8,000 Linn Energy LLC (f) 200,240
4,800 Magellan Midstream Partners LP 208,128
5,499 Mariner Energy, Inc. (a) 125,817
2,000 MarkWest Energy Partners LP (f) 67,560
1,900 Matrix Service Co. (a) 41,458
3,700 McMoRan Exploration Co. (a) 48,433
5,100 Meridian Resource Corp. (a) 9,231
9,098 Newfield Exploration Co. (a) 479,465
3,600 Nustar Energy LP 191,880
800 OYO Geospace Corp. (a) 60,288
11,010 Patterson-UTI Energy, Inc. 214,915
12,201 PetroHawk Energy Corp. (a) 211,199
3,600 Petroquest Energy, Inc. (a) 51,480
8,475 Pioneer Natural Resources Co. 413,919
7,919 Plains Exploration & Production Co. (a) 427,626
11,700 Pride International, Inc. (a) 396,630
5,580 Quicksilver Resources, Inc. (a) 332,512
9,600 Ram Energy Resources, Inc. (a) 48,192
5,300 Rosetta Resources, Inc. (a) 105,099
4,600 St. Mary Land & Exploration Co. 177,606
1,979 Stone Energy Corp. (a) 92,835
2,400 Suburban Propane Partners LP 97,392
1,700 Sunoco Logistics Partners LP (f) 85,357
5,726 Superior Energy Services, Inc. (a) 197,089
3,600 Superior Offshore International, Inc. (a) 18,072
3,100 Superior Well Services, Inc. (a) 65,782
9,000 Syntroleum Corp. (a)(f) 7,560
6,500 TEPPCO Partners LP 249,145
5,300 Teekay Corp. 282,013
1,400 Teekay Offshore Partners LP 35,406
2,100 Transmontaigne Partners LP 59,619
4,500 Tri-Valley Corp. (a)(f) 33,300
11,100 Ultra Petroleum Corp. (a) 793,650
1,300 Union Drilling, Inc. (a) 20,501
4,400 Vaalco Energy, Inc. (a) 20,460
5,200 W&T Offshore, Inc. 155,792
4,200 Warren Resources, Inc. (a) 59,346
5,000 Western Refining, Inc. 121,050
See Notes to Financial Statments. 26
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,800 Whiting Petroleum Corp. (a) $ 161,448
--------------
13,344,557
- ------------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine - 9.9% 2,200 ABX Holdings, Inc. (a) 9,196
1,200 AMAG Pharmaceuticals, Inc. (a) 72,156
3,500 AMERIGROUP Corp. (a) 127,575
11,652 APP Pharmaceuticals, Inc. (a) 119,666
3,800 ARYx Therapeutics, Inc. (a) 29,450
900 ATS Medical, Inc. (a) 1,989
7,050 AVANIR Pharmaceuticals Class A (a) 8,883
3,100 AVI BioPharma, Inc. (a)(f) 4,371
1,500 Abaxis, Inc. (a) 53,790
1,100 Abiomed, Inc. (a) 17,094
2,913 The Abraxis Bioscience, Inc. (a) 200,327
4,200 Acadia Pharmaceuticals, Inc. (a) 46,494
1,600 Accelrys, Inc. (a) 12,048
5,200 Accuray, Inc. (a) 79,144
2,500 Acorda Therapeutics, Inc. (a) 54,900
3,100 Adams Respiratory Therapeutics, Inc. (a) 185,194
3,400 Adolor Corp. (a) 15,640
4,235 Advanced Medical Optics, Inc. (a) 103,884
500 Affymax, Inc. (a) 11,180
1,100 Air Methods Corp. (a) 54,637
2,000 Albany Molecular Research, Inc. (a) 28,760
2,700 Alexion Pharmaceuticals, Inc. (a) 202,581
3,600 Alexza Pharmaceuticals, Inc. (a) 29,124
4,900 Align Technology, Inc. (a) 81,732
7,300 Alkermes, Inc. (a) 113,807
2 Allegro Biodiesel Corp. (a) 0
3,300 Alliance Imaging, Inc. (a) 31,746
6,800 Allos Therapeutics, Inc. (a) 42,772
4,045 Allscripts Healthcare Solutions, Inc. (a) 78,554
4,500 Alpharma, Inc. Class A (a) 90,675
500 Altus Pharmaceuticals, Inc. (a) 2,590
1,867 Amedisys, Inc. (a) 90,587
800 America Service Group, Inc. (a) 5,864
1,000 American Dental Partners, Inc. (a) 10,030
5,200 American Medical Systems Holdings, Inc. (a) 75,192
3,200 Amicus Therapeutics, Inc. (a) 34,400
2,200 Amsurg Corp. (a) 59,532
9,800 Amylin Pharmaceuticals, Inc. (a) 362,600
1,700 Anadys Pharmaceuticals, Inc. (a) 2,737
400 Anesiva, Inc. (a) 2,000
2,890 AngioDynamics, Inc. (a) 55,026
3,100 Animal Health International, Inc. (a) 38,130
10,600 Antigenics, Inc. (a)(f) 21,624
See Notes to Financial Statments. 27
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
4,300 Applera Corp. - Celera Genomics Group (a) $ 68,241
3,100 Apria Healthcare Group, Inc. (a) 66,867
1,900 Arcadia Resources, Inc. (a) 1,938
4,240 Arena Pharmaceuticals, Inc. (a) 33,199
9,800 Ariad Pharmaceuticals, Inc. (a) 41,650
2,430 Arqule, Inc. (a) 14,094
4,300 Array Biopharma, Inc. (a) 36,206
2,000 ArthroCare Corp. (a)(f) 96,100
1,100 Aspect Medical Systems, Inc. (a) 15,400
700 AspenBio Pharma, Inc. (a) 5,915
4,800 Assisted Living Concepts, Inc. (a) 36,000
8,400 Atherogenics, Inc. (a)(f) 3,192
2,900 Auxilium Pharmaceuticals, Inc. (a) 86,971
4,400 Avant Immunotherapeutics, Inc. (a) 2,156
1,000 Avigen, Inc. (a) 4,250
1,700 Barrier Therapeutics, Inc. (a) 6,698
4,400 Beckman Coulter, Inc. 320,320
900 Bentley Pharmaceuticals, Inc. (a) 13,581
1,900 Bio-Reference Labs, Inc. (a) 62,092
1,700 BioCryst Pharmaceuticals, Inc. (a) 10,506
400 BioForm Medical, Inc. (a) 2,732
6,900 BioMarin Pharmaceuticals, Inc. (a) 244,260
400 BioMimetic Therapeutics, Inc. (a) 6,948
900 BioSphere Medical, Inc. (a) 4,617
500 Biodel, Inc. (a) 11,615
2,400 Biolase Technology, Inc. (a) 5,664
3,363 Biopure Corp. Class A (a)(f) 2,152
2,596 Bioscript, Inc. (a) 20,067
900 Bradley Pharmaceuticals, Inc. (a) 17,730
2,050 CONMED Corp. (a) 47,376
4,300 CV Therapeutics, Inc. (a) 38,915
900 Cadence Pharmaceuticals, Inc. (a) 13,374
16,300 Calypte Biomedical Corp. (a) 1,711
2,100 Cambrex Corp. 17,598
800 Caraco Pharmaceutical Laboratories Ltd. (a) 13,720
3,210 Cardiac Science Corp. (a) 25,969
2,900 Cardica, Inc. (a) 29,522
2,900 CardioDynamics International Corp. (a) 1,163
1,476 Cardiotech International, Inc. (a) 1,004
3,950 Cell Therapeutics, Inc. (a)(f) 7,426
3,100 Centene Corp. (a) 85,064
4,700 Cephalon, Inc. (a) 337,272
1,400 Cerus Corp. (a) 9,114
4,792 Charles River Laboratories International, Inc. (a) 315,314
11,200 Clarient, Inc. (a) 22,176
See Notes to Financial Statments. 28
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
687 Clinical Data, Inc. $ 15,286
3,400 Collagenex Pharmaceuticals, Inc. (a) 32,470
7,400 Columbia Laboratories, Inc. (a) 16,798
6,500 Community Health Systems, Inc. (a) 239,590
3,400 Conceptus, Inc. (a) 65,416
3,143 The Cooper Cos., Inc. 119,434
1,500 Corvel Corp. (a) 34,530
2,400 Cougar Biotechnology, Inc. (a) 78,480
4,500 Covance, Inc. (a) 389,790
2,000 CryoLife, Inc. (a) 15,900
4,000 Cubist Pharmaceuticals, Inc. (a) 82,040
3,300 Curis, Inc. (a) 3,234
900 Cutera, Inc. (a) 14,130
1,500 Cyberonics, Inc. (a)(f) 19,740
900 Cynosure, Inc. Class A (a) 23,814
4,300 Cypress Bioscience, Inc. (a) 47,472
10,200 CytRx Corp. (a)(f) 28,866
930 Cytogen Corp. (a) 484
1,700 Cytokinetics, Inc. (a) 8,041
7,800 DaVita, Inc. (a) 439,530
1,400 Datascope Corp. 50,960
900 Daxor Corp. 13,167
9,030 Dendreon Corp. (a)(f) 56,167
10,800 Dentsply International, Inc. 486,216
8,100 Depomed, Inc. (a)(f) 26,406
4,400 DexCom, Inc. (a) 38,852
1,300 Dialysis Corp. of America (a) 11,050
10,100 Discovery Laboratories, Inc. (a) 21,715
7,800 Durect Corp. (a) 50,154
1,300 Dusa Pharmaceuticals, Inc. (a)(f) 2,691
4 Dynacq Healthcare, Inc. (a) 15
4,700 Dynavax Technologies Corp. (a) 23,876
2,100 E-Z-EM, Inc. (a) 43,533
7,566 EPIX Pharmaceuticals, Inc. (a) 29,810
4,100 Edwards Lifesciences Corp. (a) 188,559
700 Emergency Medical Services Corp. (a) 20,496
600 Emergent Biosolutions, Inc. (a) 3,036
2,100 Emeritus Corp. (a) 52,815
4,800 Emisphere Technologies, Inc. (a) 13,104
9,400 Endo Pharmaceuticals Holdings, Inc. (a) 250,698
6,200 Endologix, Inc. (a) 17,360
4,300 Entremed, Inc. (a) 5,160
1,373 Enzo Biochem, Inc. (a) 17,492
4,700 Enzon Pharmaceuticals, Inc. (a) 44,791
673 EpiCept Corp. (a) 868
See Notes to Financial Statments. 29
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
725 Escalon Medical Corp. (a) $ 2,581
7,183 ev3, Inc. (a) 91,296
1,600 Exact Sciences Corp. (a) 5,152
700 Exactech, Inc. (a) 14,525
3,000 FGX International Holdings Ltd. (a) 35,550
692 Fonar Corp. (a) 3,598
3,600 GTx, Inc. (a)(f) 51,660
3,800 Gen-Probe, Inc. (a) 239,134
900 GenVec, Inc. (a) 1,323
566 Genaera Corp. (a) 1,138
1,900 Gene Logic, Inc. (a) 1,558
1,060 Genelabs Technologies, Inc. (a) 1,293
76,140 Genentech, Inc. (a) 5,106,710
2,100 Genitope Corp. (a)(f) 1,554
2,700 Genomic Health, Inc. (a) 61,128
500 Genoptix, Inc. (a) 15,350
1,300 Genta, Inc. (a) 663
3,800 Geron Corp. (a)(f) 21,584
1,200 Greatbatch, Inc. (a) 23,988
1,800 HMS Holdings Corp. (a) 59,778
1,800 Haemonetics Corp. (a) 113,436
7,300 Halozyme Therapeutics, Inc. (a) 51,903
1,800 Hansen Medical, Inc. (a)(f) 53,892
5,400 Health Grades Inc. (a) 32,130
17,180 Health Management Associates, Inc. Class A 102,736
7,780 Health Net, Inc. (a) 375,774
4,000 HealthExtras, Inc. (a) 104,320
5,400 HealthSouth Corp. (a) 113,400
4,300 HealthSpring, Inc. (a) 81,915
1,900 HealthTronics, Inc. (a) 8,721
3,077 Healthcare Services Group, Inc. 65,171
2,600 Healthways, Inc. (a) 151,944
1,300 Hemispherx Biopharma, Inc. (a) 1,027
6,300 Henry Schein, Inc. (a) 386,820
5,000 Herbalife Ltd. 201,400
775 Hi-Tech Pharmacal Co., Inc. (a) 7,525
4,345 Hillenbrand Industries, Inc. 242,147
2,300 Hollis-Eden Pharmaceuticals, Inc. (a) 3,611
8,768 Hologic, Inc. (a) 601,835
4,600 Hooper Holmes, Inc. (a) 7,912
9,700 Human Genome Sciences, Inc. (a) 101,268
2,900 Hydron Technologies, Inc. (a) 209
2,700 I-Flow Corp. (a)(f) 42,606
1,600 ICU Medical, Inc. (a) 57,616
2,100 II-VI, Inc. (a) 64,155
See Notes to Financial Statments. 30
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
4,500 Idexx Laboratories, Inc. (a) $ 263,835
6,321 ImClone Systems, Inc. (a) 271,803
5,037 Immucor, Inc. (a) 171,208
4,000 Immunicon Corp. (a)(f) 3,320
2,900 ImmunoGen, Inc. (a) 12,035
8,300 Immunomedics, Inc. (a) 19,256
6,000 Incyte Corp. (a) 60,300
9,200 Indevus Pharmaceuticals, Inc. (a) 63,940
4,200 Insmed, Inc. (a) 3,465
6,400 Inspire Pharmaceuticals, Inc. (a) 38,272
1,000 Insulet Corp. (a) 23,480
1,900 Integra LifeSciences Holdings Corp. (a) 79,667
4,500 InterMune, Inc. (a) 59,985
2,600 Introgen Therapeutics, Inc. (a)(f) 7,618
2,750 Intuitive Surgical, Inc. (a) 892,375
1,900 Invacare Corp. 47,880
5,275 Inverness Medical Innovations, Inc. (a) 296,350
6,300 Isis Pharmaceuticals, Inc. (a)(f) 99,225
6,200 Ista Pharmaceuticals, Inc. (a)(f) 30,380
700 Javelin Pharmaceuticals, Inc. (a) 2,618
500 Jazz Pharmaceuticals, Inc. (a) 7,350
2,900 K-V Pharmaceutical Co. Class A (a) 82,766
1,000 Kendle International, Inc. (a) 48,920
1,900 Kensey Nash Corp. (a) 56,848
2,690 Kindred Healthcare, Inc. (a) 67,196
5,115 Kinetic Concepts, Inc. (a) 273,959
1,700 Kosan Biosciences, Inc. (a) 6,120
2,250 LCA-Vision, Inc. (f) 44,932
2,500 LHC Group, Inc. (a) 62,450
5,540 La Jolla Pharmaceutical Co. (a) 21,717
1,210 Lakeland Industries, Inc. (a) 13,879
400 Landauer, Inc. 20,740
300 Langer, Inc. (a) 771
800 Lectec Corp. (a) 1,200
2,800 Lexicon Genetics, Inc. (a) 8,484
2,400 LifeCell Corp. (a) 103,464
4,045 LifePoint Hospitals, Inc. (a) 120,298
700 Lifecore Biomedical, Inc. (a) 10,115
8,200 Ligand Pharmaceuticals, Inc. Class B 39,606
5,700 Lincare Holdings, Inc. (a) 200,412
200 MAP Pharmaceuticals, Inc. (a) 3,502
1,800 MEDTOX Scientific, Inc. (a) 32,526
6,440 MGI Pharma, Inc. (a) 261,013
2,779 Magellan Health Services, Inc. (a) 129,585
7,600 MannKind Corp. (a)(f) 60,496
See Notes to Financial Statments. 31
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,100 Mannatech, Inc. (f) $ 19,592
2,200 Martek Biosciences Corp. (a)(f) 65,076
3,900 Masimo Corp. (a) 153,855
3,100 MedAssets, Inc. (a) 74,214
1,500 MedCath Corp. (a) 36,840
9,100 Medarex, Inc. (a) 94,822
900 Medical Action Industries, Inc. (a) 18,765
5,170 Medicines Co. (a) 99,057
3,900 Medicis Pharmaceutical Corp. Class A 101,283
2,100 Medifast, Inc. (a)(f) 10,185
2,030 Medis Technologies Ltd. (a)(f) 31,323
3,200 Medivation, Inc. 46,080
100 Memory Pharmaceuticals Corp. (a) 57
2,400 Mentor Corp. (f) 93,840
2,125 Meridian Bioscience, Inc. 63,920
1,568 Merit Medical Systems, Inc. (a) 21,795
2,600 Metabolix, Inc. (a) 61,880
300 Metropolitan Health Networks, Inc. (a) 717
533 Micromet, Inc. (a) 1,098
2,200 Micrus Endovascular Corp. (a) 43,296
1,400 MiddleBrook Pharmaceuticals, Inc. (a) 1,680
22,638 Millennium Pharmaceuticals, Inc. (a) 339,117
2,100 Mine Safety Appliances Co. 108,927
400 Molecular Insight Pharmaceuticals, Inc. (a) 3,624
2,000 Molina Healthcare, Inc. (a) 77,400
1,900 Momenta Pharmaceuticals, Inc. (a) 13,566
13,060 Monogram Biosciences, Inc. (a) 18,937
3,200 Myriad Genetics, Inc. (a) 148,544
4,800 NBTY, Inc. (a) 131,520
3,440 NPS Pharmaceuticals, Inc. (a) 13,175
3,500 Nabi Biopharmaceuticals (a) 12,635
150 National Dentex Corp. (a) 2,418
400 National Healthcare Corp. 20,680
2,400 Natus Medical, Inc. (a) 46,440
9,400 Nektar Therapeutics (a) 63,074
4,486 Neopharm, Inc. (a) 2,602
1,900 Neose Technologies, Inc. (a) 2,033
5,945 Neurocrine Biosciences, Inc. (a) 26,990
2,600 Neurogen Corp. (a) 8,970
1,700 Neurometrix, Inc. (a)(f) 15,640
3,000 Northfield Laboratories, Inc. (a)(f) 3,090
15,100 Nova Biosource Fuels, Inc. (a) 43,790
4,000 Novacea, Inc. (a) 11,920
3,500 Novavax, Inc. (a) 11,655
3,500 Noven Pharmaceuticals, Inc. (a) 48,580
2,500 NuVasive, Inc. (a) 98,800
See Notes to Financial Statments. 32
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,400 Nutraceutical International Corp. (a) $ 18,550
10,221 Nuvelo, Inc. (a)(f) 18,704
3,700 NxStage Medical, Inc. (a) 56,129
4,167 OSI Pharmaceuticals, Inc. (a) 202,141
2,800 Obagi Medical Products, Inc. (a) 51,212
3,850 Odyssey HealthCare, Inc. (a) 42,581
7,900 Omnicare, Inc. 180,199
1,600 Omrix Biopharmaceuticals, Inc. (a) 55,584
3,900 Onyx Pharmaceuticals, Inc. (a) 216,918
8,100 Opko Health, Inc. (a)(f) 23,085
4,775 OraSure Technologies, Inc. (a) 42,450
900 Orexigen Therapeutics, Inc. (a) 12,825
1,200 Orthofix International NV (a) 69,564
4,100 Orthologic Corp. (a) 5,535
5,920 Orthovita, Inc. (a) 20,661
550 Oscient Pharmaceuticals Corp. (a) 743
1,300 Osiris Therapeutics, Inc. (a)(f) 15,626
3,300 Osteotech, Inc. (a) 25,806
2,400 Owens & Minor, Inc. 101,832
8,300 PDL BioPharma, Inc. (a) 145,416
4,700 PSS World Medical, Inc. (a) 91,979
4,500 Pain Therapeutics, Inc. (a) 47,700
11,006 Panacos Pharmaceuticals, Inc. (a) 8,695
2,400 Par Pharmaceutical Cos., Inc. (a) 57,600
2,000 Parexel International Corp. (a) 96,600
3,500 Pediatrix Medical Group, Inc. (a) 238,525
4,600 Penwest Pharmaceuticals Co. (a) 26,910
20,800 Peregrine Pharmaceuticals, Inc. (a)(f) 7,904
6,600 Perrigo Co. 231,066
3,700 PetMed Express, Inc. (a) 44,770
4,123 PharMerica Corp. (a) 57,227
8,400 Pharmaceutical Product Development, Inc. 339,108
700 Pharmacopeia Drug Discovery, Inc. (a) 3,339
2,290 Pharmacyclics, Inc. (a) 3,321
200 Pharmasset, Inc. (a) 2,700
3,000 Pharmion Corp. (a) 188,580
1,140 Pharmos Corp. (a) 371
3,600 Pozen, Inc. (a)(f) 43,200
2,500 Prestige Brands Holdings, Inc. (a) 18,700
2,400 Progenics Pharmaceuticals, Inc. (a) 43,368
800 ProxyMed, Inc. (a) 2,136
125 Psychemedics Corp. 2,006
3,832 Psychiatric Solutions, Inc. (a) 124,540
2,700 QMed, Inc. (a) 380
8,400 Questcor Pharmaceuticals, Inc. (a) 48,468
1,900 Quidel Corp. (a) 36,993
See Notes to Financial Statments. 33
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
700 RadNet, Inc. (a) $ 7,105
2,500 Radiation Therapy Services, Inc. (a) 77,275
1,600 Regeneration Technologies, Inc. (a) 13,888
4,800 Regeneron Pharmaceuticals, Inc. (a) 115,920
2,400 RehabCare Group, Inc. (a) 54,144
1,600 Reliv International, Inc. 13,104
1,800 Renovis, Inc. (a) 5,454
1,200 Res-Care, Inc. (a) 30,192
5,300 ResMed, Inc. (a) 278,409
5,500 Respironics, Inc. (a) 360,140
1,300 Retractable Technologies, Inc. (a) 1,950
1,665 Rigel Pharmaceuticals, Inc. (a) 42,274
2,200 Rochester Medical Corp. (a) 24,508
3,403 Salix Pharmaceuticals Ltd. (a)(f) 26,816
4,200 Sangamo Biosciences, Inc. (a)(f) 54,978
2,700 Santarus, Inc. (a) 7,425
3,784 Savient Pharmaceuticals, Inc. (a) 86,918
5,700 Sciclone Pharmaceuticals, Inc. (a) 11,742
2,550 Sciele Pharma, Inc. (a)(f) 52,148
6,800 Seattle Genetics, Inc. (a) 77,520
7,755 Sepracor, Inc. (a) 203,569
4,900 Sierra Health Services, Inc. (a) 205,604
1,200 Sirtris Pharmaceuticals, Inc. (a) 16,428
2,700 Skilled Healthcare Group, Inc. Class A (a) 39,501
3,000 Somaxon Pharmaceuticals, Inc. (a) 15,630
3,500 Sonic Innovations, Inc. (a) 27,020
2,100 SonoSite, Inc. (a) 70,707
1,900 Sparta Surgical Corp. (a) 0
3,900 Spectranetic Corp. (a) 59,787
16 Spectrum Pharmaceuticals, Inc. (a) 44
2,400 Staar Surgical Co. (a) 6,336
10,100 Star Scientific, Inc. (a) 8,040
5,400 StemCells, Inc. (a)(f) 8,100
2,600 Stereotaxis, Inc. (a) 31,772
3,700 Steris Corp. 106,708
2,000 Sucampo Pharmaceuticals, Inc. Class A (a) 36,680
3,100 Sun Healthcare Group, Inc. (a) 53,227
3,100 Sunrise Senior Living, Inc. (a) 95,108
3,130 SuperGen, Inc. (a) 11,425
1,300 SurModics, Inc. (a)(f) 70,551
1,000 Symmetry Medical, Inc. (a) 17,430
900 Synovis Life Technologies, Inc. (a) 17,595
900 Synta Pharmaceuticals Corp. (a) 6,030
8,500 SyntheMed, Inc. (a) 4,335
50 Synvista Therapeutics, Inc. (a) 110
880 Tapestry Pharmaceuticals, Inc. (a) 246
850 Targeted Genetics Corp. (a) 1,301
See Notes to Financial Statments. 34
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,600 Techne Corp. (a) $ 171,730
8,730 Telik, Inc. (a)(f) 30,293
6,300 Tercica, Inc. (a)(f) 42,714
1,900 Theragenics Corp. (a) 6,802
3,900 Theravance, Inc. (a) 76,050
5,600 Third Wave Technologies, Inc. (a) 54,040
3,800 Thoratec Corp. (a) 69,122
7,300 Threshold Pharmaceuticals, Inc. (a) 3,869
2,800 Titan Pharmaceuticals, Inc. (a) 4,704
4,900 Tomotherapy, Inc. (a) 95,844
375 TorreyPines Therapeutics, Inc. (a) 859
900 Transgenomic, Inc. (a) 477
300 Trans1, Inc (a) 4,941
2,900 Trimeris, Inc. (a)(f) 20,242
700 Triple-S Management Corp. (a) 14,147
400 Trubion Pharmaceuticals, Inc. (a) 4,000
800 US Physical Therapy, Inc. (a) 11,496
1,200 USANA Health Sciences, Inc. (a)(f) 44,496
400 Uluru, Inc. (a) 1,084
1,500 United Therapeutics Corp. (a) 146,475
1,500 Universal Display Corp. (a)(f) 31,005
3,700 Universal Health Services, Inc. Class B 189,440
1,700 Urologix, Inc. (a) 1,972
1,100 Utah Medical Products, Inc. 32,692
5,840 VCA Antech, Inc. (a) 258,303
5,200 Valeant Pharmaceuticals International (a) 62,244
2,000 Vanda Pharmaceuticals, Inc. (a) 13,760
3,100 Ventana Medical Systems, Inc. (a) 270,413
1,700 Vermillion, Inc. (a) 1,292
9,362 Vertex Pharmaceuticals, Inc. (a) 217,479
9 Via Pharmaceuticals, Inc. (a) 22
1,000 Vical, Inc. (a) 4,250
3,300 Vion Pharmaceuticals, Inc. (a) 1,818
4,000 ViroPharma, Inc. (a) 31,760
1,600 Virtual Radiologic Corp. (a) 32,448
1,205 VistaCare, Inc. Class A (a) 8,736
700 Vital Signs, Inc. 35,784
7,400 Vivus, Inc. (a) 38,332
60 Vnus Medical Technologies, Inc. (a) 871
3,200 Volcano Corp. (a) 40,032
18,200 Warner Chilcott Ltd. (a) 322,686
1,900 West Pharmaceutical Services, Inc. 77,121
1,700 Wright Medical Group, Inc. (a) 49,589
14,800 XOMA Ltd. (a)(f) 50,172
900 XTENT, Inc. (a) 8,874
See Notes to Financial Statments. 35
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,500 Xenoport, Inc. (a) $ 83,820
2,700 Zila, Inc. (a) 2,619
2,110 Zoll Medical Corp. (a) 56,379
7,300 ZymoGenetics, Inc. (a) 85,191
--------------
31,510,925
- ------------------------------------------------------------------------------------------------------------------------------------
Electronics - 7.2% 7,300 8x8, Inc. (a)(f) 6,497
100 ACE*COMM Corp. (a) 33
9,200 AMIS Holdings, Inc. (a) 92,184
3,100 APAC Customer Services, Inc. (a) 3,534
2,500 ATMI, Inc. (a) 80,625
12,500 AVX Corp. 167,750
1,200 AXT, Inc. (a) 7,440
400 AZZ Inc. (a) 11,340
1,900 Actel Corp. (a) 25,954
3,000 Acuity Brands, Inc. 135,000
5,400 Acxiom Corp. 63,342
1,300 Advanced Analogic Technologies, Inc. (a) 14,664
800 Advanced Battery Technologies, Inc. (a) 3,760
2,500 Advanced Energy Industries, Inc. (a) 32,700
3,800 Agilysys, Inc. 57,456
1,900 Airvana, Inc. (a) 10,317
1,400 Alliance Fiber Optic Products, Inc. (a) 2,800
2,362 Alliant Techsystems, Inc. (a) 268,701
5,300 Altair Nanotechnologies, Inc. (a)(f) 22,313
3,600 Altra Holdings, Inc. (a) 59,868
1,550 American Physicians Capital, Inc. 64,263
1,100 American Science & Engineering, Inc. 62,425
12,710 Amkor Technology, Inc. (a) 108,416
600 Ampex Corp. (a) 1,800
12,610 Amphenol Corp. Class A 584,726
100 Amtech Systems, Inc. (a) 1,299
4,400 Anadigics, Inc. (a) 50,908
1,100 Anaren, Inc. (a) 18,139
2,700 Anixter International, Inc. (a) 168,129
5,075 Applied Micro Circuits Corp. (a) 44,355
10,697 Arris Group, Inc. (a) 106,752
8,800 Arrow Electronics, Inc. (a) 345,664
700 Ascent Solar Technologies, Inc. (a) 17,402
4,300 Asyst Technologies, Inc. (a) 14,018
3,700 Atheros Communications, Inc. (a) 112,998
31,900 Atmel Corp. (a) 137,808
2,200 Audiovox Corp. Class A (a) 27,280
3,400 AuthenTec, Inc. (a) 49,402
12,400 Avanex Corp. (a) 12,400
2,956 Avid Technology, Inc. (a) 83,773
See Notes to Financial Statments. 36
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
10,564 Avnet, Inc. (a) $ 369,423
900 Aware, Inc. (a) 3,771
7,500 Axcelis Technologies, Inc. (a) 34,500
1,400 Axsys Technologies, Inc. (a) 51,310
400 Badger Meter, Inc. 17,980
600 Bel Fuse, Inc. 17,562
3,000 Belden, Inc. 133,500
2,135 Bell Microproducts, Inc. (a) 12,831
4,884 Benchmark Electronics, Inc. (a) 86,593
3,200 BigBand Networks, Inc. (a) 16,448
16,400 Bookham, Inc. (a) 39,032
7,282 Brooks Automation, Inc. (a) 96,195
9,300 Bruker BioSciences Corp. (a) 123,690
1,800 C&D Technologies, Inc. (a) 11,898
2,770 CMGI, Inc. (a) 36,259
2,200 CTS Corp. 21,846
1,700 Cabot Microelectronics Corp. (a) 61,047
19,100 Cadence Design Systems, Inc. (a) 324,891
1,300 CalAmp Corp. (a) 3,614
4,000 California Micro Devices CP (a) 18,560
2,385 Caliper Life Sciences, Inc. (a) 13,189
2,800 Candela Corp. (a) 15,624
5,300 Captaris, Inc. (a) 22,896
2,400 Cavium Networks, Inc. (a) 55,248
3,900 Cepheid, Inc. (a) 102,765
1,103 Ceva, Inc. (a) 13,423
700 Champion Industries, Inc. 3,164
2,300 Checkpoint Systems, Inc. (a) 59,754
9,500 Cirrus Logic, Inc. (a) 50,160
1,300 Cohu, Inc. 19,890
4,516 CommScope, Inc. (a) 222,232
1,700 Comtech Telecommunications Corp. (a) 91,817
27,548 Conexant Systems, Inc. (a) 22,865
5,000 Cox Radio, Inc. Class A (a) 60,750
7,400 Credence Systems Corp. (a) 17,908
5,600 Cree, Inc. (a)(f) 153,832
2,205 Cymer, Inc. (a) 85,841
10,800 Cypress Semiconductor Corp. (a) 389,124
3,627 DDi Corp. (a) 20,420
4,000 DSP Group, Inc. (a) 48,800
2,200 DTS, Inc. (a) 56,254
2,900 Daktronics, Inc. (f) 65,453
3,700 Data Domain, Inc. (a) 97,458
100 Dataram Corp. 331
3,100 DealerTrack Holdings, Inc. (a) 103,757
See Notes to Financial Statments. 37
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,850 Diodes, Inc. (a) $ 85,699
1,400 Dionex Corp. (a) 116,004
7,900 Dolby Laboratories, Inc. Class A (a) 392,788
1,600 Ducommun, Inc. (a) 60,800
1,400 Dynamics Research Corp. (a) 15,148
3,700 EFJ, Inc. (a) 10,138
700 EMS Technologies, Inc. (a) 21,168
4,000 ESS Technology, Inc. (a) 5,320
300 Eagle Test Systems, Inc. (a) 3,834
3,600 Electro Scientific Industries, Inc. (a) 71,460
1,700 Electroglas, Inc. (a) 2,856
4,100 Electronics for Imaging, Inc. (a) 92,168
20 eMagin Corp. (a) 25
3,700 Emcore Corp. (a)(f) 56,610
1,400 Empire Resources, Inc. (f) 6,398
5,600 Emulex Corp. (a) 91,392
1,000 EndWare Corp. (a) 7,270
2,400 EnerSys (a) 59,904
4,000 Energizer Holdings, Inc. (a) 448,520
2,900 Energy Conversion Devices, Inc. (a)(f) 97,585
4,700 Entertainment Distribution Co., Inc. (a) 3,149
200 Entropic Communications, Inc. (a) 1,456
3,600 Exar Corp. (a) 28,692
1,800 Excel Technology, Inc. (a) 48,780
7,487 Exide Technologies (a) 59,896
3,800 FEI Co. (a) 94,354
5,300 FSI International, Inc. (a) 9,540
7,700 Fairchild Semiconductor International, Inc. (a) 111,111
1,600 Faro Technologies, Inc. (a) 43,488
5,700 First Solar, Inc. (a) 1,522,698
9,600 Flir Systems, Inc. (a) 300,480
1,800 Flotek Industries, Inc. (a) 64,872
3,500 Formfactor, Inc. (a) 115,850
4,900 FuelCell Energy, Inc. (a)(f) 48,608
2,400 GTC Biotherapeutics, Inc. (a) 2,100
3,800 General Cable Corp. (a) 278,464
2,700 Genesis Energy LP 63,450
2,700 Genesis Microchip, Inc. (a) 23,139
4,100 Getty Images, Inc. (a) 118,900
4,200 Glu Mobile, Inc. (a) 21,924
6,300 Harmonic, Inc. (a) 66,024
9,790 Harris Corp. 613,637
1,520 Harvard Bioscience, Inc. (a) 6,962
6,200 Hearst-Argyle Television, Inc. 137,082
975 Herley Industries, Inc. (a) 13,406
See Notes to Financial Statments. 38
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
447 Hifn, Inc. (a) $ 2,557
2,200 Hittite Microwave Corp. (a) 105,072
2,700 Hoku Scientific, Inc. (a)(f) 30,780
2,600 Houston Wire & Cable Co. (f) 36,764
800 Hungarian Telephone & Cable Corp. (a) 14,152
1,895 Hutchinson Technology, Inc. (a) 49,876
4,700 INVESTools, Inc. (a) 83,378
3,800 IPG Photonics Corp. (a) 75,962
2,600 IRIS International, Inc. (a) 51,012
2,400 IXYS Corp. (a) 19,248
5,800 Ikanos Communications, Inc. (a) 31,204
3,946 Illumina, Inc. (a) 233,840
6,600 Infinera Corp. (a) 97,944
3,600 Infosonics Corp. (a) 5,148
3,935 Innovex, Inc. (a) 3,305
1,800 Integrated Electrical Services, Inc. (a) 33,822
2,170 Integrated Silicon Solutions, Inc. (a) 14,365
3,400 InterDigital, Inc. (a) 79,322
4,600 International Rectifier Corp. (a) 156,262
9,315 Intersil Corp. Class A 228,031
3,600 Isilon Systems, Inc. (a) 18,288
2,200 Itron, Inc. (a) 211,134
2,600 Ixia (a) 24,648
1,200 Keithley Instruments, Inc. 11,616
2,800 Kemet Corp. (a) 18,564
4,200 Kopin Corp. (a) 13,272
4,000 Kulicke & Soffa Industries, Inc. (a) 27,440
100 LCC International, Inc. Class A (a) 180
8,700 Lam Research Corp. (a) 376,101
7,270 Lattice Semiconductor Corp. (a) 23,627
900 LeCroy Corp. (a) 8,649
6,100 Leadis Technology, Inc. (a) 17,446
100 Lightpath Technologies, Inc. Class A (a) 193
7,600 Limelight Networks, Inc. (a)(f) 52,364
2,470 Littelfuse, Inc. (a) 81,411
25 M-Wave, Inc. (a) 36
4,153 MKS Instruments, Inc. (a) 79,488
7,287 MRV Communications, Inc. (a) 16,906
1,300 MTS Systems Corp. 55,471
43,000 Marvell Technology Group Ltd. (a)(h) 601,140
5,200 Mattson Technology, Inc. (a) 44,512
3,300 Maxwell Technologies, Inc. (a)(f) 27,291
100 Measurement Specialties, Inc. (a) 2,210
1,400 Mercury Computer Systems, Inc. (a) 22,554
See Notes to Financial Statments. 39
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
4,600 Methode Electronics, Inc. $ 75,624
2,600 Mettler Toledo International, Inc. (a) 295,880
5,417 Microsemi Corp. (a) 119,932
2,000 Microtune, Inc. (a) 13,060
1,855 MoSys, Inc. (a) 8,997
1,700 Mobility Electronics, Inc. (a) 2,635
3,500 Monolithic Power Systems, Inc. (a) 75,145
1,100 Multi-Fineline Electronix, Inc. (a) 19,074
2,500 NETGEAR, Inc. (a) 89,175
2,900 NU Horizons Electronics Corp. (a) 20,155
4,225 Nanogen, Inc. (a)(f) 1,523
2,000 Nanometrics, Inc. (a) 19,720
3,000 Nanophase Technologies Corp. (a)(f) 11,400
3,700 Napco Security Systems, Inc. (a) 23,125
320 Neomagic Corp. (a) 995
4,500 NetList, Inc. (a) 9,900
1,500 Netlogic Microsystems, Inc. (a) 48,300
5,000 Newport Corp. (a) 63,950
13,335 Nuance Communications, Inc. (a) 249,098
21,250 ON Semiconductor Corp. (a) 188,700
2,300 OSI Systems, Inc. (a) 60,881
3,600 Omni Energy Services Corp. (a) 17,568
3,900 Omnivision Technologies, Inc. (a)(f) 61,035
3,400 OpNext, Inc. (a) 30,090
1,600 Oplink Communications, Inc. (a) 24,560
300 PDF Solutions, Inc. (a) 2,703
1,500 PLX Technology, Inc. (a) 13,950
15,800 PMC-Sierra, Inc. (a) 103,332
1,300 Palomar Medical Technologies, Inc. (a) 19,916
1,150 Park Electrochemical Corp. 32,476
800 ParkerVision, Inc. (a)(f) 12,656
3,300 Pericom Semiconductor Corp. (a) 61,710
1,600 Photon Dynamics, Inc. (a) 13,280
3,300 Pixelworks, Inc. (a) 2,508
900 Planar Systems, Inc. (a) 5,760
2,400 Plantronics, Inc. 62,400
3,000 Plexus Corp. (a) 78,780
1,100 Powell Industries, Inc. (a) 48,477
8,800 Power-One, Inc. (a) 35,112
9,300 Powerwave Technologies, Inc. (a) 37,479
400 Preformed Line Products Co. 23,800
8,800 Quantum Corp. (a) 23,672
200 QuickLogic Corp. (a) 660
20,486 RF Micro Devices, Inc. (a) 116,975
3,100 Radisys Corp. (a) 41,540
See Notes to Financial Statments. 40
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
7,600 Rambus, Inc. (a) $ 159,144
1,900 Raven Industries, Inc. 72,941
700 Rex Stores Corp. (a) 11,039
800 Richardson Electronics Ltd. 5,608
2,200 Rofin-Sinar Technologies, Inc. (a) 105,842
400 Rubicon Technology, Inc. (a) 9,500
2,928 Rudolph Technologies, Inc. (a) 33,145
5,900 SAFLINK Corp. (a)(f) 192
800 SCM Microsystems, Inc. (a) 2,672
4,900 STEC, Inc. (a) 42,826
1,200 Sagemark Cos. Ltd. (a) 204
38,800 Sanmina-SCI Corp. (a) 70,616
38,832 Seagate Technology 990,216
1,100 Semitool, Inc. (a) 9,548
4,400 Semtech Corp. (a) 68,288
1,700 Shoretel, Inc. (a) 23,749
4,100 SiRF Technology Holdings, Inc. (a) 103,033
155 Sielox, Inc. (a) 46
5,500 Sigmatel, Inc. (a) 11,605
1,200 Sigmatron International, Inc. (a) 8,916
100 Silicon Graphics, Inc. (a) 1,828
4,700 Silicon Image, Inc. (a) 21,244
3,900 Silicon Laboratories, Inc. (a) 145,977
6,000 Silicon Storage Technology, Inc. (a) 17,940
11,500 Skyworks Solutions, Inc. (a) 97,750
2,900 Smart Modular Technologies WWH, Inc. (a) 29,522
9,900 Spansion LLC Class A (a) 38,907
52 SpatiaLight, Inc. (a) 1
3,900 Spectrum Brands, Inc. (a)(f) 20,787
9,200 Staktek Holdings, Inc. (a) 17,756
1,700 Standard Microsystems Corp. (a) 66,419
5,000 Starent Networks Corp. (a) 91,250
6,100 SunPower Corp. Class A (a)(f) 795,379
4,800 Super Micro Computer, Inc. (a) 36,816
432 Superconductor Technologies, Inc. (a) 2,398
1,900 Superior Essex, Inc. (a) 45,600
2,000 Supertex, Inc. (a) 62,580
3,476 Symmetricom, Inc. (a) 16,372
1,900 Synaptics, Inc. (a) 78,204
6,900 Syntax-Brillian Corp. (a)(f) 21,252
2,300 TTM Technologies, Inc. (a) 26,818
4,430 Taser International, Inc. (a) 63,526
2,100 Technitrol, Inc. 60,018
300 Techwell, Inc. (a) 3,303
841 Tegal Corp. (a) 3,364
See Notes to Financial Statments. 41
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
5,000 Tekelec (a) $ 62,500
3,300 Telkonet, Inc. (a)(f) 2,739
75 Terabeam, Inc. (a) 71
3,400 Tessera Technologies, Inc. (a) 141,440
4,165 Thomas & Betts Corp. (a) 204,252
800 Tollgrade Communications, Inc. (a) 6,416
21,100 TranSwitch Corp. (a) 18,568
560 Transmeta Corp. (a) 7,650
9,645 TriQuint Semiconductor, Inc. (a) 63,946
4,000 Ultra Clean Holdings, Inc. (a) 48,800
1,200 Ultralife Batteries, Inc. (a) 24,180
1,700 Ultratech, Inc. (a) 19,278
100 Unica Corp. (a) 925
600 Unitil Corp. 17,040
12,500 Valence Technology, Inc. (a)(f) 24,750
5,550 Varian Semiconductor Equipment Associates, Inc. (a) 205,350
2,150 Varian, Inc. (a) 140,395
1,400 Viasat, Inc. (a) 48,202
5,000 Vicor Corp. 77,950
2,300 Virage Logic Corp. (a) 19,205
11,961 Vishay Intertechnology, Inc. (a) 136,475
700 Vocus, Inc. (a) 24,171
300 Volterra Semiconductor Corp. (a) 3,309
66 Vyyo, Inc. (a) 207
3,600 WJ Communications, Inc. (a) 2,664
15,600 Western Digital Corp. (a) 471,276
4,817 Zebra Technologies Corp. Class A (a) 167,150
7,424 Zhone Technologies, Inc. (a) 8,686
3,361 Zoran Corp. (a) 75,656
--------------
22,666,974
- ------------------------------------------------------------------------------------------------------------------------------------
Energy & Raw Materials - 5.0% 4,000 APCO Argentina, Inc. (f) 109,760
800 Adams Resources & Energy, Inc. 20,560
3,600 Alliance Resource Partners LP 130,572
4,700 Alpha Natural Resources, Inc. (a) 152,656
4,000 Amerigas Partners LP 144,160
10,100 Arch Coal, Inc. 453,793
2,400 Atlas Pipeline Partners LP 102,840
2,200 Atwood Oceanics, Inc. (a) 220,528
600 Barnwell Industries, Inc. 7,416
3,200 Berry Petroleum Co. Class A 142,240
9,000 Boardwalk Pipeline Partners LP 279,900
7,200 Brigham Exploration Co. (a) 54,144
1,700 Bristow Group, Inc. (a) 96,305
3,700 Bronco Drilling Co., Inc. (a) 54,945
3,200 Buckeye GP Holdings LP 90,208
See Notes to Financial Statments. 42
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,100 Buckeye Partners LP $ 153,171
2,550 CARBO Ceramics, Inc. 94,860
1,700 CREDO Petroleum Corp. (a) 16,813
7,040 Cabot Oil & Gas Corp. Class A 284,205
6,875 Cal Dive International, Inc. (a) 91,025
2,300 Calumet Specialty Products Partners LP 85,169
15,400 Cameron International Corp. (a) 741,202
5,600 Canyon Resources Corp. (a) 2,184
5,816 Cimarex Energy Co. 247,354
2,300 Compass Minerals International, Inc. 94,300
3,300 Crosstex Energy, Inc. 122,892
6,054 CVR Energy, Inc. (a) 150,987
600 Dawson Geophysical Co. (a) 42,876
17,100 Denbury Resources, Inc. (a) 508,725
1,800 Double Eagle Pete & Mining Co. (a) 27,990
2,900 Dril-Quip, Inc. (a) 161,414
7,800 Dune Energy, Inc. (a) 15,990
10,100 Enterprise GP Holdings LP 373,902
31,305 Enterprise Products Partners LP (f) 998,003
4,663 Exterran Holdings, Inc. (a) 381,433
200 Exterran Partners LP 6,418
9,200 FMC Technologies, Inc. (a) 521,640
4,300 Ferrellgas Partners LP 94,213
6,100 Forest Oil Corp. (a) 310,124
3,300 Foundation Coal Holdings, Inc. 173,250
1,300 Furmamite Corp. (a) 15,340
8,100 GeoPetro Resources Co. (a) 28,431
2,500 Goodrich Petroleum Corp. (a)(f) 56,550
9,700 Grant Prideco, Inc. (a) 538,447
10,600 Grey Wolf, Inc. (a) 56,498
800 Haynes International, Inc. (a) 55,600
4,200 Headwaters, Inc. (a) 49,308
7,300 Helmerich & Payne, Inc. 292,511
1,900 Holly Energy Partners LP 83,125
3,300 ICO Inc. (a) 42,372
4,800 ION Geophysical Corp. (a) 75,744
3,400 Inergy LP 105,740
2,800 James River Coal Co. (a)(f) 31,304
6,000 John D. Oil & Gas Co. (a) 3,900
7,700 Joy Global, Inc. 506,814
17,900 Kinder Morgan Energy Partners LP 966,421
3,700 Kirby Corp. (a) 171,976
1,500 Lufkin Industries, Inc. 85,935
1,600 MAXXAM, Inc. (a) 44,880
5,900 Massey Energy Co. 210,925
16,300 McDermott International, Inc. (a) 962,189
See Notes to Financial Statments. 43
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,300 NL Industries, Inc. (f) $ 37,719
900 Natural Gas Services Group (a) 17,649
4,300 Natural Resource Partners LP 139,578
5,200 Newpark Resources, Inc. (a) 28,340
3,100 Nustar GP Holdings LLC 88,505
3,100 Oil States International, Inc. (a) 105,772
3,000 Parallel Petroleum Corp. (a) 52,890
8,400 Parker Drilling Co. (a) 63,420
1,900 Patriot Coal Corp. (a) 79,306
2,700 Penn Virginia Corp. 117,801
2,200 Penn Virginia GP Holdings LP 63,008
2,300 Penn Virginia Resource Partners LP 56,511
1,080 Petroleum Development Corp. (a) 63,860
3,000 Pioneer Drilling Co. (a) 35,640
8,441 Plains All American Pipeline LP 438,932
3,212 Quantum Fuel Systems Technologies Worldwide, Inc. (a) 1,542
1,500 Quest Energy Partners LP (a) 22,365
100 RGC Resources, Inc. 3,025
100 Rex Energy Corp. (a) 1,193
1,677 SEACOR Holdings, Inc. (a) 155,525
10,300 SandRidge Energy, Inc. (a)(f) 369,358
12,000 Southwestern Energy Co. (a) 668,640
1,900 Swift Energy Co. (a) 83,657
2,300 TC PipeLines LP 83,260
4,400 TXCO Resources, Inc. (a) 53,064
3,955 Tidewater, Inc. 216,971
10,300 USEC, Inc. (a)(f) 92,700
3,400 Unit Corp. 157,250
2,300 Uranium Resources, Inc. (a) 28,704
2,200 W-H Energy Services, Inc. (a) 123,662
1,700 Westmoreland Coal Co. (a) 23,630
3,800 Williams Partners LP 148,960
2,900 World Fuel Services Corp. 84,187
--------------
15,850,801
- ------------------------------------------------------------------------------------------------------------------------------------
Energy & Utilities - 4.4% 5,500 AGL Resources, Inc. 207,020
1,100 ATG, Inc. (a) 0
3,500 Active Power, Inc. (a)(f) 7,700
2,000 Akeena Solar, Inc. (a) 15,660
1,800 Allete, Inc. 71,244
7,800 Alliant Energy Corp. 317,382
1,350 American States Water Co. 50,868
9,317 Aqua America, Inc. (f) 197,520
19,710 Aquila, Inc. (a) 73,518
225 Artesian Resources Corp. Class A 4,252
6,400 Atmos Energy Corp. 179,456
See Notes to Financial Statments. 44
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
200 Atrion Corp. $ 25,500
4,800 Aventine Renewable Energy Holdings, Inc. (a)(f) 61,248
3,800 Avista Corp. 81,852
200 BIW Ltd. 4,700
3,600 Basin Water, Inc. (a)(f) 29,772
7,730 Beacon Power Corp. (a)(f) 11,672
5,200 BioFuel Energy Corp. (a) 36,556
2,600 Black Hills Corp. 114,660
900 CH Energy Group, Inc. 40,086
2,400 Cadiz, Inc. (a) 50,400
1,300 California Water Service Group 48,126
1,700 Central Vermont Public Service Corp. 52,428
11,600 Cheniere Energy Partners LP (f) 186,296
1,300 Chesapeake Utilities Corp. 41,405
4,300 Cleco Corp. 119,540
1,900 Comverge, Inc. (a) 59,831
600 Connecticut Water Service, Inc. 14,142
600 Contango Oil & Gas Co. (a) 30,534
3,400 Copano Energy LLC Common Units 123,590
1,000 DCP Midstream Partners LP (f) 45,950
8,035 DPL, Inc. 238,238
100 Delta Natural Gas Co., Inc. 2,525
3,900 Eagle Rock Energy Partners LP (f) 71,292
3,100 El Paso Electric Co. (a) 79,267
5,500 El Paso Pipeline Partners LP (a) 137,775
2,400 The Empire District Electric Co. 54,672
1,400 EnerNOC, Inc. (a) 68,740
5,100 Energen Corp. 327,573
11,800 Energy East Corp. 321,078
10,600 Energy Transfer Partners LP 571,128
200 Energy West, Inc. 2,900
450 EnergySouth, Inc. 26,100
8,580 Equitable Resources, Inc. 457,142
4,700 Evergreen Energy, Inc. (a)(f) 10,481
199 Florida Public Utilities Co. 2,338
100 GeoMet, Inc. (a) 520
1,000 Global Partners LP 26,050
6,100 Great Plains Energy, Inc. 178,852
4,820 Hawaiian Electric Industries, Inc. 109,751
3,200 IDACORP, Inc. 112,704
1,200 The Laclede Group, Inc. 41,088
12,925 MDU Resources Group, Inc. 356,859
2,500 MGE Energy, Inc. 88,675
4,200 Magellan Midstream Holdings LP 112,560
1,300 MarkWest Hydrocarbon, Inc. 81,445
See Notes to Financial Statments. 45
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
766 Middlesex Water Co. $ 14,516
18,700 Mirant Corp. (a) 728,926
1,900 Mitcham Industries, Inc. (a) 39,064
17,460 NRG Energy, Inc. (a) 756,716
7,500 NSTAR 271,650
5,850 National Fuel Gas Co. 273,078
2,040 New Jersey Resources Corp. 102,041
2,700 NorthWestern Corp. 79,650
10,900 Northeast Utilities Inc. 341,279
1,600 Northwest Natural Gas Co. 77,856
6,500 OGE Energy Corp. 235,885
6,000 ONEOK Partners LP (f) 367,500
7,390 ONEOK, Inc. 330,850
2,900 Ormat Technologies, Inc. 159,529
2,100 Otter Tail Corp. 72,660
4,800 PNM Resources, Inc. 102,960
177 Pennichuck Corp. 4,728
4,900 Piedmont Natural Gas Co. 128,184
2,600 Pike Electric Corp. (a) 43,576
4,500 Portland General Electric Co. 125,010
8,500 Puget Energy, Inc. 233,155
4,300 Regency Energy Partners LP 143,491
24,700 Reliant Energy, Inc. (a) 648,128
396 Renegy Holdings, Inc. (a) 2,400
8,300 SCANA Corp. 349,845
600 SJW Corp. 20,802
600 SMF Energy Corp. (a) 402
3,100 SemGroup Energy Partners LP 89,373
15,500 Sierra Pacific Resources 263,190
1,600 South Jersey Industries, Inc. 57,744
8,754 Southern Union Co. 257,017
2,400 Southwest Gas Corp. 71,448
3,671 Southwest Water Co. 45,961
4,200 Spectra Energy Partners LP 100,632
1,100 Star Gas Partners LP (a) 4,367
3,300 Targa Resources Partners LP 97,746
8,600 Transmeridian Exploration, Inc. (a)(f) 17,114
7,560 UGI Corp. 206,010
1,833 UIL Holdings Corp. 67,729
2,500 Unisource Energy Corp. 78,875
4,800 Vectren Corp. 139,248
2,300 Venoco, Inc. (a) 45,839
6,650 VeraSun Energy Corp. (a)(f) 101,612
3,500 WGL Holdings, Inc. 114,660
7,025 Westar Energy, Inc. 182,229
See Notes to Financial Statments. 46
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
8,280 Wisconsin Energy Corp. $ 403,319
--------------
13,780,655
- ------------------------------------------------------------------------------------------------------------------------------------
Food & Agriculture - 2.0% 400 Alico, Inc. 14,600
1,300 The Andersons, Inc. 58,240
5,300 B&G Foods, Inc. Class A 54,113
500 Bridgford Foods Corp. (a) 3,250
8,800 Bunge Ltd. 1,024,408
9,800 Burger King Holdings, Inc. 279,398
3,900 CF Industries Holdings, Inc. 429,234
200 Cagle's, Inc. Class A (a) 1,630
2,400 Cal-Maine Foods, Inc. (f) 63,672
3,002 Chiquita Brands International, Inc. (a) 55,207
400 Coca-Cola Bottling Co. Consolidated 23,552
300 Consolidated-Tomoka Land Co. 18,804
5,200 Corn Products International, Inc. 191,100
1,200 Cuisine Solutions, Inc. (a) 5,160
500 Dairy Mart Convenience Stores, Inc. (a) 0
3,500 Darling International, Inc. (a) 40,460
14,000 Del Monte Foods Co. 132,440
900 Eden Bioscience Corp. (a) 513
700 Farmer Bros. Co. 16,093
100 Fisher Communications, Inc. (a) 3,796
6,018 Flowers Foods, Inc. 140,881
4,500 Fresh Del Monte Produce, Inc. (a) 151,110
1,100 Gehl Co. (a) 17,644
600 Golden Enterprises, Inc. 1,776
1,700 Green Mountain Coffee Roasters, Inc. (a) 69,190
1,000 Griffin Land & Nurseries, Inc. 36,500
2,839 Hain Celestial Group, Inc. (a) 90,848
9,786 Hormel Foods Corp. 396,137
812 Imperial Sugar Co. New Shares (f) 15,241
2,700 Ingles Markets, Inc. Class A 68,553
3,765 Ionatron, Inc. (a)(f) 10,768
2,300 J&J Snack Foods Corp. 71,944
3,919 The J.M. Smucker Co. 201,593
700 John B. Sanfilippo & Son, Inc. (a) 5,894
4,200 Jones Soda Co. (a)(f) 31,248
2,200 Lance, Inc. 44,924
2,700 Lifeway Foods, Inc. (a)(f) 31,941
2,900 MGP Ingredients, Inc. 27,318
400 Maui Land & Pineapple Co., Inc. (a) 11,644
700 Monterey Gourmet Foods, Inc. (a) 2,240
920 Nash Finch Co. 32,458
1,312 Neogen Corp. (a) 34,834
5,900 NitroMed, Inc. (a) 5,959
See Notes to Financial Statments. 47
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,500 The Pantry, Inc. (a) $ 65,325
2,100 Peet's Coffee & Tea, Inc. (a) 61,047
9,227 PepsiAmericas, Inc. 307,444
3,800 Performance Food Group Co. (a) 102,106
4,500 Pilgrim's Pride Corp. 130,275
1,832 Ralcorp Holdings, Inc. (a) 111,367
1,495 Rocky Mountain Chocolate Factory, Inc. 23,741
1,450 Sanderson Farms, Inc. 48,981
4,200 Schiff Nutrition International, Inc. 24,108
4,500 The Scotts Miracle-Gro Co. 168,390
90 Seaboard Corp. 132,300
200 Seneca Foods Corp. (a) 4,750
2,200 Smart Balance, Inc. (a)(f) 24,046
9,488 Smithfield Foods, Inc. (a) 274,393
114 SoftBrands, Inc. (a) 205
2,700 Spartan Stores, Inc. 61,695
2,000 Susser Holdings Corp. (a) 41,000
400 Tasty Baking Co. 3,328
600 Tejon Ranch Co. (a) 24,510
6,100 Terra Industries, Inc. (a) 291,336
2,963 Tootsie Roll Industries, Inc. 81,245
1,812 TreeHouse Foods, Inc. (a) 41,658
4,700 US BioEnergy Corp. (a) 55,037
3,100 United Natural Foods, Inc. (a) 98,332
800 Willamette Valley Vineyards, Inc. (a) 5,104
5,300 Winn-Dixie Stores, Inc. (a) 89,411
500 Zanett, Inc. (a) 305
800 Zapata Corp. (a) 5,856
--------------
6,193,610
- ------------------------------------------------------------------------------------------------------------------------------------
Gold - 0.1% 8,100 Allied Nevada Gold Corp. (a) 50,463
1,200 Aurora Oil & Gas Corp. (a) 1,860
5,400 NGAS Resources, Inc. (a) 30,402
3,135 Royal Gold, Inc. 95,680
9,100 Solitario Resources Corp. (a) 48,230
10,400 US Gold Corp. (a) 30,784
--------------
257,419
- ------------------------------------------------------------------------------------------------------------------------------------
Insurance - 4.2% 1,300 21st Century Holding Co. 17,459
2,600 Affirmative Insurance Holdings, Inc. 26,988
5,000 Alfa Corp. 108,350
544 Alleghany Corp. (a) 218,688
4,400 Allied World Assurance Holdings Ltd. 220,748
4,300 AmTrust Financial Services, Inc. 59,211
4,100 American Equity Investment Life Holding Co. 33,989
8,250 American Financial Group, Inc. 238,260
1,900 American National Insurance Co. 230,356
See Notes to Financial Statments. 48
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,800 Amerisafe, Inc. (a) $ 43,428
5,005 Arch Capital Group Ltd. (a) 352,102
2,139 Argo Group International Holdings Ltd. (a) 90,116
6,700 Arthur J. Gallagher & Co. 162,073
6,300 Aspen Insurance Holdings Ltd. 181,692
4,900 Assured Guaranty Ltd. 130,046
700 Atlantic American Corp. (a) 980
11,000 Axis Capital Holdings Ltd. 428,670
950 Baldwin & Lyons, Inc. Class B 26,087
9,800 Brown & Brown, Inc. 230,300
19,729 CNA Financial Corp. 665,262
1,900 CNA Surety Corp. (a) 37,601
5,500 CastlePoint Holdings, Ltd. 66,000
4,700 Commerce Group, Inc. 169,106
13,700 Conseco, Inc. (a) 172,072
3,200 Crawford & Co. Class B 13,280
100 Darwin Professional Underwriters, Inc. (a) 2,417
3,550 Delphi Financial Group, Inc. Class A 125,244
100 Donegal Group, Inc. Class A 1,717
1,900 Eastern Insurance Holdings, Inc. 31,274
2,600 eHealth, Inc. (a) 83,486
1,900 EMC Insurance Group, Inc. 44,973
3,700 Employers Holdings, Inc. 61,827
4,700 Endurance Specialty Holdings Ltd. 196,131
700 Enstar Group Ltd. (a) 85,694
3,900 Erie Indemnity Co. Class A 202,371
4,500 Everest Re Group Ltd. 451,800
1,500 FBL Financial Group, Inc. Class A 51,795
1,300 FPIC Insurance Group, Inc. (a) 55,874
15,264 Fidelity National Title Group, Inc. Class A 223,007
6,035 First American Corp. 205,914
2,600 First Mercury Financial Corp. (a) 63,440
400 First United Corp. 8,044
4,500 Flagstone Reinsurance Holdings Ltd. 62,550
5,900 Fremont General Corp. (f) 20,650
4,200 Greenlight Capital Re Ltd. (a) 87,318
7,950 HCC Insurance Holdings, Inc. 228,006
3,300 The Hanover Insurance Group, Inc. 151,140
2,000 Harleysville Group, Inc. 70,760
2,100 Hilb Rogal & Hobbs Co. 85,197
2,400 Horace Mann Educators Corp. 45,456
4,400 IPC Holdings, Ltd. 127,028
720 Independence Holding Co. 9,108
1,200 Infinity Property & Casualty Corp. 43,356
6,000 Isolagen, Inc. (a) 15,060
See Notes to Financial Statments. 49
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,600 Kansas City Life Insurance Co. $ 69,168
1,100 LandAmerica Financial Group, Inc. 36,795
1,525 Life Partners Holdings, Inc. (f) 42,242
726 Markel Corp. (a) 356,539
4,200 Max Capital Group Ltd. 117,558
3,900 Meadowbrook Insurance Group, Inc. (a) 36,699
1,600 Mercer Insurance Group, Inc. 28,736
3,700 Mercury General Corp. 184,297
6,900 Montpelier Re Holdings Ltd. 117,369
600 NYMAGIC, Inc. 13,878
3,200 National Atlantic Holdings Corp. (a) 14,176
500 National Interstate Corp. 16,550
1,000 National Medical Health Card Systems, Inc. (a) 9,450
10,100 Nationwide Financial Services, Inc. Class A 454,601
800 Navigators Group, Inc. (a) 52,000
5,200 Odyssey Re Holdings Corp. 190,892
16,412 Old Republic International Corp. 252,909
7,200 OneBeacon Insurance Group Ltd. 154,800
4,695 PMA Capital Corp. Class A (a) 38,593
4,400 The PMI Group, Inc. 58,432
4,000 PartnerRe Ltd. 330,120
250 Penn Treaty American Corp. (a) 1,623
5,200 Philadelphia Consolidated Holding Co. (a) 204,620
6,500 The Phoenix Cos., Inc. 77,155
2,000 Pico Holdings, Inc. (a) 67,240
4,100 Platinum Underwriters Holdings Ltd. 145,796
3,500 Presidential Life Corp. 61,285
2,400 ProAssurance Corp. (a) 131,808
4,900 Protective Life Corp. 200,998
1,700 RLI Corp. 96,543
4,544 Radian Group, Inc. (f) 53,074
4,500 Reinsurance Group of America, Inc. 236,160
5,200 RenaissanceRe Holdings Ltd. 313,248
400 SCPIE Holdings, Inc. (a) 10,988
1,800 Safety Insurance Group, Inc. 65,916
5,600 Scottish Re Group Ltd. (a) 4,060
2,900 SeaBright Insurance Holdings, Inc. (a) 43,732
4,800 Security Capital Assurance Ltd. (f) 18,672
3,900 Selective Insurance Group, Inc. 89,661
3,500 Stancorp Financial Group, Inc. 176,330
2,125 State Auto Financial Corp. 55,888
900 Stewart Information Services Corp. 23,481
2,600 Tower Group, Inc. 86,840
4,831 Transatlantic Holdings, Inc. 351,069
2,900 Triad Guaranty, Inc. (a)(f) 28,420
See Notes to Financial Statments. 50
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
300 Unico American Corp. $ 3,075
4,000 United America Indemnity, Ltd. (a) 79,680
2,000 United Fire & Casualty Co. 58,180
4,500 Unitrin, Inc. 215,955
5,400 Universal American Financial Corp. (a) 138,186
400 Universal Insurance Holdings, Inc. 2,964
5,000 Validus Holdings Ltd. (a) 129,900
12,990 W.R. Berkley Corp. 387,232
3,000 WellCare Health Plans, Inc. (a) 127,230
2,450 Zenith National Insurance Corp. 109,589
--------------
13,135,903
- ------------------------------------------------------------------------------------------------------------------------------------
International Oil - 0.1% 2,600 ATP Oil & Gas Corp. (a) 131,404
4,700 Sulphco, Inc. (f) 24,534
--------------
155,938
- ------------------------------------------------------------------------------------------------------------------------------------
Liquor - 0.1% 1,700 Boston Beer Co., Inc. Class A (a) 64,005
2,912 Central European Distribution Corp. (a) 169,129
2,760 National Beverage Corp. 22,190
100 Pyramid Breweries, Inc. (a) 245
--------------
255,569
- ------------------------------------------------------------------------------------------------------------------------------------
Media - 2.6% 2,800 ACCO Brands Corp. (a) 44,912
1,000 Acme Communications, Inc. 2,730
2,250 America's Car Mart, Inc. (a) 28,238
4,500 Beasley Broadcasting Group, Inc. Class A 23,400
6,480 Belo Corp. Class A 113,011
14,100 Blockbuster, Inc. Class A (a)(f) 54,990
11,000 CNET Networks, Inc. (a) 100,540
50 CTN Media Group, Inc. (a) 0
22,700 Cablevision Systems Corp. Class A (a) 556,150
3,600 Carmike Cinemas, Inc. 26,136
29,000 Charter Communications, Inc. Class A (a)(f) 33,930
7,700 Cinemark Holdings, Inc. 130,900
19,200 Citadel Broadcasting Corp. (f) 39,552
2,300 Coleman Cable, Inc. (a) 21,735
1,500 Consolidated Graphics, Inc. (a) 71,730
11,600 Crown Media Holdings, Inc. Class A (a)(f) 75,400
6,665 Cumulus Media, Inc. Class A (a) 53,587
2,500 Document Security Systems, Inc. (a)(f) 16,225
2,700 Dolan Media Co. (a) 78,759
7,500 DreamWorks Animation SKG, Inc. Class A (a) 191,550
32,365 EchoStar Communications Corp. Class A (a) 1,220,808
6,400 Emmis Communications Corp. Class A (a) 24,640
3,000 Entercom Communications Corp. 41,070
6,500 Entravision Communications Corp. Class A (a) 50,895
7,280 Gartner, Inc. Class A (a) 127,837
5,400 GateHouse Media, Inc. (f) 47,412
See Notes to Financial Statments. 51
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,920 Gaylord Entertainment Co. (a) $ 118,172
2,200 Gray Television, Inc. 17,644
80 iBEAM Broadcasting Corp. (a) 0
10,500 Idearc, Inc. 184,380
20 Intraware, Inc. (a) 103
4,100 John Wiley & Sons, Inc. Class A 175,644
4,500 Journal Communications, Inc. Class A 40,230
5,200 Journal Register Co. 9,152
2,200 The Knot, Inc. (a) 35,068
3,200 Lee Enterprises, Inc. 46,880
22,941 Liberty Global, Inc. (a) 899,058
3,922 Liberty Global, Inc. Series C (a) 143,506
3,200 Lin TV Corp. Class A (a) 38,944
5,300 Live Nation, Inc. (a) 76,956
1,400 Loral Space & Communications Ltd. (a) 47,950
3,600 Martha Stewart Living Omnimedia, Inc. Class A (a) 33,372
6,000 McClatchy Co. Class A (f) 75,120
3,000 Media General, Inc. Class A 63,750
7,700 Mediacom Communications Corp. Class A (a) 35,343
3,000 National CineMedia, Inc. 75,630
5,600 Navarre Corp. (a) 11,648
1,400 Network Equipment Technologies, Inc. (a) 11,788
4,800 Nexstar Broadcasting Group, Inc. Class A (a) 43,872
10,600 Palatin Technologies, Inc. (a) 2,120
2,100 Playboy Enterprises, Inc. Class B (a) 19,152
3,905 Primedia, Inc. 33,193
2,000 Radio One, Inc. Class D (a) 4,740
11,100 Regal Entertainment Group Series A (f) 200,577
2,900 Regent Communications, Inc. (a) 4,466
1,500 Rewards Network, Inc. (a) 7,455
1,425 Saga Communications, Inc. Class A (a) 8,393
1,600 Salem Communications Corp. Class A 10,544
2,710 Scholastic Corp. (a) 94,552
6,300 Sinclair Broadcast Group, Inc. Class A 51,723
8,630 Source Interlink Cos., Inc. (a)(f) 24,854
5,100 Spanish Broadcasting System, Inc. Class A (a) 9,435
4,980 Sun-Times Media Group, Inc. (a) 10,956
7,165 TiVo, Inc. (a) 59,756
71,100 Time Warner Cable, Inc. (a) 1,962,360
320 Triple Crown Media, Inc. (a) 1,514
600 United Capital Corp. (a) 14,280
9,900 Univercell Holdings, Inc. (a) 24
2,000 Valassis Communications, Inc. (a) 23,380
2,800 ValueVision Media, Inc. Class A (a) 17,612
2,100 WPT Enterprises, Inc. (a)(f) 3,591
See Notes to Financial Statments. 52
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,600 Westwood One, Inc. $ 7,164
6,900 WorldSpace, Inc. Class A (a)(f) 11,592
24,275 XM Satellite Radio Holdings, Inc. Class A (a) 297,126
2,400 Young Broadcasting, Inc. Class A (a) 2,520
--------------
8,243,426
- ------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous - 0.9% 4,400 Alliance Holdings GP LP 104,412
1,900 Ceco Environmental Corp. (a) 20,862
2,000 Coinstar, Inc. (a) 56,300
4,600 Complete Production Services, Inc. (a) 82,662
4,600 Delek US Holdings, Inc. 93,058
3,400 DynCorp. International, Inc. (a) 91,392
66 FLO Corp. (a) 0
6,400 Force Protection, Inc. (a)(f) 29,888
1,300 Gerber Scientific, Inc. (a) 14,040
4,200 Goodman Global, Inc. (a) 103,068
600 Graham Corp. 31,440
200 HSW International, Inc. (a) 1,246
8,100 International Coal Group, Inc. (a)(f) 43,416
9,407 Liberty Media Holding Corp. - Capital (a) 1,095,821
44,236 Liberty Media Holding Corp. - Interactive (a) 844,023
100 Nextest Systems Corp. (a) 1,989
500 Northstar Neuroscience, Inc. (a) 4,650
500 Pegasus Wireless Corp. (a)(f) 2
2,700 Penson Worldwide, Inc. (a) 38,745
2,900 Smith & Wesson Holding Corp. (a) 17,690
3,800 Teekay LNG Partners LP 112,746
2,200 Visicu, Inc. (a) 26,114
--------------
2,813,564
- ------------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance - 12.1% 1,210 1st Source Corp. 20,945
2,100 Acacia Research - Acacia Technologies (a) 18,858
4,200 Advance America, Cash Advance Centers, Inc. 42,672
3,050 Advanta Corp. Class B 24,613
2,200 Affiliated Managers Group, Inc. (a) 258,412
1,400 Agree Realty Corp. 42,140
6,300 AllianceBernstein Holding LP 474,075
1,500 Amcore Financial, Inc. 34,050
7,150 AmeriCredit Corp. (a)(f) 91,449
2,300 American Campus Communities, Inc. 61,755
13,000 American Financial Realty Trust 104,260
800 Ampal-American Israel Corp. Class A (a) 5,912
2,900 Anchor Bancorp Wisconsin, Inc. 68,208
6,600 Ashford Hospitality Trust, Inc. 47,454
2,100 Asset Acceptance Capital Corp. 21,861
1,600 Asta Funding, Inc. (f) 42,304
6,550 Astoria Financial Corp. 152,418
See Notes to Financial Statments. 53
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
74 Atlantic Coast Federal Corp. $ 879
2,600 Atlantis Plastics, Inc. (a) 1,794
4,901 BOK Financial Corp. 253,382
1,600 BP Prudhoe Bay Royalty Trust (f) 128,320
1,100 Bancorp Rhode Island, Inc. 37,554
2,400 Bank of the Ozarks, Inc. 62,880
2,535 BankUnited Financial Corp. Class A (f) 17,491
2,100 Banner Corp. 60,333
112 Berkshire Hathaway, Inc. Class A (a)(f) 15,859,200
1,400 Berkshire Hills Bancorp, Inc. 36,400
8,500 BlackRock, Inc. (b) 1,842,800
18,900 Blackstone Group LP (f) 418,257
9,800 Broadridge Financial Solutions LLC 219,814
2,400 Broadpoint Securities Group, Inc. (a) 2,832
4,175 CVB Financial Corp. 43,170
1,500 Calamos Asset Management, Inc. Class A 44,670
500 Camco Financial Corp. 5,525
4,600 CapLease, Inc. 38,732
540 Capital Corp. of the West 10,492
2,200 Capital Trust, Inc. 67,430
15,441 CapitalSource, Inc. 271,607
515 Cascade Financial Corp. 7,004
2,100 Cash America International, Inc. 67,830
3,522 Cathay General Bancorp 93,298
3,600 Centerline Holding Co. (f) 27,432
2,676 Central Pacific Financial Corp. 49,399
3,100 Cenveo, Inc. (a) 54,157
900 Charter Financial Corp. 33,300
1,600 Citizens First Bancorp, Inc. 19,632
2,890 Citizens, Inc. (a)(f) 15,982
400 Clayton Holdings, Inc. (a) 2,068
2,900 Cohen & Steers, Inc. 86,913
5,100 CompuCredit Corp. (a)(f) 50,898
8,900 Corrections Corp. of America (a) 262,639
11,180 Covanta Holding Corp. (a) 309,239
2,400 Cowen Group, Inc. (a) 22,824
1,156 Cross Timbers Royalty Trust 47,685
3,000 Deerfield Capital Corp. (f) 24,000
3,600 Delta Financial Corp. (f) 180
300 Diamond Hill Investment Group, Inc. (a) 21,936
3,700 Dime Community Bancshares, Inc. 47,249
2,000 Downey Financial Corp. (f) 62,220
3,200 Duff & Phelps Corp. (a) 62,976
629 ESB Financial Corp. 6,290
300 Eastern Virginia Bankshares, Inc. 5,070
See Notes to Financial Statments. 54
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
8,800 Eaton Vance Corp. $ 399,608
1,600 Encore Capital Group, Inc. (a) 15,488
3,000 Epoch Holding Corp. 43,920
3,400 eSpeed, Inc. Class A (a) 38,420
700 Evercore Partners, Inc. Class A 15,085
2,800 Extra Space Storage, Inc. 40,012
4,000 Ezcorp, Inc. (a) 45,160
3,400 FBR Capital Markets Corp. (a) 32,572
1,950 FCStone Group, Inc. (a) 89,758
900 The FINOVA Group, Inc. (a) 10
1,900 Financial Federal Corp. 42,351
2,061 First Community Bancorp, Inc. 84,996
500 First Defiance Financial Corp. 11,010
800 First Financial Corp. 22,672
1,400 First Financial Holdings, Inc. 38,388
2,150 First Indiana Corp. 68,800
5,100 First Financial Northwest, Inc. (a) 50,184
5,500 The First Marblehead Corp. (f) 84,150
615 First Place Financial Corp. 8,604
1,800 FirstFed Financial Corp. (a)(f) 64,476
3,600 Flagstar Bancorp, Inc. 25,092
2,950 Flushing Financial Corp. 47,347
29,600 Fortress Investment Group LLC (f) 461,168
7,000 Franklin Street Properties Corp. 103,600
9,710 Friedman Billings Ramsey Group, Inc. Class A 30,489
300 Frontline Capital Group (a) 0
2,500 GAMCO Investors, Inc. Class A 173,000
2,100 GFI Group, Inc. (a) 201,012
21,800 GLG Partners, Inc. (a)(f) 296,480
3,956 Glacier Bancorp, Inc. (f) 74,135
1,400 Gramercy Capital Corp. (f) 34,034
2,300 Great Lakes Bancorp, Inc. (a) 29,486
1,800 Greenhill & Co., Inc. (f) 119,664
900 HMN Financial, Inc. 21,735
2,000 Heartland Payment Systems, Inc. (f) 53,600
420 Heritage Financial Corp. 8,358
4,100 Hersha Hospitality Trust 38,950
2,900 Hugoton Royalty Trust 65,047
1,000 IBERIABANK Corp. 46,750
3,100 ITC Holdings Corp. 174,902
242 Independence Federal Savings Bank 1,573
2,524 Independent Bank Corp. 23,978
5,800 IndyMac Bancorp, Inc. (f) 34,510
800 InnSuites Hospitality Trust 1,080
2,900 Interactive Brokers Group, Inc. Class A (a) 93,728
See Notes to Financial Statments. 55
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
1,000 International Assets Holding Corp., Inc. (a)(f) $ 26,330
6,441 International Bancshares Corp. 134,875
30,400 Invesco Ltd. (h) 953,952
3,000 Investment Technology Group, Inc. (a) 142,770
4,300 JMP Group, Inc. 36,464
3,300 Jackson Hewitt Tax Service, Inc. 104,775
8,600 Jefferies Group, Inc. New Shares 198,230
2,100 KBW, Inc. (a) 53,739
8,000 KKR Financial Holdings LLC 112,400
1,690 KNBT Bancorp, Inc. 26,060
7,200 Knight Capital Group, Inc. Class A (a) 103,680
3,600 LaBranche & Co., Inc. (a) 18,144
5,581 Ladenburg Thalmann Financial Services, Inc. (a)(f) 11,832
3,600 Lazard Ltd. Class A 146,448
1,000 Lincoln Bancorp 14,250
1,000 Lipid Sciences, Inc. (a) 870
3,550 MB Financial, Inc. 109,446
900 MCF Corp. (a) 4,725
8,700 MF Global Ltd. (a) 273,789
7,100 MSCI, Inc. (a) 272,640
200 Malan Realty Investors, Inc. (a) 0
9,600 MasterCard, Inc. Class A (f) 2,065,920
300 Maxus Realty Trust, Inc. 3,015
1,200 McGrath RentCorp 30,900
3,300 Medallion Financial Corp. 33,066
5,200 Medical Properties Trust, Inc. 52,988
500 MicroFinancial, Inc. 3,115
115 Mid Penn Bancorp, Inc. 3,071
1,000 The Midland Co. 64,690
4,600 MoneyGram International, Inc. (f) 70,702
2,462 Monmouth Real Estate Investment Corp. Class A 19,942
300 MutualFirst Financial, Inc. 4,110
400 NASB Financial, Inc. 10,408
8,300 The NASDAQ Stock Market, Inc. (a) 410,767
3,390 Nastech Pharmaceutical Co., Inc. (a) 12,882
2,800 National Financial Partners Corp. 127,708
120 National Security Group, Inc. 2,036
400 National Western Life Insurance Co. Class A 82,948
3,100 Nelnet, Inc. Class A 39,401
22,941 New York Community Bancorp, Inc. 403,303
2,900 NewStar Financial, Inc. (a) 24,012
400 North American Scientific, Inc. (a) 120
4,700 Northwest Bancorp, Inc. 124,879
6,800 Nymex Holdings, Inc. 908,548
See Notes to Financial Statments. 56
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
25,800 Och-Ziff Capital Management Group LLC $ 678,024
4,700 Ocwen Financial Corp. (a) 26,038
700 One Liberty Properties, Inc. 12,859
4,600 optionsXpress Holdings, Inc. 155,572
800 Oritani Financial Corp. (a) 9,840
600 PAB Bankshares, Inc. 7,578
2,125 PMC Commercial Trust 22,865
321 PVF Capital Corp. 3,525
4,910 Pacific Capital Bancorp 98,838
1,245 Piper Jaffray Cos. (a) 57,668
1,100 Portfolio Recovery Associates, Inc. (f) 43,637
500 Provident Financial Holdings, Inc. 8,230
2,989 Provident Financial Services, Inc. 43,101
5,870 Pzena Investment Management, Inc. Class A (f) 66,918
8,450 Raymond James Financial, Inc. 275,977
2,000 Reis, Inc. 15,520
675 Renasant Corp. 14,560
1,000 Resource America, Inc. Class A 14,670
200 Riverview Bancorp, Inc. 2,292
300 Roberts Realty Investors, Inc. (a) 1,986
500 Roma Financial Corp. 7,845
3,000 Rome Bancorp, Inc. 34,710
14,020 SEI Investments Co. 451,023
2,265 SWS Group, Inc. 28,698
4,500 Sanders Morris Harris Group, Inc. 46,125
5,503 Santander BanCorp 47,656
300 Security Bank Corp. 2,742
3,300 Siebert Financial Corp. 10,692
3,600 Specialty Underwriters' Alliance, Inc. (a) 19,260
7,705 Sterling Financial Corp. 127,938
900 Stifel Financial Corp. (a) 47,313
1,443 Student Loan Corp. 158,730
300 Supertel Hospitality, Inc. 1,842
27,000 Synovus Financial Corp. (a) 275,130
43,680 TD Ameritrade Holding Corp. (a) 876,221
100 TF Financial Corp. 2,464
4,679 Tarragon Corp. (f) 7,019
2,800 Thomas Weisel Partners Group, Inc. (a) 38,444
1,100 TierOne Corp. 24,365
1,100 U.S. Global Investors, Inc. (f) 18,326
5,300 United Community Banks, Inc. 83,740
1,000 United PanAm Financial Corp. (a) 5,120
100 Value Line, Inc. 4,026
3,800 ViewPoint Financial Group 62,814
10,252 W Holding Co., Inc. (f) 12,405
See Notes to Financial Statments. 57
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,200 W.P. Carey & Co. LLC $ 73,040
3,500 W.P. Stewart & Co. Ltd. (f) 17,885
200 WVS Financial Corp. 3,286
5,900 Waddell & Reed Financial, Inc. Class A 212,931
6,161 Washington Federal, Inc. 130,059
600 Wauwatosa Holdings, Inc. (a) 7,692
151 Wayne Savings Bancshares, Inc. 1,641
3,873 Webster Financial Corp. 123,820
513 Wesco Financial Corp. 208,791
840 West Bancorp., Inc. 10,954
5,600 Westfield Financial, Inc. 54,320
772 White Mountains Insurance Group, Inc. 396,847
200 Willis Lease Finance Corp. (a) 2,508
1,467 Willow Grove Bancorp, Inc. 12,308
10,156 Winthrop Realty Trust, Inc. 53,725
1,200 World Acceptance Corp. (a) 32,376
2,400 Wright Express Corp. (a) 85,176
--------------
38,296,206
- ------------------------------------------------------------------------------------------------------------------------------------
Motor Vehicles - 1.1% 2,200 A.O. Smith Corp. 77,110
2,800 ASV, Inc. (a)(f) 38,780
700 Accuride Corp. (a) 5,502
2,705 Aftermarket Technology Corp. (a) 73,738
3,900 American Axle & Manufacturing Holdings, Inc. 72,618
1,100 Amerigon Inc. (a) 23,166
1,300 Arctic Cat, Inc. 15,522
5,100 ArvinMeritor, Inc. 59,823
8,200 BorgWarner, Inc. 396,962
2,000 CSK Auto Corp. (a) 10,020
1,400 Cascade Corp. 65,044
1,100 Coachmen Industries, Inc. 6,545
100 Commercial Vehicle Group, Inc. (a) 1,450
5,500 Donaldson Co., Inc. 255,090
1,300 Dorman Products, Inc. (a) 18,577
3,300 Federal-Mogul Corp. (a) 1,353
3,690 Fleetwood Enterprises, Inc. (a) 22,066
2,100 FortuNet, Inc. (a)(f) 16,884
650 Fuel Systems Solutions, Inc. (a) 9,288
10,190 Gentex Corp. 181,076
2,700 Group 1 Automotive, Inc. 64,125
4,000 H&E Equipment Services, Inc. (a) 75,520
7,100 Hayes Lemmerz International, Inc. (a) 32,447
9,600 LKQ Corp. (a) 201,792
4,845 Lear Corp. (a) 134,013
1,000 Lithia Motors, Inc. Class A 13,730
1,300 MarineMax, Inc. (a) 20,150
See Notes to Financial Statments. 58
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,600 Midas, Inc. (a) $ 38,116
1,900 Modine Manufacturing Co. 31,369
1,800 Monaco Coach Corp. 15,984
1,125 Monro Muffler, Inc. 21,926
2,120 Myers Industries, Inc. 30,676
850 Noble International Ltd. 13,864
5,200 Oshkosh Truck Corp. 245,752
6,500 Penske Auto Group, Inc. 113,490
2,600 Polaris Industries, Inc. (f) 124,202
447 Proliance International, Inc. (a) 805
4,050 Rush Enterprises, Inc. Class A (a) 73,629
2,600 Sonic Automotive, Inc. 50,336
2,275 Spartan Motors, Inc. (f) 17,381
1,300 Standard Motor Products, Inc. 10,608
1,300 Stoneridge, Inc. (a) 10,452
3,110 Superior Industries International, Inc. 56,509
7,200 TRW Automotive Holdings Corp. (a) 150,480
3,685 Thor Industries, Inc. 140,067
2,500 Titan International, Inc. 78,150
4,600 U.S. Auto Parts Network, Inc. (a) 37,306
7,700 Visteon Corp. (a) 33,803
5,000 WABCO Holdings, Inc. 250,450
3,400 Winnebago Industries, Inc. 71,468
--------------
3,509,214
- ------------------------------------------------------------------------------------------------------------------------------------
Non-Durables - 1.7% 2,100 AFC Enterprises, Inc. (a) 23,772
20,644 Activision, Inc. (a)(g) 613,127
3,900 American Greetings Corp. Class A 79,170
1,100 BJ's Restaurants, Inc. (a) 17,886
615 Benihana, Inc. (a) 7,780
2,630 Benihana, Inc. Class A (a) 33,532
1,200 Blue Nile, Inc. (a)(f) 81,672
2,500 Bob Evans Farms, Inc. 67,325
210 Bowl America, Inc. Class A 3,341
7,200 Brinker International, Inc. 140,832
2,600 Buca, Inc. (a) 2,340
1,800 Buffalo Wild Wings, Inc. (a) 41,796
1,715 CBRL Group, Inc. 55,549
2,250 CEC Entertainment, Inc. (a) 58,410
3,300 CKE Restaurants, Inc. 43,560
4,100 Cabela's, Inc. Class A (a) 61,787
2,100 California Pizza Kitchen, Inc. (a) 32,697
2,400 Centillium Communications, Inc. (a) 2,760
5,300 Century Casinos, Inc. (a) 34,132
5,117 The Cheesecake Factory, Inc. (a) 121,324
3,400 Cheniere Energy, Inc. (a) 110,976
See Notes to Financial Statments. 59
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
400 Churchill Downs, Inc. $ 21,588
5,500 Cosi, Inc. (a) 12,320
10,600 Denny's Corp. (a) 39,750
3,600 Domino's Pizza, Inc. 47,628
3,300 Dover Motorsports, Inc. 21,615
1,200 Drew Industries, Inc. (a) 32,880
1,200 EMAK Worldwide, Inc. (a) 1,116
1,100 Einstein Noah Restaurant Group, Inc. (a) 19,965
2,500 Famous Dave's of America, Inc. (a) 33,900
1,100 Forward Industries, Inc. (a) 2,552
1,400 Gaming Partners International Corp. (a) 9,828
1,500 Handleman Co. (f) 2,565
2,218 Hibbett Sports, Inc. (a) 44,316
4,300 Hollywood Media Corp. (a) 12,470
1,200 IHOP Corp. 43,896
3,800 International Speedway Corp. Class A 156,484
4,000 Isle of Capri Casinos, Inc. (a) 55,080
4,500 Jack in the Box, Inc. (a) 115,965
2,013 Jakks Pacific, Inc. (a) 47,527
300 Kreisler Manufacturing Corp. (a) 4,218
3,700 Krispy Kreme Doughnuts, Inc. (a)(f) 11,692
2,100 Lancaster Colony Corp. 83,370
1,200 Landry's Restaurants, Inc. 23,640
300 Lazare Kaplan International, Inc. (a) 2,439
2,500 Leapfrog Enterprises, Inc. (a) 16,825
800 Lenox Group, Inc. (a) 2,112
3,100 Lodgenet Entertainment Corp. (a) 54,064
1,700 Luby's, Inc. (a) 17,272
1,500 Majesco Entertainment Co. (a) 2,010
5,500 Marvel Entertainment, Inc. (a) 146,905
1,100 McCormick & Schmick's Seafood Restaurants, Inc. (a) 13,123
1,900 Metal Management, Inc. 86,507
6,000 Midway Games, Inc. (a)(f) 16,560
2,600 Movado Group, Inc. 65,754
1,705 O'Charleys, Inc. 25,541
3,295 P.F. Chang's China Bistro, Inc. (a) 75,258
2,300 Panera Bread Co. Class A (a) 82,386
3,300 Papa John's International, Inc. (a) 74,910
900 Peco II, Inc. (a) 711
6,900 Penn National Gaming, Inc. (a) 410,895
1,670 RC2 Corp. (a) 46,877
1,200 Red Robin Gourmet Burgers, Inc. (a) 38,388
3,100 Regis Corp. 86,676
2,600 Ruby Tuesday, Inc. 25,350
1,300 Russ Berrie & Co., Inc. (a) 21,268
See Notes to Financial Statments. 60
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
20,300 Service Corp. International $ 285,215
400 Servotronics, Inc. (a) 5,800
2,600 Shutterfly, Inc. (a) 66,612
4,437 Sonic Corp. (a) 97,170
4,700 Sotheby's Holdings, Inc. Class A 179,070
900 The Steak n Shake Co. (a) 9,810
1,810 Steinway Musical Instruments, Inc. 49,902
7,700 Stewart Enterprises, Inc. Class A 68,530
4,850 THQ, Inc. (a) 136,722
5,200 Take-Two Interactive Software, Inc. (a)(f) 95,940
3,300 Traffix, Inc. 20,196
2,400 Trans World Entertainment Corp. (a) 11,760
5,100 Triarc Cos. 44,676
6,400 Trump Entertainment Resorts, Inc. (a)(f) 27,520
3,955 Tupperware Corp. 130,634
2,600 VCG Holding Corp. (a)(f) 35,256
9,800 Warner Music Group Corp. 59,388
7,400 World Wrestling Entertainment, Inc. 109,224
3,090 Youbet.com, Inc. (a) 3,461
--------------
5,226,850
- ------------------------------------------------------------------------------------------------------------------------------------
Non-Ferrous Metals - 1.2% 800 A.M. Castle & Co. 21,752
7,600 Advanced Environmental Recycling Technologies, Inc. Class A (a) 5,548
1,500 Brush Engineered Materials, Inc. (a) 55,530
3,000 Century Aluminum Co. (a) 161,820
200 Claymont Steel, Inc. (a) 4,670
38,800 Coeur d'Alene Mines Corp. (a)(f) 191,672
8,300 Commercial Metals Co. 244,435
2,427 Encore Wire Corp. 38,638
3,100 General Moly, Inc. (a) 36,177
8,700 Hecla Mining Co. (a) 81,345
3,700 Horsehead Holding Corp. (a) 62,789
1,500 Kaiser Aluminum Corp. 119,220
600 Metalico, Inc. (a) 6,504
1,300 Minerals Technologies, Inc. 87,035
3,100 Mueller Industries, Inc. 89,869
1,700 RTI International Metals, Inc. (a) 117,181
5,324 Reliance Steel & Aluminum Co. 288,561
21,400 Southern Copper Corp. (f) 2,249,782
5,484 Stillwater Mining Co. (a) 52,975
--------------
3,915,503
- ------------------------------------------------------------------------------------------------------------------------------------
Optical Photo & Equipment - 0.1% 1,200 CPI Corp. 28,260
1,100 Cyberoptics Corp. (a) 13,200
2,900 Imation Corp. 60,900
11,630 Ingram Micro, Inc. Class A (a) 209,805
2,095 LaserCard Corp. (a)(f) 22,207
See Notes to Financial Statments. 61
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
200 Meade Instruments Corp. (a) $ 248
1,900 Photronics, Inc. (a) 23,693
100 StockerYale, Inc. (a) 93
1,000 Zygo Corp. (a) 12,460
--------------
370,866
- ------------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.5% 3,664 AbitibiBowater, Inc. (f) 75,515
2,800 Buckeye Technologies, Inc. (a) 35,000
804 CSS Industries, Inc. 29,507
5,900 Caraustar Industries, Inc. (a) 18,231
1,200 Chesapeake Corp. 6,228
1,500 Deltic Timber Corp. 77,235
44,500 Domtar Corp. (a) 342,205
480 Kadant, Inc. (a) 14,242
7,000 Kapstone Paper and Packaging Corp. (a) 49,000
5,500 Louisiana-Pacific Corp. 75,240
1,000 Lydall, Inc. (a) 10,520
1,400 Neenah Paper, Inc. 40,810
1,400 P.H. Glatfelter Co. 21,434
7,300 Packaging Corp. of America 205,860
2,259 Potlatch Corp. 100,390
5,471 Rayonier, Inc. 258,450
2,000 Rock-Tenn Co. Class A 50,820
18,080 Smurfit-Stone Container Corp. (a) 190,925
1,400 Universal Forest Products, Inc. 41,244
3,700 Wausau Paper Corp. 33,263
--------------
1,676,119
- ------------------------------------------------------------------------------------------------------------------------------------
Producer Goods - 4.2% 6,523 AGCO Corp. (a) 443,433
750 Aaon, Inc. 14,865
3,600 Actuant Corp. Class A 122,436
9,600 Akorn, Inc. (a) 70,464
700 Alamo Group, Inc. 12,684
1,900 Albany International Corp. Class A 70,490
115 Allied Motion Technologies, Inc. (a) 530
2,000 Allis-Chalmers Energy, Inc. (a) 29,500
1,200 American Vanguard Corp. (f) 20,820
7,500 Ametek, Inc. 351,300
2,700 Applied Industrial Technologies, Inc. 78,354
5,000 AptarGroup, Inc. 204,550
14 Arotech Corp. (a) 29
1,500 Astec Industries, Inc. (a) 55,785
6,500 BE Aerospace, Inc. (a) 343,850
3,300 Baldor Electric Co. 111,078
3,800 Barnes Group, Inc. 126,882
1,600 Blount International, Inc. (a) 19,696
2,700 Blyth, Inc. 59,238
See Notes to Financial Statments. 62
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,600 Briggs & Stratton Corp. $ 81,576
600 CIRCOR International, Inc. 27,816
1,100 Cantel Medical Corp. (a) 16,038
18,200 Capstone Turbine Corp. (a)(f) 29,666
200 Catalyst Semiconductor, Inc. (a) 930
2,000 Chart Industries, Inc. (a) 61,800
1,100 Cherokee International Corp. (a) 2,244
100 Chicago Rivet & Machine Co. 2,010
3,100 Clarcor, Inc. 117,707
4,185 Cognex Corp. 84,328
2,000 Columbus McKinnon Corp. (a) 65,240
1,900 Comfort Systems USA, Inc. 24,282
360 Concord Camera Corp. (a) 1,138
1,900 Cryo-Cell International, Inc. (a) 1,558
600 Culp, Inc. (a) 4,182
3,000 Curtiss-Wright Corp. 150,600
100 DXP Enterprises, Inc. (a) 4,668
2,000 Diamond Management & Technology Consultants, Inc. 14,540
300 Directed Electronics, Inc. (a) 498
5,500 Distributed Energy Systems Corp. (a)(f) 2,200
1,200 Dynamic Materials Corp. 70,752
300 The Eastern Co. 5,502
7,300 Evergreen Solar, Inc. (a)(f) 126,071
5,400 FMC Corp. 294,570
1,600 The Fairchild Corp. (a) 4,160
10,690 Fastenal Co. 432,090
2,500 Federal Signal Corp. 28,050
5,000 Flanders Corp. (a)(f) 28,100
4,000 Flowserve Corp. 384,800
5,240 Foster Wheeler Ltd. (a) 812,305
2,500 Franklin Electric Co., Inc. (f) 95,675
3,700 Gardner Denver, Inc. (a) 122,100
2,070 The Gorman-Rupp Co. 64,584
4,487 Graco, Inc. 167,186
7,200 GrafTech International Ltd. (a) 127,800
700 HI Shear Technology Corp. 8,561
3,000 HNI Corp. (f) 105,180
800 Hardinge, Inc. 13,424
6,000 Harsco Corp. 384,420
4,290 Herman Miller, Inc. 138,953
6,300 Hexcel Corp. (a) 152,964
4,100 Hubbell, Inc. Class B 211,560
100 Hurco Companies, Inc. (a) 4,365
5,525 IDEX Corp. 199,618
100 Ibis Technology Corp. (a) 43
See Notes to Financial Statments. 63
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
400 Inplay Technologies, Inc. (a) $ 524
500 IntriCon Corp. (a) 6,225
5,375 Jarden Corp. (a) 126,904
2,000 Kaydon Corp. 109,080
4,700 Kennametal, Inc. 177,942
2,700 Knoll, Inc. 44,361
1,200 L.B. Foster Co. Class A (a) 62,076
1,100 LaBarge, Inc. (a) 15,818
1,000 Ladish Co., Inc. (a) 43,190
534 Lawson Products, Inc. 20,249
4,700 Lennox International, Inc. 194,674
1,082 Libbey, Inc. 17,139
2,895 Lincoln Electric Holdings, Inc. 206,066
800 Lindsay Manufacturing Co. 56,552
3,200 Liquidity Services, Inc. (a) 41,280
1,400 MFRI, Inc. (a) 14,938
4,600 MSC Industrial Direct Co. Class A 186,162
1,700 Magnetek, Inc. (a) 7,276
900 Material Sciences Corp. (a) 6,687
1,800 Matthews International Corp. Class A 84,366
2,700 Merix Corp. (a) 12,555
3,360 Micrel, Inc. 28,392
1,200 Middleby Corp. (a) 91,944
436 Milacron, Inc. (a) 1,355
900 Modtech Holdings, Inc. (a) 801
2,725 Moog, Inc. Class A (a) 124,832
6,400 Mueller Water Products, Inc. Series B 63,808
400 NACCO Industries, Inc. Class A 39,876
1,300 NATCO Group, Inc. Class A (a) 70,395
3,700 NN, Inc. 34,854
2,400 Nordson Corp. 139,104
4,000 Oceaneering International, Inc. (a) 269,400
4,500 PainCare Holdings, Inc. (a) 540
1,700 Park-Ohio Holdings Corp. (a) 42,670
6,950 Pentair, Inc. 241,930
12,007 Plug Power, Inc. (a) 47,428
1,600 Possis Medical, Inc. (a) 23,328
3,140 Presstek, Inc. (a) 16,077
2,300 RBC Bearings, Inc. (a) 99,958
1,000 Reddy Ice Holdings, Inc. 25,310
2,305 Regal-Beloit Corp. 103,610
2,900 Research Frontiers, Inc. (a)(f) 28,420
700 Riviera Holdings Corp. (a) 21,560
1,200 Robbins & Myers, Inc. 90,756
1,071 Ronson Corp. 1,628
See Notes to Financial Statments. 64
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
6,300 Roper Industries, Inc. $ 394,002
2,070 SI International, Inc. (a) 56,863
3,748 SPX Corp. 385,482
7,000 Safeguard Scientifics, Inc. (a) 12,600
4,700 Sauer-Danfoss, Inc. 117,735
5,900 The Shaw Group, Inc. (a) 356,596
2,100 Somanetics Corp. (a) 49,665
1,800 Sonic Solutions, Inc. (a) 18,702
1,000 Spectrum Control, Inc. (a) 15,400
700 Standex International Corp. 12,215
10,600 Steelcase, Inc. Class A 168,222
300 Strattec Security Corp. 12,429
2,050 Sun Hydraulics, Inc. 51,722
1,400 T-3 Energy Services, Inc. (a) 65,814
1,165 TRM Corp. (a) 524
2,000 Team, Inc. (a) 73,160
1,500 Technology Research Corp. 5,070
1,300 Tecumseh Products Co. Class A (a) 30,433
2,500 Teleflex, Inc. 157,525
1,200 Tennant Co. 53,148
2,800 Tenneco, Inc. (a) 72,996
8,000 ThermoGenesis Corp. (a)(f) 12,640
6,400 Timken Co. 210,240
5,100 Trinity Industries, Inc. 141,576
1,200 Triumph Group, Inc. 98,820
1,900 TurboChef Technologies, Inc. (a)(f) 31,350
800 Twin Disc, Inc. 56,616
2,100 Tyler Technologies, Inc. (a) 27,069
8,340 Valhi, Inc. 132,940
1,900 Valmont Industries, Inc. 169,328
2,000 Watsco, Inc. 73,520
2,800 Watts Water Technologies, Inc. Class A 83,440
2,500 Woodward Governor Co. 169,875
1,100 X-Rite, Inc. (a) 12,782
--------------
13,184,377
- ------------------------------------------------------------------------------------------------------------------------------------
Railroads & Shipping - 0.6% 3,100 Alexander & Baldwin, Inc. 160,146
4,900 American Commercial Lines, Inc. (a) 79,576
700 Capital Product Partners LP 17,332
4,600 Diamondhead Casino Corp. (a) 11,684
4,700 Double Hull Tankers, Inc. 57,528
3,400 Eagle Bulk Shipping, Inc. 90,270
1,500 Excel Maritime Carriers Ltd. 60,285
1,600 Freightcar America, Inc. 56,000
3,400 GATX Corp. 124,712
2,100 Genco Shipping & Trading Ltd. 114,996
See Notes to Financial Statments. 65
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,300 General Maritime Corp. $ 56,235
2,150 Genesee & Wyoming, Inc. Class A (a) 51,965
2,000 Greenbrier Cos., Inc. (f) 44,520
3,200 Horizon Lines, Inc. Class A 59,648
1,900 Hornbeck Offshore Services, Inc. (a) 85,405
300 International Shipholding Corp. (a) 6,540
700 K-Sea Transportation Partners LP 25,123
5,400 Kansas City Southern (a) 185,382
1,900 Martin Midstream Partners LP 67,450
1,200 OceanFreight, Inc. 23,076
2,700 OSG America LP (a) 50,085
2,000 Overseas Shipholding Group, Inc. 148,860
1,000 Saia, Inc. (a) 13,300
5,300 Ship Finance International Ltd. (f) 146,863
2,000 TBS International Ltd. (a) 66,120
1,100 Trico Marine Services, Inc. (a) 40,722
2,100 U.S. Shipping Partners LP 27,636
3,400 Westinghouse Air Brake Technologies Corp. 117,096
--------------
1,988,555
- ------------------------------------------------------------------------------------------------------------------------------------
Real Property - 4.4% 7,000 AMB Property Corp. 402,920
500 AMREP Corp. (f) 15,275
2,300 Acadia Realty Trust 58,903
1,795 Alesco Financial, Inc. (f) 5,888
400 Alexander's, Inc. (a) 141,300
2,200 Alexandria Real Estate Equities, Inc. 223,674
400 American Land Lease, Inc. 7,932
500 American Mortgage Acceptance Co. 545
500 American Realty Investors, Inc. 4,875
4,400 Amerivest Properties, Inc. (a) 0
29,200 Annaly Capital Management, Inc. 530,856
4,600 Anthracite Capital, Inc. (b) 33,304
2,700 Anworth Mortgage Asset Corp. 22,302
1,500 Arbor Realty Trust, Inc. 24,165
1,200 Associated Estates Realty Corp. 11,328
600 Avatar Holdings, Inc. (a)(f) 25,092
3,635 BRE Properties, Inc. 147,327
2,000 BRT Realty Trust 30,600
3,500 Big 5 Sporting Goods Corp. 50,470
3,800 BioMed Realty Trust, Inc. 88,046
6,314 Brandywine Realty Trust 113,210
32,200 Brookfield Properties Corp. 619,850
4,800 CBL & Associates Properties, Inc. 114,768
2,300 CBRE Realty Finance, Inc. 12,282
3,200 California Coastal Communities, Inc. 18,816
3,957 Camden Property Trust 190,530
See Notes to Financial Statments. 66
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,500 Capstead Mortgage Corp. $ 32,975
4,100 Care Investment Trust, Inc. 44,034
1,100 Cedar Shopping Centers, Inc. 11,253
900 Chimera Investment Corp. 16,092
3,200 Colonial Properties Trust 72,416
3,400 Corporate Office Properties Trust 107,100
3,000 Cousins Properties, Inc. 66,300
1,800 Crystal River Capital, Inc. (f) 25,992
12,200 DCT Industrial Trust, Inc. 113,582
5,800 DiamondRock Hospitality Co. 86,884
4,300 Digital Realty Trust, Inc. 164,991
8,000 Douglas Emmett, Inc. 180,880
10,275 Duke Realty Corp. 267,972
2,200 Dupont Fabros Technology, Inc. 43,120
1,200 Eastgroup Properties, Inc. 50,220
5,000 Education Realty Trust, Inc. 56,200
1,800 Entertainment Properties Trust 84,600
1,700 Equity Lifestyle Properties, Inc. 77,639
5,255 Equity One, Inc. 121,023
1,800 Essex Property Trust, Inc. 175,482
4,040 Federal Realty Investment Trust 331,886
4,500 FelCor Lodging Trust, Inc. 70,155
1,327 First Acceptance Corp. (a) 5,600
3,200 First Industrial Realty Trust, Inc. 110,720
1,200 First Potomac Realty Trust 20,748
7,400 Forest City Enterprises, Inc. Class A 328,856
2,833 Forestar Real Estate Group, Inc. (a) 66,838
2,300 GMH Communities Trust 12,696
1,900 Getty Realty Corp. 50,692
2,100 Gladstone Commercial Corp. 36,834
2,700 Glimcher Realty Trust 38,583
4,922 Grubb & Ellis Co. 31,550
15,700 HCP, Inc. 546,046
14,700 HRPT Properties Trust 113,631
6,052 Health Care REIT, Inc. 270,464
3,700 Healthcare Realty Trust, Inc. 93,943
3,350 Highwoods Properties, Inc. 98,423
6,280 Hilltop Holdings, Inc. (a) 68,578
2,400 Home Properties, Inc. 107,640
6,505 Hospitality Properties Trust 209,591
1,600 Housevalues, Inc. (a) 4,960
5,500 IMPAC Mortgage Holdings, Inc. (f) 3,080
5,100 Icahn Enterprises LP 661,572
6,800 Inland Real Estate Corp. 96,288
7,000 Investors Real Estate Trust 62,790
See Notes to Financial Statments. 67
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
9,200 iStar Financial, Inc. $ 239,660
500 JER Investors Trust, Inc. 5,385
2,600 Jones Lang LaSalle, Inc. 185,016
2,400 Kilroy Realty Corp. 131,904
1,700 Kite Realty Group Trust 25,959
900 LTC Properties, Inc. 22,545
2,900 LaSalle Hotel Properties 92,510
4,620 Lexington Corporate Properties Trust 67,175
6,260 Liberty Property Trust 180,351
2,800 LoopNet, Inc. (a) 39,340
7,570 Luminent Mortgage Capital, Inc. (f) 5,905
10,300 MFA Mortgage Investments, Inc. 95,275
5,100 The Macerich Co. 362,406
4,600 Mack-Cali Realty Corp. 156,400
3,400 Maguire Properties, Inc. (f) 100,198
3,400 Meruelo Maddux Properties, Inc. (a) 13,600
1,800 Mid-America Apartment Communities, Inc. 76,950
1,100 Mission West Properties, Inc. 10,461
10,424 Move, Inc. (a) 25,539
1,600 National Health Investors, Inc. 44,640
5,191 National Retail Properties, Inc. 121,366
6,500 Nationwide Health Properties, Inc. 203,905
5,705 Newcastle Investment Corp. (f) 73,937
6,000 NorthStar Realty Finance Corp. 53,520
1,750 Novastar Financial, Inc. (a)(f) 5,058
3,400 Omega Healthcare Investors, Inc. 54,570
3,500 Origen Financial, Inc. 14,000
900 Orleans Homebuilders, Inc. (f) 3,213
2,100 PS Business Parks, Inc. 110,355
1,500 Parkway Properties, Inc. 55,470
2,799 Pennsylvania Real Estate Investment Trust 83,074
300 Pope Resources, Inc.-LP 12,825
3,100 Post Properties, Inc. 108,872
7,100 RAIT Investment Trust (f) 61,202
1,600 Ramco-Gershenson Properties Trust 34,192
1,300 Reading International, Inc. Class A (a) 12,987
7,100 Realty Income Corp. 191,842
1,600 Redwood Trust, Inc. (f) 54,784
4,900 Regency Centers Corp. 316,001
4,282 SL Green Realty Corp. 400,196
1,300 Saul Centers, Inc. 69,459
5,900 Senior Housing Properties Trust 133,812
900 Sovran Self Storage, Inc. 36,090
5,400 The St. Joe Co. (f) 191,754
1,600 Stonemor Partners LP (f) 32,080
See Notes to Financial Statments. 68
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
4,400 Strategic Hotel Capital, Inc. $ 73,612
200 Stratus Properties, Inc. (a) 6,788
2,900 Sun Communities, Inc. 61,103
3,700 Sunstone Hotel Investors, Inc. 67,673
2,300 Tanger Factory Outlet Centers, Inc. 86,733
3,800 Taubman Centers, Inc. 186,922
1,100 Thomas Properties Group, Inc. 11,858
8,355 Thornburg Mortgage, Inc. (f) 77,200
3,000 Toreador Resources Corp. (a)(f) 20,970
100 Transcontinental Realty Investors, Inc. (a) 1,546
5,000 U-Store-It Trust 45,800
9,465 UDR, Inc. 187,880
1,300 Universal Health Realty Income Trust 46,072
1,300 Urstadt Biddle Properties, Inc. 19,708
900 Urstadt Biddle Properties, Inc. Class A 13,950
9,700 Ventas, Inc. 438,925
2,800 Washington Real Estate Investment Trust 87,948
6,075 Weingarten Realty Investors 190,998
1,049 ZipRealty, Inc. (a) 5,874
--------------
14,082,520
- ------------------------------------------------------------------------------------------------------------------------------------
Retail - 2.1% 4,470 1-800-FLOWERS.COM, Inc. Class A (a) 39,023
3,066 99 Cents Only Stores (a) 24,405
3,100 A.C. Moore Arts & Crafts, Inc. (a) 42,625
2,975 Aaron Rents, Inc. 57,239
7,200 Advance Auto Parts, Inc. 273,528
3,200 Allion Healthcare, Inc. (a) 17,568
1,300 Alloy, Inc. (a) 12,246
2,100 American Apparel, Inc. (a) 31,500
15,165 American Eagle Outfitters, Inc. 314,977
3,475 AnnTaylor Stores Corp. (a) 88,821
200 Arden Group, Inc. Class A 30,938
2,300 Asbury Automotive Group, Inc. 34,615
4,000 BJ's Wholesale Club, Inc. (a) 135,320
4,400 Barnes & Noble, Inc. 151,580
700 Bidz.com, Inc. (a) 6,251
1,100 Bluegreen Corp. (a) 7,909
2,600 The Bon-Ton Stores, Inc. (f) 24,674
1,200 Books-A-Million, Inc. 14,304
4,200 Borders Group, Inc. 44,730
5,556 Brightpoint, Inc. (a) 85,340
1,300 Build-A-Bear Workshop, Inc. (a) 18,135
15,300 Carmax, Inc. (a)(f) 302,175
3,700 Casey's General Stores, Inc. 109,557
3,100 Casual Male Retail Group, Inc. 16,058
2,750 The Cato Corp. Class A 43,065
See Notes to Financial Statments. 69
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,400 Central Garden & Pet Co. Class A (a) $ 12,864
1,800 Charlotte Russe Holding, Inc. (a) 29,070
12,255 Charming Shoppes, Inc. (a) 66,299
11,300 Chico's FAS, Inc. (a) 102,039
2,105 The Children's Place Retail Stores, Inc. (a) 54,583
2,238 Christopher & Banks Corp. 25,625
7,670 Coldwater Creek, Inc. (a) 51,312
3,600 Collective Brands, Inc. (a) 62,604
4,700 Cost Plus, Inc. (a)(f) 20,398
3,200 DSW, Inc. Class A (a)(f) 60,032
5,199 dELiA*s, Inc. (a) 14,089
6,705 Dollar Tree Stores, Inc. (a) 173,794
6,606 Dress Barn, Inc. (a) 82,641
3,400 drugstore.com, Inc. (a) 11,220
600 Eddie Bauer Holdings, Inc. (a) 3,810
3,500 The Finish Line, Inc. Class A 8,470
200 Flanigan's Enterprises, Inc. 1,610
10,200 Foot Locker, Inc. 139,332
2,850 Fred's, Inc. 27,445
1,400 Gander Mountain Co. (a)(f) 6,902
2,200 Genesco, Inc. (a) 83,160
3,320 The Great Atlantic & Pacific Tea Co., Inc. (a) 104,016
2,200 Gymboree Corp. (a) 67,012
2,700 HFF, Inc. Class A (a) 20,898
6,500 Hanesbrands, Inc. (a) 176,605
1,000 hhgregg, Inc. (a) 13,760
3,250 Hot Topic, Inc. (a) 18,915
4,000 Insight Enterprises, Inc. (a) 72,960
3,800 Jamba, Inc. (a)(f) 14,060
1,365 Jo-Ann Stores, Inc. (a) 17,854
1,100 Kirkland's, Inc. (a) 1,089
2,700 Longs Drug Stores Corp. 126,900
3,700 Men's Wearhouse, Inc. 99,826
8,010 O'Reilly Automotive, Inc. (a) 259,764
1,300 Overstock.com, Inc. (a)(f) 20,189
3,000 PC Connection, Inc. (a) 34,050
4,925 Pacific Sunwear of California, Inc. (a) 69,492
3,700 The Pep Boys - Manny, Moe & Jack 42,476
9,600 PetSmart, Inc. 225,888
6,500 Pier 1 Imports, Inc. (a) 33,995
2,950 PriceSmart, Inc. 88,677
4,700 Rent-A-Center, Inc. (a) 68,244
2,200 Retail Ventures, Inc. (a) 11,198
57,600 Rite Aid Corp. (a)(f) 160,704
9,700 Ross Stores, Inc. 248,029
See Notes to Financial Statments. 70
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
2,800 Ruddick Corp. $ 97,076
1,700 Ruth's Chris Steak House, Inc. (a) 15,198
9,500 Saks, Inc. (a) 197,220
11,570 Sally Beauty Co., Inc. (a) 104,709
1,500 School Specialty, Inc. (a) 51,825
2,800 Sharper Image Corp. (a)(f) 7,840
1,800 Shoe Carnival, Inc. (a) 25,398
2,150 Stamps.com, Inc. 26,187
3,200 Stein Mart, Inc. 15,168
3,600 Systemax, Inc. (f) 73,152
4,800 The Talbots, Inc. 56,736
3,800 Texas Roadhouse, Inc. Class A (a) 42,028
2,800 Tractor Supply Co. (a) 100,632
3,100 Tuesday Morning Corp. 15,717
1,800 Tween Brands, Inc. (a) 47,664
4,157 Ulta Salon Cosmetics & Fragrance, Inc. (a) 71,293
1,700 Unifirst Corp. 64,600
1,800 United Stationers, Inc. (a) 83,178
11,700 Urban Outfitters, Inc. (a) 318,942
1,800 Weis Markets, Inc. 71,892
1,600 West Marine, Inc. (a) 14,368
4,475 The Wet Seal, Inc. Class A (a) 10,427
7,300 Williams-Sonoma, Inc. 189,070
2,700 Wilsons The Leather Experts, Inc. (a) 2,538
3,500 Zale Corp. (a) 56,210
2,800 Zumiez, Inc. (a) 68,208
--------------
6,787,759
- ------------------------------------------------------------------------------------------------------------------------------------
Soaps & Cosmetics - 0.3% 6,970 Alberto-Culver Co. 171,044
6,500 Bare Escentuals, Inc. (a) 157,625
1,400 Chattem, Inc. (a) 105,756
4,700 Church & Dwight Co., Inc. 254,129
3,500 Elizabeth Arden, Inc. (a) 71,225
2,700 Inter Parfums, Inc. 48,519
4,300 Nu Skin Enterprises, Inc. Class A 70,649
1,100 Parlux Fragrances, Inc. (a) 4,510
1,000 Physicians Formula Holdings, Inc. (a) 11,880
29,898 Revlon, Inc. Class A (a) 35,280
600 Steiner Leisure Ltd. (a) 26,496
--------------
957,113
- ------------------------------------------------------------------------------------------------------------------------------------
Steel - 0.6% 8,100 AK Steel Holding Corp. (a) 374,544
200 Ampco-Pittsburgh Corp. 7,626
3,500 Carpenter Technology Corp. 263,095
2,900 Cleveland-Cliffs, Inc. 292,320
1,400 Cold Metal Products, Inc. (a) 0
1,300 Esmark, Inc. (a) 18,369
See Notes to Financial Statments. 71
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
600 Friedman Industries, Inc. $ 3,810
3,600 Gibraltar Industries, Inc. 55,512
1,500 Northwest Pipe Co. (a) 58,710
1,505 Olympic Steel, Inc. 47,724
500 Omega Flex, Inc. 8,190
2,350 Quanex Corp. 121,965
2,050 Schnitzer Steel Industries, Inc. Class A 141,717
400 Shiloh Industries, Inc. 3,940
6,880 Steel Dynamics, Inc. 409,842
1,300 Synalloy Corp. 22,347
700 Universal Stainless & Alloy Products, Inc. (a) 24,899
5,700 Worthington Industries, Inc. 101,916
--------------
1,956,526
- ------------------------------------------------------------------------------------------------------------------------------------
Telephone - 2.2% 8,300 ADC Telecommunications, Inc. (a) 129,065
75 ATSI Communications, Inc. (a) 14
5,400 Acme Packet, Inc. (a) 67,986
4,680 Adtran, Inc. 100,058
7,800 Airspan Networks, Inc. (a) 13,728
5,200 Alaska Communications Systems Group, Inc. 78,000
4,705 Applied Digital Solutions, Inc. (a)(f) 1,976
2,600 Applied Signal Technology, Inc. 35,308
5,000 Aruba Networks, Inc. (a)(f) 74,550
500 Atlantic Tele-Network, Inc. 16,890
8,000 Autobytel, Inc. (a) 22,000
2,000 Carrier Access Corp. (a) 4,800
7,800 Centennial Communications Corp. (a) 72,462
12,200 Cincinnati Bell, Inc. (a) 57,950
3,400 Consolidated Communications Holdings, Inc. 67,660
12,386 Covad Communications Group, Inc. (a) 10,652
20,590 Crown Castle International Corp. (a) 856,544
999 D&E Communications, Inc. 14,435
2,000 Ditech Networks, Inc. (a) 6,940
2,615 Equinix, Inc. (a) 264,298
12,200 Extreme Networks, Inc. (a) 43,188
4,200 FairPoint Communications, Inc. 54,684
10,600 FiberTower Corp. (a)(f) 24,168
1 Fibernet Telecom Group, Inc. (a) 8
18,700 Finisar Corp. (a) 27,115
4,500 Fusion Telecommunications International, Inc. (a) 1,530
3,400 General Communication, Inc. Class A (a) 29,750
1,300 GeoEye, Inc. (a) 43,745
3,395 Global Crossing Ltd. (a) 74,860
5,600 Globalstar, Inc. (a)(f) 44,800
1,400 Globecomm Systems Inc. (a) 16,380
6 GoAmerica, Inc. (a) 33
See Notes to Financial Statments. 72
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
800 HickoryTech Corp. $ 7,488
1,000 Hughes Communications, Inc. (a) 54,610
11,700 ICO Global Communications Holdings Ltd. (a) 37,206
1,600 ID Systems, Inc. (a) 19,936
4,600 IDT Corp. Class B 38,870
2,400 Ibasis, Inc. 12,312
2,300 Iowa Telecommunications Services, Inc. 37,398
2,200 iPCS, Inc. 79,178
3,000 j2 Global Communications, Inc. (a) 63,510
4,900 Leap Wireless International, Inc. (a) 228,536
111,188 Level 3 Communications, Inc. (a)(f) 338,012
25,200 MetroPCS Communications, Inc. (a) 490,140
300 NET2000 Communications, Inc. (a) 0
12,600 NII Holdings, Inc. (a) 608,832
3,000 NTELOS Holdings Corp. 89,070
1,100 Neutral Tandem, Inc. (a) 20,922
4,100 Nextwave Wireless, Inc. (a) 22,058
2,400 North Pittsburgh Systems, Inc. 59,264
2,586 Novatel Wireless, Inc. (a) 41,893
400 Occam Networks, Inc. (a) 1,424
247 Optical Cable Corp. (a) 986
900 Optium Corp. (a) 7,092
6,600 PAETEC Holding Corp. (a) 64,350
29,100 Primus Telecommunications GP (a) 11,058
4,500 RCN Corp. 70,155
500 Shenandoah Telecom Co. 11,990
18,400 Sonus Networks, Inc. (a) 107,272
4,220 SunCom Wireless Holdings, Inc. Class A (a) 112,590
800 SureWest Communications 13,680
3,700 Syniverse Holdings, Inc. (a) 57,646
5,500 Telephone & Data Systems, Inc. 344,300
2,900 Telephone & Data Systems, Inc. (Special Shares) 167,040
200 Telular Corp. (a) 1,370
5,100 TerreStar Corp. (a) 36,975
2,700 Terremark Worldwide, Inc. (a) 17,550
10,500 Time Warner Telecom, Inc. Class A (a) 213,045
6,400 U.S. Cellular Corp. (a) 538,240
3,700 USA Mobility, Inc. 52,910
6,100 UTStarcom, Inc. (a)(f) 16,775
23,755 Virgin Media, Inc. 407,161
5,800 Virgin Mobile USA, Inc. (a)(f) 51,562
11,300 Vonage Holdings Corp. (a)(f) 25,990
1,500 Warwick Valley Telephone Co. 17,955
--------------
6,853,928
- ------------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Goods - 0.1% 200 American Biltrite, Inc. (a) 1,000
See Notes to Financial Statments. 73
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
4,400 Carlisle Cos., Inc. $ 162,932
4,400 Cooper Tire & Rubber Co. 72,952
1,000 SRI/Surgical Express, Inc. (a) 5,900
400 Synergetics USA, Inc. (a) 976
--------------
243,760
- ------------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.3% 6,500 Alliance One International, Inc. (a) 26,455
7,900 Loews Corp. - Carolina Group 673,870
2,000 M&F Worldwide Corp. (a) 107,700
900 Schweitzer-Mauduit International, Inc. 23,319
1,945 Universal Corp. 99,623
4,297 Vector Group Ltd. (f) 86,198
--------------
1,017,165
- ------------------------------------------------------------------------------------------------------------------------------------
Travel & Recreation - 2.8% 100 Aldila, Inc. 1,639
4,038 All-American SportPark, Inc. (a) 888
2,800 Ambassadors Group, Inc. 51,268
1,500 Amerco, Inc. (a)(f) 98,520
100 American Classic Voyages Co. (a) 0
4,100 Ameristar Casinos, Inc. 112,914
3,800 Bally Technologies, Inc. (a) 188,936
6,200 Boyd Gaming Corp. 211,234
6,000 CKX, Inc. (a) 72,000
3,700 Callaway Golf Co. 64,491
3,100 Cedar Fair, LP 65,503
4,600 Choice Hotels International, Inc. 152,720
7,600 Dick's Sporting Goods, Inc. (a) 210,976
2,100 Dollar Thrifty Automotive Group, Inc. (a) 49,728
3,316 Dover Downs Gaming & Entertainment, Inc. 37,305
3,200 Elixir Gaming Technologies, Inc. (a) 13,760
5,300 Empire Resorts, Inc. (a)(f) 18,073
1,000 Full House Resorts, Inc. (a) 2,800
1,800 Great Wolf Resorts, Inc. (a) 17,658
3,800 Interstate Hotels & Resorts, Inc. (a) 15,048
25,800 Las Vegas Sands Corp. (a)(f) 2,658,690
2,700 Life Time Fitness, Inc. (a)(f) 134,136
1,100 Lodgian, Inc. (a) 12,386
21,800 MGM Mirage (a) 1,831,636
2,100 MTR Gaming Group, Inc. (a) 14,259
1,500 Marcus Corp. 23,175
700 Marine Products Corp. 4,907
1,100 Monarch Casino & Resort, Inc. (a) 26,488
3,800 Morgans Hotel Group Co. (a) 73,264
1,900 Multimedia Games, Inc. (a)(f) 15,846
4,800 Orbitz Worldwide, Inc. (a) 40,800
4,400 Orient Express Hotels Ltd. Class A 253,088
4,300 Pinnacle Entertainment, Inc. (a) 101,308
3,750 Pool Corp. (f) 74,363
See Notes to Financial Statments. 74
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
- ------------------------------------------------------------------------------------------------------------------------------------
3,700 Premier Exhibitions, Inc. (a)(f) $ 40,478
2,300 President Casinos, Inc. (a) 575
6,700 Progressive Gaming International Corp. (a) 16,616
500 Red Lion Hotels Corp. (a) 4,975
16,300 Royal Caribbean Cruises Ltd. 691,772
6,600 Scientific Games Corp. Class A (a) 219,450
4,243 Shuffle Master, Inc. (a) 50,874
6,600 Silverleaf Resorts, Inc. (a) 27,390
6,900 Six Flags, Inc. (a)(f) 14,007
200 Sonesta International Hotels Corp. Class A 7,000
2,600 Speedway Motorsports, Inc. 80,808
700 Town Sports International Holdings, Inc. (a) 6,692
1,060 TravelCenters of America LLC (a) 13,250
1,100 Travelzoo, Inc. (a) 15,048
2,500 Vail Resorts, Inc. (a) 134,525
3,100 WMS Industries, Inc. (a) 113,584
8,300 Wynn Resorts Ltd. 930,679
--------------
9,017,530
- ------------------------------------------------------------------------------------------------------------------------------------
Trucking & Freight - 0.5% 3,200 Arkansas Best Corp. 70,208
1,488 BancTrust Financial Group, Inc. 18,005
1,725 Celadon Group, Inc. (a) 15,801
2,700 Con-way, Inc. 112,158
2,700 Covenant Transport Group Class A (a) 18,144
3,200 Forward Air Corp. 99,744
1,900 Frozen Food Express Industries, Inc. 11,210
2,400 HUB Group, Inc. Class A (a) 63,792
7,108 Heartland Express, Inc. 100,791
9,700 Hythiam, Inc. (a)(f) 28,421
9,100 J.B. Hunt Transport Services, Inc. 250,705
4,900 Knight Transportation, Inc. (f) 72,569
3,900 Landstar System, Inc. 164,385
1,237 Marten Transport Ltd. (a) 17,256
3,162 Old Dominion Freight Line, Inc. (a) 73,074
400 P.A.M. Transportation Services, Inc. (a) 6,216
4,400 Pacer International, Inc. 64,240
1,500 Quality Distribution, Inc. (a) 6,660
1,400 TAL International Group, Inc. 31,878
700 USA Truck, Inc. (a) 10,780
6,800 UTI Worldwide, Inc. 133,279
900 Universal Truckload Services, Inc. (a) 17,243
1,800 Wabash National Corp. 13,841
5,100 Werner Enterprises, Inc. 86,853
2,929 YRC Worldwide, Inc. (a) 50,057
--------------
1,537,310
- ------------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $241,651,729) - 99.6% 315,411,051
- ------------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statments. 75
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
Shares
Industry Held Rights Value
- ------------------------------------------------------------------------------------------------------------------------------------
Construction - 0.0% 203 Medis Technologies Ltd. (a)(i) $ 0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Rights 0
(Cost - $0) - 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Other Interests (d)
- ------------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine - 0.0% 700 Tripos, Inc. Liquidating Trust 0
- ------------------------------------------------------------------------------------------------------------------------------------
Energy & Utilities - 0.0% 600 PetroCorp Inc. (Escrow Shares) 0
- ------------------------------------------------------------------------------------------------------------------------------------
Total Other Interests
(Cost - $14,896) - 0.0% 0
- ------------------------------------------------------------------------------------------------------------------------------------
Short-Term Securities
- ------------------------------------------------------------------------------------------------------------------------------------
$ 9,277,946 BlackRock Liquidity Series, LLC
Cash Sweep Series, 5.04% (b)(e) 9,277,946
45,583,896 BlackRock Liquidity Series, LLC
Money Market Series, 4.78% (b)(c)(e) 45,583,896
- ------------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $54,861,842) - 17.3% 54,861,842
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $296,528,467*) - 116.9% 370,272,893
Liabilities in Excess of Other Assets - (16.9%) (53,513,367)
--------------
Net Assets - 100.0% $ 316,759,526
==============
* 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 $ 297,510,108
==============
Gross unrealized appreciation $ 100,841,826
Gross unrealized depreciation (28,079,041)
--------------
Net unrealized appreciation $ 72,762,785
==============
(a) Non-income producing security.
(b) Investments in companies considered to be an affiliate of the Series,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
- --------------------------------------------------------------------------------------------------------
Realized Gain Interest/Dividend
Affiliate Purchase Cost Sale Cost (Loss) Income
- --------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series - $ (13,429,430)* - $ 1,053,940
BlackRock Liquidity Series, LLC
Money Market Series $ 21,531,136 ** - - $ 461,270
BlackRock, Inc. $ 287,631 $ 405,141 $ 78,290 $ 26,063
Anthracite Capital, Inc. $ 18,659 $ 12,191 $ (5,034) $ 5,689
- --------------------------------------------------------------------------------------------------------
* Represents net sales cost.
** Represents net purchase cost.
(c) Security was purchased with the cash proceeds from securities loans.
(d) "Other interests" represent beneficial interest in liquidation trusts
and other reorganization entities and are non-income producing.
(e) Represents the current yield as of December 31, 2007.
(f) Security, or a portion of security, is on loan.
See Notes to Financial Statments. 76
Master Extended Market Index Series
Schedule of Investments as of December 31, 2007
- --------------------------------------------------------------------------------
(g) All or a portion of security held as collateral in connection with
open financial futures contracts.
(h) Depositary receipts.
(i) The rights may be exercised until January 7, 2008.
o Financial futures contracts purchased as of December 31, 2007 were as
follows:
- -----------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
- -----------------------------------------------------------------------------------
1 Russell 2000 Index March 2008 $ 372,354 $ 13,746
3 S&P 400
Midcap Index March 2008 1,275,312 21,889
- -----------------------------------------------------------------------------------
Total Unrealized Appreciation - Net $ 35,635
=========
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.
See Notes to Financial Statments. 77
Master Extended Market Index Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------
Assets: Investments in unaffiliated securities, at value (including securities
loaned of $42,364,528) (identified cost-$240,649,043) ................ $ 313,534,947
Investments in affiliated securities,
at value (identified cost- $55,879,424) .............................. 56,737,946
Receivables:
Securities sold ................................................... $ 49,800,720
Contributions ..................................................... 647,483
Dividends ......................................................... 338,861
Securities lending ................................................ 55,859 50,842,923
---------------
Prepaid expenses and other assets ....................................... 22,231
--------------
Total assets ............................................................ 421,138,047
--------------
- ------------------------------------------------------------------------------------------------------------------------------
Liabilities: Collateral on securities loaned, at value ............................... 45,583,896
Bank overdraft .......................................................... 653,332
Payables:
Withdrawals ....................................................... 57,117,778
Securities purchased .............................................. 948,199
Variation margin .................................................. 14,512
Other affiliates .................................................. 3,320
Investment adviser ................................................ 3,124 58,086,933
---------------
Accrued expenses and other liabilities .................................. 54,360
--------------
Total liabilities ....................................................... 104,378,521
--------------
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets: Net assets .............................................................. $ 316,759,526
==============
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets Investors' capital ...................................................... $ 242,979,465
Consist of: Unrealized appreciation-net ............................................. 73,780,061
Net assets .............................................................. $ 316,759,526
==============
- ------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
78
Master Extended Market Index Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------
Investment Dividends (net of $4,127 foreign withholding tax and
Income: including $31,752 from affiliates) ................................... $ 3,736,345
Interest from affiliates ................................................ 1,053,940
Securities lending-net .................................................. 461,270
--------------
Total income ............................................................ 5,251,555
--------------
- ------------------------------------------------------------------------------------------------------------------------------
Expenses: Accounting services ..................................................... $ 84,344
Professional fees ....................................................... 73,154
Custodian fees .......................................................... 49,569
Investment advisory fees ................................................ 37,295
Printing and shareholder reports ........................................ 17,831
Directors' fees and expenses ............................................ 8,267
Other ................................................................... 12,172
---------------
Total expenses .......................................................... 282,632
--------------
Investment income-net ................................................... 4,968,923
--------------
- ------------------------------------------------------------------------------------------------------------------------------
Realized & Realized gain on:
Unrealized Gain Investments (including $73,256 from affiliates)-net .................. 17,428,560
(Loss) - Net: Financial futures contracts-net ...................................... 211,055 17,639,615
---------------
Change in unrealized appreciation/depreciation on:
Investments-net ...................................................... (4,844,195)
Financial futures contracts-net ...................................... 306,752 (4,537,443)
--------------- --------------
Total realized and unrealized gain-net .................................. 13,102,172
--------------
Net Increase in Net Assets Resulting from Operations .................... $ 18,071,095
==============
- ------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
79
Master Extended Market Index Series
STATEMENTS OF CHANGES IN NET ASSETS
For the
Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2007 2006
- ------------------------------------------------------------------------------------------------------------------------------
Operations: Investment income-net ................................................... $ 4,968,923 $ 4,765,355
Realized gain-net ....................................................... 17,639,615 19,990,458
Change in unrealized appreciation/depreciation-net ...................... (4,537,443) 17,309,432
--------------- --------------
Net increase in net assets resulting from operations .................... 18,071,095 42,065,245
--------------- --------------
- ------------------------------------------------------------------------------------------------------------------------------
Capital Proceeds from contributions ............................................. 120,701,475 112,081,318
Transactions: Fair value of withdrawals ............................................... (146,355,748) (82,758,542)
--------------- --------------
Net increase (decrease) in net assets derived
from capital transactions ............................................ (25,654,273) 29,322,776
--------------- --------------
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets: Total increase (decrease) in net assets ................................. (7,583,178) 71,388,021
Beginning of year ....................................................... 324,342,704 252,954,683
--------------- --------------
End of year ............................................................. $ 316,759,526 $ 324,342,704
=============== ==============
- ------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
80
Master Extended Market Index Series
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The following ratios have been For the Year Ended December 31,
derived from information provided ----------------------------------------------------------
in the financial statements. 2007 2006 2005 2004 2003
- ------------------------------------------------------------------------- --------- --------- --------- ----------
Total Investment Total investment return .................. 5.22% 15.92% 10.58% 18.43% 44.11%
========== ========== ========== ========== ==========
Return:
- --------------------------------------------------------------------------------------------------------------------------
Ratios to Expenses, net of reimbursement ........... .08% .08% .07% .09% .12%
========== ========== ========== ========== ==========
Average Net Expenses ................................. .08% .08% .07% .09% .13%
========== ========== ========== ========== ==========
Assets: Investment income-net .................... 1.33% 1.66% 1.25% 1.08% 1.09%
========== ========== ========== ========== ==========
- --------------------------------------------------------------------------------------------------------------------------
Supplemental Net assets, end of year (in thousands) ... $ 316,760 $ 324,343 $ 252,955 $ 217,991 $ 172,482
========== ========== ========== ========== ==========
Data: Portfolio turnover ....................... 33% 24% 18% 23% 15%
========== ========== ========== ========== ==========
- --------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
81
Master Extended Market Index Series
Notes to Financial Statements
1. Significant Accounting Policies:
Master Extended Market Index Series (the "Series"), a diversified, open-end
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 permits the
Trustees) to issue non-transferable interests, subject to certain limitations.
Throughout this report, the Trust and the Master LLC are referred to as the
Master LLC and the Board of Trustees of the Trust and the Board of Directors of
the Master LLC are referred to as the Board of Directors. The financial
statements of the Series are prepared in conformity with U.S. generally accepted
accounting principles, which may require the use of management accruals and
estimates. Actual results may differ from these estimates. The following is a
summary of significant accounting policies followed by the Series.
(a) Valuation of investments - Equity securities that are held by the Series
that are traded on stock exchanges or the NASDAQ Global Market are valued at the
last sale price or official close price on the exchange, as of the close of
business on the day the securities are being valued or, lacking any sales, at
the last available bid price for long positions, and at the last available asked
price for short positions. In cases where equity securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Directors. Long
positions traded in the over-the-counter ("OTC") market, NASDAQ Capital Market
or Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Directors. Short positions traded in the OTC market are valued at the last
available asked price. Portfolio securities that are traded both in the OTC
market and on a stock exchange are valued according to the broadest and most
representative market.
Effective September 4, 2007, exchange-traded options are valued at the mean
between the last bid and ask prices at the close of the options market in which
the options trade and previously were valued at the last sales price as of the
close of options trading on applicable exchanges. Options traded in the OTC
market are valued at the last asked price (options written) or the last bid
price (options purchased). Swap agreements are valued based upon quoted fair
valuations received daily by the Series from a pricing service or counterparty.
Financial futures contracts and options thereon, which are traded on exchanges,
are valued at their last sale price as of the close of such exchanges. Valuation
of short-term investment vehicles is generally based on the net asset value of
the underlying investment vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Directors, including valuations furnished by the pricing services
retained by the Master LLC, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed by the officers
of the Master LLC under the general supervision of the Board of Directors. Such
valuations and procedures will be reviewed periodically by the Board of
Directors.
Generally, trading in foreign securities, as well as U.S. government securities,
money market instruments and certain fixed income securities is substantially
completed each day at various times prior to the close of business on the New
York Stock Exchange ("NYSE"). The values of such securities used in computing
the net assets of the Series are determined as of such times. Foreign currency
exchange rates will generally be determined as of the close of business on the
NYSE. Occasionally, events affecting the values of such securities and such
exchange rates may occur between the times at which they are determined and the
close of business on the NYSE that may not be reflected in the computation of
the Series' net assets. If events (for example, a company announcement, market
82
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 techniques to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract due to an unfavorable change in the price
of the underlying security, or index, or if the counterparty does not perform
under the contract. The counterparty, for certain instruments, may pledge cash
or securities as collateral.
o Financial futures contracts - The Series may purchase or sell
financial futures contracts and options on such financial futures
contracts. Financial futures contracts are contracts for delayed
delivery of securities at a specific future date and at a specific
price or yield. Upon entering into a contract, the Series deposits
and maintains as collateral such initial margin as required by the
exchange on which the transaction is effected. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin
and are recorded by the Series as unrealized gains or losses. When
the contract is closed, the Series records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
o 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 loss or gain to the extent the cost of
the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(c) Income taxes - The Series is classified as a partnership for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. Under applicable foreign tax laws, 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.
(d) Security transactions and investment income - Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(e) Securities lending - The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it collects a fee from the borrower. The Series typically
receives the income on the loaned securities, but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the
83
amount earned on such investment, net of any amount rebated to the borrower.
Loans of securities are terminable at any time and the borrower, after notice,
is required to return borrowed securities within five business days. The Series
may pay reasonable lending agent, administrative and custodial fees in
connection with its loans. In the event that the borrower defaults on its
obligation to return borrowed securities because of insolvency or for any other
reason, the Series could experience delays and costs in gaining access to the
collateral. The Series also could suffer a loss where the value of the
collateral falls below the market value of the borrowed securities, in the event
of borrower default or in the event of losses on investments made with cash
collateral.
(f) Bank overdraft- The Fund recorded a bank overdraft, which resulted from
management estimates of available cash.
(g) Recent accounting pronouncements - Effective June 29, 2007, the Series
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109" ("FIN 48"). FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for
uncertainties in income tax positions taken or expected to be taken by an
entity, including investment companies, before being measured and recognized in
the financial statements. Management has evaluated the application of FIN 48 to
the Series, and has determined that the adoption of FIN 48 does not have a
material impact on the Series' financial statements. The Series files U.S.
federal and various state and local tax returns. No income tax returns are
currently under examination. The statute of limitations on the Series' U.S.
federal tax returns remains open for the years ended December 31, 2004 through
December 31, 2006. The statute of limitations on the Series' state and local tax
returns may remain open for an additional year depending upon the jurisdiction.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. The impact on the Series' financial statement disclosures, if any,
is currently being assessed.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. The impact on the Series' financial
statement disclosures, if any, is currently being assessed.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Master LLC, on behalf of the Series, has entered into an Investment Advisory
Agreement with the Manager. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The
PNC Financial Services Group, Inc. are the principal owners of BlackRock, Inc.
The Manager is responsible for the management of the Series' portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Series. For such services, the
Series pays a monthly fee at an annual rate of .01% of the average daily value
of the Series' net assets. In addition, the Manager has entered into a
Sub-Advisory Agreement with BlackRock Investment Management, LLC ("BIM"), an
affiliate of the Manager, under which the Manager pays BIM for services it
provides a monthly fee at an annual rate that is a percentage of the management
fee paid by the Series to the Manager.
84
The Master LLC, on behalf of the Series, has received an exemptive order from
the Securities and Exchange Commission permitting the Series to lend its
portfolio securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated
("MLPF&S"), a wholly owned subsidiary of Merrill Lynch, or its affiliates. As of
December 31, 2007, the Series lent securities with a value of $221,120 to MLPF&S
or its affiliates. Pursuant to that order, the Master LLC also has retained BIM
as the securities lending agent for a fee based on a share of the returns on
investment of cash collateral. BIM, may, on behalf of the Series, invest cash
collateral received by the Series for such loans, among other things, in a
private investment company managed by the Manager or in registered money market
funds advised by the Manager or its affiliates. For the year ended December 31,
2007, BIM received $142,695 in securities lending agent fees.
In addition, MLPF&S received $4,822 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 $6,941
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 $119,898,863 and $115,624,397, respectively.
4. Short-Term Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed
by the Manager and its affiliates, is a 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.
85
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 Extended Market Index Series, one of the
portfolios constituting Quantitative Master Series LLC (formerly Quantitative
Master Series Trust) (the "Master LLC"), as of December 31, 2007, and the
related statement of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period then ended.
These financial statements and financial highlights are the responsibility of
the Master LLC's management. Our responsibility is to express an opinion on
these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The
Master LLC is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Master LLC's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting amounts and disclosures
in the financial statements, assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of December 31, 2007, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
Extended Market Index Series of Quantitative Master Series LLC as of December
31, 2007, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended, and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 22, 2008
86
Officers and Directors
Number of
BlackRock-
Advised
Position(s) Length Funds and
Name, Address and Held with of Time Principal Occupation(s) Portfolios Public
Year of Birth Master LLC Served During 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
40 East 52nd Street and Co- present of Business, State University of New 81 Portfolios
New York, NY 10022 Chairman York at Albany since 2000 and
1940 of the Professor thereof from 1989 to 2000;
Board of International Consultant, Urban
Directors 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 Fox Chase Cancer Center since 2002;
1941 of the Member of the Archdiocesan Investment
Board of Committee of the Archdioceses of
Directors Philadelphia since 2003.
87
Herbert I. London Director 2007 to Professor Emeritus, New York 35 Funds AIMS
40 East 52nd Street and present University since 2005; John M. Olin 81 Portfolios Worldwide,
New York, NY 10022 Member of Professor of Humanities, New York Inc.
1939 the Audit University from 1993 to 2005 and (marketing)
Committee 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.
88
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 Re Ltd. company)
(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.
89
Robert C. Robb, Jr. Director 2007 to Partner, Lewis, Eckert, Robb and 35 Funds None
40 East 52nd Street present Company (management and financial 81 Portfolios
New York, NY 10022 consulting firm) since 1981; Trustee,
1945 Medical College of Pennsylvania/
Hahnemann University from 1998 to
2002; Trustee, EQK Realty Investors
from 1994 to 2000; Director, Tamaqua
Cable Products Company from 1981 to
1998; Director, Brynwood Partners
from 1984 to 1998; Director, PNC Bank
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 1990, Founders Investments Ltd. pharmaceuticals)
1938 of the (private investments); Director,
Oversight Forward Management, LLC since 2007;
Committee Trustee, SSR Funds from 1990 to 2005;
Trustee, Metropolitan Series Funds,
Inc. from 2001 to 2005.
Kenneth L. Urish Director 2007 to Managing Partner, Urish Popeck & Co., 35 Funds None
40 East 52nd Street and present LLC (certified public accountants and 81 Portfolios
New York, NY 10022 Chairman consultants) since 1976; External
1951 of the Advisory Board, The Pennsylvania
Audit State University Accounting
Committee Department since 2001; Trustee, The
Holy Family Foundation since 2001;
President and Trustee, Pittsburgh
Catholic Publishing Associates
90
since 2003; Director, Inter-Tel from
2006 to 2007.
Frederick W. Winter Director 2007 to Professor and Dean Emeritus of the 35 Funds None
40 East 52nd Street and present Joseph M. Katz School of Business - 81 Portfolios
New York, NY 10022 Member of University of Pittsburgh since 2005;
1945 the Audit Dean from 1997 to 2005; Director,
Committee Alkon Corporation (pneumatics) since
1992 to present; Director, Indotronix
International (IT service) since
2004; Director, Tippman Sports
(recreation) since 2005.
* Directors serve until their resignation, removal or death, or until
December 31 of the year in which they turn 72.
Interested
Directors*
Richard S. Davis Director 2007 to Managing Director, BlackRock, Inc. 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.
91
Henry Gabbay Director 2007 to Consultant, BlackRock, Inc. since 183 Funds None
40 East 52nd Street present 2007; Managing Director, 288 Portfolios
New York, NY 10022 present BlackRock, Inc. from 1989 to
1947 June 2007; Chief Administrative
Officer, BlackRock Advisors, LLC from
1998 to 2007; President of BlackRock
Funds and BlackRock Bond Allocation
Target Shares from 2005 to 2007;
Treasurer of certain closed-end funds
in the BlackRock Fund complex from
1989 to 2006.
* Messrs. Davis and Gabbay are both "interested persons," as defined in the
Investment Company Act of 1940, of the Master LLC based on their positions
with BlackRock, Inc. and its affiliates. Directors serve until their
resignation, removal or death, or until December 31 of the year in which
they turn 72.
Advisory Board Member
David R. Wilmerding, Jr. * Advisory 2007 Chairman, Wilmerding & 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 2007 to Managing Director of BlackRock, Inc.
40 East 52nd Street President present since 2006; Formerly Managing
New York, NY 10022 and Chief Director of Merrill Lynch Investment
1960 Executive Managers, L.P. ("MLIM") and Fund
Officer Asset Management, L.P. ("FAM") in
2006; First Vice President thereof
from 1997 to 2005; Treasurer
thereof from 1999 to 2006 and Vice
President thereof from 1990 to 1997.
92
Anne F. Ackerley Vice 2007 to Managing Director of BlackRock, Inc.
40 East 52nd Street President present since 2000 and First Vice President
New York, NY 10022 and Chief Operating Officer of
1962 Mergers and Acquisitions Group from
1997 to 2000; First Vice President
and Chief Operating Officer of Public
Finance Group thereof from 1995 to
1997; First Vice President of
Emerging Markets Fixed Income
Research of Merrill Lynch & Co., Inc.
from 1994 to 1995.
Neal J. Andrews Chief 2007 to Managing Director of BlackRock Inc.
40 East 52nd Street Financial present since 2006; Formerly Senior Vice
New York, NY 10022 Officer President and Line of Business Head
1966 of Fund Accounting and Administration
at PFPC Inc. from 1992 to 2006.
Jay M. Fife Treasurer 2007 to Managing Director of BlackRock, Inc.
40 East 52nd Street present since 2007 and Director in 2006;
New York, NY 10022 Formerly Assistant Treasurer of the
1970 MLIM/FAM advised funds from 2005 to
2006; Director of MLIM Fund Services
Group from 2001 to 2006.
Brian P. Kindelan Chief 2007 to Chief Compliance Officer of the Funds
40 East 52nd Street Compliance present since 2007; Managing Director and
New York, NY 10022 Officer Senior Counsel thereof since 2005;
1959 Director and Senior Counsel of
BlackRock Advisors, Inc. from 2001 to
2004 and Vice President and
Senior Counsel thereof from 1998 to
2000; Senior Counsel of The PNC Bank
Corp. from 1995 to 1998.
93
Howard Surloff Secretary 2007 to Managing Director of BlackRock, Inc.
40 East 52nd Street present and General Counsel of U.S. Funds at
New York, NY BlackRock, Inc. since 2006; Formerly
10022 General Counsel (U.S.)of Goldman
1965 Sachs Asset Management, L.P. from
1993 to 2006.
* Officers of the Master LLC serve at the pleasure of the Board of
Directors.
- --------------------------------------------------------------------------------
Proxy Results
- --------------------------------------------------------------------------------
During the six-month period ended December 31, 2007, the holders of interests of
Master Extended Market Index Series of Quantitative Master Series LLC voted on
the following proposal, which was approved at a special meeting on September 7,
2007. This proposal was a part of the reorganization of the Board of Directors
of Quantitative Master Series LLC that took effect on November 1, 2007. A
description of the proposal and number of shares voted for each Director are as
follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Units of Interest 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 174,133,098 0
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
94
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 1-800-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.
- --------------------------------------------------------------------------------
95
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 Extended
Market Index Series
of Quantitative $ 45,500 $ 45,500 $ 0 $ 0 $ 9,200 $ 9,200 $ 0 $ 0
Master Series LLC
- -----------------------------------------------------------------------------------------------------------------------------------
1 The nature of the services include assurance and related services reasonably
related to the performance of the audit of financial statements not included in
Audit Fees.
2 The nature of the services include tax compliance, tax advice and tax
planning.
3 The nature of the services include a review of compliance procedures and
attestation thereto.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to
the registrant's affiliated service providers that relate directly to
the operations and the financial reporting of the registrant. Certain
of these non-audit services that the Committee believes are a)
consistent with the SEC's auditor independence rules and b) routine
and recurring services that will not impair the independence of the
independent accountants may be approved by the Committee without
consideration on a specific case-by-case basis ("general
pre-approval").
However, such services will only be deemed pre-approved provided that
any individual project does not exceed $5,000 attributable to the
registrant or $50,000 for all of the registrants the Committee
oversees. Any proposed services exceeding the pre-approved cost
levels will require specific pre-approval by the Committee, as will
any other services not subject to general pre-approval (e.g.,
unanticipated but permissible services). The Committee is informed of
each service approved subject to general pre-approval at the next
regularly scheduled in-person board meeting.
(e)(2) None of the services described in each of Items 4(b) through
(d) were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) Affiliates' Aggregate Non-Audit Fees:
---------------------------------------------------------------------
Current Fiscal Previous Fiscal
Entity Name Year End Year End
---------------------------------------------------------------------
Master Extended Market Index
Series of Quantitative Master
Series LLC $ 293,700 $ 3,080,650
---------------------------------------------------------------------
(h) The registrant's audit committee has considered and determined
that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any non-affiliated
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by the registrant's investment
adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services to
the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $284,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - The registrant's Schedule of Investments is
included as part of the Report to Stockholders filed under Item 1 of
this form.
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - The
registrant's Nominating and Governance Committee will consider
nominees to the Board recommended by shareholders when a vacancy
becomes available. Shareholders who wish to recommend a nominee
should send nominations which include biographical information and
set forth the qualifications of the proposed nominee to the
registrant's Secretary. There have been no material changes to these
procedures.
Item 11 - Controls and Procedures
11(a) - The registrant's principal executive and principal financial officers
or persons performing similar functions have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act")) are effective as of a date within 90 days of the filing
of this report based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act and Rule
15d-15(b) under the Securities Exchange Act of 1934, as amended.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the second fiscal quarter of the period covered
by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly
caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
Master Extended Market Index Series of Quantitative Master Series LLC
By: /s/ Donald C. Burke
-------------------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
Master Extended Market Index Series of Quantitative Master
Series LLC
Date: February 21, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in the
capacities and on the dates indicated.
By: /s/ Donald C. Burke
-------------------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
Master Extended Market Index Series of Quantitative Master
Series LLC
Date: February 21, 2008
By: /s/ Neal J. Andrews
-------------------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
Master Extended Market Index Series of Quantitative Master
Series LLC
Date: February 21, 2008