N-CSR 1 e601694_ncsr-brsmallcap.txt ANNUAL REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07899 811-07885 Name of Fund: BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. Master Small Cap Index Series of Quantitative Master Series Trust Fund Address: P.O. Box 9011 Princeton, NJ 08543-9011 Name and address of agent for service: Robert C. Doll, Jr., Chief Executive Officer, BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master Small Cap Index Series of Quantitative Master Series Trust, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011 Registrant's telephone number, including area code: (609) 282-2800 Date of fiscal year end: 12/31/06 Date of reporting period: 01/01/06 - 12/31/06 Item 1 - Report to Stockholders ALTERNATIVES BLACKROCK SOLUTIONS EQUITIES FIXED INCOME LIQUIDITY REAL ESTATE BlackRock Small Cap Index Fund BLACKROCK OF BLACKROCK INDEX FUNDS, INC. ANNUAL REPORT | DECEMBER 31, 2006 NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE BlackRock Small Cap Index Fund Proxy Results During the six-month period ended December 31, 2006, BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. s shareholders voted on the following proposals. On August 15, 2006 a special shareholders' meeting was adjourned with respect to the proposals until August 31, 2006, at which time they were approved. A description of the proposals and number of shares voted are as follows:
------------------------------------------------------------------------------------------ Shares Voted Shares Voted Shares Voted For Against Abstain ------------------------------------------------------------------------------------------ To approve a new investment advisory agreement with BlackRock Advisors, Inc. 4,031,586 72,116 42,340 ------------------------------------------------------------------------------------------ To approve a contingent sub-advisory agreement with BlackRock Advisors, Inc. 4,022,591 82,609 40,841 ------------------------------------------------------------------------------------------
2 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 A Letter to Shareholders Dear Shareholder As 2007 begins, we are able to look back on 2006 as a volatile, but ultimately, a positive year for most major markets. Returns for the annual and semi-annual periods ended December 31, 2006 were as follows:
Total Returns as of December 31, 2006 6-month 12-month ========================================================================================== U.S. equities (Standard & Poor's 500 Index) +12.74% +15.79% ------------------------------------------------------------------------------------------ Small cap U.S. equities (Russell 2000 Index) + 9.38 +18.37 ------------------------------------------------------------------------------------------ International equities (MSCI Europe, Australasia, Far East Index) +14.69 +26.34 ------------------------------------------------------------------------------------------ Fixed income (Lehman Brothers Aggregate Bond Index) + 5.09 + 4.33 ------------------------------------------------------------------------------------------ Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 4.55 + 4.84 ------------------------------------------------------------------------------------------ High yield bonds (Credit Suisse High Yield Index) + 8.14 +11.92 ------------------------------------------------------------------------------------------
After raising the target short-term interest rate 17 times between June 2004 and June 2006, the Federal Reserve Board (the Fed) finally opted to pause on August 8, 2006. This left the federal funds rate at 5.25%, where it remained through year-end. In interrupting its two-year interest rate-hiking campaign, the Fed acknowledged that economic growth is slowing, led by a downturn in the housing market, but has maintained a cautionary view on inflation. Overall, it was a good 12 months for U.S. equities, despite a significant correction in the middle of the year that was largely triggered by rising interest rates, inflation fears, elevated oil prices and geopolitical uncertainties. Nevertheless, strong corporate earnings, abundant liquidity and record merger-and-acquisition activity provided a solid backdrop for stocks. Many international equity markets (with the notable exception of Japan) performed even better, outpacing U.S. stocks for the fifth consecutive year. Strength was especially notable in European equities and select emerging markets. Bonds experienced a more modest annual return than stocks. Interest rates and bond yields moved higher for much of the year as bond prices, which move opposite of yields, declined. Prices began to improve in the summer as the economy showed signs of weakening and the Fed paused. Notably, the Treasury curve remained inverted for much of 2006. The 10-year Treasury yield ended December at 4.71%, well below the federal funds rate. As we begin a new year, investors are left with a few key questions: Will the U.S. economy achieve a soft landing, will the Fed reverse its prior policy and cut interest rates, and how might these outcomes impact the investment climate. As you navigate the uncertainties inherent in the financial markets, we encourage you to start the year by reviewing your investment goals with your financial professional and making portfolio changes, as needed. For more reflection on 2006 and our thoughts on the year ahead, please ask your financial professional for a copy of "What's Ahead in 2007: An Investment Perspective," or view it online at www.blackrock.com/funds. We thank you for trusting BlackRock with your investment assets, and we look forward to continuing to serve you in the new year and beyond. Sincerely, /s/ Robert C. Doll, Jr. Robert C. Doll, Jr. President and Director/Trustee BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 3 A Discussion With Your Fund's Portfolio Managers During the fiscal year, the Fund generated strong positive returns similar to that of the Russell 2000 Index, as small caps outpaced their mid- and large-cap counterparts. How did the Fund perform during the fiscal year in light of the existing market conditions? For the 12-month period ended December 31, 2006, BlackRock Small Cap Index Fund's (formerly Merrill Lynch Small Cap Index Fund) Institutional and Investor A Shares had total returns of +17.49% and +17.14%, respectively. For the same period, the benchmark Russell 2000 Index returned +18.37%. The Russell 2000 Index is a market-weighted index composed of approximately 2,000 common stocks issued by small-capitalization U.S. companies in a range of businesses. As the value of the Russell 2000 fluctuated during the past 12 months, the Fund's performance generally tracked that of the Index. Following decent, but uninspiring results in 2004 and 2005, U.S. equities surged forward in 2006, with Standard & Poor's (S&P) 500 Index advancing 15.79% to close at 1,418. Small-cap stocks posted even stronger gains, thanks to exceptionally strong performance in the first few months of the year. Key highlights of the 12-month period included weaker economic growth triggered by a slowdown in the U.S. housing market; a long-awaited pause in the Federal Reserve Board's (the Fed) interest rate-hiking campaign; threats of higher inflation; and robust corporate earnings, which rose by double-digit percentages for an unprecedented fifth consecutive year. Amid these crosscurrents, financial markets were left to weather a high degree of volatility. At the outset, a burgeoning corporate sector, ample liquidity and record levels of merger-and-acquisition (M&A) activity provided a solid backdrop for equity markets. During the first few months of 2006, U.S. stocks were solidly on an upward trajectory, posting the best first quarter gains in several years. Of note, the S&P 500 Index advanced 4.21% in the quarter, marking its largest gain since the fourth quarter of 2004 (+9.23%) and its best first quarter since 1999 (+4.98%). Growth continued outside of the housing and auto sectors (capital spending in particular expanded at a brisk pace); private equity deals, M&A action and corporate buy-backs abounded in high volumes; and corporate cash flows held steady. Notwithstanding such broad-based strength, evidence of an economic slowdown mounted. By May, we saw a striking shift in investor sentiment, triggered by a deceleration in consumer spending, rising energy prices, a slump in housing activity and uncertainty around the Fed policy and the sustainability of economic growth. Stock market volatility took on a more negative spin and eventually resulted in the first double-digit correction for U.S. equity markets in nearly four years. The average U.S. stock fell by about 12% and stocks outside the United States were hit even harder. The pullback could be attributed to several factors, not the least of which was that the lagged effects of higher interest rates and oil prices finally took their toll on both the economy and stock prices. Further, a resurgence of inflation fears prompted the Fed to continue its interest rate tightening campaign. Under the auspices of new Chairman Ben Bernanke, the central bank ended the second quarter with its 17th consecutive 25 basis point hike since June 2004, bringing the target federal funds rate to 5.25%. As the second half of 2006 got underway, positive momentum returned to the market. The Fed made big news in August by finally ending its streak of rate increases. At the same time, commodity prices collapsed. After reaching an all-time high near $78 per barrel in July, crude oil ended the year at $61 per barrel. Stocks generally climbed back above the levels they reached prior to the market's earlier retrenchment. Most equity markets experienced one of their best third-quarter periods in several years, though there was a broad-based changing of the guard that favored larger-cap, higher-quality and more predictable stocks over smaller-cap, lower-quality and more cyclical securities (as was the trend early in the year). Macroeconomic uncertainty persisted in the third quarter. Investors struggled with moderating economic activity--real gross domestic product growth was estimated at 2%, compared to 2.6% in the second quarter and 5.6% in the first quarter. The magnitude of the housing downturn and its effect on the consumer sector was a significant wildcard. Weakness in the U.S. dollar was challenging the stability of currency markets. Moreover, tensions in the Middle East were heating up, and economic data offered a mixed outlook for inflation. Still, strong momentum continued in the equity markets during the year's final quarter. Key to investors' optimism were: a strong labor market, where the unemployment rate reached a post-9/11 low and year-on-year average hourly salaries reached a post-9/11 high; receding risks of higher inflation and 4 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 high oil prices; and finally, the pervasive strength in corporate fundamentals that included reasonably good investment levels, healthy balance sheets and profit margins. 2006 ended and the new year began with the world awash in liquidity, global economic growth still quite strong despite the U.S. slowdown, record-high corporate profitability, fairly low inflation and interest rates, and relatively strong investor confidence. For the 12-month period, small-cap stocks, as measured by the Russell 2000 Index, outpaced the +15.26% return of the Russell Midcap Index and the +15.46% return of the large cap Russell 1000 Index. Within the Russell 2000, the value style of investing significantly outperformed the growth style for the period, with the Russell 2000 Value Index returning +23.48% versus the +13.35% return of the Russell 2000 Growth Index. What changes were made to the portfolio during the period? Throughout the period, as changes were made to the composition of the Russell 2000 Index, the Fund purchased and sold securities to maintain its objective of replicating the risks and returns of the benchmark. On June 30, 2006, the Russell 2000 Index underwent its annual reconstitution. To maintain the Series' tight tracking to the benchmark, we adjusted the portfolio to be in line with the new benchmark as of the rebalancing's effective date. How would you characterize the Fund's position at the close of the period? Heading into 2007, we believe continued moderation in economic growth will put pressure on corporate earnings, which have been on a record run with five consecutive years of double-digit growth. Solid corporate fundamentals and balance sheet strength, alongside strong non-U.S. economic growth, should help corporate profits remain positive, but the rate of gain will likely slow noticeably as record-high profit margins will be difficult to sustain. Against this backdrop, the portfolio remains positioned to match the risk characteristics of its benchmark, whatever direction the market takes. Debra L. Jelilian Vice President and Co-Portfolio Manager Jeffrey L. Russo, CFA Vice President and Co-Portfolio Manager January 18, 2007 -------------------------------------------------------------------------------- Effective October 2, 2006, the Fund's Class A and Class I Shares were redesignated Investor A and Institutional Shares, respectively. -------------------------------------------------------------------------------- BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 5 Performance Data About Fund Performance Effective October 2, 2006, the Fund's Class A and Class I Shares were redesignated Investor A and Institutional Shares, respectively. The Fund has multiple classes of shares: o Institutional Shares do not incur an initial sales charge (front-end load) or deferred sales charge and bear no ongoing distribution or service fees. Institutional Shares are available only to eligible investors. o Investor A Shares do not incur an initial sales charge (front-end load) or deferred sales charge and bear no ongoing distribution fee. In addition, Investor A Shares are subject to an ongoing service fee of .25% per year. Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The Fund may charge a 2% redemption fee for sales or exchanges of shares within 30 days of purchase or exchange. Performance data does not reflect this potential fee. Figures shown in each of the following tables assume reinvestment of all dividends and capital gain distributions, if any, at net asset value on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Dividends paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders. The Fund's Administrator and the Series' Investment Adviser voluntarily waived a portion of their administrative and management fees, respectively. Without such waivers, the Fund's performance would have been lower. Recent Performance Results 6-Month 12-Month Since Inception As of December 31, 2006 Total Return Total Return Total Return ================================================================================ Institutional Shares* +8.85% +17.49% +146.93% -------------------------------------------------------------------------------- Investor A Shares* +8.67 +17.14 +141.00 -------------------------------------------------------------------------------- Russell 2000(R) Index** +9.38 +18.37 +156.64 -------------------------------------------------------------------------------- * Cumulative total investment returns are based on changes in net asset value for the periods shown, and assume reinvestment of all dividends and capital gains distributions at net asset value on the ex-dividend date. The Fund's inception date is 4/09/97. ** This unmanaged Index is comprised of approximately 2,000 smaller- capitalization common stocks from various industrial sectors. Since inception total return is from 4/09/97. Russell 2000 is a registered trademark of the Frank Russell Companies. 6 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Performance Data (concluded) Total Return Based on a $10,000 Investment A line graph depicting the growth of an investment in the Fund's Institutional Shares and Investor A Shares compared to growth of an investment in the Russell 2000 Index. Values are from April 9, 1997 to December 2006. Institutional Investor A Russell Shares* Shares* 2000 Index++ 4/09/97** $ 10,000 $ 10,000 $ 10,000 12/97 $ 12,704 $ 12,687 $ 12,743 12/98 $ 12,304 $ 12,253 $ 12,419 12/99 $ 14,862 $ 14,759 $ 15,059 12/00 $ 14,504 $ 14,382 $ 14,604 12/01 $ 14,777 $ 14,608 $ 14,967 12/02 $ 11,731 $ 11,577 $ 11,901 12/03 $ 17,165 $ 16,886 $ 17,525 12/04 $ 20,178 $ 19,805 $ 20,737 12/05 $ 21,017 $ 20,573 $ 21,681 12/06 $ 24,693 $ 24,100 $ 25,664 * Assuming transaction costs, if any, and other operating expenses, including advisory fees. ** Commencement of operations. + The Fund invests all of its assets in Master Small Cap Index Series of Quantitative Master Series Trust. The Series may invest in a statistically selected sample of the stocks included in the Russell 2000 Index and other types of financial instruments. ++ This unmanaged Index is comprised of approximately 2,000 smaller-capitalization common stocks from various industrial sectors. Past performance is not indicative of future performance. Average Annual Total Return Institutional Shares Return ================================================================================ One Year Ended 12/31/06 +17.49% -------------------------------------------------------------------------------- Five Years Ended 12/31/06 +10.82 -------------------------------------------------------------------------------- Inception (4/09/97) through 12/31/06 +9.74 -------------------------------------------------------------------------------- Investor A Shares Return ================================================================================ One Year Ended 12/31/06 +17.14% -------------------------------------------------------------------------------- Five Years Ended 12/31/06 +10.53 -------------------------------------------------------------------------------- Inception (4/09/97) through 12/31/06 +9.46 -------------------------------------------------------------------------------- BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 7 Disclosure of Expenses Shareholders of this Fund may incur the following charges: (a) expenses related to transactions, including sales charges, redemption fees and exchange fees; and (b) operating expenses including advisory fees, distribution fees including 12b-1 fees, and other Fund expenses. The following example (which is based on a hypothetical investment of $1,000 invested on July 1, 2006 and held through December 31, 2006) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds. The first table below provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Period." The second table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in this Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds' shareholder reports. The expenses shown in the table are intended to highlight shareholders' ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. Therefore, the second table is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
Expenses Paid Beginning Ending During the Period* Account Value Account Value July 1, 2006 to July 1, 2006 DECEMBER 31, 2006 December 31, 2006 =========================================================================================================== Actual =========================================================================================================== Institutional $1,000 $1,088.50 $2.60 ----------------------------------------------------------------------------------------------------------- Investor A $1,000 $1,086.70 $3.90 =========================================================================================================== Hypothetical (5% annual return before expenses)** =========================================================================================================== Institutional $1,000 $1,022.41 $2.52 ----------------------------------------------------------------------------------------------------------- Investor A $1,000 $1,021.16 $3.78 -----------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense ratio for the class (.50% for Institutional and .75% for Investor A), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). Because the Fund is a feeder fund, the expense table example reflects the expenses of both the feeder fund and the master series in which it invests. ** Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365. 8 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Statement of Assets and Liabilities BlackRock Small Cap Index Fund As of December 31, 2006 =================================================================================================================================== Assets ----------------------------------------------------------------------------------------------------------------------------------- Investment in Master Small Cap Index Series (the "Series"), at value (identified cost--$99,242,174) .............................................. $ 133,170,126 Prepaid expenses ............................................................. 11,521 ------------- Total assets ................................................................. 133,181,647 ------------- =================================================================================================================================== Liabilities ----------------------------------------------------------------------------------------------------------------------------------- Payables: Administrator ............................................................. $ 30,796 Distributor ............................................................... 10,871 Other affiliates .......................................................... 54 41,721 ------------- Accrued expenses and other liabilities ....................................... 25,186 ------------- Total liabilities ............................................................ 66,907 ------------- =================================================================================================================================== Net Assets ----------------------------------------------------------------------------------------------------------------------------------- Net assets ................................................................... $ 133,114,740 ============= =================================================================================================================================== Net Assets Consist of ----------------------------------------------------------------------------------------------------------------------------------- Institutional Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ............................................... $ 510 Investor A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ............................................... 350 Paid-in capital in excess of par ............................................. 99,653,376 Undistributed investment income--net ......................................... $ 51,170 Accumulated realized capital losses allocated from the Series--net ........... (518,618) Unrealized appreciation allocated from the Series--net ....................... 33,927,952 ------------- Total accumulated earnings--net .............................................. 33,460,504 ------------- Net Assets ................................................................... $ 133,114,740 ============= =================================================================================================================================== Net Asset Value ----------------------------------------------------------------------------------------------------------------------------------- Institutional--Based on net assets of $79,031,815 and 5,104,920 shares outstanding ................................................................. $ 15.48 ============= Investor A--Based on net assets of $54,082,925 and 3,495,413 shares outstanding ................................................................. $ 15.47 =============
See Notes to Financial Statements BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 9 Statement of Operations BlackRock Small Cap Index Fund For the Year Ended December 31, 2006 =================================================================================================================================== Investment Income ----------------------------------------------------------------------------------------------------------------------------------- Net investment income allocated from the Series: Dividends ................................................................. $ 1,336,376 Interest from affiliates .................................................. 555,197 Securities lending--net ................................................... 109,088 Expenses .................................................................. (88,309) ------------- Total income ................................................................. 1,912,352 ------------- =================================================================================================================================== Expenses ----------------------------------------------------------------------------------------------------------------------------------- Administration fees .......................................................... $ 364,706 Service fees--Investor A ..................................................... 130,749 Printing and shareholder reports ............................................. 53,852 Transfer agent fees--Institutional ........................................... 42,312 Transfer agent fees--Investor A .............................................. 30,125 Registration fees ............................................................ 26,623 Professional fees ............................................................ 4,483 Directors' fees and expenses ................................................. 1,963 Other ........................................................................ 8,339 ------------- Total expenses ............................................................... 663,152 ------------- Investment income--net ....................................................... 1,249,200 ------------- =================================================================================================================================== Realized & Unrealized Gain Allocated from the Series--Net ----------------------------------------------------------------------------------------------------------------------------------- Realized gain (loss) on investments, in-kind redemption and financial futures contracts--net ...................................................... 9,872,452 Change in unrealized appreciation/depreciation on investments and financial futures contracts--net ............................................ 8,107,418 ------------- Total realized and unrealized gain--net ...................................... 17,979,870 ------------- Net Increase in Net Assets Resulting from Operations ......................... $ 19,229,070 =============
See Notes to Financial Statements. 10 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Statements of Changes in Net Assets BlackRock Small Cap Index Fund
For the Year Ended December 31, --------------------------------- Increase (Decrease) in Net Assets: 2006 2005 =================================================================================================================================== Operations ----------------------------------------------------------------------------------------------------------------------------------- Investment income--net ....................................................... $ 1,249,200 $ 693,074 Realized gain--net ........................................................... 9,872,452 4,314,626 Change in unrealized appreciation/depreciation--net .......................... 8,107,418 (291,948) --------------------------------- Net increase in net assets resulting from operations ......................... 19,229,070 4,715,752 --------------------------------- =================================================================================================================================== Dividends & Distributions to Shareholders ----------------------------------------------------------------------------------------------------------------------------------- Investment income--net: Institutional ............................................................. (812,899) (480,662) Investor A ................................................................ (434,263) (232,731) Realized gain--net: Institutional ............................................................. (5,755,828) (982,462) Investor A ................................................................ (3,998,610) (761,082) --------------------------------- Net decrease in net assets resulting from dividends and distributions to shareholders ............................................................. (11,001,600) (2,456,937) --------------------------------- =================================================================================================================================== Capital Share Transactions ----------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets derived from capital share transactions ................................................................ 12,320,460 (14,238,277) --------------------------------- =================================================================================================================================== Redemption Fee ----------------------------------------------------------------------------------------------------------------------------------- Redemption fee ............................................................... 108 498 --------------------------------- =================================================================================================================================== Net Assets ----------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets ...................................... 20,548,038 (11,978,964) Beginning of year ............................................................ 112,566,702 124,545,666 --------------------------------- End of year* ................................................................. $ 133,114,740 $ 112,566,702 ================================= * Undistributed investment income--net .................................... $ 51,170 $ 49,736 =================================
See Notes to Financial Statements. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 11 Financial Highlights BlackRock Small Cap Index Fund
Institutional ---------------------------------------------------------------- The following per share data For the Year Ended and ratios have been derived December 31, from information provided in ---------------------------------------------------------------- the financial statements. 2006 2005 2004 2003 2002 ============================================================================================================ Per Share Operating Performance ------------------------------------------------------------------------------------------------------------ Net asset value, beginning of year ..... $ 14.36 $ 14.10 $ 12.06 $ 8.28 $ 10.53 ---------------------------------------------------------------- Investment income--net** ............... .17 .10 .08 .06 .08 Realized and unrealized gain (loss)--net 2.34* .49* 2.04* 3.77 (2.25) ---------------------------------------------------------------- Total from investment operations ....... 2.51 .59 2.12 3.83 (2.17) ---------------------------------------------------------------- Less dividends and distributions from: Investment income--net .............. (.17) (.11) (.08) (.05) (.08) Realized gain--net .................. (1.22) (.22) -- -- -- ---------------------------------------------------------------- Total dividends and distributions ...... (1.39) (.33) (.08) (.05) (.08) ---------------------------------------------------------------- Net asset value, end of year ........... $ 15.48 $ 14.36 $ 14.10 $ 12.06 $ 8.28 ================================================================ ============================================================================================================ Total Investment Return ------------------------------------------------------------------------------------------------------------ Based on net asset value per share ..... 17.49% 4.16% 17.55% 46.32% (20.61%) ================================================================ ============================================================================================================ Ratios to Average Net Assets*** ------------------------------------------------------------------------------------------------------------ Expenses, net of waiver ................ .49% .53% .56% .60% .50% ================================================================ Expenses ............................... .49% .54% .56% .63% .64% ================================================================ Investment income--net ................. 1.10% .69% .64% .61% .82% ================================================================ ============================================================================================================ Supplemental Data ------------------------------------------------------------------------------------------------------------ Net assets, end of year (in thousands) . $ 79,032 $ 63,671 $ 68,024 $ 51,194 $ 30,938 ================================================================ Portfolio turnover of the Series ....... 40.29% 36.63% 37.74% 28.57% 39.00% ================================================================ Investor A ---------------------------------------------------------------- The following per share data For the Year Ended and ratios have been derived December 31, from information provided in ---------------------------------------------------------------- the financial statements. 2006 2005 2004 2003 2002 ============================================================================================================ Per Share Operating Performance ------------------------------------------------------------------------------------------------------------ Net asset value, beginning of year ..... $ 14.36 $ 14.10 $ 12.06 $ 8.29 $ 10.53 ---------------------------------------------------------------- Investment income--net** ............... .13 .06 .05 .04 .05 Realized and unrealized gain (loss)--net 2.33* .49* 2.03* 3.76 (2.23) ---------------------------------------------------------------- Total from investment operations ....... 2.46 .55 2.08 3.80 (2.18) ---------------------------------------------------------------- Less dividends and distributions from: Investment income--net .............. (.13) (.07) (.04) (.03) (.06) Realized gain--net .................. (1.22) (.22) -- -- -- ---------------------------------------------------------------- Total dividends and distributions ...... (1.35) (.29) (.04) (.03) (.06) ---------------------------------------------------------------- Net asset value, end of year ........... $ 15.47 $ 14.36 $ 14.10 $ 12.06 $ 8.29 ================================================================ ============================================================================================================ Total Investment Return ------------------------------------------------------------------------------------------------------------ Based on net asset value per share ..... 17.14% 3.88% 17.29% 45.85% (20.75%) ================================================================ ============================================================================================================ Ratios to Average Net Assets*** ------------------------------------------------------------------------------------------------------------ Expenses, net of waiver ................ .74% .79% .81% .85% .75% ================================================================ Expenses ............................... .74% .80% .81% .88% .89% ================================================================ Investment income--net ................. .84% .43% .38% .36% .56% ================================================================ ============================================================================================================ Supplemental Data ------------------------------------------------------------------------------------------------------------ Net assets, end of year (in thousands) . $ 54,083 $ 48,896 $ 56,522 $ 50,280 $ 34,308 ================================================================ Portfolio turnover of the Series ....... 40.29% 36.63% 37.74% 28.57% 39.00% ================================================================
* Includes redemption fee, which is less than $.01 per share. ** Based on average shares outstanding. *** Includes the Fund's share of the Series' allocated expenses and/or investment income--net. See Notes to Financial Statements. 12 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Notes to Financial Statements BlackRock Small Cap Index Fund 1. Significant Accounting Policies: On September 29, 2006, Merrill Lynch Small Cap Index Fund, a series of Merrill Lynch Index Funds, Inc., was renamed BlackRock Small Cap Index Fund (the "Fund"), a series of BlackRock Index Funds, Inc. (the "Corporation"), respectively. The Fund is registered under the Investment Company Act of 1940, as amended, as a non-diversified open-end investment company. The Fund seeks to achieve its investment objective by investing all of its assets in Master Small Cap Index Series (the "Series") of Quantitative Master Series Trust (the "Trust"), which has the same investment objective and strategies as the Fund. The value of the Fund's investment in the Series reflects the Fund's proportionate interest in the net assets of the Series. The performance of the Fund is directly affected by the performance of the Series. The financial statements of the Series, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements. The Fund's financial statements are prepared in conformity with U.S. generally accepted accounting principles, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The percent age of the Series owned by the Fund at December 31, 2006 was 23.7%. The Fund offers two classes of shares. Effective October 2, 2006, Class I and Class A Shares were redesignated Institutional and Investor A Shares, respectively. Institutional and Investor A Shares are sold without the imposition of a front-end or deferred sales charge. Both classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Investor A Shares bear certain expenses related to the account maintenance of such shares and have exclusive voting rights with respect to matters relating to its account maintenance expenditures. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets. The following is a summary of significant accounting policies followed by the Fund. (a) Valuation of investments--The Fund records its investment in the Series at fair value. Valuation of securities held by the Series is discussed in Note 1(a) of the Series' Notes to Financial Statements, which are included elsewhere in this report. (b) Investment income and expenses--The Fund records daily its proportionate share of the Series' income, expenses and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses. (c) Income taxes--It is the Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to shareholders. Therefore, no federal income tax provision is required. (d) Prepaid registration fees--Prepaid registration fees are charged to expense as the related shares are issued. (e) Dividends and distributions--Dividends and distributions paid by the Fund are recorded on the ex-dividend dates. (f) Investment transactions--Investment transactions in the Series are accounted for on a trade date basis. (g) Recent accounting pronouncements--In July 2006, the Financial Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes--an interpretation of FASB Statement No. 109." 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 mutual funds, before being measured and recognized in the financial statements. Adoption of FIN 48 is required for the last net asset value calculation in the first required financial statement reporting period for fiscal years beginning after December 15, 2006. The impact on the Fund's financial statements, if any, is currently being assessed. In addition, 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. Management is currently evaluating the implications of FAS 157. At this time, its impact on the Fund's financial statements has not been determined. (h) Reclassifications--U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. Accordingly, during the current year, $394,579 has been reclassified between paid-in capital in excess of par and accumulated net realized capital losses and $604 has been reclassified between undistributed net investment income and paid-in capital in excess of par as a result of permanent differences attributable to disallowed loss on in-kind withdrawal of partner and characterization of BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 13 Notes to Financial Statements (continued) BlackRock Small Cap Index Fund corporate actions. These reclassifications have no effect on net assets or net asset values per share. 2. Transactions with Affiliates: On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill Lynch") combined Merrill Lynch's investment management business, Merrill Lynch Investment Managers, L.P. ("MLIM"), and its affiliates with BlackRock, Inc. to create a new independent company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has approximately a 34% economic and voting interest. The new company operates under the BlackRock name and is governed by a board of directors with a majority of independent members. On August 31, 2006, shareholders of the Fund approved a new Investment Advisory Agreement for the Trust on behalf of the Series with BlackRock Advisors, LLC, an indirect, wholly owned subsidiary of BlackRock, Inc. BlackRock Advisors, Inc., was recently reorganized into a limited liability company and renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement became effective on September 29, 2006. Prior to September 29, 2006, Fund Asset Management, L.P. ("FAM") was the manager. The general partner of FAM is Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of Merrill Lynch, which is the limited partner. The Corporation has entered into an Administration Agreement with BlackRock Advisors, LLC (the "Administrator"). The Fund pays a monthly fee at an annual rate of .29% of the Fund's average daily net assets for the performance of administrative services (other than investment advice and related portfolio activities) necessary for the operation of the Fund. Prior to September 29, 2006, MLIM acted as the Fund's Administrator and was compensated at the same fee rate. The Administrator (and previously MLIM) has entered into a voluntary arrangement with the Fund under which the expenses incurred by each class of shares of the Fund (excluding account maintenance fees ("service fees")) will not exceed .60%. This arrangement has a one-year term and is renewable. The Corporation has also entered into separate Distribution Agreements and Distribution Plans with FAM Distributors, Inc. ("FAMD") and BlackRock Distributors, Inc. ("BDI") (collectively, the "Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc. and BDI is an affiliate of BlackRock, Inc. Pursuant to the Distribution Plans adopted by the Corporation in accordance with Rule 12b-1 under the Investment Company Act of 1940, the Fund pays the Distributor an ongoing service fee with respect to Investor A Shares. The fee is accrued daily and paid monthly at the annual rate of .25% based upon the average daily net assets of Investor A Shares. Pursuant to sub-agreements with each Distributor, broker dealers, including Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned subsidiary of Merrill Lynch, and an affiliate of the Distributor, also provide account maintenance services to the Fund. The ongoing service fee compensates the Distributors and each broker-dealer (including MLPF&S) for providing account maintenance services to Investor A shareholders. Effective September 29, 2006, PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the Administrator, became the Fund's transfer agent. Prior to September 29, 2006, the Fund's transfer agent was Financial Data Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch. Prior to September 29, 2006, certain officers and/or directors of the Corporation were officers and/or directors of MLIM, PSI, FAMD, FDS, and/or Merrill Lynch. Commencing September 29, 2006, certain officers and/or directors of the Corporation are officers and/or directors of BlackRock, Inc. or its affiliates. 3. Capital Share Transactions: Net increase (decrease) in net assets derived from capital share transactions was $12,320,460 and $(14,238,277) for the years ended December 31, 2006 and December 31, 2005, respectively. Transactions in capital shares for each class were as follows: -------------------------------------------------------------------------------- Institutional Shares for the Year Dollar Ended December 31, 2006 Shares Amount -------------------------------------------------------------------------------- Shares sold .............................. 2,461,516 $ 38,738,205 Shares issued to shareholders in reinvestment of dividends and distributions ...................... 403,543 6,262,248 ------------------------------ Total issued ............................. 2,865,059 45,000,453 Shares redeemed .......................... (2,193,758) (34,056,513) ------------------------------ Net increase ............................. 671,301 $ 10,943,940 ============================== 14 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Notes to Financial Statements (concluded) BlackRock Small Cap Index Fund -------------------------------------------------------------------------------- Institutional Shares for the Year Dollar Ended December 31, 2006 Shares Amount -------------------------------------------------------------------------------- Shares sold ................................ 2,459,250 $ 34,087,931 Shares issued to shareholders in reinvestment of dividends and distributions ........................ 96,658 1,407,794 ------------------------------ Total issued ............................... 2,555,908 35,495,725 Shares redeemed ............................ (2,945,115) (41,563,146) ------------------------------ Net decrease ............................... (389,207) $ (6,067,421) ============================== -------------------------------------------------------------------------------- Investor A Shares for the Year Dollar Ended December 31, 2006 Shares Amount -------------------------------------------------------------------------------- Shares sold .............................. 437,777 $ 6,824,403 Shares issued to shareholders in reinvestment of dividends and distributions ...................... 252,023 3,908,408 ------------------------------ Total issued ............................. 689,800 10,732,811 Shares redeemed .......................... (600,508) (9,356,291) ------------------------------ Net increase ............................. 89,292 $ 1,376,520 ============================== -------------------------------------------------------------------------------- Investor A Shares for the Year Dollar Ended December 31, 2005 Shares Amount -------------------------------------------------------------------------------- Shares sold ................................ 535,473 $ 7,390,664 Shares issued to shareholders in reinvestment of dividends and distributions ........................ 59,618 868,264 ------------------------------ Total issued ............................... 595,091 8,258,928 Shares redeemed ............................ (1,198,137) (16,429,784) ------------------------------ Net decrease ............................... (603,046) $ (8,170,856) ============================== The Fund charges a 2% redemption fee on the proceeds (calculated at market value) of a redemption (either by sale or exchange) of Fund shares made within 30 days of purchase or exchange. The redemption fee is paid to the Fund and is intended to offset the trading costs, market impact and other costs associated with short-term trading into and out of the Fund. 4. Distributions to Shareholders: The tax character of distributions paid during the fiscal years ended December 31, 2006 and December 31, 2005 was as follows: -------------------------------------------------------------------------------- 12/31/2006 12/31/2005 -------------------------------------------------------------------------------- Distributions paid from: Ordinary income .................... $ 1,289,447 $ 713,393 Long-term capital gains ............ 9,712,153 1,743,544 ------------------------------ Total taxable distributions ................ $11,001,600 $ 2,456,937 ============================== As of December 31, 2006, the components of accumulated earnings on a tax basis were as follows: -------------------------------------------------------------------------------- Undistributed ordinary income--net ......................... $ 332,303 Undistributed long-term capital gains--net ................. 1,047,631 ----------- Total undistributed earnings--net .......................... 1,379,934 Capital loss carryforward .................................. -- Unrealized gains--net ...................................... 32,080,570* ----------- Total accumulated earnings--net ............................ $33,460,504 =========== * The difference between book-basis and tax-basis net unrealized gains is attributable primarily to the tax deferral of losses on wash sales and the realization for tax purposes of unrealized gains/losses on certain financial futures contracts. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 15 Report of Independent Registered BlackRock Small Cap Index Fund Public Accounting Firm To the Shareholders and Board of Directors of BlackRock Index Funds, Inc.: We have audited the accompanying statement of assets and liabilities of BlackRock Small Cap Index Fund (formerly Merrill Lynch Small Cap Index Fund), one of the series constituting BlackRock Index Funds, Inc. (formerly Merrill Lynch Index Funds, Inc.) (the "Fund"), as of December 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. as of December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. Deloitte & Touche LLP Princeton, New Jersey February 26, 2007 Important Tax Information (unaudited) The following information is provided with respect to the ordinary income distributions paid by BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. during the fiscal year ended December 31, 2006: ================================================================================ Record Date July 13, 2006 December 14, 2006 Payable Date July 19, 2006 December 18, 2006 ================================================================================ Qualified Dividend Income for Individuals 100% 61.25%* -------------------------------------------------------------------------------- Dividends Qualifying for the Dividends Received Deduction for Corporations 100% 59.19%* -------------------------------------------------------------------------------- Short-Term Capital Gain Dividends for Non-U.S. Residents 47.28%** N/A -------------------------------------------------------------------------------- * The Fund hereby designates the percentage indicated above or the maximum amount allowable by law. ** Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations. Additionally, the Fund paid long-term capital gain distributions of $0.058851 and $1.153125 per share to shareholders of record on July 13, 2006 and December 14, 2006, respectively. 16 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Portfolio Information Master Small Cap Index Series As of December 31, 2006 -------------------------------------------------------------------------------- Percent of Total Sector Representation Investments -------------------------------------------------------------------------------- Financial Services ........................................... 17.6% Consumer Discretionary ....................................... 14.7 Technology ................................................... 9.8 Health Care .................................................. 8.3 Materials & Processing ....................................... 6.8 Producer Durables ............................................ 5.4 Other Energy ................................................. 3.3 Utilities .................................................... 3.2 Auto & Transportation ........................................ 2.7 Consumer Staples ............................................. 1.6 Other ........................................................ 0.2 Integrated Oils .............................................. 0.2 Short-Term Investments and Exchange-Traded Funds ...................................... 26.2 -------------------------------------------------------------------------------- For Series compliance purposes, the Series' sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. Proxy Results During the six-month period ended December 31, 2006, Master Small Cap Index Series of Quantitative Master Series Trusts' interest holders voted on the following proposals, which were approved at a special interest holders' meeting on September 29, 2006. A description of the proposals and number of units of interest voted are as follows: -------------------------------------------------------------------------------- Units of Units of Units of Interest Voted Interest Voted Interest Voted For Against Abstain -------------------------------------------------------------------------------- To approve a new investment advisory agreement with BlackRock Advisors, Inc. 480,847,259 1,855,101 1,090,050 -------------------------------------------------------------------------------- To approve a contingent sub-advisory agreement with BlackRock Advisors, Inc. 480,620,409 2,119,750 1,052,251 -------------------------------------------------------------------------------- BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 17 Summary Schedule of Investments as of DECEMBER 31, 2006 Master Small Cap Index Series This summary schedule of investments is presented to help investors focus on the Series' principal holdings. It includes the Series' 50 largest holdings and each investment of any issuer that exceeds 1% of the Series' net assets. "Other Securities" represent all issues not required to be disclosed under the rules adopted by the Securities and Exchange Commission. A complete schedule of investments is available without charge, upon request, by calling 800-441-7762 or on the Securities and Exchange Commission's Web site at http://www.sec.gov.
=============================================================================================================================== Shares Percent of Industry Held Common Stocks Value Net Assets =============================================================================================================================== Advertising Agencies 31,880 ValueClick, Inc. (a) $ 753,324 0.1% Other Securities 2,137,385 0.4 ----------------------------- 2,890,709 0.5 ------------------------------------------------------------------------------------------------------------------------------- Aerospace Other Securities 2,745,868 0.5 ------------------------------------------------------------------------------------------------------------------------------- Agriculture, Fishing & Ranching Other Securities 643,263 0.1 ------------------------------------------------------------------------------------------------------------------------------- Air Transport 55,000 JetBlue Airways Corp. (a)(e) 781,000 0.1 Other Securities 3,319,994 0.6 ----------------------------- 4,100,994 0.7 ------------------------------------------------------------------------------------------------------------------------------- Aluminum Other Securities 370,684 0.1 ------------------------------------------------------------------------------------------------------------------------------- Auto Parts: After Market Other Securities 639,196 0.1 ------------------------------------------------------------------------------------------------------------------------------- Auto Parts: Original Equipment Other Securities 2,332,606 0.4 ------------------------------------------------------------------------------------------------------------------------------- Auto, Trucks & Parts 19,700 Navistar International Corp. (a) 658,571 0.1 Other Securities 537,528 0.1 ----------------------------- 1,196,099 0.2 ------------------------------------------------------------------------------------------------------------------------------- Banks: New York City Other Securities 337,682 0.1 ------------------------------------------------------------------------------------------------------------------------------- Banks: Outside New York City 17,700 First Midwest Bancorp, Inc. 684,636 0.1 Other Securities 31,147,987 5.6 ----------------------------- 31,832,623 5.7 ------------------------------------------------------------------------------------------------------------------------------- Beverage: Brewers (Wineries) Other Securities 161,910 0.0 ------------------------------------------------------------------------------------------------------------------------------- Beverage: Soft Drinks Other Securities 466,677 0.1 ------------------------------------------------------------------------------------------------------------------------------- Biotechnology Research & Production 23,000 ICOS Corp. (a) 777,170 0.1 Other Securities 10,593,492 1.9 ----------------------------- 11,370,662 2.0 ------------------------------------------------------------------------------------------------------------------------------- Building Materials Other Securities 2,463,019 0.4 ------------------------------------------------------------------------------------------------------------------------------- Building: Cement Other Securities 98,256 0.0 ------------------------------------------------------------------------------------------------------------------------------- Building: Heating & Plumbing Other Securities 528,588 0.1 ------------------------------------------------------------------------------------------------------------------------------- Building: Miscellaneous Other Securities 692,135 0.1 ------------------------------------------------------------------------------------------------------------------------------- Building: Roofing & Wallboard Other Securities 641,095 0.1 ------------------------------------------------------------------------------------------------------------------------------- Cable Television Services Other Securities 624,817 0.1 ------------------------------------------------------------------------------------------------------------------------------- Casinos & Gambling Other Securities 3,427,331 0.6 ------------------------------------------------------------------------------------------------------------------------------- Chemicals 36,000 Hercules, Inc. (a) 695,160 0.1 Other Securities 5,943,984 1.1 ----------------------------- 6,639,144 1.2 ------------------------------------------------------------------------------------------------------------------------------- Coal Other Securities 512,457 0.1 ------------------------------------------------------------------------------------------------------------------------------- Commercial Information Services Other Securities 1,003,261 0.2 ------------------------------------------------------------------------------------------------------------------------------- Communications & Media Other Securities 481,230 0.1 ------------------------------------------------------------------------------------------------------------------------------- Communications Technology 87,000 Brocade Communications Systems, Inc. (a) 714,270 0.1 48,400 Foundry Networks, Inc. (a) 725,032 0.1 Other Securities 12,120,320 2.2 ----------------------------- 13,559,622 2.4 -------------------------------------------------------------------------------------------------------------------------------
18 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of Industry Held Common Stocks Value Net Assets =============================================================================================================================== Computer Services Software & Systems 12,500 Digital River, Inc. (a) $ 697,375 0.1% 10,000 Equinix, Inc. (a)(e) 756,200 0.2 18,500 Hyperion Solutions Corp. (a) 664,890 0.1 13,798 Micros Systems, Inc. (a) 727,155 0.1 39,160 Parametric Technology Corp. (a) 705,663 0.1 28,000 Sybase, Inc. (a) 691,600 0.1 Other Securities 18,526,821 3.3 ----------------------------- 22,769,704 4.0 ------------------------------------------------------------------------------------------------------------------------------- Computer Technology Other Securities 5,210,964 0.9 ------------------------------------------------------------------------------------------------------------------------------- Construction Other Securities 2,169,725 0.4 ------------------------------------------------------------------------------------------------------------------------------- Consumer Electronics Other Securities 3,902,842 0.7 ------------------------------------------------------------------------------------------------------------------------------- Consumer Products Other Securities 3,377,388 0.6 ------------------------------------------------------------------------------------------------------------------------------- Containers & Packaging: Metals & Glass 11,700 AptarGroup, Inc. 690,768 0.1 6,075 Greif, Inc. 719,280 0.2 Other Securities 653,403 0.1 ----------------------------- 2,063,451 0.4 ------------------------------------------------------------------------------------------------------------------------------- Containers & Packaging: Paper & Plastic Other Securities 289,695 0.1 ------------------------------------------------------------------------------------------------------------------------------- Copper Other Securities 379,829 0.1 ------------------------------------------------------------------------------------------------------------------------------- Cosmetics Other Securities 586,290 0.1 ------------------------------------------------------------------------------------------------------------------------------- Diversified Financial Services Other Securities 2,246,259 0.4 ------------------------------------------------------------------------------------------------------------------------------- Diversified Materials & Processing 14,960 Acuity Brands, Inc. (g) 778,518 0.1 Other Securities 2,543,895 0.5 ----------------------------- 3,322,413 0.6 ------------------------------------------------------------------------------------------------------------------------------- Drug & Grocery Store Chains Other Securities 2,479,848 0.4 ------------------------------------------------------------------------------------------------------------------------------- Drugs & Pharmaceuticals Other Securities 10,890,856 1.9 ------------------------------------------------------------------------------------------------------------------------------- Education Services Other Securities 2,089,459 0.4 ------------------------------------------------------------------------------------------------------------------------------- Electrical & Electronics Other Securities 1,229,190 0.2 ------------------------------------------------------------------------------------------------------------------------------- Electrical Equipment & Components 15,990 General Cable Corp. (a) 698,923 0.1 Other Securities 3,809,119 0.7 ----------------------------- 4,508,042 0.8 ------------------------------------------------------------------------------------------------------------------------------- Electrical: Household Appliance Other Securities 92,799 0.0 ------------------------------------------------------------------------------------------------------------------------------- Electronics 21,800 Flir Systems, Inc. (a) 693,894 0.1 Other Securities 2,691,602 0.5 ----------------------------- 3,385,496 0.6 ------------------------------------------------------------------------------------------------------------------------------- Electronics: Instruments, Gauges & Meters Other Securities 726,622 0.1 ------------------------------------------------------------------------------------------------------------------------------- Electronics: Medical Systems 18,080 Hologic, Inc. (a) 854,822 0.2 Other Securities 3,561,686 0.6 ----------------------------- 4,416,508 0.8 ------------------------------------------------------------------------------------------------------------------------------- Electronics: Semi-Conductors/Components Other Securities 8,747,869 1.6 ------------------------------------------------------------------------------------------------------------------------------- Electronics: Technology Other Securities 2,453,787 0.4 ------------------------------------------------------------------------------------------------------------------------------- Energy Equipment Other Securities 178,350 0.0 ------------------------------------------------------------------------------------------------------------------------------- Energy Miscellaneous 11,097 Veritas DGC, Inc. (a) 950,236 0.2 Other Securities 2,137,648 0.4 ----------------------------- 3,087,884 0.6 ------------------------------------------------------------------------------------------------------------------------------- Engineering & Contracting Services Other Securities 1,469,726 0.3 ------------------------------------------------------------------------------------------------------------------------------- Entertainment 13,255 Gaylord Entertainment Co. (a) 675,077 0.1 Other Securities 992,849 0.2 ----------------------------- 1,667,926 0.3 -------------------------------------------------------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 19 Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of Industry Held Common Stocks Value Net Assets =============================================================================================================================== Fertilizers Other Securities $ 361,796 0.1% ------------------------------------------------------------------------------------------------------------------------------- Finance Companies Other Securities 1,362,060 0.2 ------------------------------------------------------------------------------------------------------------------------------- Finance: Small Loan Other Securities 455,570 0.1 ------------------------------------------------------------------------------------------------------------------------------- Financial Data Processing Other Securities 4,536,527 0.8 Services & Systems ------------------------------------------------------------------------------------------------------------------------------- Financial Information Services Other Securities 1,193,689 0.2 ------------------------------------------------------------------------------------------------------------------------------- Financial Miscellaneous Other Securities 4,089,995 0.7 ------------------------------------------------------------------------------------------------------------------------------- Foods 17,600 NBTY, Inc. (a) 731,632 0.1 Other Securities 4,274,591 0.8 ----------------------------- 5,006,223 0.9 ------------------------------------------------------------------------------------------------------------------------------- Forest Products Other Securities 474,289 0.1 ------------------------------------------------------------------------------------------------------------------------------- Forms & Bulk Printing Services Other Securities 290,326 0.1 ------------------------------------------------------------------------------------------------------------------------------- Funeral Parlors & Cemeteries Other Securities 208,275 0.0 ------------------------------------------------------------------------------------------------------------------------------- Glass Other Securities 229,789 0.0 ------------------------------------------------------------------------------------------------------------------------------- Gold Other Securities 671,339 0.1 ------------------------------------------------------------------------------------------------------------------------------- Health Care Facilities Other Securities 3,045,898 0.5 ------------------------------------------------------------------------------------------------------------------------------- Health Care Management Services Other Securities 3,330,138 0.6 ------------------------------------------------------------------------------------------------------------------------------- Health Care Services Other Securities 2,569,700 0.5 ------------------------------------------------------------------------------------------------------------------------------- Homebuilding Other Securities 1,506,558 0.3 ------------------------------------------------------------------------------------------------------------------------------- Hotel/Motel Other Securities 385,322 0.1 ------------------------------------------------------------------------------------------------------------------------------- Household Furnishings Other Securities 2,040,374 0.4 ------------------------------------------------------------------------------------------------------------------------------- Identification Control & Filter Devices Other Securities 2,813,820 0.5 ------------------------------------------------------------------------------------------------------------------------------- Industrial Products Other Securities 179,140 0.0 ------------------------------------------------------------------------------------------------------------------------------- Insurance: Life Other Securities 2,042,142 0.4 ------------------------------------------------------------------------------------------------------------------------------- Insurance: Multi-Line Other Securities 2,346,386 0.4 ------------------------------------------------------------------------------------------------------------------------------- Insurance: Property-Casualty Other Securities 6,657,005 1.2 ------------------------------------------------------------------------------------------------------------------------------- Investment Management Companies 28,300 Waddell & Reed Financial, Inc. Class A 774,288 0.1 Other Securities 2,470,023 0.5 ----------------------------- 3,244,311 0.6 ------------------------------------------------------------------------------------------------------------------------------- Jewelry, Watches & Gemstones Other Securities 570,080 0.1 ------------------------------------------------------------------------------------------------------------------------------- Leisure Time Other Securities 1,808,945 0.3 ------------------------------------------------------------------------------------------------------------------------------- Machinery & Engineering Other Securities 373,339 0.1 ------------------------------------------------------------------------------------------------------------------------------- Machinery: Agricultural Other Securities 258,652 0.1 ------------------------------------------------------------------------------------------------------------------------------- Machinery: Construction & Handling Other Securities 530,573 0.1 ------------------------------------------------------------------------------------------------------------------------------- Machinery: Engines Other Securities 485,690 0.1 ------------------------------------------------------------------------------------------------------------------------------- Machinery: Industrial/Specialty Other Securities 2,205,496 0.4 ------------------------------------------------------------------------------------------------------------------------------- Machinery: Oil Well Equipment & Services Other Securities 5,782,415 1.0 ------------------------------------------------------------------------------------------------------------------------------- Machinery: Specialty Other Securities 877,024 0.2 ------------------------------------------------------------------------------------------------------------------------------- Manufactured Housing Other Securities 414,653 0.1 ------------------------------------------------------------------------------------------------------------------------------- Manufacturing Other Securities 363,195 0.1 ------------------------------------------------------------------------------------------------------------------------------- Medical & Dental Instruments & Supplies Other Securities 12,486,141 2.2 ------------------------------------------------------------------------------------------------------------------------------- Medical Services Other Securities 1,162,327 0.2 ------------------------------------------------------------------------------------------------------------------------------- Metal Fabricating Other Securities 4,080,855 0.7 ------------------------------------------------------------------------------------------------------------------------------- Metals & Minerals Miscellaneous 13,836 Cleveland-Cliffs, Inc. 670,216 0.1 Other Securities 1,885,529 0.4 ----------------------------- 2,555,745 0.5 ------------------------------------------------------------------------------------------------------------------------------- Milling: Fruit & Grain Processing Other Securities 92,701 0.0 ------------------------------------------------------------------------------------------------------------------------------- Miscellaneous Business & Other Securities 86,970 0.0 Consumer Discretionary -------------------------------------------------------------------------------------------------------------------------------
20 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of Industry Held Common Stocks Value Net Assets =============================================================================================================================== Miscellaneous Consumer Staples Other Securities $ 185,904 0.0% ------------------------------------------------------------------------------------------------------------------------------- Miscellaneous Materials & Commodities Other Securities 968,466 0.2 ------------------------------------------------------------------------------------------------------------------------------- Miscellaneous Materials & Processing Other Securities 1,280,779 0.2 ------------------------------------------------------------------------------------------------------------------------------- Miscellaneous Producer Durables 27,200 BE Aerospace, Inc. (a) 698,496 0.1 Other Securities 149,406 0.0 ----------------------------- 847,902 0.1 ------------------------------------------------------------------------------------------------------------------------------- Miscellaneous Technology Other Securities 305,382 0.1 ------------------------------------------------------------------------------------------------------------------------------- Multi-Sector Companies Other Securities 1,392,739 0.3 ------------------------------------------------------------------------------------------------------------------------------- Office Furniture & Business Equipment 22,200 Herman Miller, Inc. 807,192 0.1 Other Securities 848,961 0.2 ----------------------------- 1,656,153 0.3 ------------------------------------------------------------------------------------------------------------------------------- Offshore Drilling Other Securities 627,509 0.1 ------------------------------------------------------------------------------------------------------------------------------- Oil: Crude Producers Other Securities 9,545,289 1.7 ------------------------------------------------------------------------------------------------------------------------------- Oil: Integrated Domestic Other Securities 908,620 0.2 ------------------------------------------------------------------------------------------------------------------------------- Oil: Integrated International Other Securities 146,475 0.0 ------------------------------------------------------------------------------------------------------------------------------- Paints & Coatings Other Securities 924,293 0.2 ------------------------------------------------------------------------------------------------------------------------------- Paper Other Securities 1,941,526 0.4 ------------------------------------------------------------------------------------------------------------------------------- Plastics Other Securities 608,128 0.1 ------------------------------------------------------------------------------------------------------------------------------- Pollution Control & Environmental Services Other Securities 693,952 0.1 ------------------------------------------------------------------------------------------------------------------------------- Power Transmission Equipment Other Securities 512,025 0.1 ------------------------------------------------------------------------------------------------------------------------------- Printing & Copying Services Other Securities 698,445 0.1 ------------------------------------------------------------------------------------------------------------------------------- Production Technology Equipment 18,113 Varian Semiconductor Equipment Associates, Inc. (a) 824,504 0.1 Other Securities 5,574,713 1.0 ----------------------------- 6,399,217 1.1 ------------------------------------------------------------------------------------------------------------------------------- Publishing: Miscellaneous Other Securities 2,141,762 0.4 ------------------------------------------------------------------------------------------------------------------------------- Publishing: Newspapers Other Securities 1,704,126 0.3 ------------------------------------------------------------------------------------------------------------------------------- Radio & TV Broadcasters Other Securities 2,235,799 0.4 ------------------------------------------------------------------------------------------------------------------------------- Railroad Equipment Other Securities 919,482 0.2 ------------------------------------------------------------------------------------------------------------------------------- Railroads 11,181 Florida East Coast Industries, Inc. 666,388 0.1 Other Securities 498,920 0.1 ----------------------------- 1,165,308 0.2 ------------------------------------------------------------------------------------------------------------------------------- Real Estate Other Securities 834,493 0.1 ------------------------------------------------------------------------------------------------------------------------------- Real Estate Investment Trusts (REITs) 9,276 Alexandria Real Estate Equities, Inc. 931,310 0.2 15,100 First Industrial Realty Trust, Inc. 708,039 0.1 16,900 Highwoods Properties, Inc. 688,844 0.1 25,000 KKR Financial Corp. 669,750 0.1 25,559 Nationwide Health Properties, Inc. 772,393 0.1 31,600 Realty Income Corp. 875,320 0.2 Other Securities 27,737,865 5.0 ----------------------------- 32,383,521 5.8 ------------------------------------------------------------------------------------------------------------------------------- Recreational Vehicles & Boats Other Securities 1,350,644 0.2 ------------------------------------------------------------------------------------------------------------------------------- Rental & Leasing Services: Commercial Other Securities 687,977 0.1 ------------------------------------------------------------------------------------------------------------------------------- Rental & Leasing Services: Consumer 23,400 Rent-A-Center, Inc. (a) 690,534 0.1 Other Securities 1,039,693 0.2 ----------------------------- 1,730,227 0.3 ------------------------------------------------------------------------------------------------------------------------------- Restaurants 11,218 Jack in the Box, Inc. (a) 684,747 0.1 Other Securities 7,855,135 1.4 ----------------------------- 8,539,882 1.5 -------------------------------------------------------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 21 Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of Industry Held Common Stocks Value Net Assets =============================================================================================================================== Retail 35,500 Big Lots, Inc. (a) $ 813,660 0.2% 21,100 Payless Shoesource, Inc. (a) 692,502 0.1 Other Securities 16,862,326 3.0 ----------------------------- 18,368,488 3.3 ------------------------------------------------------------------------------------------------------------------------------- Savings & Loan Other Securities 9,160,581 1.6 ------------------------------------------------------------------------------------------------------------------------------- Scientific Equipment & Suppliers Other Securities 731,798 0.1 ------------------------------------------------------------------------------------------------------------------------------- Securities Brokerage & Services Other Securities 2,217,917 0.4 ------------------------------------------------------------------------------------------------------------------------------- Services: Commercial 15,718 Waste Connections, Inc. (a) 653,083 0.1 Other Securities 15,791,734 2.8 ----------------------------- 16,444,817 2.9 ------------------------------------------------------------------------------------------------------------------------------- Shipping 10,000 American Commercial Lines, Inc. (a)(g) 655,100 0.1 Other Securities 387,176 0.1 ----------------------------- 1,042,276 0.2 ------------------------------------------------------------------------------------------------------------------------------- Shoes Other Securities 3,139,750 0.6 ------------------------------------------------------------------------------------------------------------------------------- Steel 15,890 Chaparral Steel Co. 703,450 0.1 11,900 Oregon Steel Mills, Inc. (a) 742,679 0.1 Other Securities 1,695,448 0.3 ----------------------------- 3,141,577 0.5 ------------------------------------------------------------------------------------------------------------------------------- Sugar Other Securities 113,787 0.0 ------------------------------------------------------------------------------------------------------------------------------- Telecommunications Equipment 27,400 Polycom, Inc. (a) 846,934 0.2 Other Securities 3,364,246 0.6 ----------------------------- 4,211,180 0.8 ------------------------------------------------------------------------------------------------------------------------------- Textile Products Other Securities 215,021 0.0 ------------------------------------------------------------------------------------------------------------------------------- Textiles Apparel Manufacturers 17,154 Phillips-Van Heusen Corp. 860,616 0.1 Other Securities 3,739,967 0.7 ----------------------------- 4,600,583 0.8 ------------------------------------------------------------------------------------------------------------------------------- Tires & Rubber Other Securities 500,492 0.1 ------------------------------------------------------------------------------------------------------------------------------- Tobacco Other Securities 992,177 0.2 ------------------------------------------------------------------------------------------------------------------------------- Toys Other Securities 804,961 0.1 ------------------------------------------------------------------------------------------------------------------------------- Transportation Miscellaneous Other Securities 953,186 0.2 ------------------------------------------------------------------------------------------------------------------------------- Truckers Other Securities 2,096,922 0.4 ------------------------------------------------------------------------------------------------------------------------------- Utilities: Cable TV & Radio Other Securities 141,504 0.0 ------------------------------------------------------------------------------------------------------------------------------- Utilities: Electrical 21,400 PNM Resources, Inc. 665,540 0.1 27,200 Westar Energy, Inc. 706,112 0.1 Other Securities 5,836,204 1.1 ----------------------------- 7,207,856 1.3 ------------------------------------------------------------------------------------------------------------------------------- Utilities: Gas Distributors 25,100 Piedmont Natural Gas Co. (e) 671,425 0.1 Other Securities 3,851,936 0.7 ----------------------------- 4,523,361 0.8 ------------------------------------------------------------------------------------------------------------------------------- Utilities: Miscellaneous Other Securities 556,950 0.1 ------------------------------------------------------------------------------------------------------------------------------- Utilities: Telecommunications 47,100 Time Warner Telecom, Inc. Class A (a) 938,703 0.2 Other Securities 4,759,699 0.8 ----------------------------- 5,698,402 1.0 ------------------------------------------------------------------------------------------------------------------------------- Utilities: Water Other Securities 677,709 0.1 ------------------------------------------------------------------------------------------------------------------------------- Wholesale & International Trade Other Securities 345,262 0.1 ------------------------------------------------------------------------------------------------------------------------------- Wholesalers Other Securities 1,196,287 0.2 ------------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (Cost--$331,305,141) 439,097,192 78.2 ===============================================================================================================================
22 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Summary Schedule of Investments (concluded) Master Small Cap Index Series
Shares Percent of Industry Held Exchange-Traded Funds Value Net Assets =============================================================================================================================== 169,590 iShares Russell 2000 Index Fund (e) $ 13,241,587 2.4% ------------------------------------------------------------------------------------------------------------------------------- Total Exchange-Traded Funds (Cost--$12,341,064) 13,241,587 2.4 =============================================================================================================================== Mutual Funds =============================================================================================================================== Investment Management Companies Other Securities 104,984 0.0 ------------------------------------------------------------------------------------------------------------------------------- Total Mutual Funds (Cost--$92,876) 104,984 0.0 =============================================================================================================================== Rights =============================================================================================================================== Cosmetics Other Securities 2,376 0.0 ------------------------------------------------------------------------------------------------------------------------------- Real Estate Investment Trust (REITs) Other Securities 8,656 0.0 ------------------------------------------------------------------------------------------------------------------------------- Total Rights (Cost--$0) 11,032 0.0 =============================================================================================================================== Beneficial Interest Other Interests (b) =============================================================================================================================== Oil: Crude Producers Other Securities 0 0.0 ------------------------------------------------------------------------------------------------------------------------------- Total Other Interests (Cost--$0) 0 0.0 =============================================================================================================================== Short-Term Securities =============================================================================================================================== $108,812,950 BlackRock Liquidity Series, LLC Cash Sweep Series, 5.26% (c)(f) 108,812,950 19.4 34,166,480 BlackRock Liquidity Series, LLC Money Market Series, 5.29% (c)(d)(f) 34,166,480 6.1 ------------------------------------------------------------------------------------------------------------------------------- Total Short-Term Securities (Cost--$142,979,430) 142,979,430 25.5 =============================================================================================================================== Total Investments (Cost--$486,718,511*) 595,434,225 106.1 Liabilities in Excess of Other Assets (34,061,648) (6.1) ----------------------------- Net Assets $561,372,577 100.0% =============================
* The cost and unrealized appreciation (depreciation) of investments, as of December 31, 2006, as computed for federal income tax purposes, were as follows: Aggregate cost ................................................ $ 491,852,083 ============== Gross unrealized appreciation ................................. $ 123,684,950 Gross unrealized depreciation ................................. (20,102,808) -------------- Net unrealized appreciation ................................... $ 103,582,142 ============== (a) Non-income producing security. (b) Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. (c) Investments in companies considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: -------------------------------------------------------------------------------- Net Interest Affiliate Activity Income -------------------------------------------------------------------------------- BlackRock Liquidity Series, LLC Cash Sweep Series $108,171,275 $ 2,287,352 BlackRock Liquidity Series, LLC Money Market Series $ 20,701,425 $ 417,774 -------------------------------------------------------------------------------- (d) Security was purchased with the cash proceeds from securities loans. (e) Security, or a portion of security, is on loan. (f) Represents the current yield as of December 31, 2006. (g) Security held as collateral in connection with open future contracts. o "Other Securities" represent issues that are not identified as the 50 largest holdings of the Series and issues not exceeding 1% of net assets. Some securities, or a portion of, in this category are either held as collateral in connection with open financial future contracts or are out on loan. 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 percentage of net assets. These industry classifications are unaudited. o Financial futures contracts purchased as of December 31, 2006, were as follows: -------------------------------------------------------------------------------- Number of Expiration Face Unrealized Contracts Issue Date Value Depreciation -------------------------------------------------------------------------------- 274 Russell 2000 March Index 2007 $109,431,543 $(530,243) -------------------------------------------------------------------------------- See Notes to Financial Statements. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 23 Statement of Assets and Liabilities Master Small Cap Index Series As of December 31, 2006 =================================================================================================================================== Assets ----------------------------------------------------------------------------------------------------------------------------------- Investments in unaffiliated securities, at value (including securities loaned of $32,546,712) (identified cost--$343,739,081) ...................... $ 452,454,795 Investments in affiliated securities, at value (identified cost--$142,979,430) ............................................. 142,979,430 Cash ......................................................................... 305,104 Receivables: Contributions ............................................................. $ 1,204,969 Dividends ................................................................. 498,496 Securities sold ........................................................... 396,086 Securities lending ........................................................ 33,821 2,133,372 ------------- Prepaid expenses and other assets ............................................ 6,410 ------------- Total assets ................................................................. 597,879,111 ------------- =================================================================================================================================== Liabilities ----------------------------------------------------------------------------------------------------------------------------------- Collateral on securities loaned, at value .................................... 34,166,480 Payables: Withdrawals ............................................................... 1,012,161 Variation margin .......................................................... 835,700 Securities purchased ...................................................... 386,928 Other affiliates .......................................................... 4,350 Investment adviser ........................................................ 3,633 2,242,772 ------------- Accrued expenses ............................................................. 97,282 ------------- Total liabilities ............................................................ 36,506,534 ------------- =================================================================================================================================== Net Assets ----------------------------------------------------------------------------------------------------------------------------------- Net assets ................................................................... $ 561,372,577 ============= =================================================================================================================================== Net Assets Consist of ----------------------------------------------------------------------------------------------------------------------------------- Investors' capital ........................................................... $ 453,187,106 Unrealized appreciation--net ................................................. 108,185,471 ------------- Net Assets ................................................................... $ 561,372,577 =============
See Notes to Financial Statements. 24 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Statement of Operations Master Small Cap Index Series For the Year Ended December 31, 2006 =================================================================================================================================== Investment Income ----------------------------------------------------------------------------------------------------------------------------------- Dividends (net of $2,037 foreign withholding tax) ............................ $ 5,108,467 Interest from affiliates ..................................................... 2,287,352 Securities lending--net ...................................................... 417,774 ------------- Total income ................................................................. 7,813,593 ------------- =================================================================================================================================== Expenses ----------------------------------------------------------------------------------------------------------------------------------- Professional fees ............................................................ $ 118,057 Custodian fees ............................................................... 85,333 Accounting services .......................................................... 82,261 Investment advisory fees ..................................................... 48,385 Trustees' fees and expenses .................................................. 3,674 Other ........................................................................ 8,185 ------------- Total expenses before reimbursement .......................................... 345,895 Reimbursement of expenses .................................................... (9,889) ------------- Total expenses after reimbursement ........................................... 336,006 ------------- Investment income--net ....................................................... 7,477,587 ------------- =================================================================================================================================== Realized & Unrealized Gain (Loss)--Net ----------------------------------------------------------------------------------------------------------------------------------- Realized gain (loss) on: Investments--net .......................................................... 30,900,688 In-kind redemption--net ................................................... (1,199,610) Financial futures contracts--net .......................................... (4,101,665) 25,599,413 ------------- Change in unrealized appreciation/depreciation on: Investments--net .......................................................... 31,766,471 Financial futures contracts--net .......................................... (529,395) 31,237,076 --------------------------------- Total realized and unrealized gain--net ...................................... 56,836,489 ------------- Net Increase in Net Assets Resulting from Operations ......................... $ 64,314,076 =============
See Notes to Financial Statements. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 25 Statements of Changes in Net Assets Master Small Cap Index Series
For the Year Ended December 31, --------------------------------- Increase (Decrease) in Net Assets: 2006 2005 =================================================================================================================================== Operations ----------------------------------------------------------------------------------------------------------------------------------- Investment income--net ....................................................... $ 7,477,587 $ 4,325,603 Realized gain--net ........................................................... 25,599,413 13,549,496 Change in unrealized appreciation/depreciation--net .......................... 31,237,076 (5,151,541) --------------------------------- Net increase in net assets resulting from operations ......................... 64,314,076 12,723,558 --------------------------------- =================================================================================================================================== Capital Transactions ----------------------------------------------------------------------------------------------------------------------------------- Proceeds from contributions .................................................. 555,696,889 267,164,255 Fair value of withdrawals .................................................... (428,783,737) (275,403,741) --------------------------------- Net increase (decrease) in net assets derived from capital transactions ...... 126,913,152 (8,239,486) --------------------------------- =================================================================================================================================== Net Assets ----------------------------------------------------------------------------------------------------------------------------------- Total increase in net assets ................................................. 191,227,228 4,484,072 Beginning of year ............................................................ 370,145,349 365,661,277 --------------------------------- End of year .................................................................. $ 561,372,577 $ 370,145,349 =================================
See Notes to Financial Statements. Financial Highlights Master Small Cap Index Series
For the Year Ended December 31, The following ratios have been derived from ------------------------------------------------------------------------ information provided in the financial statements. 2006 2005 2004 2003 2002 ================================================================================================================================ Total Investment Return -------------------------------------------------------------------------------------------------------------------------------- Total investment return .............. 18.13% 4.63% 18.15% 47.11% (20.19%) ======================================================================== ================================================================================================================================ Ratios to Average Net Assets -------------------------------------------------------------------------------------------------------------------------------- Expenses, net of reimbursement ....... .07% .07% .08% .09% .08% ======================================================================== Expenses ............................. .07% .08% .08% .10% .14% ======================================================================== Investment income--net ............... 1.55% 1.17% 1.11% 1.13% 1.26% ======================================================================== ================================================================================================================================ Supplemental Data -------------------------------------------------------------------------------------------------------------------------------- Net assets, end of year (in thousands) $561,373 $370,145 $365,661 $335,659 $181,915 ======================================================================== Portfolio turnover ................... 40.29% 36.63% 37.74% 28.57% 39.00% ========================================================================
See Notes to Financial Statements. 26 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Notes to Financial Statements Master Small Cap Index Series 1. Significant Accounting Policies: Master Small Cap Index Series (the "Series"), a non-diversified investment company, is part of Quantitative Master Series Trust (the "Trust"). The Trust is registered under the Investment Company Act of 1940, as amended, and is organized as a Delaware statutory trust. The Declaration of Trust permits the Trustees to issue nontransferable interests in the Trust, subject to certain limitations. The Series' financial statements are prepared in conformity with U.S. generally accepted accounting principles, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The following is a summary of significant accounting policies followed by the Series. (a) Valuation of investments--Equity securities that are held by the Series that are traded on stock exchanges or the NASDAQ Global Market are valued at the last sale price or official close price on the exchange, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price for long positions, and at the last available asked price for short positions. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by or under the authority of the Board of Trustees of the Trust. 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 Trustees of the Trust. 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. Options written or purchased are valued at the last sales price in the case of exchange-traded options. 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. Obligations with remaining maturities of 60 days or less are valued at amortized cost unless BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of BlackRock, Inc., believes that this method no longer produces fair valuations. Valuation of other short-term investment vehicles is generally based on the net asset value of the underlying investment vehicle or amortized cost. Repurchase agreements are valued at cost plus accrued interest. The Series employs pricing services to provide certain securities prices for the Series. Securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by or under the direction of the Board of Trustees of the Trust, including valuations furnished by the pricing services retained by the Series, which may use a matrix system for valuations. The procedures of a pricing service and its valuations are reviewed by the officers of the Trust under the general supervision by the Board of Trustees of the Trust. Such valuations and procedures will be reviewed periodically by the Board of Trustees of the Trust. Generally, trading in foreign securities, as well as U.S. government securities, money market instruments and certain fixed income securities is substantially completed each day at various times prior to the close of business on the New York Stock Exchange ("NYSE"). The values of such securities used in computing the net assets of the Series are determined as of such times. Foreign currency exchange rates are generally determined as of the close of business on the NYSE. Occasionally, events affecting the values of such securities and such exchange rates may occur between the times at which they are determined and the close of business on the NYSE that may not be reflected in the computation of the Series' net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such securities, those securities will be valued at their fair value as determined in good faith by the Board of Trustees of the Trust or by the Manager using a pricing service and/or procedures approved by the Board of Trustees of the Trust. (b) Derivative financial instruments--The Series may engage in various portfolio investment strategies both to increase the return of the Series and to hedge, or protect, its exposure to interest rate movements and movements in the securities markets. Losses may arise due to changes in the value of the contract or if the counterparty does not perform under the contract. 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 specified 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 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 27 Notes to Financial Statements (continued) Master Small Cap Index Series amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Series as unrealized gains or losses. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. o Options--The Series may purchase and write call and put options. When the Series writes an option, an amount equal to the premium received by the Series is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or the Series enters into a closing transaction), the Series realizes a gain or loss on the option to the extent of the premiums received or paid (or a gain or loss to the extent that the cost of the closing transaction exceeds the premium paid or received). Written and purchased options are non-income producing investments. (c) Income taxes--The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. Under the applicable foreign tax law, a withholding tax may be imposed on interest, dividends and capital gains at various rates. It is intended that the Series' assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code. (d) Security transactions and investment income--Security transactions are accounted for on the date the securities are purchased or sold (the trade dates). Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income is recognized on the accrual basis. (e) Securities lending--The Series may lend securities to financial institutions that provide cash or securities issued or guaranteed by the U.S. government as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Where the Series receives securities as collateral for the loaned securities, it collects a fee from the borrower. The Series typically receives the income on the loaned securities but does not receive the income on the collateral. Where the Series receives cash collateral, it may invest such collateral and retain the amount earned on such investment, net of any amount rebated to the borrower. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within five business days. The Series may pay reasonable finder's, lending agent, administrative and custodial fees in connection with its loans. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss where the value of the collateral falls below the market value of the borrowed securities, in the event of borrower default or in the event of losses on investments made with cash collateral. (f) Recent accounting pronouncements--In July 2006, the Financial Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes--an interpretation of FASB Statement No. 109." 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 mutual funds before being measured and recognized in the financial statements. Adoption of FIN 48 is required for the last net asset value calculation in the first required financial statement reporting period for fiscal years beginning after December 15, 2006. The impact on the Series' financial statements, if any, is currently being assessed. In addition, 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. Management is currently evaluating the implications of FAS 157. At this time, its impact on the Series' financial statements has not been determined. 28 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Notes to Financial Statements (continued) Master Small Cap Index Series 2. Investment Advisory Agreement and Transactions with Affiliates: On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill Lynch") combined Merrill Lynch's investment management business, Merrill Lynch Investment Managers, L.P. ("MLIM"), and its affiliates including Fund Asset Management, L.P. ("FAM"), with BlackRock, Inc. to create a new independent company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest in the combined company and The PNC Financial Services Group, Inc. ("PNC"), has approximately a 34% economic and voting interest. The new company operates under the BlackRock name and is governed by a board of directors with a majority of independent members. On September 29, 2006, shareholders of the investors of the Series approved a new Investment Advisory Agreement for the Trust with the Manager. BlackRock Advisors, Inc. was recently reorganized into a limited liability company and renamed BlackRock Advisors, LLC. The new Investment Advisory Agreement between the Trust and the Manager became effective on September 29, 2006. Prior to September 29, 2006, FAM was the Manager. The general partner of FAM is Princeton Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of Merrill Lynch, which is the limited partner. The Manager is responsible for the management of the Series' investments and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays a monthly fee at an annual rate of .01% of the average daily value of the Series' net assets. The Manager (and previously FAM) has entered into a contractual arrangement with the Series under which all expenses incurred by the Series will not exceed .08%. This arrangement has a one-year term and is renewable. The reimbursements were as follows: -------------------------------------------------------------------------------- For the Period For the Period January 1, 2006 to September 30, 2006 to September 29, 2006 December 31, 2006 Reimbursement Reimbursement by FAM by the Manager -------------------------------------------------------------------------------- $1,969 $7,920 ================================================================================ In addition, the Manager has entered into a sub-advisory agreement with BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under which the Manager pays the Sub-Advisor for services it provides a monthly fee that is a percentage of the management fee paid by the Series to the Manager. Merrill Lynch Trust Company ("MLTC"), an indirect, wholly owned subsidiary of Merrill Lynch, is the Series' custodian. The Trust has received an exemptive order from the Securities and Exchange Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), an affiliate of the Manager, or its affiliates. As of December 31, 2006, the Series lent securities with a value of $51,831 to MLPF&S or its affiliates. Pursuant to that order, the Trust has retained BIM as the securities lending agent for a fee based on a share of the returns on investment of cash collateral. Prior to September 29, 2006, BIM was organized as Merrill Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of FAM, and MLIM, LLC was the Trust's securities lending agent. BIM may, on behalf of the Trust and the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. For the year ended December 31, 2006, BIM received $179,594 in securities lending agent fees. For the year ended December 31, 2006, the Series reimbursed FAM and the Manager $7,486 and $2,091, respectively, for certain accounting services. In addition, MLPF&S received $217 in commissions on the execution of portfolio security transactions for the Series for the year ended December 31, 2006. Prior to September 29, 2006, certain officers and/or trustees of the Trust were officers and/or directors of FAM, PSI, MLTC, Merrill Lynch, MLIM, and/or MLIM, LLC. Commencing September 29, 2006, certain officers and/or trustees of the Trust are officers and/or directors of BlackRock, Inc. or its affiliates. 3. Investments: Purchases and sales (including in-kind redemptions) of investments, excluding short-term securities, for the year ended December 31, 2006 were $197,782,011 and $175,034,540, respectively. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 29 Notes to Financial Statements (concluded) Master Small Cap Index Series 4. Short-Term Borrowings: The Trust, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates (or FAM 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. On November 22, 2006 the credit agreement was renewed for one year under substantially the same terms. 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 Series' 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, 2006. Report of Independent Registered Public Accounting Firm Master Small Cap Index Series To the Investors and Board of Trustees of Quantitative Master Series Trust: We have audited the accompanying statement of assets and liabilities, including the summary schedule of investments, of Master Small Cap Index Series, one of the portfolios constituting Quantitative Master Series Trust (the "Trust") as of December 31, 2006, 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 Trust'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 Trust 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 Trust's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, 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 Small Cap Index Series of the Quantitative Master Series Trust as of December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. Deloitte & Touche LLP Princeton, New Jersey February 26, 2007 30 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Disclosure of Investment Advisory Agreement New BlackRock Investment Advisory Agreement--Matters Considered by the Boards The following disclosure appeared in the June 30, 2006 Semi-Annual Report of the Fund and the Series and is the discussion referred to in "New BlackRock Sub-Advisory Agreement--Matters Considered by the Boards" and "Approvals to Correct Fee Schedules" below. The term "Investment Adviser" as used herein refers to Fund Asset Management, L.P. Merrill Lynch Small Cap Index Fund (the "Fund"), a series of Merrill Lynch Index Funds, Inc. (the "Corporation"), is a "feeder" fund that invests all of its assets in the Master Small Cap Index Series (the "Series") of Quantitative Master Series Trust (the "Trust"), which has the same investment objectives and strategies as the Fund. All investments are made at the Series level. In connection with the Transaction between Merrill Lynch and BlackRock, the Board of Trustees of the Trust (the "trustees") considered a new investment advisory agreement between the Trust, on behalf of Series, and BlackRock Advisors, Inc. or its successor ("BlackRock Advisors"). If the Trust's New Investment Advisory Agreement is approved by shareholders, then that agreement will become effective upon the closing of the Transaction, which is expected in the third quarter of 2006. In addition, in connection with the Transaction, the Board of Directors of the Corporation (the "directors") considered a new investment advisory agreement (together with the new advisory agreement for the Trust, the "New Investment Advisory Agreements") between the Corporation on behalf of the Fund and BlackRock Advisors. If the Fund's New Investment Advisory Agreement is approved by shareholders, then that agreement will become effective upon the closing of the Transaction. Under a contractual arrangement between the Corporation on behalf of the Fund and BlackRock Advisors, however, no management/advisory fee will be charged to the Fund under the Fund's New Investment Advisory Agreement so long as the Fund remains invested in the Series. Each Board discussed the New Investment Advisory Agreements at telephonic and in-person meetings held during April and May 2006. Each Board, including the independent directors/trustees, approved the New Investment Advisory Agreements on May 8, 2006. To assist each Board in its consideration of the New Investment Advisory Agreements, BlackRock provided materials and information about BlackRock, including its financial condition and asset management capabilities and organization, and Merrill Lynch provided materials and information about the Transaction. The independent directors/trustees, through their independent legal counsel, also requested and received additional information from Merrill Lynch and BlackRock in connection with their consideration of the New Investment Advisory Agreements. The additional information was provided in advance of the May 2006 meeting. In addition, the independent directors/trustees consulted with their counsel and counsel for the Corporation and the Trust on numerous occasions, discussing, among other things, the legal standards and certain other considerations relevant to each Board's deliberations. At the Board meetings, each Board discussed with Merrill Lynch management and certain BlackRock representatives the Transaction, its strategic rationale and BlackRock's general plans and intentions regarding the Fund and the Series. At these Board meetings, representatives of Merrill Lynch and BlackRock made presentations to and responded to questions from each Board. Each Board also inquired about the plans for and anticipated roles and responsibilities of certain employees and officers of the Investment Adviser and certain affiliates being transferred to BlackRock in connection with the Transaction. The independent directors/trustees also conferred separately and with their counsel about the Transaction and other matters related to the Transaction on a number of occasions, including in connection with the April and May 2006 meetings. After the presentations and after reviewing the written materials provided, the independent directors/trustees met in executive sessions with their counsel to consider the New Investment Advisory Agreements. In connection with each Board's review of the New Investment Advisory Agreements, Merrill Lynch and/or BlackRock advised the Board about a variety of matters. The advice included the following, among other matters: o that there is not expected to be any diminution in the nature, quality and extent of services provided to the Fund and Series and their shareholders by BlackRock Advisors, including compliance services; o that operation of New BlackRock as an independent investment management firm will enhance its ability to attract and retain talented professionals; o that the Fund and the Series should benefit from having access to BlackRock's state of the art technology and risk 31 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Disclosure of Investment Advisory Agreement (continued) management analytic tools, including investment tools, provided under the BlackRock Solutions(R) brand name; o that BlackRock has no present intention to alter any applicable expense waivers or reimbursements currently in effect and, while it reserves the right to do so in the future, it would seek the approval of the Boards before making any changes; o that BlackRock and Merrill Lynch will enter into an agreement, for an initial three-year period and automatically renewable from year to year thereafter, in connection with the Transaction under which Merrill Lynch-affiliated broker-dealers will continue to offer the Fund as an investment product; o that BlackRock Advisors will have substantially the same access to the Merrill Lynch sales force when distributing shares of the Fund as is currently provided to the Investment Adviser and that other arrangements between the Investment Adviser and Merrill Lynch sales channels will be preserved; o that the Fund will have access to BlackRock's network of third party brokers, retirement plan platforms and registered investment advisers; o that in connection with the Transaction, Merrill Lynch and BlackRock have agreed to conduct, and use reasonable best efforts to cause their respective affiliates to conduct, their respective businesses in compliance with the conditions of Section 15(f) of the Investment Company Act of 1940 Act (the "1940 Act") in relation to any public funds advised by BlackRock or the Investment Adviser (or its affiliates), respectively; and o that Merrill Lynch and BlackRock would derive benefits from the Transaction and that, as a result, they have a different financial interest in the matters that were being considered than do Fund or Series shareholders. Each Board considered the information provided by Merrill Lynch and BlackRock above, and, among other factors, the following: o the potential benefits to Fund and the Series shareholders from being part of a combined fund family with BlackRock-sponsored funds, including possible economies of scale and access to investment opportunities; o the potential for expanding distribution of Fund shares through improved access to third party distribution; o the reputation, financial strength and resources of BlackRock and its investment advisory subsidiaries and the anticipated financial strength and resources of New BlackRock; o the compliance policies and procedures of BlackRock Advisors; o the terms and conditions of the New Investment Advisory Agreements, including the fact that neither the schedule of the total advisory and administrative fees for the Fund nor the schedule of the total advisory fees of the Series will increase by virtue of either New Investment Advisory Agreement, but will remain the same; o that each Board had earlier performed a full annual review of the investment advisory agreements currently in effect for the Series and Fund (the "Current Investment Advisory Agreements") as required by the 1940 Act and has determined that the Investment Adviser has the capabilities, resources and personnel necessary to provide the advisory and administrative services currently provided to the Fund and the Series; and that the advisory and/or management fees paid by the Series, taking into account any applicable agreed-upon fee waivers and breakpoints, represent reasonable compensation to the Investment Adviser in light of the services provided, the costs to the Investment Adviser of providing those services, economies of scale, the fees and other expenses paid by similar funds (including information provided by Lipper Inc. ["Lipper"]), and such other matters as the Board has considered relevant in the exercise of its reasonable judgment; and o that Merrill Lynch agreed to pay all expenses of the Fund and the Series in connection with each Board's consideration of the New Investment Advisory Agreements and related agreements and all costs of shareholder approval of the New Investment Advisory Agreements and as a result neither the Fund nor the Series would bear any costs in obtaining shareholder approval of the New Investment Advisory Agreements. Certain of these considerations are discussed in more detail below. In its review of the New Investment Advisory Agreements, each Board assessed the nature, scope and quality of the services to be provided to the Fund and the Series by the personnel of BlackRock Advisors and its affiliates, including administrative services, shareholder services, oversight of 32 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 fund accounting, marketing services and assistance in meeting legal and regulatory requirements. In its review of the New Investment Advisory Agreements, each Board also considered a range of information in connection with its oversight of the services to be provided by BlackRock Advisors and its affiliates. Among the matters considered were: (a) fees (in addition to management fees) to be paid to BlackRock Advisors and its affiliates by the Fund and the Series; (b) operating expenses of the Fund and the Series paid to third parties; (c) the resources devoted to and compliance reports relating to the investment objectives, policies and restrictions of the Fund and the Series, and their compliance with their Codes of Ethics and BlackRock Advisors' compliance policies and procedures; and (d) the nature, cost and character of non-investment management services to be provided by BlackRock Advisors and its affiliates. In the period prior to the Board meetings to consider approval or renewal of the Current Investment Advisory Agreements, each Board had requested and received materials specifically relating to the Current Investment Advisory Agreements. These materials included (a) information compiled by Lipper on the fees and expenses and the investment performance of the Fund and the Series as compared to a comparable group of funds as classified by Lipper; (b) a discussion by the portfolio management team for the Series on investment strategies used by the Series during its most recent fiscal year; (c) information on the profitability to the Investment Adviser of the Current Investment Advisory Agreements and other payments received by the Investment Adviser and its affiliates from the Fund and the Series; and (d) information provided by the Investment Adviser concerning services related to the valuation and pricing of portfolio holdings of the Series, allocation of brokerage fees, portfolio turnover statistics, and direct and indirect benefits to the Investment Adviser and its affiliates from their relationship with the Fund and the Series. In its deliberations, each Board considered information received in connection with its most recent approval of the Current Investment Advisory Agreements, in addition to information provided by BlackRock and BlackRock Advisors in connection with its evaluation of the terms and conditions of the New Investment Advisory Agreements. The directors/ trustees did not identify any particular information that was all-important or controlling, and each director/trustee attributed different weights to the various factors. Each Board, including a majority of the independent directors/trustees, concluded that the terms of the New Investment Advisory Agreements are appropriate, that the fees to be paid are reasonable in light of the services to be provided to the Fund and the Series, and that the New Investment Advisory Agreements should be approved and recommended to shareholders. Nature, Quality and Extent of Services Provided--Each Board reviewed the nature, extent and quality of services provided by the Investment Adviser, including the investment advisory services and the resulting performance of the Fund and the Series, as well as the nature, quality and extent of services expected to be provided by BlackRock Advisors. Each Board focused primarily on the Investment Adviser's investment advisory services and the investment performance of the Fund and the Series, but also considered certain areas in which both the Investment Adviser and the Fund/Series receive services as part of the Merrill Lynch complex. Each Board compared the performance of the Fund and the Series--both including and excluding the effects of fees and expenses -- to the performance of a comparable group of funds, and the performance of a relevant index or combination of indexes. While each Board reviews performance data at least quarterly, consistent with the Investment Adviser's investment goals, the Board attaches more importance to performance over relatively long periods of time, typically three to five years. In evaluating the nature, quality and extent of the services to be provided by BlackRock Advisors under the New Investment Advisory Agreements, each Board considered, among other things, the expected impact of the Transaction on the operations, facilities, organization and personnel of BlackRock Advisors and how it would affect the Fund and the Series; the ability of BlackRock Advisors to perform its duties after the Transaction; and any anticipated changes to the current investment and other practices of the Fund and the Series. Each Board was given information with respect to the potential benefits to the Fund and the Series and their shareholders from having access to BlackRock's state of the art technology and risk management analytic tools, including the investment tools provided under the BlackRock Solutions brand name. Each Board was advised that, as a result of Merrill Lynch's equity interest in BlackRock after the Transaction, the Fund and the Series will continue to be subject to restrictions concerning certain transactions involving Merrill Lynch affiliates (for example, transactions with a Merrill Lynch broker-dealer acting as principal) absent revised or new regulatory relief. Each Board was advised that a revision of existing regulatory BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 33 Disclosure of Investment Advisory Agreement (continued) relief with respect to these restrictions was being sought from the Securities and Exchange Commission and was advised of the possibility of receipt of such revised regulatory relief. There can be no assurance that such relief will be obtained. Based on its review of the materials provided and the assurances they had received from the management of Merrill Lynch and of BlackRock, each Board determined that the nature and quality of services to be provided to the Fund and the Series under each New Investment Advisory Agreement were expected to be as good or better than that provided under the Current Investment Advisory Agreement of the Series. It was noted, however, that it is expected that there will be changes in personnel following the Transaction and the combination of the operations of the Investment Adviser and its affiliates with those of BlackRock. Each Board noted that if current portfolio managers or other personnel cease to be available, the Board would consider all available options, which could include seeking the investment advisory or other services of BlackRock affiliates. Accordingly, each Board concluded that, overall, it was satisfied at the present time with assurances from BlackRock and BlackRock Advisors as to the expected nature, extent and quality of the services to be provided to the Fund/Series under the New Investment Advisory Agreement of the Series. Costs of Services Provided and Profitability--It was noted that, in conjunction with the recent review of the Current Investment Advisory Agreement of the Series, each Board had received, among other things, a report from Lipper comparing the fees, expenses and performance of the Fund and the Series to those of a peer group selected by Lipper, and information as to the fees charged by the Investment Adviser or its affiliates to other registered investment company clients for investment management services. Each Board reviewed the contractual management fee rate and actual management fee rate of the Fund/Series as a percentage of total assets at common asset levels--the actual rate includes advisory and the effects of any fee waivers and, for the Fund, administrative service fees--compared to the other funds in its Lipper category. They also compared the total expenses of the Fund and the Series to those of other comparable funds. The information showed that the Fund and the Series had fees and expenses within the range of fees and expenses of comparable funds. Each Board considered the services to be provided by and the fees to be charged by BlackRock Advisors to other funds with similar investment mandates and noted that the fees charged by BlackRock Advisors in those cases, including fee waivers and expense reimbursements, were generally comparable to those for the Fund and the Series. Each Board concluded that the management fee and fee rate and overall expense ratio of the Fund and the Series are reasonable compared to those of other comparable funds. In evaluating the costs of the services to be provided by BlackRock Advisors under the New Investment Advisory Agreements, each Board considered, among other things, whether advisory and administrative fees or other expenses would change as a result of the Transaction. Based on its review of the materials provided and the fact that each New Investment Advisory Agreement, as well as a new administrative agreement between the Corporation on behalf of the Fund and BlackRock Advisors as administrator, is substantially similar to its corresponding current agreement in all material respects, including the rate of compensation, each Board determined that the Transaction should not increase the total fees payable, including any fee waivers and expense reimbursements, for advisory and administrative services. Each Board noted that it was not possible to predict with certainty New BlackRock's future profitability from its relationship with the Fund and the Series. Each Board discussed with BlackRock Advisors its general methodology to be used in determining New BlackRock's profitability with respect to its relationship with the Fund and the Series. Each Board noted that it expects to receive profitability information from New BlackRock on at least an annual basis and thus be in a position to evaluate whether any adjustments in fees and/or fee breakpoints of the Fund or Series would be appropriate. Fees and Economies of Scale--Each Board considered the extent to which economies of scale might be realized as the assets of the Fund and the Series increase and whether there should be changes in the management fee rate or structure in order to enable the Fund and the Series to participate in these economies of scale. Each Board determined that changes were not currently necessary and that the Fund and the Series appropriately participated in these economies of scale. In reviewing the Transaction, each Board considered, among other things, whether advisory and administrative fees or other expenses would change as a result of the Transaction. Based on the fact that the New Investment Advisory Agreements and the new administrative agreement are substantially similar to the Current Investment Advisory Agreements and the current administrative agreement in all material respects, including the rates of compensation, each Board determined that as a result of the Transaction, neither the 34 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 total advisory and administrative fees of the Fund nor the total advisory fees of the Series would be higher than the fees under the Current Investment Advisory Agreements and administrative agreement. Each Board noted that in conjunction with its most recent deliberations concerning the Current Investment Advisory Agreements, the Board had determined that the total fees for advisory and administrative services for the Fund and the total fees for advisory services for the Series were reasonable in light of the services provided. It was noted that in conjunction with the recent review of the Current Investment Advisory Agreement of the Series, each Board had received, among other things, a report from Lipper comparing the fees, expenses and performance to those of a peer group selected by Lipper, and information as to the fees charged by the Investment Adviser to other registered investment company clients for investment management services. Each Board concluded that, because the rate for advisory services for the Series and the rates for advisory and administrative services for the Fund would be no higher than current fee rates, the proposed management fee structures, including any fee waivers, were reasonable and that no additional changes were currently necessary. Fall-Out Benefits--In evaluating the fall-out benefits to be received by BlackRock Advisors under each New Investment Advisory Agreement, each Board considered whether the Transaction would have an impact on the fall-out benefits received by the Investment Adviser by virtue of the Current Investment Advisory Agreements. Based on its review of the materials provided, including materials received in connection with their most recent approval of each Current Investment Advisory Agreement, and its discussions with management of the Investment Adviser and BlackRock, each Board determined that those benefits could include increased ability for BlackRock to distribute shares of its funds and other investment products and to obtain research services using portfolio transaction brokerage commissions. The Fund's Board also considered possible benefits stemming from the proposal that PFPC Financial Services, an affiliate of BlackRock, serve as transfer agent for the Fund following the Transaction. Each Board noted that any benefits were difficult to quantify with certainty at this time, and indicated that they would continue to evaluate them going forward. Investment Performance--Each Board considered investment performance for the Fund and the Series. Each Board compared the performance of the Fund and the Series--both including and excluding the effects of fees and expenses--to the performance of a comparable group of funds, and the performance of a relevant index or combination of indexes. The comparative information received from Lipper showed Series performance at various levels within the range of performance of comparable funds over different time periods. While each Board reviews performance data at least quarterly, consistent with the Investment Adviser's investment goals, the Board attaches more importance over relatively long periods of time, typically three to five years. Each Board believed the performance of the Fund and the Series was satisfactory. Also, each Board took into account the investment performance of funds currently advised by BlackRock Advisors. Each Board considered comparative information from Lipper which showed that the performance of the funds advised by BlackRock Advisors was within the range of performance of comparable funds over different time periods. Each Board noted BlackRock's considerable investment management experience and capabilities, but was unable to predict what effect, if any, consummation of the Transaction would have on the future performance of the Fund and the Series. Conclusion--After the independent directors of the Corporation, on behalf of the Fund, and trustees of the Trust, on behalf of the Series, deliberated in executive session, each entire Board, including the independent directors/trustees, approved the New Investment Advisory Agreements, concluding that the advisory fee rates were reasonable in relation to the services provided and that the New Investment Advisory Agreements were in the best interests of the shareholders. In approving the New Investment Advisory Agreements, each Board noted that it anticipated reviewing the continuance of the agreements in advance of the expiration of the initial two-year period. Contingent BlackRock Sub-Advisory Agreements--Matters Considered by the Boards At the telephonic and in-person meetings held during April and May 2006 at which each Board discussed and approved the New Investment Advisory Agreements, the Board of Directors of Merrill Lynch Index Funds, Inc. on behalf of the Fund, including the independent directors, and the Board of Trustees of the Trust on behalf of the Series, including the independent trustees, also discussed and approved contingent sub-advisory agreements (the "Contingent Sub-Advisory Agreements") between the Investment Adviser and BlackRock Advisors (the "BlackRock Sub-Adviser"). The Contingent Sub-Advisory Agreements are intended to ensure that the Fund and the Series operate with efficient portfolio management services until the closing of the Transaction, in the event that the Boards deem it necessary and in the best interests of the Fund and its shareholders, or the Series and BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 35 Disclosure of Investment Advisory Agreement (concluded) its shareholders, that the BlackRock Sub-Adviser assist in managing the operations of the Fund or the Series during the interim period until the closing of the Transaction. If shareholders approve the Contingent Sub-Advisory Agreements, they will take effect only upon recommendation from the Investment Adviser and upon subsequent approval of the Boards in the period up to the closing of the Transaction. The effectiveness of each Contingent Sub-Advisory Agreement, therefore, would be contingent on further Board approval after shareholders approve it. Pursuant to each Contingent Sub-Advisory Agreement, the BlackRock Sub-Adviser would receive a monthly fee from the Investment Adviser equal to 50% of the advisory fee received by the Adviser. The Investment Adviser would pay the BlackRock Sub-Adviser out of its own resources. There would be no increase in Fund or Series expenses as a result of either Contingent Sub-Advisory Agreement. In making its approval at the May in-person meeting, each Board considered the Contingent Sub-Advisory Agreements in conjunction with the New Investment Advisory Agreements and reviewed the same information and factors discussed above. Each Board also considered in conjunction with the Contingent Sub-Advisory Agreements the necessity of ensuring that the Fund and the Series operate with effective management services until the closing of the Transaction. In reviewing the sub-advisory fee rate provided in each Contingent Sub-Advisory Agreement, each Board took note of the fact that both the Investment Adviser and the BlackRock Sub-Adviser would have significant responsibilities under their respective advisory agreements. The Investment Adviser would remain responsible for oversight of the operations and administration of the Fund/Series and the BlackRock Sub-Adviser would provide advisory services to the Fund/Series under each Contingent Sub-Advisory Agreement. Each Board also took into account the expected short duration of the term of any Contingent Sub-Advisory Agreement and the fact that total advisory fees paid by the Fund and the Series would not increase as a result of either Contingent Sub-Advisory Agreement. Under all of the circumstances, each Board concluded that it was a reasonable allocation of fees for the BlackRock Sub-Adviser to receive 50% of the advisory fee paid by the Fund or Series to the Investment Adviser. After the independent directors/trustees deliberated in executive session, each entire Board, including the independent directors/trustees, approved each Contingent Sub-Advisory Agreement, concluding that the advisory fee was reasonable in relation to the services provided and that the Contingent Sub-Advisory Agreement was in the best interests of shareholders. 36 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Disclosure of Sub-Advisory Agreement New BlackRock Sub-Advisory Agreement--Matters Considered by the Boards At an in-person meeting held on August 16-17, 2006, the Board of Directors of BlackRock Index Funds, Inc. (the "Corporation") and the Board of Trustees of Quantitative Master Series Trust (the "Trust"), including the independent directors/trustees, discussed and approved the sub-advisory agreement with respect to the Series between BlackRock Advisors, LLC (previously organized as BlackRock Advisors, Inc.) ("BlackRock Advisors") and BlackRock Investment Management, LLC, an affiliate (the "Sub-Adviser") (the "BlackRock Sub-Advisory Agreement"). The BlackRock Sub-Advisory Agreement became effective on September 29, 2006, at the same time the new investment advisory agreement with BlackRock Advisors became effective. Pursuant to the BlackRock Sub-Advisory Agreement, the Sub-Adviser receives a monthly fee from BlackRock Advisors at an annual rate equal to 74% of the advisory fee received by BlackRock Advisors from the Series. BlackRock Advisors pays the Sub-Adviser out of its own resources, and there is no increase in Fund or Series expenses as a result of the BlackRock Sub-Advisory Agreement. In approving the BlackRock Sub-Advisory Agreement at the August in-person meeting, the Boards reviewed their considerations in connection with their approval of the New Investment Advisory Agreement in May 2006. The Boards relied on the same information and considered the same factors as those discussed above in connection with the approval of the New Investment Advisory Agreement. In reviewing the sub-advisory fee rate provided for in the BlackRock Sub-Advisory Agreement, the Boards noted the fact that both BlackRock Advisors and the Sub-Adviser have significant responsibilities under their respective advisory agreements. Under the New Investment Advisory Agreement, BlackRock Advisors remains responsible for the overall management of the Fund and the Series and for oversight of the Fund's and the Series' operations and administration. Under the BlackRock Sub-Advisory Agreement, the Sub-Adviser provides advisory services to the Series and is responsible for the day-to-day management of the Series' portfolio. The Boards also took into account the fact that there is no increase in total advisory fees paid by the Fund or the Series as a result of the BlackRock Sub-Advisory Agreement. Based on its considerations, each Board concluded that it was a reasonable allocation of fees for the Sub-Adviser to receive a fee at an annual rate equal to 74% of the advisory fee paid by the Series to BlackRock Advisors. After the independent directors/trustees deliberated in executive session, the entire Board of the Corporation and the entire Board of the Trust, including the independent directors/ trustees, approved the BlackRock Sub-Advisory Agreement, concluding that the sub-advisory fee was reasonable in relation to the services provided and that the BlackRock Sub-Advisory Agreement was in the best interests of Fund shareholders. Approvals to Correct Fee Schedules As discussed above, at a meeting on May 8, 2006, the Boards, including the independent directors/trustees, approved the New Investment Advisory Agreement between BlackRock Advisors and the Trust on behalf of the Series. The New Investment Advisory Agreement as approved by the Board contained an advisory fee schedule for the Series that was the same as the fee schedule set forth in the investment advisory agreements in effect for the Series and the Fund at that time (the "Current Investment Advisory Agreements"). At a shareholder meeting on August 15, 2006, the shareholders of the Fund approved a new investment advisory agreement between BlackRock Advisors and the Trust on behalf of the Series, but in a form that contained an incorrect advisory fee schedule for the Series. The proxy statement sent to Fund shareholders in connection with the shareholder meeting (the "Proxy Statement") stated in several places that the advisory fees payable by the Series under the New Investment Advisory Agreement would be the same as the fees payable under the Series' Current Investment Advisory Agreements. However, subsequent to the shareholder meeting, it was discovered that the advisory fee schedule for the Series was incorrectly presented in an appendix in the Proxy Statement as lower than the fee schedule then in effect. The lower fee schedule that was presented showed the fees presently being charged to the Series due to fee waivers currently in effect. At a September 22, 2006 meeting, the Board of the Trust considered ratification and approval of an investment advisory agreement between BlackRock Advisors and the Trust on behalf of the Series in the form approved by shareholders with the lower, incorrect advisory fee schedule. After discussion, the Trustees, and separately the non-interested trustees present in person at the meeting, ratified and approved an investment advisory agreement on behalf of the Series with the lower fee schedule that was approved by shareholders. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 37 Disclosure of Sub-Advisory Agreement (concluded) The Boards also discussed the BlackRock Sub-Advisory Agreement between BlackRock Advisors and BlackRock Investment Management, LLC with respect to the Series. The Boards reviewed and reaffirmed their considerations in connection with their approval of the BlackRock Sub-Advisory Agreement at the August 16-17, 2006 meeting. The Directors/Trustees, and separately the non-interested directors/trustees present, in person, at the meeting, then ratified and approved the BlackRock Sub-Advisory Agreement with respect to the Series as previously approved at the August 16-17, 2006 meeting. 38 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 Officers and Directors/Trustees
Number of Funds and Portfolios in Other Public Fund Complex Directorships Position(s) Length of Overseen by Held by Held with Time Director/ Director/ Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee ==================================================================================================================================== Interested Director/Trustee ------------------------------------------------------------------------------------------------------------------------------------ Robert C. P.O. Box 9011 President 2005 to Vice Chairman and Director of BlackRock, Inc., 122 Funds None Doll, Jr.* Princeton, NJ and present Global Chief Investment Officer for Equities, 168 Portfolios 08543-9011 Director/ Chairman of the BlackRock Retail Operating Age: 52 Trustee Committee, and member of the BlackRock Executive Committee since 2006; President of the funds advised by Merrill Lynch Investment Managers, L.P. ("MLIM") and its affiliates ("MLIM/FAM-advised funds") from 2005 to 2006 and Chief Investment Officer thereof from 2001 to 2006; President of MLIM and Fund Asset Management, L.P. ("FAM") from 2001 to 2006; Co-Head (Americas Region) thereof from 2000 to 2001 and Senior Vice President from 1999 to 2001; President and Director of Princeton Services, Inc. ("Princeton Services") and President of Princeton Administrators, L.P. ("Princeton Administrators") from 2001 to 2006; Chief Investment Officer of OppenheimerFunds, Inc. in 1999 and Executive Vice President thereof from 1991 to 1999. ------------------------------------------------------------------------------------------------------------------------ * Mr. Doll is a director, trustee or member of an advisory board of certain other investment companies for which BlackRock Advisors, LLC and its affiliates act as investment adviser. Mr. Doll is an "interested person," as defined in the Investment Company Act, of the Fund based on his positions with BlackRock, Inc. and its affiliates. Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. As Fund/Trust President, Mr. Doll serves at the pleasure of the Board of Directors/Trustees. ==================================================================================================================================== Independent Directors/Trustees* ------------------------------------------------------------------------------------------------------------------------------------ Donald W. P.O. Box 9095 Director/ 2002 to General Partner of The Burton Partnership, Limited 21 Funds Knology, Inc. Burton Princeton, NJ Trustee present Partnership (an investment partnership) since 1979; 38 Portfolios (telecommuni- 08543-9095 Managing General Partner of The South Atlantic cations); Age: 62 Venture Funds since 1983; Member of the Investment Symbion, Inc. Advisory Council of the Florida State Board of (health care) Administration since 2001. and Capital Southwest (financial) ------------------------------------------------------------------------------------------------------------------------------------ John P.O. Box 9095 Director/ 2005 to President and Chief Executive Officer of Allmerica 21 Funds Cabot Francis Princeton, NJ Trustee present Financial Corporation (financial services holding 38 Portfolios Corporation O'Brien 08543-9095 company) from 1995 to 2002 and Director from (chemicals); Age: 63 1995 to 2003; President of Allmerica Investment LKQ Corpora- Management Co., Inc. (investment adviser) from 1989 tion (auto to 2002, Director from 1989 to 2002 and Chairman of parts manufa- the Board from 1989 to 1990; President, Chief cturing) and Executive Officer and Director of First Allmerica TJX Com- Financial Life Insurance Company from 1989 to 2002 panies, Inc. and Director of various other Allmerica Financial (retailer) companies until 2002; Director from 1989 to 2006, Member of the Governance Nominating Committee from 2004 to 2006, Member of the Compensation Committee from 1989 to 2006 and Member of the Audit Committee from 1990 to 2004 of ABIOMED; Director, Member of the Governance and Nomination Committee and Member of the Audit Committee of Cabot Corporation since 1990; Director and Member of the Audit Committee and Compensation Committee of LKQ Corporation since 2003; Lead Director of TJX Companies, Inc. since 1996; Trustee of the Woods Hole Oceanographic Institute since 2003; Director, Ameresco, Inc. since 2006; Director, Boston Lyric Opera since 2002.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 39 Officers and Directors/Trustees (concluded)
Number of Funds and Portfolios in Other Public Fund Complex Directorships Position(s) Length of Overseen by Held by Held with Time Director/ Director/ Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee ==================================================================================================================================== Independent Directors/Trustees* (concluded) ------------------------------------------------------------------------------------------------------------------------------------ David H. P.O. Box 9095 Director/ 2003 to Director, Ruckleshaus Institute and Haub School 21 Funds None Walsh Princeton, NJ Trustee present of Natural Resources at the University of Wyoming 38 Portfolios 08543-9095 since 2006; Consultant with Putnam Investments Age: 65 from 1993 to 2003, and employed in various capacities therewith from 1973 to 1992; Director, Massachusetts Audubon Society from 1990 to 1997; Director, The National Audubon Society from 1998 to 2005; Director, The American Museum of Fly Fishing since 1997. ------------------------------------------------------------------------------------------------------------------------------------ Fred G. P.O. Box 9095 Director/ 1998 to Managing Director of FGW Associates since 1997; 21 Funds Watson Weiss ** Princeton, NJ Trustee present Vice President, Planning, Investment and Development 38 Portfolios Pharma- 08543-9095 of Warner Lambert Co. from 1979 to 1997; Director of ceuticals, Age: 65 the Michael J. Fox Foundation for Parkinson's Inc. (pharma- Research since 2000; Director of BTG International ceutical Plc (a global technology commercialization company) company) since 2001. ------------------------------------------------------------------------------------------------------------------------ * Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. ** Chairman of the Board of Directors/Trustees and the Audit Committee. ------------------------------------------------------------------------------------------------------------------------------------ Position(s) Length of Held with Time Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years ==================================================================================================================================== Fund/Trust Officers* ------------------------------------------------------------------------------------------------------------------------------------ Donald C. P.O. Box 9011 Vice 1997 to Managing Director of BlackRock, Inc. since 2006; Managing Director of Merrill Lynch Burke Princeton, NJ President present Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P. ("FAM") in 2006; 08543-9011 and and 1999 First Vice President of MLIM and FAM from 1997 to 2005 and Treasurer thereof from Age: 46 Treasurer to 1999 to 2006; Vice President of MLIM and FAM from 1990 to 1997. present ------------------------------------------------------------------------------------------------------------------------------------ Debra L. P.O. Box 9011 Vice 2005 to Director of BlackRock, Inc. since 2006; Director of MLIM from 1999 to 2006. Jelilian Princeton, NJ President present 08543-9011 Age: 39 ------------------------------------------------------------------------------------------------------------------------------------ Jeffrey L. P.O. Box 9011 Vice 2005 to Director of BlackRock, Inc. since 2006; Director of MLIM from 2004 to 2006; Vice Russo Princeton, NJ President present President of MLIM from 1994 to 2004. 08543-9011 Age: 39 ------------------------------------------------------------------------------------------------------------------------------------ Jeffrey P.O. Box 9011 Fund Chief 2004 to Managing Director of BlackRock, Inc. and Fund Chief Compliance Officer since 2006; Hiller Princeton, NJ Compliance present Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice President and 08543-9011 Officer Chief Compliance Officer of MLIM (Americas Region) from 2004 to 2006; Chief Age: 55 Compliance Officer of the IQ Funds since 2004; Global Director of Compliance at Morgan Stanley Investment Management from 2002 to 2004; Managing Director and Global Director of Compliance at Citigroup Asset Management from 2000 to 2002; Chief Compliance Officer at Soros Fund Management in 2000; Chief Compliance Officer at Prudential Financial from 1995 to 2000; Senior Counsel in the Securities and Exchange Commission's Division of Enforcement in Washington, D.C. from 1990 to 1995. ------------------------------------------------------------------------------------------------------------------------------------ Alice A. P.O. Box 9011 Secretary 2004 to Director of BlackRock, Inc. since 2006; Director (Legal Advisory) of MLIM from 2002 Pellegrino Princeton, NJ present to 2006; Vice President of MLIM from 1999 to 2002; Attorney associated with MLIM 08543-9011 from to 1997 to 2006; Secretary of MLIM, FAM, FAM Distributors, Inc. and Princeton Age: 46 Services from 2004 to 2006. ------------------------------------------------------------------------------------------------------------------------ * Officers of the Fund/Trust serve at the pleasure of the Board of Directors/Trustees. ------------------------------------------------------------------------------------------------------------------------------------ Further information about the Fund's Officers and Directors/Trustees is available in the Fund's Statement of Additional Information, which can be obtained without charge by calling 1-800-441-7762. ------------------------------------------------------------------------------------------------------------------------------------
Custodian Merrill Lynch Trust Company, FSB 1300 Merrill Lynch Drive 3rd Floor--MSC 0303 Pennington, NJ 08534 Transfer Agent PFPC Inc. Wilmington, DE 19809 40 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 BlackRock Funds BlackRock Privacy Principles BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their nonpublic personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties. If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations. BlackRock obtains or verifies personal nonpublic information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our Web sites. BlackRock does not sell or disclose to nonaffiliated third parties any nonpublic personal information about its Clients, except as permitted by law or as is necessary to service Client accounts. These nonaffiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose. We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to nonpublic personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the nonpublic personal information of its Clients, including procedures relating to the proper storage and disposal of such information. Availability of Additional Information Electronic copies of most financial reports and prospectuses are available on the Fund's Web site or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospectuses by enrolling in the Fund's electronic delivery program. To enroll: Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages: Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service. Shareholders Who Hold Accounts Directly with BlackRock: 1) Access the BlackRock Web site at http://www.blackrock.com/edelivery 2) Select eDelivery under the More Information section 3) Log into your account The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called "householding" and it is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Fund at (800) 441-7762. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 41 BlackRock Funds (concluded) Availability of Additional Information (concluded) Availability of Proxy Voting Policies and Procedures The Fund has delegated proxy voting responsibilities to BlackRock and its affiliates, subject to the general oversight of the Fund's Board of Directors/Trustees. A description of the policies and procedures that BlackRock and its affiliates use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, on our Web site at www.blackrock.com, by calling (800) 441-7762, or on the Web site of the Securities and Exchange Commission (the"Commission") at http://www.sec.gov. Availability of Proxy Voting Record Information on how proxies relating to the Fund's voting securities were voted (if any) by BlackRock during the most recent 12-month period ended June 30 is available, upon request and without charge, on our Web site at www.blackrock.com, by calling (800) 441-7762 or on the Web site of the Commission at http://www.sec.gov. Availability of Quarterly Portfolio Schedule The Fund files its complete schedule of portfolio holdings for the first and third quarters of its fiscal year with the Commission on Form N-Q. The Fund's Forms N-Q are available on the Commission's Web site at http://www.sec.gov and may be reviewed and copied at the Commission's Public Reference Room in Washington, D.C. Information regarding the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Fund's Forms N-Q may also be obtained upon request, without charge, by calling (800) 441-7762. Shareholder Privileges Account Information Call us at (800) 441-7762 8:00 AM - 6:00 PM EST to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at www.blackrock.com. Automatic Investment Plans Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock portfolios. Systematic Withdrawal Plans Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock portfolios, as long as their account is at least $10,000. Retirement Plans Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans. 42 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 A World-Class Mutual Fund Family BlackRock now offers an expanded lineup of open-end mutual funds. Our range includes more than 85 funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing. Equity Portfolios BlackRock All-Cap Global Resources Portfolio BlackRock Aurora Portfolio BlackRock Asset Allocation Portfolio+ BlackRock Balanced Capital Fund+ BlackRock Basic Value Fund BlackRock Developing Capital Markets Fund BlackRock Equity Dividend Fund BlackRock EuroFund BlackRock Focus Twenty Fund BlackRock Focus Value Fund BlackRock Fundamental Growth Fund BlackRock Global Allocation Fund+ BlackRock Global Dynamic Equity Fund BlackRock Global Financial Services Fund BlackRock Global Growth Fund BlackRock Global Opportunities Portfolio BlackRock Global Resources Portfolio* BlackRock Global Science & Technology Opportunities Portfolio BlackRock Global SmallCap Fund BlackRock Global Technology Fund BlackRock Global Value Fund BlackRock Healthcare Fund BlackRock Health Sciences Opportunities Portfolio BlackRock Index Equity Portfolio* BlackRock International Fund BlackRock International Index Fund BlackRock International Opportunities Portfolio* BlackRock International Value Fund BlackRock Investment Trust BlackRock Large Cap Core Fund BlackRock Large Cap Growth Fund BlackRock Large Cap Value Fund BlackRock Latin America Fund BlackRock Capital Appreciation Portfolio BlackRock Mid-Cap Growth Equity Portfolio BlackRock Mid-Cap Value Equity Portfolio BlackRock Mid Cap Value Opportunities Fund BlackRock Natural Resources Trust BlackRock Pacific Fund BlackRock Small Cap Core Equity Portfolio BlackRock Small Cap Growth Equity Portfolio BlackRock Small Cap Growth Fund II BlackRock Small Cap Index Fund BlackRock Small Cap Value Equity Portfolio* BlackRock Small/Mid-Cap Growth Portfolio BlackRock S&P 500 Index Fund BlackRock U.S. Opportunities Portfolio BlackRock Utilities and Telecommunications Fund BlackRock Value Opportunities Fund Fixed Income Portfolios BlackRock Bond Fund BlackRock Enhanced Income Portfolio BlackRock GNMA Portfolio BlackRock Government Income Portfolio BlackRock High Income Fund BlackRock High Yield Bond Portfolio BlackRock Inflation Protected Bond Portfolio BlackRock Intermediate Bond Portfolio BlackRock Intermediate Bond Portfolio II BlackRock Intermediate Government Bond Portfolio BlackRock International Bond Portfolio BlackRock Low Duration Bond Portfolio BlackRock Managed Income Portfolio BlackRock Real Investment Fund BlackRock Short-Term Bond Fund BlackRock Total Return Portfolio BlackRock Total Return Portfolio II BlackRock World Income Fund Municipal Bond Portfolios BlackRock AMT-Free Municipal Bond Portfolio BlackRock California Insured Municipal Bond Fund BlackRock Delaware Municipal Bond Portfolio BlackRock Florida Municipal Bond Fund BlackRock High Yield Municipal Fund BlackRock Intermediate Municipal Fund BlackRock Kentucky Municipal Bond Portfolio BlackRock Municipal Insured Fund BlackRock National Municipal Fund BlackRock New Jersey Municipal Bond Fund BlackRock New York Municipal Bond Fund BlackRock Ohio Municipal Bond Portfolio BlackRock Pennsylvania Municipal Bond Fund BlackRock Short-Term Municipal Fund Money Market Portfolios BlackRock Money Market Portfolio BlackRock Municipal Money Market Portfolio@ BlackRock NC Municipal MM Portfolio@ BlackRock NJ Municipal MM Portfolio@ BlackRock OH Municipal MM Portfolio@ BlackRock PA Municipal MM Portfolio@ BlackRock Summit Cash Reserves Fund* BlackRock U.S. Treasury MM Portfolio BlackRock VA Municipal MM Portfolio@ * See the prospectus for information on specific limitations on investments in the fund. + Mixed asset fund. @ Tax-exempt fund. BlackRock mutual funds are distributed by BlackRock Distributors, Inc. and certain funds are also distributed by FAM Distributors, Inc. You should consider the investment objectives, risks, charges and expenses of the funds under consideration carefully before investing. Each fund's prospectus contains this and other information and is available at www.blackrock.com or by calling 800-882-0052 or from your financial advisor. The prospectus should be read carefully before investing. BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2006 43 This report is transmitted to shareholders only. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the Fund's current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change. BlackRock Index Funds, Inc. P.O. Box 9011 Princeton, NJ 08543-9011 BLACKROCK #Index 3-12/06 Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the end of the period covered by this report, that applies to the registrant's principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. 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 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: (1) Donald W. Burton, (2) Laurie Simon Hodrick (resigned as of May 1, 2006), (3) John F. O'Brien, (4) David H. Walsh and (5) Fred G. Weiss. The registrant's board of directors has determined that Laurie Simon Hodrick qualifies as a financial expert pursuant to Item 3(c)(4) of Form N-CSR. Ms. Hodrick has a thorough understanding of generally accepted accounting principals, financial statements, and internal controls and procedures for financial reporting. Ms. Hodrick earned a Ph.D. in economics and has taught courses in finance for over 15 years. Her M.B.A.-level course centers around the evaluation and analysis of firms' corporate financial statements. She has also taught in financial analysts' training programs. Ms. Hodrick has also worked with several prominent corporations in connection with the analysis of financial forecasts and projections and analysis of the financial statements of those companies, serving on the Financial Advisory Council of one of these major corporations. She has also served as the Treasurer and Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a number of articles in leading economic and financial journals and is the associate editor of two leading finance journals. Item 4 - Principal Accountant Fees and Services BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. (a) Audit Fees - Fiscal Year Ending December 31, 2006 - $6,500 Fiscal Year Ending December 31, 2005 - $6,500 (b) Audit-Related Fees - Fiscal Year Ending December 31, 2006 - $0 Fiscal Year Ending December 31, 2005 - $0 (c) Tax Fees - Fiscal Year Ending December 31, 2006 - $6,000 Fiscal Year Ending December 31, 2005 - $5,700 The nature of the services include tax compliance, tax advice and tax planning. (d) All Other Fees - Fiscal Year Ending December 31, 2006 - $0 Fiscal Year Ending December 31, 2005 - $0 Master Small Cap Index Series of Quantitative Master Series Trust (a) Audit Fees - Fiscal Year Ending December 31, 2006 - $43,400 Fiscal Year Ending December 31, 2005 - $43,000 (b) Audit-Related Fees - Fiscal Year Ending December 31, 2006 - $24,000 Fiscal Year Ending December 31, 2005 - $21,600 The nature of the services relate to 17f-2 custody counts. (c) Tax Fees - Fiscal Year Ending December 31, 2006 - $17,000 Fiscal Year Ending December 31, 2005 - $16,200 The nature of the services include tax compliance, tax advice and tax planning. (d) All Other Fees - Fiscal Year Ending December 31, 2006 - $0 Fiscal Year Ending December 31, 2005 - $0 (e)(1) 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) 0% (f) Not Applicable (g) Fiscal Year Ending December 31, 2006 - $3,071,450 Fiscal Year Ending December 31, 2005 - $5,577,771 (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 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) - $1,739,500, 0% Item 5 - Audit Committee of Listed Registrants - Not Applicable Item 6 - Schedule of Investments - Attached hereto Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- Advertising Agencies 14,100 24/7 Real Media, Inc. (a) $ 127,605 - 0.5% 10,835 Advo, Inc. 353,221 25,400 aQuantive, Inc. (a) 626,364 14,600 Catalina Marketing Corp. 401,500 9,500 inVentiv Health, Inc. (a) 335,825 6,500 Marchex, Inc. Class B 86,970 14,200 Valassis Communications, Inc. (a) 205,900 31,880 ValueClick, Inc. (a) 753,324 ------------- 2,890,709 --------------------------------------------------------------------------------------------------------------- Aerospace - 0.5% 4,600 Argon ST, Inc. (a) 99,084 15,268 Curtiss-Wright Corp. 566,137 7,926 Heico Corp. 307,767 5,500 K&F Industries Holdings, Inc. (a) 124,905 5,400 Ladish Co., Inc. (a) 200,232 3,200 MTC Technologies, Inc. (a) 75,360 11,613 Moog, Inc. Class A (a) 443,500 16,535 Orbital Sciences Corp. (a) 304,905 10,934 Teledyne Technologies, Inc. (a) 438,781 2,200 TransDigm Group, Inc. (a) 58,322 2,500 United Industrial Corp. 126,875 ------------- 2,745,868 --------------------------------------------------------------------------------------------------------------- Agriculture, Fishing 1,200 Alico, Inc. (h) 60,756 & Ranching - 0.1% 3,600 The Andersons, Inc. 152,604 10,628 Delta & Pine Land Co. 429,903 ------------- 643,263 --------------------------------------------------------------------------------------------------------------- Air Transport - 0.7% 10,968 AAR Corp. (a)(h) 320,156 17,300 ABX Air, Inc. (a) 119,889 28,820 AirTran Holdings, Inc. (a)(e) 338,347 12,599 Alaska Air Group, Inc. (a) 497,660 7,500 Atlas Air Worldwide Holdings, Inc. (a) 333,750 7,385 Bristow Group, Inc. (a) 266,525 9,995 EGL, Inc. (a) 297,651 13,000 ExpressJet Holdings, Inc. (a) 105,300 15,455 Frontier Airlines Holdings, Inc. (a)(e) 114,367 55,000 JetBlue Airways Corp. (a)(e) 781,000 11,456 Mesa Air Group, Inc. (a) 98,178 3,700 PHI, Inc. (a) 121,101 9,300 Republic Airways Holdings, Inc. (a) 156,054 21,600 Skywest, Inc. 551,016 ------------- 4,100,994 --------------------------------------------------------------------------------------------------------------- Aluminum - 0.1% 8,302 Century Aluminum Co. (a) 370,684 --------------------------------------------------------------------------------------------------------------- Auto Parts: After 6,843 Aftermarket Technology Corp. (a) 145,619 Market - 0.1% 5,550 Commercial Vehicle Group, Inc. (a) 120,990 6,200 Keystone Automotive Industries, Inc. (a) 210,738 8,399 Superior Industries International, Inc. 161,849 ------------- 639,196 --------------------------------------------------------------------------------------------------------------- Auto Parts: Original 16,400 American Axle & Manufacturing Holdings, Inc. 311,436 Equipment - 0.4% 22,300 ArvinMeritor, Inc. 406,529
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 4,700 Fuel Systems Solutions, Inc. (a) $ 103,776 21,400 Lear Corp. 631,942 3,600 Noble International Ltd. 72,180 13,700 Quantum Fuel Systems Technologies Worldwide, Inc. (a)(e) 21,920 2,173 Sauer-Danfoss, Inc. 70,079 14,300 Tenneco, Inc. (a) 353,496 42,600 Visteon Corp. (a) 361,248 ------------- 2,332,606 --------------------------------------------------------------------------------------------------------------- Auto, Trucks & Parts 4,500 Accuride Corp. (a) 50,670 - 0.2% 2,000 Miller Industries, Inc. (a) 48,000 11,594 Modine Manufacturing Co. 290,198 19,700 Navistar International Corp. (a) 658,571 9,845 Wabash National Corp. 148,660 ------------- 1,196,099 --------------------------------------------------------------------------------------------------------------- Banks: New York City 10,900 Signature Bank (a) 337,682 - 0.1% --------------------------------------------------------------------------------------------------------------- Banks: Outside New 3,784 1st Source Corp. 121,580 York City - 5.7% 5,521 Alabama National Bancorp. 379,458 8,218 Amcore Financial, Inc. 268,482 5,550 AmericanWest Bancorp 134,421 3,900 Ameris Bancorp 109,902 2,682 Arrow Financial Corp. 66,433 1,300 BancTrust Financial Group, Inc. 33,176 2,190 Bancfirst Corp. 118,260 2,715 The Bancorp, Inc. (a) 80,364 4,982 Bank of Granite Corp. 94,509 3,500 Bank of the Ozarks, Inc. 115,710 7,400 BankFinancial Corp. 131,794 3,113 Banner Corp. 138,030 13,233 Boston Private Financial Holdings, Inc. 373,303 18,150 CVB Financial Corp. 262,449 5,129 Cadence Financial Corp. 111,145 1,500 Camden National Corp. 69,180 3,021 Capital City Bank Group, Inc. 106,641 2,900 Capital Corp. of the West 93,061 3,400 Capitol Bancorp Ltd. 157,080 7,700 Cardinal Financial Corp. 78,925 7,625 Cascade Bancorp (e) 235,689 18,244 Cathay General Bancorp 629,600 18,200 Centennial Bank Holdings, Inc. (a) 172,172 5,700 Center Financial Corp. 136,629 900 Centerstate Banks of Florida, Inc. 18,810 11,148 Central Pacific Financial Corp. 432,096 7,748 Chemical Financial Corp. 258,008 14,582 Chittenden Corp. 447,522 15,600 Citizens Banking Corp. 413,400 6,093 City Holding Co. 249,143
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 3,299 CityBank $ 117,592 1,700 Clifton Savings Bancorp, Inc. 20,723 4,526 CoBiz, Inc. 99,753 1,700 Columbia Bancorp 44,965 6,341 Columbia Banking System, Inc. 222,696 2,100 Community Bancorp (a) 63,399 11,800 Community Bank System, Inc. 271,400 7,299 Community Banks, Inc. 202,620 4,723 Community Trust Bancorp, Inc. 196,146 12,104 Corus Bankshares, Inc. (e) 279,239 30,000 Doral Financial Corp. (e) 86,100 1,100 Enterprise Financial Services Corp. 35,838 1,800 FNB Corp. 74,790 1,685 Farmers Capital Bank Corp. 57,223 22,200 First BanCorp 211,566 2,836 First Bancorp 61,938 3,814 First Busey Corp. 87,913 11,923 First Charter Corp. 293,306 22,340 First Commonwealth Financial Corp. 300,026 9,011 First Community Bancorp, Inc. 471,005 2,994 First Community Bancshares, Inc. 118,443 10,787 First Financial Bancorp 179,172 5,853 First Financial Bankshares, Inc. 245,007 4,244 First Financial Corp. 150,450 5,846 First Merchants Corp. 158,953 17,700 First Midwest Bancorp, Inc. 684,636 2,600 First Regional Bancorp (a) 88,634 1,200 First South Bancorp, Inc. (e) 38,268 7,600 First State Bancorp. 188,100 24,600 FirstMerit Corp. 593,844 9,800 Franklin Bank Corp. (a) 201,292 14,866 Frontier Financial Corp. 434,533 2,200 GB&T Bancshares, Inc. 48,774 14,465 Glacier Bancorp, Inc. 353,512 18,100 Greater Bay Bancorp 476,573 2,800 Greene County Bancshares, Inc. 111,244 9,754 Hancock Holding Co. 515,401 15,604 Hanmi Financial Corp. 351,558 9,136 Harleysville National Corp. 176,416 3,100 Heartland Financial USA, Inc. 89,435 3,900 Heritage Commerce Corp. 103,896 4,745 Independent Bank Corp./MA 170,962 9,245 Independent Bank Corp./MI 233,806 5,874 Integra Bank Corp. 161,652 4,600 Interchange Financial Services Corp. 105,754 15,100 International Bancshares Corp. 466,741 2,500 Intervest Bancshares Corp. (a) 86,025
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 16,200 Investors Bancorp, Inc. (a) $ 254,826 6,648 Irwin Financial Corp. 150,444 4,196 Lakeland Bancorp, Inc. 62,520 3,800 Lakeland Financial Corp. 97,014 7,883 MB Financial, Inc. 296,480 3,277 MBT Financial Corp. 50,204 4,531 Macatawa Bank Corp. 96,329 5,319 MainSource Financial Group, Inc. 90,109 3,630 Mercantile Bank Corp. 136,851 1 Mercantile Bankshares Corp. 47 300 MetroCorp Bancshares, Inc. 6,312 7,050 Mid-State Bancshares 256,550 5,980 Midwest Banc Holdings, Inc. 142,025 10,213 NBT Bancorp, Inc. 260,534 9,100 Nara Bancorp, Inc. 190,372 14,190 National Penn Bancshares, Inc. 287,348 1,155 Northern Empire Bancshares (a) 34,119 21,295 Old National Bancorp 402,901 5,776 Old Second Bancorp, Inc. 169,237 2,741 Omega Financial Corp. 87,493 6,618 Oriental Financial Group 85,703 15,662 Pacific Capital Bancorp 525,930 3,815 Park National Corp. 377,685 3,310 Peoples Bancorp, Inc. 98,307 4,100 Pinnacle Financial Partners, Inc. (a) 136,038 6,600 Piper Jaffray Cos. (a) 429,990 5,650 Placer Sierra Bancshares 134,301 2,100 Preferred Bank 126,189 2,480 Premierwest Bancorp 39,432 6,796 PrivateBancorp, Inc. 282,917 9,700 Prosperity Bancshares, Inc. 334,747 12,024 Provident Bankshares Corp. 428,054 8,811 R-G Financial Corp. Class B 67,404 3,498 Renasant Corp. 107,144 27,959 Republic Bancorp, Inc. 376,328 2,433 Republic Bancorp, Inc. Class A 61,044 1,333 Royal Bancshares of Pennsylvania Class A 35,044 8,263 S&T Bancorp, Inc. 286,478 2,346 SCBT Financial Corp. 97,899 10,900 SVB Financial Group (a) 508,158 2,730 SY Bancorp, Inc. 76,440 4,614 Sandy Spring Bancorp, Inc. 176,163 1,403 Santander BanCorp 25,044 4,258 Seacoast Banking Corp. of Florida 105,598 2,800 Security Bank Corp. 63,896 1,300 Shore Bancshares, Inc. 39,143 300 Sierra Bancorp 8,802
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 4,100 Simmons First National Corp. Class A $ 129,355 1,000 Smithtown Bancorp, Inc. 27,120 5,123 Southside Bancshares, Inc. 131,815 6,200 Southwest Bancorp, Inc. 172,732 2,400 State National Bancshares, Inc. 92,376 25,914 Sterling Bancshares, Inc. 337,400 8,102 Sterling Financial Corp. 191,774 3,300 Suffolk Bancorp 125,829 4,829 Sun Bancorp, Inc. (a) 101,747 1,700 Superior Bancorp (a) 19,278 16,416 Susquehanna Bancshares, Inc. 441,262 900 Taylor Capital Group, Inc. 32,949 9,761 Texas Capital Bancshares, Inc. (a) 194,049 2,540 Tompkins Trustco, Inc. 115,443 3,600 Trico Bancshares 97,956 23,761 TrustCo Bank Corp. NY 264,222 15,527 Trustmark Corp. 507,888 33,900 UCBH Holdings, Inc. 595,284 9,652 UMB Financial Corp. 352,395 3,496 USB Holding Co., Inc. 84,254 20,180 Umpqua Holdings Corp. 593,897 4,200 Union Bankshares Corp. 128,478 12,900 United Bankshares, Inc. 498,585 10,200 United Community Banks, Inc. 329,664 500 United Security Bancshares 12,050 2,650 Univest Corp. of Pennsylvania 80,772 4,500 Vineyard National Bancorp 103,590 6,868 Virginia Commerce Bancorp (a) 136,536 3,300 Virginia Financial Group, Inc. 92,367 3,600 Washington Trust Bancorp, Inc. 100,404 6,963 WesBanco, Inc. 233,469 5,554 West Bancorp., Inc. 98,750 4,900 West Coast Bancorp 169,736 11,283 Westamerica Bancorp. 571,258 3,200 Western Alliance Bancorp (a) 111,264 7,300 Wilshire Bancorp, Inc. 138,481 8,900 Wintrust Financial Corp. 427,378 3,100 Yardville National Bancorp 116,932 ------------- 31,832,623 --------------------------------------------------------------------------------------------------------------- Beverage: Brewers 4,500 Boston Beer Co., Inc. Class A (a) 161,910 (Wineries) - 0.0% --------------------------------------------------------------------------------------------------------------- Beverage: Soft Drinks 1,187 Coca-Cola Bottling Co. Consolidated 81,226 - 0.1% 1,610 Farmer Bros. Co. 34,373 800 Green Mountain Coffee Roasters, Inc. (a) 39,384 9,800 Jones Soda Co. (a) 120,540 2,590 National Beverage Corp. 36,338 5,900 Peet's Coffee & Tea, Inc. (a) 154,816 ------------- 466,677 ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- Biotechnology 11,700 ADVENTRX Pharmaceuticals, Inc. (a) $ 34,515 Research & Production 11,700 AVI BioPharma, Inc. (a) 37,206 - 2.0% 7,700 Acadia Pharmaceuticals, Inc. (a) 67,683 3,300 Advanced Magnetics, Inc. (a) 197,076 8,087 Albany Molecular Research, Inc. (a) 85,399 9,680 Alexion Pharmaceuticals, Inc. (a) 390,975 9,700 Alnylam Pharmaceuticals, Inc. (a) 207,580 1,000 Altus Pharmaceuticals, Inc. (a) 18,850 11,300 American Oriental Bioengineering, Inc. (a) 131,871 23,900 Applera Corp. - Celera Genomics Group (a)(h) 334,361 14,200 Arena Pharmaceuticals, Inc. (a) 183,322 19,719 Ariad Pharmaceuticals, Inc. (a) 101,356 15,900 Array Biopharma, Inc. (a) 205,428 9,620 Arthrocare Corp. (a) 384,030 16,800 Bioenvision, Inc. (a) 77,952 19,524 Cell Genesys, Inc. (a)(e) 66,186 3,900 Coley Pharmaceutical Group, Inc. (a) 37,791 5,900 Combinatorx, Inc. (a) 51,094 3,600 Cotherix, Inc. (a) 48,564 19,067 Cubist Pharmaceuticals, Inc. (a) 345,303 11,600 Cypress Bioscience, Inc. (a) 89,668 5,200 Cytokinetics, Inc. (a) 38,896 6,524 Digene Corp. (a) 312,630 7,778 Diversa Corp. (a) 84,625 18,500 deCODE genetics, Inc. (a) 83,805 16,196 Encysive Pharmaceuticals, Inc. (a) 68,185 11,100 Enzon Pharmaceuticals, Inc. (a) 94,461 26,418 Exelixis, Inc. (a) 237,762 8,300 Genitope Corp. (a) 29,216 3,900 Genomic Health, Inc. (a) 72,540 32,400 Genta, Inc. (a)(e) 14,337 20,929 Geron Corp. (a)(e) 183,757 7,400 Hana Biosciences, Inc. (a) 47,138 41,100 Human Genome Sciences, Inc. (a) 511,284 23,000 ICOS Corp. (a) 777,170 5,700 Idenix Pharmaceuticals, Inc. (a)(e) 49,533 30,524 Incyte Corp. (a) 178,260 7,000 Integra LifeSciences Holdings Corp. (a) 298,130 10,414 InterMune, Inc. (a)(e) 320,230 4,700 Kendle International, Inc. (a) 147,815 4,900 Kensey Nash Corp. (a) 155,820 13,000 Keryx Biopharmaceuticals, Inc. (a) 172,900 19,605 Lexicon Genetics, Inc. (a) 70,774 7,050 MannKind Corp. (a)(e) 116,254 11,400 Martek Biosciences Corp. (a) 266,076 6,301 Maxygen, Inc. (a) 67,862 4,200 Metabasis Therapeutics, Inc. (a) 31,584 5,500 Momenta Pharmaceuticals, Inc. (a)(e) 86,515 55,400 Monogram Biosciences, Inc. (a) 98,612
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 12,300 Myriad Genetics, Inc. (a) $ 384,990 20,823 NPS Pharmaceuticals, Inc. (a) 94,328 19,054 Nabi Biopharmaceuticals (a) 129,186 9,000 Nastech Pharmaceutical Co., Inc. (a) 136,170 10,200 Neurocrine Biosciences, Inc. (a) 106,284 10,400 Northfield Laboratories, Inc. (a)(e) 42,328 16,400 Nuvelo, Inc. (a) 65,600 18,100 OSI Pharmaceuticals, Inc. (a) 633,138 6,000 PRA International, Inc. (a) 151,620 13,500 Panacos Pharmaceuticals, Inc. (a) 54,135 74,000 Peregrine Pharmaceuticals, Inc. (a)(e) 85,100 7,550 PharmaNet Development Group, Inc. (a) 166,629 8,600 Progenics Pharmaceuticals, Inc. (a) 221,364 7,870 Rigel Pharmaceuticals, Inc. (a) 93,417 13,900 Sangamo Biosciences, Inc. (a) 91,740 17,128 Savient Pharmaceuticals, Inc. (a) 192,005 9,800 Sirna Therapeutics, Inc. (a) 127,498 5,400 Solexa, Inc. (a) 71,010 7,745 Tanox, Inc. (a) 154,126 18,732 Telik, Inc. (a)(e) 82,983 5,638 Trimeris, Inc. (a) 71,659 21,700 Viropharma, Inc. (a) 317,688 11,900 Zymogenetics, Inc. (a) 185,283 ------------- 11,370,662 --------------------------------------------------------------------------------------------------------------- Building Materials 2,700 Ameron International Corp. 206,199 - 0.4% 2,900 BlueLinx Holdings, Inc. 30,160 8,200 Building Material Holding Corp. 202,458 6,312 LSI Industries, Inc. 125,293 7,268 NCI Building Systems, Inc. (a) 376,119 13,532 Simpson Manufacturing Co., Inc. (e) 428,288 6,945 Texas Industries, Inc. 446,077 3,809 Trex Co., Inc. (a)(e) 87,188 9,565 Watsco, Inc. 451,085 5,600 Zoltek Cos., Inc. (a)(e) 110,152 ------------- 2,463,019 --------------------------------------------------------------------------------------------------------------- Building: Cement - 0.0% 13,800 US Concrete, Inc. (a) 98,256 --------------------------------------------------------------------------------------------------------------- Building: Heating & 1,700 Aaon, Inc. 44,676 Plumbing - 0.1% 7,900 Interline Brands, Inc. (a) 177,513 24,650 Jacuzzi Brands, Inc. (a) 306,399 ------------- 528,588 --------------------------------------------------------------------------------------------------------------- Building: Miscellaneous 4,000 Builders FirstSource, Inc. (a) 71,320 - 0.1% 11,600 Comfort Systems USA, Inc. 146,624 5,200 Drew Industries, Inc. (a) 135,252 5,700 Goodman Global, Inc. (a) 98,040 9,447 Griffon Corp. (a) 240,899 ------------- 692,135 ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- Building: Roofing & 16,050 Beacon Roofing Supply, Inc. (a) $ 302,061 Wallboard - 0.1% 8,251 ElkCorp 339,034 ------------- 641,095 --------------------------------------------------------------------------------------------------------------- Cable Television 150,200 Charter Communications, Inc. Class A (a)(e) 459,612 Services - 0.1% 4,898 Crown Media Holdings, Inc. Class A (a) 17,780 28,794 TiVo, Inc. (a)(e) 147,425 ------------- 624,817 --------------------------------------------------------------------------------------------------------------- Casinos & Gambling 8,600 Ameristar Casinos, Inc. 264,364 - 0.6% 11,491 Aztar Corp. (a) 625,340 16,500 Bally Technologies, Inc. (a) 308,220 3,800 Century Casinos, Inc. (a) 42,408 1,732 Churchill Downs, Inc. 74,026 6,505 Dover Downs Gaming & Entertainment, Inc. 86,972 6,475 Isle of Capri Casinos, Inc. (a) 172,105 5,800 Lakes Entertainment, Inc. (a) 62,582 9,900 MTR Gaming Group, Inc. (a) 120,978 12,674 Magna Entertainment Corp. Class A (a) 57,160 2,700 Monarch Casino & Resort, Inc. (a) 64,476 11,100 Multimedia Games, Inc. (a) 106,560 15,164 Pinnacle Entertainment, Inc. (a) 502,535 14,100 Progressive Gaming International Corp. (a) 127,887 2,100 Riviera Holdings Corp. (a) 50,736 10,600 Shuffle Master, Inc. (a)(e) 277,720 10,800 Trump Entertainment Resorts, Inc. (a) 196,992 8,212 WMS Industries, Inc. (a) 286,270 ------------- 3,427,331 --------------------------------------------------------------------------------------------------------------- Chemicals - 1.2% 4,233 American Vanguard Corp. (e) 67,305 7,656 Arch Chemicals, Inc. 255,021 2,200 Balchem Corp. 56,496 16,500 CF Industries Holdings, Inc. 423,060 9,300 Cabot Microelectronics Corp. (a) 315,642 12,601 Calgon Carbon Corp. (a)(e) 78,126 8,485 Cambrex Corp. 192,779 6,600 China BAK Battery, Inc. (a) 43,032 14,100 EnerSys (a) 225,600 12,164 Energy Conversion Devices, Inc. (a) 413,333 10,337 Georgia Gulf Corp. 199,607 36,000 Hercules, Inc. (a) 695,160 3,800 Innospec, Inc. 176,890 8,367 MacDermid, Inc. 285,315 5,941 Medis Technologies Ltd. (a)(e) 103,552 2,434 NL Industries, Inc. 25,168 5,700 NewMarket Corp. 336,585 6,365 Nuco2, Inc. (a) 156,515 9,000 OM Group, Inc. (a) 407,520 9,400 Omnova Solutions, Inc. (a) 43,052 3,700 Pioneer Cos., Inc. (a) 106,042
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 29,367 PolyOne Corp. (a) $ 220,253 10,400 Rockwood Holdings, Inc. (a) 262,704 11,006 Schulman A, Inc. 244,884 9,500 Senomyx, Inc. (a) 123,405 3,355 Stepan Co. 106,253 9,400 Tronox, Inc. Class A 150,306 6,300 Tronox, Inc. Class B 99,477 15,900 UAP Holding Corp. 400,362 21,500 WR Grace & Co. (a) 425,700 ------------- 6,639,144 --------------------------------------------------------------------------------------------------------------- Coal - 0.1% 16,400 Alpha Natural Resources, Inc. (a) 233,372 36,000 International Coal Group, Inc. (a) 196,200 6,600 James River Coal Co. (a) 61,248 1,100 Westmoreland Coal Co. (a) 21,637 ------------- 512,457 --------------------------------------------------------------------------------------------------------------- Commercial Information 11,058 Arbitron, Inc. 480,360 Services - 0.2% 143,100 CMGI, Inc. (a) 191,754 10,661 infoUSA, Inc. 126,973 6,200 LECG Corp. (a) 114,576 8,574 ProQuest Co. (a) 89,598 ------------- 1,003,261 --------------------------------------------------------------------------------------------------------------- Communications & Media 20,200 Entravision Communications Corp. Class A (a) 166,044 - 0.1% 78,600 Gemstar-TV Guide International, Inc. (a) 315,186 ------------- 481,230 --------------------------------------------------------------------------------------------------------------- Communications 135,800 3Com Corp. (a) 558,138 Technology - 2.4% 21,300 Adtran, Inc. 483,510 7,722 Anaren, Inc. (a) 137,143 10,972 Anixter International, Inc. (a) 595,780 17,000 Atheros Communications, Inc. (a) 362,440 43,900 Avanex Corp. (a)(e) 82,971 18,050 Avocent Corp. (a) 610,992 3,059 Bel Fuse, Inc. 106,423 6,488 Black Box Corp. 272,431 24,150 Broadwing Corp. (a) 377,223 87,000 Brocade Communications Systems, Inc. (a) 714,270 300 CPI International, Inc. (a) 4,500 15,200 CSG Systems International, Inc. (a) 406,296 4,300 Carrier Access Corp. (a) 28,208 7,000 Cbeyond Communications, Inc. (a) 214,130 4,500 Cogent Communications Group, Inc. (a) 72,990 18,388 CommScope, Inc. (a)(h) 560,466 6,900 Comtech Group, Inc. (a)(e) 125,511 8,525 Comtech Telecommunications Corp. (a) 324,547 8 CycleLogic, Inc. (a) 0 7,700 Digi International, Inc. (a) 106,183 13,900 Ditech Networks, Inc. (a) 96,188 3,400 EMS Technologies, Inc. (a) 68,102 9,813 Echelon Corp. (a) 78,504
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 46,100 Extreme Networks, Inc. (a) $ 193,159 72,300 Finisar Corp. (a)(e) 233,529 48,400 Foundry Networks, Inc. (a) 725,032 23,496 Harmonic, Inc. (a) 170,816 5,100 ID Systems, Inc. (a) 95,982 11,100 InPhonic, Inc. (a)(e) 123,099 7,177 Inter-Tel, Inc. 159,042 16,400 InterVoice, Inc. (a) 125,624 12,129 Ixia (a) 116,438 15,700 j2 Global Communications, Inc. (a)(e) 427,825 2,700 Loral Space & Communications Ltd. (a) 109,944 9,700 Netgear, Inc. (a) 254,625 7,900 Novatel Wireless, Inc. (a) 76,393 7,002 Oplink Communications, Inc. (a) 143,961 4,183 Optical Communication Products, Inc. (a) 6,860 18,300 Redback Networks, Inc. (a) 456,402 14,838 Secure Computing Corp. (a) 97,337 7,900 Sirenza Microdevices, Inc. (a) 62,094 80,000 Sonus Networks, Inc. (a) 527,200 7,410 Standard Microsystems Corp. (a) 207,332 28,200 Stratex Networks, Inc. (a) 136,206 58,400 Sycamore Networks, Inc. (a) 219,584 6,300 Syniverse Holdings, Inc. (a) 94,437 66,000 TIBCO Software, Inc. (a) 623,040 12,020 Talx Corp. 329,949 16,800 Tekelec (a) 249,144 8,930 Terremark Worldwide, Inc. (a) 60,010 2,540 Ulticom, Inc. (a) 24,359 37,300 UTstarcom, Inc. (a)(e) 326,375 7,001 Viasat, Inc. (a) 208,700 13,500 Vonage Holdings Corp. (a) 93,690 13,231 WebEx Communications, Inc. (a) 461,630 25,275 Zhone Technologies, Inc. (a)(e) 32,858 ------------- 13,559,622 --------------------------------------------------------------------------------------------------------------- Computer Services 17,400 @Road, Inc. (a) 127,020 Software & Systems 2,300 Access Integrated Technologies, Inc. (a) 20,056 - 4.0% 14,400 Actuate Corp. (a) 85,536 18,002 Agile Software Corp. (a) 110,712 9,400 Altiris, Inc. (a) 238,572 8,100 American Reprographics Co. (a) 269,811 5,900 Ansoft Corp. (a) 164,020 11,832 Ansys, Inc. (a) 514,574 23,680 Ariba, Inc. (a) 183,283 31,400 Art Technology Group, Inc. (a) 73,162 16,908 Aspen Technology, Inc. (a) 186,326 7,800 Audible, Inc. (a)(e) 61,854 59,000 BearingPoint, Inc. (a) 464,330 13,626 Blackbaud, Inc. 354,276 10,300 Blackboard, Inc. (a) 309,412
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 6,300 Blue Coat Systems, Inc. (a) $ 150,885 24,667 Borland Software Corp. (a) 134,188 9,900 Bottomline Technologies, Inc. (a) 113,355 9,400 CACI International, Inc. Class A (a) 531,100 6,900 COMSYS IT Partners, Inc. (a) 139,449 20,600 Chordiant Software, Inc. (a) 68,186 17,302 Ciber, Inc. (a) 117,308 10,200 Concur Technologies, Inc. (a) 163,608 6,500 Convera Corp. (a)(e) 29,835 9,300 Covansys Corp. (a) 213,435 2,100 DealerTrack Holdings, Inc. (a) 61,782 11,864 Dendrite International, Inc. (a) 127,063 12,500 Digital River, Inc. (a) 697,375 26,607 Digitas, Inc. (a) 356,800 7,045 EPIQ Systems, Inc. (a) 119,554 17,439 Electronics for Imaging, Inc. (a) 463,529 8,600 Emageon, Inc. (a) 132,096 17,400 Epicor Software Corp. (a) 235,074 10,000 Equinix, Inc. (a)(e) 756,200 5,900 eCollege.com, Inc. (a) 92,335 17,979 Gartner, Inc. Class A (a) 355,804 18,500 Hyperion Solutions Corp. (a) 664,890 8,200 Infocrossing, Inc. (a)(e) 133,660 26,700 Informatica Corp. (a) 326,007 2,400 Integral Systems, Inc. 55,608 12,400 Internet Capital Group, Inc. (a) 127,224 16,825 Interwoven, Inc. (a) 246,823 3,100 i2 Technologies, Inc. (a)(e) 70,742 4,100 iGate Corp. (a) 28,208 9,208 JDA Software Group, Inc. (a) 126,794 6,600 Jupitermedia Corp. (a) 52,272 9,300 Kanbay International, Inc. (a) 267,561 13,658 Keane, Inc. (a) 162,667 39,000 Lawson Software, Inc. (a) 288,210 16,500 Lionbridge Technologies, Inc. (a) 106,260 16,300 Macrovision Corp. (a) 460,638 9,100 Magma Design Automation, Inc. (a) 81,263 8,739 Manhattan Associates, Inc. (a) 262,869 4,800 Mantech International Corp. Class A (a) 176,784 6,700 Mapinfo Corp. (a) 87,435 25,700 Mentor Graphics Corp. (a) 463,371 7,856 Mercury Computer Systems, Inc. (a) 104,956 9,400 Merge Technologies, Inc. (a) 61,476 3,000 MicroStrategy, Inc. Class A (a) 342,030 13,798 Micros Systems, Inc. (a) 727,155 6,100 Ness Technologies, Inc. (a) 86,986 5,685 Netscout Systems, Inc. (a) 47,186 39,795 Nuance Communications, Inc. (a) 456,051 27,933 Openwave Systems, Inc. (a) 257,822
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 2,600 Opnet Technologies, Inc. (a) $ 37,570 25,300 Opsware, Inc. (a) 223,146 4,800 PDF Solutions, Inc. (a) 69,360 11,207 Packeteer, Inc. (a) 152,415 39,160 Parametric Technology Corp. (a) 705,663 1,300 Pegasystems, Inc. 12,831 15,508 Progress Software Corp. (a) 433,138 3,300 QAD, Inc. 27,687 24,600 Quest Software, Inc. (a) 360,390 37,900 RealNetworks, Inc. (a) 414,626 4,600 RightNow Technologies, Inc. (a) 79,212 12,080 SAVVIS, Inc. (a) 431,256 4,300 SI International, Inc. (a) 139,406 7,389 SPSS, Inc. (a) 222,187 12,100 SRA International, Inc. Class A (a) 323,554 9,961 SYKES Enterprises, Inc. (a) 175,712 2,200 SYNNEX Corp. (a) 48,268 8,299 SafeNet, Inc. (a) 198,678 25,792 Sapient Corp. (a) 141,598 10,000 Sigma Designs, Inc. (a) 254,500 8,200 Smith Micro Software, Inc. (a) 116,358 24,341 SonicWALL, Inc. (a) 204,951 28,000 Sybase, Inc. (a) 691,600 1,483 Syntel, Inc. 39,744 2,000 Taleo Corp. Class A (a) 27,340 11,885 Transaction Systems Architects, Inc. Class A (a) 387,094 16,608 Trizetto Group (a) 305,089 10,900 Tyler Technologies, Inc. (a) 153,254 8,000 Ultimate Software Group, Inc. (a) 186,080 15,900 VA Software Corp. (a) 79,977 7,900 VASCO Data Security International, Inc. (a) 93,299 4,200 Verint Systems, Inc. (a) 143,976 10,380 Vignette Corp. (a) 177,187 15,202 Websense, Inc. (a) 347,062 27,700 Wind River Systems, Inc. (a) 283,925 11,200 Witness Systems, Inc. (a) 196,336 22,320 webMethods, Inc. (a) 164,275 15,508 Zoran Corp. (a) 226,107 ------------- 22,769,704 --------------------------------------------------------------------------------------------------------------- Computer Technology 36,100 Adaptec, Inc. (a) 168,226 - 0.9% 9,700 Advanced Analogic Technologies, Inc. (a) 52,283 26,700 Emulex Corp. (a) 520,917 9,109 FalconStor Software, Inc. (a) 78,793 83,600 Gateway, Inc. (a) 168,036 10,017 Hutchinson Technology, Inc. (a) 236,101 11,100 Imation Corp. 515,373 16,009 Intermec, Inc. (a) 388,538 9,500 Komag, Inc. (a) 359,860 57,000 McData Corp. (a) 316,350 12,300 Mobility Electronics, Inc. (a) 41,205 5,900 Neoware Systems, Inc. (a) 77,939
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 28,888 Palm, Inc. (a) $ 407,032 27,000 Perot Systems Corp. Class A (a) 442,530 58,400 Quantum Corp (a) 135,488 9,800 Rackable Systems, Inc. (a) 303,506 11,400 Radiant Systems, Inc. (a) 119,016 5,742 Radisys Corp. (a) 95,719 31,800 Safeguard Scientifics, Inc. (a) 76,956 3,700 Stratasys, Inc. (a) 116,217 7,900 Synaptics, Inc. (a) 234,551 19,600 Trident Microsystems, Inc. (a) 356,328 ------------- 5,210,964 --------------------------------------------------------------------------------------------------------------- Construction - 0.4% 5,251 Brookfield Homes Corp. (e) 197,175 9,936 EMCOR Group, Inc. (a) 564,862 11,871 Granite Construction, Inc. 597,349 6,000 Perini Corp. (a) 184,680 2,100 Sterling Construction Co., Inc. (a) 45,696 9,700 Washington Group International, Inc. (a) 579,963 ------------- 2,169,725 --------------------------------------------------------------------------------------------------------------- Consumer Electronics 52,600 CNET Networks, Inc. (a) 478,134 - 0.7% 92,800 Covad Communications Group, Inc. (a) 128,064 5,400 DTS, Inc. (a) 130,626 5,400 Directed Electronics, Inc. (a) 61,830 41,700 Earthlink, Inc. (a) 296,070 9,900 Infospace, Inc. (a) 203,049 8,790 Internap Network Services Corp. (a) 174,657 17,500 Ipass, Inc. (a) 102,900 8,000 LoJack Corp. (a) 136,640 11,274 Midway Games, Inc. (a)(e) 78,693 10,300 NIC, Inc. (a) 51,191 13,100 Netflix, Inc. (a)(e) 338,766 4,100 Parkervision, Inc. (a)(e) 45,715 8,200 Sohu.com, Inc. (a) 196,800 19,637 THQ, Inc. (a) 638,595 21,700 Take-Two Interactive Software, Inc. (a)(e) 385,392 20,350 United Online, Inc. 270,248 4,186 Universal Electronics, Inc. (a) 87,990 7,700 WebSideStory, Inc. (a) 97,482 ------------- 3,902,842 --------------------------------------------------------------------------------------------------------------- Consumer Products - 0.6% 16,100 American Greetings Class A 384,307 8,200 Blyth, Inc. 170,150 2,091 CSS Industries, Inc. 73,959 2,000 Citi Trends, Inc. (a) 79,280 5,200 Mannatech, Inc. (e) 76,596 9,873 Matthews International Corp. Class A 388,503 12,263 Nautilus, Inc. (e) 171,682 7,900 Oakley, Inc. 158,474 16,876 Playtex Products, Inc. (a) 242,846 6,200 RC2 Corp. (a) 272,800
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 11,200 Spectrum Brands, Inc. (a)(e) $ 122,080 15,991 The Topps Co., Inc. 142,320 22,174 Tupperware Corp. 501,354 2,400 USANA Health Sciences, Inc. (a) 123,984 13,683 Yankee Candle Co., Inc. 469,053 ------------- 3,377,388 --------------------------------------------------------------------------------------------------------------- Containers & Packaging: 11,700 AptarGroup, Inc. 690,768 Metals & Glass - 0.4% 6,075 Greif, Inc. 719,280 12,842 Mobile Mini, Inc. (a) 345,963 7,000 Silgan Holdings, Inc. 307,440 ------------- 2,063,451 --------------------------------------------------------------------------------------------------------------- Containers & Packaging: 1,400 AEP Industries, Inc. (a) 74,634 Paper & Plastic - 0.1% 19,100 Graphic Packaging Corp. (a) 82,703 8,452 Myers Industries, Inc. 132,358 ------------- 289,695 --------------------------------------------------------------------------------------------------------------- Copper - 0.1% 11,982 Mueller Industries, Inc. 379,829 --------------------------------------------------------------------------------------------------------------- Cosmetics - 0.1% 8,193 Elizabeth Arden, Inc. (a) 156,077 1,500 Inter Parfums, Inc. 28,785 18,226 Nu Skin Enterprises, Inc. Class A 332,260 1,500 Parlux Fragrances, Inc. (a)(e) 8,355 47,510 Revlon, Inc. Class A (a) 60,813 ------------- 586,290 --------------------------------------------------------------------------------------------------------------- Diversified Financial 40,400 The BISYS Group, Inc. (a) 521,564 Services - 0.4% 900 Clayton Holdings, Inc. (a) 16,839 12,600 Euronet Worldwide, Inc. (a) 374,094 18,200 F.N.B. Corp. 332,514 6,300 Greenhill & Co., Inc. (e) 464,940 6,600 Huron Consulting Group, Inc. (a) 299,244 5,600 Rewards Network, Inc. (a) 38,920 12,900 USI Holdings Corp. (a) 198,144 ------------- 2,246,259 --------------------------------------------------------------------------------------------------------------- Diversified Materials & 14,960 Acuity Brands, Inc. (h) 778,518 Processing - 0.6% 12,514 Barnes Group, Inc. 272,179 14,294 Brady Corp. 532,880 16,410 Clarcor, Inc. 554,822 29,562 Hexcel Corp. (a) 514,674 3,200 Koppers Holdings, Inc. 83,424 22,814 Olin Corp. 376,887 9,245 Tredegar Corp. 209,029 ------------- 3,322,413 --------------------------------------------------------------------------------------------------------------- Drug & Grocery Store 432 Arden Group, Inc. Class A 53,486 Chains - 0.4% 18,307 Casey's General Stores, Inc. 431,130 5,831 Great Atlantic & Pacific Tea Co. 150,090 5,164 Ingles Markets, Inc. Class A 153,836 10,083 Longs Drug Stores Corp. 427,318 5,477 Nash Finch Co. 149,522 20,842 Pathmark Stores, Inc. (a) 232,388
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 11,969 Ruddick Corp. $ 332,140 4,329 Smart & Final, Inc. (a) 81,818 7,000 Spartan Stores, Inc. 146,510 4,100 Weis Markets, Inc. 164,451 10,929 Wild Oats Markets, Inc. (a) 157,159 ------------- 2,479,848 --------------------------------------------------------------------------------------------------------------- Drugs & Pharmaceuticals 13,650 AVANIR Pharmaceuticals Class A (a)(e) 31,531 - 1.9% 10,500 Adams Respiratory Therapeutics, Inc. (a) 428,505 15,100 Adolor Corp. (a) 113,552 9,900 Akorn, Inc. (a) 61,875 30,600 Alkermes, Inc. (a) 409,122 13,425 Alpharma, Inc. Class A 323,542 6,300 Anadys Pharmaceuticals, Inc. (a) 30,996 14,800 Atherogenics, Inc. (a)(e) 146,668 4,700 Auxilium Pharmaceuticals, Inc. (a) 69,043 6,100 Bentley Pharmaceuticals, Inc. (a) 62,037 9,500 BioCryst Pharmaceuticals, Inc. (a) 109,820 30,348 BioMarin Pharmaceuticals, Inc. (a) 497,404 5,000 Bradley Pharmaceuticals, Inc. (a) 102,900 16,800 CV Therapeutics, Inc. (a) 234,528 1,200 Caraco Pharmaceutical Laboratories Ltd. (a) 16,800 4,900 Chattem, Inc. (a) 245,392 28,500 Dendreon Corp. (a)(e) 118,845 18,300 Depomed, Inc. (a) 63,135 17,800 Durect Corp. (a)(e) 79,032 11,000 Emisphere Technologies, Inc. (a) 58,190 10,795 Enzo Biochem, Inc. (a)(e) 154,045 1,000 GTx, Inc. (a) 17,840 3,100 Hi-Tech Pharmacal Co., Inc. (a) 37,727 19,900 Indevus Pharmaceuticals, Inc. (a) 141,290 23,089 Isis Pharmaceuticals, Inc. (a) 256,750 12,900 KV Pharmaceutical Co. Class A (a) 306,762 27,800 MGI Pharma, Inc. (a) 511,798 38,700 Medarex, Inc. (a) 572,373 15,927 Medicines Co. (a) 505,204 17,000 Medicis Pharmaceutical Corp. Class A 597,210 28,200 Nektar Therapeutics (a)(e) 428,922 4,500 New River Pharmaceuticals, Inc. (a)(e) 246,195 26,200 Novavax, Inc. (a) 107,420 9,331 Noven Pharmaceuticals, Inc. (a) 237,474 15,100 Onyx Pharmaceuticals, Inc. (a) 159,758 14,500 Pain Therapeutics, Inc. (a) 129,050 10,100 Par Pharmaceutical Cos., Inc. (a) 225,937 6,500 Penwest Pharmaceuticals Co. (a) 108,030 28,315 Perrigo Co. 489,850 9,300 Pharmion Corp. (a) 239,382 4,900 Pozen, Inc. (a) 83,251
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 8,100 Quidel Corp. (a) $ 110,322 14,019 Regeneron Pharmaceuticals, Inc. (a) 281,361 6,600 Renovis, Inc. (a) 20,856 17,700 Salix Pharmaceuticals Ltd. (a) 215,409 12,600 Santarus, Inc. (a) 98,658 10,700 Sciele Pharma, Inc. (a) 256,800 3,500 Somaxon Pharmaceuticals, Inc. (a) 49,665 17,082 SuperGen, Inc. (a) 86,777 7,346 United Therapeutics Corp. (a)(e) 399,402 29,400 Valeant Pharmaceuticals International 506,856 4,300 Xenoport, Inc. (a) 105,565 ------------- 10,890,856 --------------------------------------------------------------------------------------------------------------- Education Services - 9,404 Bright Horizons Family Solutions, Inc. (a) 363,559 0.4% 30,000 Corinthian Colleges, Inc. (a) 408,900 19,300 DeVry, Inc. 540,400 3,200 Educate, Inc. (a) 22,784 2,149 Renaissance Learning, Inc. 38,102 5,220 Strayer Education, Inc. 553,581 7,300 Universal Technical Institute, Inc. (a) 162,133 ------------- 2,089,459 --------------------------------------------------------------------------------------------------------------- Electrical & Electronics 20,329 Benchmark Electronics, Inc. (a) 495,214 - 0.2% 4,700 OSI Systems, Inc. (a) 98,371 15,398 Plexus Corp. (a) 367,704 13,700 TTM Technologies, Inc. (a) 155,221 7,507 Universal Display Corp. (a)(e) 112,680 ------------- 1,229,190 --------------------------------------------------------------------------------------------------------------- Electrical Equipment & 6,881 AO Smith Corp. 258,450 Components - 0.8% 14,400 American Superconductor Corp. (a)(e) 141,264 10,171 Baldor Electric Co. 339,915 11,408 CTS Corp. 179,106 9,518 Cohu, Inc. 191,883 3,400 Color Kinetics, Inc. (a) 72,590 6,960 Franklin Electric Co., Inc. 357,674 15,990 General Cable Corp. (a) 698,923 7,816 Genlyte Group, Inc. (a) 610,508 8,460 Littelfuse, Inc. (a) 269,705 10,800 MKS Instruments, Inc. (a) 243,864 2,431 Powell Industries, Inc. (a) 76,747 22,200 Power-One, Inc. (a) 161,616 8,100 Sonic Solutions, Inc. (a) 132,030 19,700 Taser International, Inc. (a)(e) 149,720 12,561 Technitrol, Inc. 300,082 6,179 Triumph Group, Inc. 323,965 ------------- 4,508,042 --------------------------------------------------------------------------------------------------------------- Electrical: Household 1,550 National Presto Industries, Inc. 92,799 Appliance - 0.0% --------------------------------------------------------------------------------------------------------------- Electronics - 0.6% 23,812 Aeroflex, Inc. (a) 279,077 11,863 Agilysys, Inc. 198,587
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 13,300 Avid Technology, Inc. (a) $ 495,558 11,998 Daktronics, Inc. (h) 442,126 21,800 Flir Systems, Inc. (a) 693,894 7,472 II-VI, Inc. (a) 208,768 21,700 Kopin Corp. (a) 77,469 49,366 MRV Communications, Inc. (a)(e) 174,756 11,780 Methode Electronics, Inc. 127,577 2,100 Multi-Fineline Electronix, Inc. (a) 42,609 6,749 Park Electrochemical Corp. 173,112 26,900 Semtech Corp. (a) 351,583 3,067 Supertex, Inc. (a) 120,380 ------------- 3,385,496 --------------------------------------------------------------------------------------------------------------- Electronics: Instruments, 8,982 Itron, Inc. (a) 465,627 Gauges & Meters - 0.1% 3,200 Measurement Specialties, Inc. (a) 69,248 1,800 OYO Geospace Corp. (a) 104,562 5,300 Zygo Corp. (a) 87,185 ------------- 726,622 --------------------------------------------------------------------------------------------------------------- Electronics: Medical 23,200 Affymetrix, Inc. (a) 534,992 Systems - 0.8% 3,972 Analogic Corp. 222,988 5,200 Aspect Medical Systems, Inc. (a) 97,812 6,587 Bruker BioSciences Corp. (a) 49,468 7,500 Candela Corp. (a) 92,775 5,370 Datascope Corp. 195,683 15,850 eResearch Technology, Inc. (a) 106,670 6,200 Greatbatch, Inc. (a) 166,904 8,272 Haemonetics Corp. (a) 372,405 11,100 HealthTronics, Inc. (a) 73,926 18,080 Hologic, Inc. (a) 854,822 13,300 Illumina, Inc. (a) 522,823 7,200 IntraLase Corp. (a) 161,136 9,351 Luminex Corp. (a) 118,758 8,000 Natus Medical, Inc. (a) 132,880 5,000 Neurometrix, Inc. (a)(e) 74,550 6,800 NxStage Medical, Inc. (a) 56,984 6,300 Quality Systems, Inc. 234,801 5,400 Sirona Dental Systems, Inc. 207,954 1,100 Visicu, Inc. (a) 12,320 2,161 Zoll Medical Corp. (a) 125,857 ------------- 4,416,508 --------------------------------------------------------------------------------------------------------------- Electronics: 13,100 AMIS Holdings, Inc. (a) 138,467 Semi-Conductors/ 11,516 Actel Corp. (a)(h) 209,131 Components - 1.6% 32,400 Amkor Technology, Inc. (a)(h) 302,616 13,300 Anadigics, Inc. (a) 117,838 87,700 Applied Micro Circuits Corp. (a) 312,212 26,800 Bookham, Inc. (a)(e) 109,076 27,700 Cirrus Logic, Inc. (a)(h) 190,576 152,300 Conexant Systems, Inc. (a) 310,692 9,783 DSP Group, Inc. (a) 212,291 7,575 Diodes, Inc. (a) 268,761 10,327 Exar Corp. (a) 134,251
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 3,673 Excel Technology, Inc. (a) $ 93,992 7,920 First Solar, Inc. (a) 236,016 15,700 Formfactor, Inc. (a) 584,825 13,700 Genesis Microchip, Inc. (a) 138,918 3,600 Hittite Microwave Corp. (a) 116,352 5,993 IXYS Corp. (a) 53,338 5,200 Ikanos Communications, Inc. (a) 45,188 38,000 Lattice Semiconductor Corp. (a) 246,240 18,200 MIPS Technologies, Inc. (a) 151,060 22,000 Micrel, Inc. (a) 237,160 22,390 Microsemi Corp. (a) 439,964 16,800 Microtune, Inc. (a) 78,960 29,000 Mindspeed Technologies, Inc. (a)(e) 55,390 4,600 MoSys, Inc. (a) 42,550 4,800 Monolithic Power Systems, Inc. (a) 53,328 4,700 Netlogic Microsystems, Inc. (a) 101,943 600 Nextest Systems Corp. (a) 6,762 48,200 ON Semiconductor Corp. (a) 364,874 17,300 Omnivision Technologies, Inc. (a)(e) 236,145 7,400 PLX Technology, Inc. (a) 96,496 9,493 Pericom Semiconductor Corp. (a) 108,885 10,600 Portalplayer, Inc. (a) 142,570 59,600 RF Micro Devices, Inc. (a) 404,684 25,876 Silicon Image, Inc. (a) 329,143 28,658 Silicon Storage Technology, Inc. (a) 129,248 15,800 Sirf Technology Holdings, Inc. (a) 403,216 59,433 Skyworks Solutions, Inc. (a) 420,786 2,600 Sunpower Corp. Class A (a)(e) 96,642 14,600 Tessera Technologies, Inc. (a) 588,964 54,800 Transmeta Corp. (a) 60,828 38,300 Transwitch Corp. (a)(e) 53,620 52,636 TriQuint Semiconductor, Inc. (a) 236,862 2,100 Virage Logic Corp. (a) 19,509 4,500 Volterra Semiconductor Corp. (a) 67,500 ------------- 8,747,869 --------------------------------------------------------------------------------------------------------------- Electronics: Technology 2,700 3D Systems Corp. (a)(e) 43,092 - 0.4% 11,000 Acacia Research - Acacia Technologies (a) 147,180 3,400 American Science & Engineering, Inc. (a) 202,334 12,423 Checkpoint Systems, Inc. (a) 250,945 13,400 Cogent, Inc. (a) 147,534 11,580 Coherent, Inc. (a)(h) 365,581 4,952 Cubic Corp. 107,458 5,226 EDO Corp. 124,065 4,500 Eagle Test Systems, Inc. (a) 65,610 8,000 Essex Corp. (a) 191,280 4,600 Gerber Scientific, Inc. (a) 57,776 6,750 Herley Industries, Inc. (a) 109,283 5,650 Innovative Solutions & Support, Inc. (a) 96,219
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 6,000 Ionatron, Inc. (a)(e) $ 24,600 26,600 Kemet Corp. (a) 194,180 6,200 Maxwell Technologies, Inc. (a)(e) 86,490 7,900 Scansource, Inc. (a) 240,160 ------------- 2,453,787 --------------------------------------------------------------------------------------------------------------- Energy Equipment - 0.0% 27,000 Capstone Turbine Corp. (a)(e) 33,210 4,100 Metretek Technologies, Inc. (a) 50,512 24,326 Plug Power, Inc. (a)(e) 94,628 ------------- 178,350 --------------------------------------------------------------------------------------------------------------- Energy Miscellaneous - 3,300 Alon USA Energy, Inc. 86,823 0.6% 10,240 Aventine Renewable Energy Holdings, Inc. (a) 241,254 9,900 Crosstex Energy, Inc. 313,731 3,500 Dawson Geophysical Co. (a) 127,505 22,500 Evergreen Energy, Inc. (a)(e) 222,525 22,900 Evergreen Solar, Inc. (a)(e) 173,353 16,926 FuelCell Energy, Inc. (a)(e) 109,342 220 Markwest Hydrocarbon, Inc. 10,681 4,900 Matrix Service Co. (a) 78,890 1,700 Ormat Technologies, Inc. 62,594 6,000 Pacific Ethanol, Inc. (a)(e) 92,280 5,858 Penn Virginia Corp. 410,294 43,800 Rentech, Inc. (a)(e) 165,126 12,500 Syntroleum Corp. (a) 43,250 11,097 Veritas DGC, Inc. (a) 950,236 ------------- 3,087,884 --------------------------------------------------------------------------------------------------------------- Engineering & 5,800 Clean Harbors, Inc. (a) 280,778 Contracting Services - 12,802 Dycom Industries, Inc. (a) 270,378 0.3% 2,200 ENGlobal Corp. (a) 14,146 7,700 Infrasource Services, Inc. (a) 167,629 2,800 Integrated Electrical Services, Inc. (a) 49,812 4,100 Layne Christensen Co. (a) 134,603 31,050 SAIC, Inc. (a) 552,380 ------------- 1,469,726 --------------------------------------------------------------------------------------------------------------- Entertainment - 0.3% 5,900 Carmike Cinemas, Inc. 120,301 5,240 Dover Motorsports, Inc. 27,824 13,255 Gaylord Entertainment Co. (a) 675,077 22,000 Live Nation (a) 492,800 7,072 Lodgenet Entertainment Corp. (a) 177,012 4,555 Speedway Motorsports, Inc. 174,912 ------------- 1,667,926 --------------------------------------------------------------------------------------------------------------- Fertilizers - 0.1% 30,200 Terra Industries, Inc. (a) 361,796 --------------------------------------------------------------------------------------------------------------- Finance Companies - 0.2% 6,542 Accredited Home Lenders Holding Co. (a) 178,466 4,800 Asta Funding, Inc. 146,112 2,069 Credit Acceptance Corp. (a) 68,960 12,100 International Securities Exchange, Inc. 566,159 3,500 MVC Capital, Inc. 46,760
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 2,300 United PanAm Financial Corp. (a) $ 31,648 6,900 World Acceptance Corp. (a) 323,955 ------------- 1,362,060 --------------------------------------------------------------------------------------------------------------- Finance: Small Loan - 20,800 Advance America, Cash Advance Centers, Inc. 304,720 0.1% 5,300 Dollar Financial Corp. (a) 147,658 200 QC Holdings, Inc. 3,192 ------------- 455,570 --------------------------------------------------------------------------------------------------------------- Financial Data 6,500 Advent Software, Inc. (a) 229,385 Processing Services & 750 Cass Information Systems, Inc. 27,135 Systems - 0.8% 7,989 CompuCredit Corp. (a) 318,042 9,700 Cybersource Corp. (a) 106,894 15,100 Deluxe Corp. 380,520 11,530 Digital Insight Corp. (a) 443,790 14,788 eFunds Corp. (a) 406,670 7,923 eSpeed, Inc. Class A (a) 69,168 3,300 Heartland Payment Systems, Inc. (e) 93,225 17,000 Hypercom Corp. (a) 107,950 28,600 Jack Henry & Associates, Inc. 612,040 7,882 John H. Harland Co. 395,676 9,649 Kronos, Inc. (a) 354,504 5,300 Online Resources Corp. (a) 54,113 7,900 Open Solutions, Inc. (a) 297,356 6,900 TNS, Inc. (a) 132,825 8,100 TradeStation Group, Inc. (a) 111,375 12,700 Wright Express Corp. (a) 395,859 ------------- 4,536,527 --------------------------------------------------------------------------------------------------------------- Financial Information 4,100 Bankrate, Inc. (a)(e) 155,595 Services - 0.2% 13,400 INVESTools, Inc. (a) 184,786 10,600 Interactive Data Corp. 254,824 3,700 Morningstar, Inc. (a) 166,685 36,200 Move, Inc. (a) 199,462 25,622 S1 Corp. (a) 141,177 8,200 TheStreet.com, Inc. 72,980 400 Value Line, Inc. 18,180 ------------- 1,193,689 --------------------------------------------------------------------------------------------------------------- Financial Miscellaneous 7,500 Advanta Corp. Class B 327,225 - 0.7% 5,300 Asset Acceptance Capital Corp. (a) 89,146 8,819 Cash America International, Inc. 413,611 600 Enstar Group, Inc. (a) 57,540 4,900 Federal Agricultural Mortgage Corp. Class B 132,937 8,600 Financial Federal Corp. 252,926 10,800 First Cash Financial Services, Inc. (a) 279,396 9,600 Global Cash Access, Inc. (a) 155,808 9,200 Harris & Harris Group, Inc. (a)(e) 111,228 5,099 LandAmerica Financial Group, Inc. 321,798 7,400 Medallion Financial Corp. 91,538 6,100 Portfolio Recovery Associates, Inc. (a) 284,809 4,200 Sanders Morris Harris Group, Inc. 53,634
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 20,036 Sotheby's Holdings, Inc. Class A $ 621,517 8,316 Sterling Bancorp 163,825 6,822 Stewart Information Services Corp. 295,802 2,833 Stifel Financial Corp. (a) 111,139 3,076 Triad Guaranty, Inc. (a) 168,780 2,191 WSFS Financial Corp. 146,644 600 Wauwatosa Holdings, Inc. (a) 10,692 ------------- 4,089,995 --------------------------------------------------------------------------------------------------------------- Foods - 0.9% 12,600 Chiquita Brands International, Inc. 201,222 6,900 Diamond Foods, Inc. 131,169 16,384 Flowers Foods, Inc. 442,204 11,057 Hain Celestial Group, Inc. (a) 345,089 4,300 J&J Snack Foods Corp. 178,020 9,600 Lance, Inc. 192,768 3,300 M&F Worldwide Corp. (a) 83,358 863 Maui Land & Pineapple Co., Inc. (a) 29,273 5,000 Medifast, Inc. (a) 62,900 17,600 NBTY, Inc. (a) 731,632 10,100 Performance Food Group Co. (a) 279,164 12,800 Pilgrim's Pride Corp. 376,704 3,000 Premium Standard Farms, Inc. 55,710 9,595 Ralcorp Holdings, Inc. (a) 488,290 6,550 Sanderson Farms, Inc. 198,400 112 Seaboard Corp. 197,680 14,657 Sensient Technologies Corp. 360,562 10,877 Tootsie Roll Industries, Inc. 355,678 9,500 TreeHouse Foods, Inc. (a) 296,400 ------------- 5,006,223 --------------------------------------------------------------------------------------------------------------- Forest Products - 0.1% 3,209 Deltic Timber Corp. 178,998 6,334 Universal Forest Products, Inc. 295,291 ------------- 474,289 --------------------------------------------------------------------------------------------------------------- Forms & Bulk Printing 9,100 Ennis, Inc. 222,586 Services - 0.1% 5,645 The Standard Register Co. 67,740 ------------- 290,326 --------------------------------------------------------------------------------------------------------------- Funeral Parlors & 33,324 Stewart Enterprises, Inc. Class A 208,275 Cemeteries - 0.0% --------------------------------------------------------------------------------------------------------------- Glass - 0.0% 11,900 Apogee Enterprises, Inc. 229,789 --------------------------------------------------------------------------------------------------------------- Gold - 0.1% 97,100 Coeur d'Alene Mines Corp. (a) 480,645 5,300 Royal Gold, Inc. (e) 190,694 ------------- 671,339 --------------------------------------------------------------------------------------------------------------- Health Care Facilities - 3,800 Capital Senior Living Corp. (a) 40,432 0.5% 8,800 Five Star Quality Care, Inc. (a) 98,120 7,300 Genesis HealthCare Corp. (a) 344,779 8,990 Kindred Healthcare, Inc. (a) 226,997 6,350 LCA-Vision, Inc. (e) 218,186 3,700 Medcath Corp. (a) 101,232 1,800 National Healthcare Corp. 99,360 17,400 Psychiatric Solutions, Inc. (a) 652,848
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 5,000 Radiation Therapy Services, Inc. (a) $ 157,600 5,800 Res-Care, Inc. (a) 105,270 10,200 Sun Healthcare Group, Inc. (a) 128,826 13,674 Sunrise Senior Living, Inc. (a) 420,065 15,950 United Surgical Partners International, Inc. (a) 452,183 ------------- 3,045,898 --------------------------------------------------------------------------------------------------------------- Health Care Management 16,400 AMERIGROUP Corp. (a) 588,596 Services - 0.6% 14,141 Allscripts Healthcare Solutions, Inc. (a) 381,666 11,300 Amsurg Corp. (a) 259,900 12,400 Centene Corp. (a) 304,668 4,100 Computer Programs & Systems, Inc. 139,359 2,485 Corvel Corp. (a) 118,211 16,431 Eclipsys Corp. (a) 337,821 4,700 Healthspring, Inc. (a) 95,645 7,200 Horizon Health Corp. (a) 140,904 3,900 Molina Healthcare, Inc. (a) 126,789 7,700 Omnicell, Inc. (a) 143,451 12,237 Per-Se Technologies, Inc. (a) 339,944 10,800 Phase Forward, Inc. (a) 161,784 5,500 Vital Images, Inc. (a) 191,400 ------------- 3,330,138 --------------------------------------------------------------------------------------------------------------- Health Care Services - 6,500 Adeza Biomedical Corp. (a) 96,915 0.5% 3,600 Alliance Imaging, Inc. (a) 23,940 5,866 Amedisys, Inc. (a) 192,815 13,400 Apria Healthcare Group, Inc. (a) 357,110 4,600 Bio-Reference Labs, Inc. (a) 103,454 10,912 Gentiva Health Services, Inc. (a) 207,983 11,025 Healthcare Services Group 319,284 11,700 Healthways, Inc. (a) 558,207 12,700 Hythiam, Inc. (a)(e) 117,348 2,000 LHC Group, Inc. (a) 57,020 7,900 Matria Healthcare, Inc. (a) 226,967 500 Nighthawk Radiology Holdings, Inc. (a) 12,750 11,000 Odyssey HealthCare, Inc. (a) 145,860 5,200 Symbion, Inc. (a) 96,252 5,300 VistaCare, Inc. Class A (a) 53,795 ------------- 2,569,700 --------------------------------------------------------------------------------------------------------------- Homebuilding - 0.3% 17,000 Hovnanian Enterprises, Inc. Class A (a) 576,300 5,460 Levitt Corp. Class A 66,830 4,900 M/I Homes, Inc. 187,131 7,500 Meritage Homes Corp. (a) 357,900 700 Orleans Homebuilders, Inc. 13,160 6,062 Technical Olympic USA, Inc. 61,651 12,700 WCI Communities, Inc. (a)(e) 243,586 ------------- 1,506,558 ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- Hotel/Motel - 0.1% 6,500 Lodgian, Inc. (a) $ 88,400 6,379 Marcus Corp. 163,175 7,900 Morgans Hotel Group Co. (a) 133,747 ------------- 385,322 --------------------------------------------------------------------------------------------------------------- Household Furnishings - 4,900 American Woodmark Corp. (e) 205,065 0.4% 9,900 Ethan Allen Interiors, Inc. 357,489 14,100 Furniture Brands International, Inc. 228,843 8,836 Haverty Furniture Cos., Inc. 130,773 1,600 Hooker Furniture Corp. 25,056 17,200 La-Z-Boy, Inc. (e) 204,164 5,000 Lifetime Brands, Inc. 82,150 4,700 Sealy Corp. 69,325 17,900 Select Comfort Corp. (a) 311,281 4,800 Stanley Furniture Co., Inc. 102,960 15,800 Tempur-Pedic International, Inc. (a) 323,268 ------------- 2,040,374 --------------------------------------------------------------------------------------------------------------- Identification Control & 9,912 Advanced Energy Industries, Inc. (a) 187,039 Filter Devices - 0.5% 15,341 Asyst Technologies, Inc. (a) 112,143 3,100 Badger Meter, Inc. 85,870 8,132 ESCO Technologies, Inc. (a) 369,518 7,600 Flanders Corp. (a) 75,240 2,219 The Gorman-Rupp Co. 82,027 22,228 L-1 Identity Solutions, Inc. (a)(h) 336,310 9,826 Mine Safety Appliances Co. 360,123 11,982 Paxar Corp. (a) 276,305 7,700 RAE Systems, Inc. (a) 24,640 3,912 Robbins & Myers, Inc. 179,639 9,727 Veeco Instruments, Inc. (a) 182,187 5,996 Vicor Corp. 66,616 8,436 Watts Water Technologies, Inc. Class A 346,804 10,517 X-Rite, Inc. 129,359 ------------- 2,813,820 --------------------------------------------------------------------------------------------------------------- Industrial Products - 7,000 Smith & Wesson Holding Corp. (a) 72,380 0.0% 4,000 TAL International Group, Inc. 106,760 ------------- 179,140 --------------------------------------------------------------------------------------------------------------- Insurance: Life - 0.4% 21,500 American Equity Investment Life Holding Co. 280,145 14,005 Delphi Financial Group Class A 566,642 2,780 Great American Financial Resources, Inc. 64,079 1,042 Kansas City Life Insurance Co. 51,912 662 National Western Life Insurance Co. Class A 152,353 35,700 The Phoenix Cos., Inc. 567,273 6,793 Presidential Life Corp. 149,106 11,300 Universal American Financial Corp. (a) 210,632 ------------- 2,042,142 --------------------------------------------------------------------------------------------------------------- Insurance: Multi-Line - 10,240 Alfa Corp. 192,614 0.4% 2,986 CNA Surety Corp. (a) 64,199 7,409 Crawford & Co. Class B 54,086
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 2,000 EMC Insurance Group, Inc. $ 68,240 3,225 FBL Financial Group, Inc. Class A 126,033 8,400 HealthExtras, Inc. (a) 202,440 11,006 Hilb Rogal & Hobbs Co. 463,573 16,668 Horace Mann Educators Corp. 336,694 1,240 Independence Holding Co. 27,069 11,100 Meadowbrook Insurance Group, Inc. (a) 109,779 2,297 Pico Holdings, Inc. (a) 79,867 13,255 Zenith National Insurance Corp. 621,792 ------------- 2,346,386 --------------------------------------------------------------------------------------------------------------- Insurance: 10,100 21st Century Insurance Group 178,265 Property-Casualty - 1.2% 4,550 Affirmative Insurance Holdings, Inc. 74,028 4,756 American Physicians Capital, Inc. (a) 190,430 11,566 Argonaut Group, Inc. (a) 403,191 4,032 Baldwin & Lyons, Inc. Class B 102,977 4,500 Bristol West Holdings, Inc. 71,235 17,200 Commerce Group, Inc. 511,700 3,400 Darwin Professional Underwriters, Inc. (a) 79,730 4,700 Direct General Corp. 97,008 3,244 Donegal Group, Inc. Class A 63,550 4,500 FPIC Insurance Group, Inc. (a) 175,365 3,500 First Acceptance Corp. (a) 37,520 20,900 Fremont General Corp. 338,789 4,362 Harleysville Group, Inc. 151,885 6,600 Infinity Property & Casualty Corp. 319,374 1,500 James River Group, Inc. (a)(e) 48,480 2,858 The Midland Co. 119,893 500 NYMAGIC, Inc. 18,300 4,100 National Interstate Corp. 99,630 4,100 Navigators Group, Inc. (a) 197,538 2,500 Odyssey Re Holdings Corp. 93,250 21,515 Ohio Casualty Corp. 641,362 10,206 PMA Capital Corp. Class A (a) 94,099 10,523 ProAssurance Corp. (a) 525,308 6,754 RLI Corp. 381,061 1,900 SCPIE Holdings, Inc. (a) 49,666 5,500 Safety Insurance Group, Inc. 278,905 7,800 SeaBright Insurance Holdings, Inc. (a) 140,478 9,854 Selective Insurance Group 564,536 3,512 State Auto Financial Corp. 121,972 6,500 Tower Group, Inc. 201,955 8,100 United Fire & Casualty Co. 285,525 ------------- 6,657,005 --------------------------------------------------------------------------------------------------------------- Investment Management 24,856 Apollo Investment Corp. 556,782 Companies - 0.6% 14,139 Ares Capital Corp. 270,196 8,800 Calamos Asset Management, Inc. Class A 236,104 500 Capital Southwest Corp. 63,120 2,500 Cohen & Steers, Inc. 100,425 2,796 GAMCO Investors, Inc. Class A 107,534
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 20,200 MCG Capital Corp. $ 410,464 8,723 NGP Capital Resources Co. 146,110 12,000 National Financial Partners Corp. 527,640 3,200 Technology Investment Capital Corp. 51,648 28,300 Waddell & Reed Financial, Inc. Class A 774,288 ------------- 3,244,311 --------------------------------------------------------------------------------------------------------------- Jewelry, Watches & 16,000 Fossil, Inc. (a) 361,280 Gemstones - 0.1% 7,200 Movado Group, Inc. 208,800 ------------- 570,080 --------------------------------------------------------------------------------------------------------------- Leisure Time - 0.3% 9,400 Bally Total Fitness Holding Corp. (a)(e) 23,030 24,000 Callaway Golf Co. 345,840 8,500 Great Wolf Resorts, Inc. (a) 118,660 12,800 K2, Inc. (a) 168,832 9,600 Life Time Fitness, Inc. (a) 465,696 19,900 Six Flags, Inc. (a)(e) 104,276 2,300 Steinway Musical Instruments, Inc. (a) 71,415 9,556 Vail Resorts, Inc. (a) 428,300 4,800 West Marine, Inc. (a) 82,896 ------------- 1,808,945 --------------------------------------------------------------------------------------------------------------- Machinery & Engineering 14,190 Applied Industrial Technologies, Inc. 373,339 - 0.1% --------------------------------------------------------------------------------------------------------------- Machinery: Agricultural 3,450 Gehl Co. (a) 94,978 - 0.1% 5,013 Lindsay Manufacturing Co. 163,674 ------------- 258,652 --------------------------------------------------------------------------------------------------------------- Machinery: Construction 7,600 ASV, Inc. (a)(e) 123,652 & Handling - 0.1% 5,417 Astec Industries, Inc. (a) 190,137 1,587 NACCO Industries, Inc. Class A 216,784 ------------- 530,573 --------------------------------------------------------------------------------------------------------------- Machinery: Engines - 17,000 Briggs & Stratton Corp. 458,150 0.1% 4,500 Raser Techonologies, Inc. (a)(e) 27,540 ------------- 485,690 --------------------------------------------------------------------------------------------------------------- Machinery: 8,300 Actuant Corp. Class A 395,495 Industrial/Specialty - 5,000 Columbus McKinnon Corp. (a) 105,100 0.4% 1,400 DXP Enterprises, Inc. (a) 49,056 6,700 EnPro Industries, Inc. (a) 222,507 3,970 Kadant, Inc. (a) 96,789 2,200 Middleby Corp. (a) 230,274 9,310 Nordson Corp. 463,917 7,328 Tecumseh Products Co. Class A (a) 123,843 5,174 Tennant Co. 150,046 9,279 Woodward Governor Co. 368,469 ------------- 2,205,496 --------------------------------------------------------------------------------------------------------------- Machinery: Oil Well 2,800 Allis-Chalmers Energy, Inc. (a) 64,512 Equipment & Services - 2,800 Basic Energy Services, Inc. (a) 69,020 1.0% 7,502 CARBO Ceramics, Inc. 280,350 7,300 Complete Production Services, Inc. (a)(h) 154,760 6,376 Dril-Quip, Inc. (a) 249,684
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 5,917 Gulf Island Fabrication, Inc. $ 218,337 32,443 Hanover Compressor Co. (a) 612,848 7,140 Hornbeck Offshore Services, Inc. (a) 254,898 6,449 Hydril Co. (a) 484,900 22,346 Input/Output, Inc. (a) 304,576 5,500 Lufkin Industries, Inc. 319,440 5,800 NATCO Group, Inc. Class A (a) 184,904 28,320 Newpark Resources, Inc. (a) 204,187 15,700 Oil States International, Inc. (a) 506,011 34,281 Parker Drilling Co. (a) 280,076 10,200 RPC, Inc. 172,176 8,900 Sulphco, Inc. (a)(e) 42,008 2,100 Superior Well Services, Inc. (a)(e) 53,676 400 T-3 Energy Services, Inc. (a) 8,820 5,100 Trico Marine Services, Inc. (a) 195,381 1,900 Union Drilling, Inc. (a) 26,752 9,826 Universal Compression Holdings, Inc. (a) 610,293 9,957 W-H Energy Services, Inc. (a) 484,806 ------------- 5,782,415 --------------------------------------------------------------------------------------------------------------- Machinery: Specialty - 10,300 Bucyrus International, Inc. 533,128 0.2% 4,000 Cascade Corp. 211,600 4,441 Semitool, Inc. (a) 59,110 4,300 TurboChef Technologies, Inc. (a)(e) 73,186 ------------- 877,024 --------------------------------------------------------------------------------------------------------------- Manufactured Housing - 1,300 Cavco Industries, Inc. (a) 45,552 0.1% 24,127 Champion Enterprises, Inc. (a) 225,829 3,905 Palm Harbor Homes, Inc. (a)(e) 54,748 2,201 Skyline Corp. 88,524 ------------- 414,653 --------------------------------------------------------------------------------------------------------------- Manufacturing - 0.1% 15,259 Federal Signal Corp. 244,754 3,931 Standex International Corp. 118,441 ------------- 363,195 --------------------------------------------------------------------------------------------------------------- Medical & Dental 7,700 Abaxis, Inc. (a) 148,225 Instruments & Supplies - 5,600 Abiomed, Inc. (a) 78,960 2.2% 17,700 Align Technology, Inc. (a) 247,269 21,600 American Medical Systems Holdings, Inc. (a) 400,032 3,400 Angiodynamics, Inc. (a) 73,066 6,608 Arrow International, Inc. 233,791 5,800 Bio-Rad Laboratories, Inc. Class A (a) 478,616 5,149 Biosite, Inc. (a) 251,529 17,300 Cepheid, Inc. (a) 147,050 6,600 Cerus Corp. (a) 38,676 6,100 Conceptus, Inc. (a) 129,869 10,428 Conmed Corp. (a) 241,095 9,800 Conor Medsystems, Inc. (a) 307,034 8,169 Cyberonics, Inc. (a)(e) 168,608 7,100 DJO, Inc. (a) 304,022 7,500 DexCom, Inc. (a) 73,950
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 3,000 ev3, Inc. (a) $ 51,690 5,500 FoxHollow Technologies, Inc. (a) 118,690 7,600 I-Flow Corp. (a) 113,620 5,650 ICU Medical, Inc. (a) 229,842 7,700 IRIS International, Inc. (a) 97,405 21,543 Immucor, Inc. (a) 629,702 9,822 Invacare Corp. 241,130 8,640 Inverness Medical Innovations, Inc. (a) 334,368 14,600 Kyphon, Inc. (a) 589,840 2,678 Landauer, Inc. 140,515 10,200 Lifecell Corp. (a) 246,228 1,600 Medical Action Industries, Inc. (a) 51,584 13,044 Mentor Corp. 637,460 6,700 Meridian Bioscience, Inc. 164,351 11,110 Merit Medical Systems, Inc. (a) 175,982 6,937 Molecular Devices Corp. (a) 146,163 500 Northstar Neuroscience, Inc. (a) 7,190 12,800 NuVasive, Inc. (a) 295,680 17,059 OraSure Technologies, Inc. (a) 140,907 12,698 Owens & Minor, Inc. 397,066 23,473 PSS World Medical, Inc. (a) 458,428 5,300 Palomar Medical Technologies, Inc. (a)(e) 268,551 8,529 PolyMedica Corp. 344,657 6,315 SonoSite, Inc. (a) 195,323 12,200 Spectranetic Corp. (a) 137,738 10,200 Stereotaxis, Inc. (a) 105,264 21,400 Steris Corp. 538,638 6,183 SurModics, Inc. (a) 192,415 10,000 Symmetry Medical, Inc. (a) 138,300 24,100 ThermoGenesis Corp. (a) 103,148 17,547 Thoratec Corp. (a) 308,476 9,160 Ventana Medical Systems, Inc. (a) 394,155 9,700 Viasys Healthcare, Inc. (a) 269,854 1,524 Vital Signs, Inc. 76,078 9,876 West Pharmaceutical Services, Inc. 505,947 12,800 Wright Medical Group, Inc. (a) 297,984 600 Young Innovations, Inc. 19,980 ------------- 12,486,141 --------------------------------------------------------------------------------------------------------------- Medical Services - 0.2% 4,600 Air Methods Corp. (a) 128,432 11,400 Magellan Health Services, Inc. (a) 492,708 11,371 Option Care, Inc. 162,037 9,297 Parexel International Corp. (a) 269,334 7,395 RehabCare Group, Inc. (a) 109,816 ------------- 1,162,327 --------------------------------------------------------------------------------------------------------------- Metal Fabricating - 0.7% 1,500 Ampco-Pittsburgh Corp. 50,220 3,900 CIRCOR International, Inc. 143,481 300 Compx International, Inc. 6,048 3,200 Dynamic Materials Corp. 89,792
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 8,450 Encore Wire Corp. (e) $ 185,984 5,800 Insteel Industries, Inc. 103,182 10,426 Kaydon Corp. 414,329 4,600 LB Foster Co. Class A (a) 119,186 9,558 Lone Star Technologies, Inc. (a) 462,703 32,660 Mueller Water Products, Inc. Series A 485,654 5,765 NN, Inc. 71,659 12,010 Quanex Corp. 415,426 8,100 RBC Bearings, Inc. (a) 232,146 6,913 RTI International Metals, Inc. (a) 540,735 8,293 Ryerson, Inc. 208,071 7,500 Superior Essex, Inc. (a) 249,375 5,458 Valmont Industries, Inc. 302,864 ------------- 4,080,855 --------------------------------------------------------------------------------------------------------------- Metals & Minerals 2,500 AM Castle & Co. 63,625 Miscellaneous - 0.5% 6,873 AMCOL International Corp. 190,657 7,211 Brush Engineered Materials, Inc. (a) 243,515 13,836 Cleveland-Cliffs, Inc. 670,216 9,100 Compass Minerals International, Inc. 287,196 31,244 GrafTech International Ltd. (a) 216,208 43,900 Hecla Mining Co. (a) 336,274 6,653 Minerals Technologies, Inc. 391,130 12,564 Stillwater Mining Co. (a) 156,924 ------------- 2,555,745 --------------------------------------------------------------------------------------------------------------- Milling: Fruit & Grain 4,100 MGP Ingredients, Inc. 92,701 Processing - 0.0% --------------------------------------------------------------------------------------------------------------- Miscellaneous Business & 2,600 Core-Mark Holdings Co., Inc. (a) 86,970 Consumer Discretionary - 0.0% --------------------------------------------------------------------------------------------------------------- Miscellaneous Consumer 7,200 Reddy Ice Holdings, Inc. 185,904 Staples - 0.0% --------------------------------------------------------------------------------------------------------------- Miscellaneous Materials 8,450 Ceradyne, Inc. (a) 477,425 & Commodities - 0.2% 11,779 Symyx Technologies Inc. (a) 254,309 6,789 WD-40 Co. 236,732 ------------- 968,466 --------------------------------------------------------------------------------------------------------------- Miscellaneous Materials 8,938 Insituform Technologies, Inc. Class A (a) 231,137 & Processing - 0.2% 9,800 Metal Management, Inc. 370,930 5,255 Rogers Corp. (a) 310,833 27,459 USEC, Inc. (a) 349,278 1,900 Xerium Technologies, Inc. 18,601 ------------- 1,280,779 --------------------------------------------------------------------------------------------------------------- Miscellaneous Producer 27,200 BE Aerospace, Inc. (a) 698,496 Durables - 0.1% 11,100 Blount International, Inc. (a) 149,406 ------------- 847,902 --------------------------------------------------------------------------------------------------------------- Miscellaneous Technology 6,500 IHS, Inc. Class A (a) 256,620 - 0.1% 2,700 iRobot Corp. (a) 48,762 ------------- 305,382 --------------------------------------------------------------------------------------------------------------- Multi-Sector Companies - 4,800 Compass Diversified Trust 82,320 0.3% 18,471 GenCorp, Inc. (a)(e) 258,963 4,200 GenTek Inc. (a) 145,278
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 7,594 Kaman Corp. Class A $ 170,030 8,099 Lancaster Colony Corp. 358,867 6,500 Raven Industries, Inc. 174,200 1,765 Sequa Corp. Class A (a) 203,081 ------------- 1,392,739 --------------------------------------------------------------------------------------------------------------- Office Furniture & 14,300 ACCO Brands Corp. (a)(h) 378,521 Business Equipment - 22,200 Herman Miller, Inc. 807,192 0.3% 8,274 Kimball International, Inc. Class B 201,058 9,400 Knoll, Inc. 206,800 9,840 Presstek, Inc. (a) 62,582 ------------- 1,656,153 --------------------------------------------------------------------------------------------------------------- Offshore Drilling - 0.1% 8,554 Atwood Oceanics, Inc. (a) 418,889 3,000 Bois d'Arc Energy, Inc. (a) 43,890 5,700 Hercules Offshore, Inc. (a) 164,730 ------------- 627,509 --------------------------------------------------------------------------------------------------------------- Oil: Crude Producers - 7,400 ATP Oil & Gas Corp. (a) 292,818 1.7% 2,800 Arena Resources, Inc. (a) 119,588 6,650 Atlas America, Inc. (a) 338,950 18,100 Aurora Oil & Gas Corp. (a) 58,101 13,002 Berry Petroleum Co. Class A 403,192 8,600 Bill Barrett Corp. (a) 234,006 19,300 Brigham Exploration Co. (a) 141,083 6,000 Bronco Drilling Co., Inc. (a) 103,140 5,600 Callon Petroleum Co. (a) 84,168 5,600 Carrizo Oil & Gas, Inc. (a) 162,512 2,400 Clayton Williams Energy, Inc. (a) 87,144 13,657 Comstock Resources, Inc. (a) 424,186 800 Delek US Holdings, Inc. 13,112 13,900 EXCO Resources, Inc. (a) 235,049 7,300 Edge Petroleum Corp. (a) 133,152 18,800 Encore Acquisition Co. (a) 461,164 14,300 Energy Partners Ltd. (a) 349,206 12,000 The Exploration Co. of Delaware, Inc. (a) 160,080 21,900 Gasco Energy, Inc. (a)(e) 53,655 5,700 GeoGlobal Resources, Inc. (a) 44,745 4,200 Goodrich Petroleum Corp. (a) 151,956 61,643 Grey Wolf, Inc. (a) 422,871 1,000 Gulfport Energy Corp. (a) 13,590 12,700 Harvest Natural Resources, Inc. (a) 135,001 8,983 Houston Exploration Co. (a) 465,140 23,200 Mariner Energy, Inc. (a) 454,720 9,900 McMoRan Exploration Co. (a)(e) 140,778 27,511 Meridian Resource Corp. (a) 85,009 12,800 Parallel Petroleum Corp. (a) 224,896 45,062 PetroHawk Energy Corp. (a) 518,213 6,300 Petroleum Development Corp. (a) 271,215 13,000 Petroquest Energy, Inc. (a) 165,620 12,300 Pioneer Drilling Co. (a) 163,344
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 8,900 Quest Resource Corp. (a) $ 89,890 4,949 Resource America, Inc. Class A 130,654 15,600 Rosetta Resources, Inc. (a) 291,252 8,578 Stone Energy Corp. (a) 303,232 9,217 Swift Energy Co. (a) 413,014 4,300 Toreador Resources Corp. (a) 110,811 20,000 Transmeridian Exploration, Inc. (a) 69,000 6,210 VeraSun Energy Corp. (a)(e) 122,648 16,400 Warren Resources, Inc. (a) 192,208 6,500 Western Refining, Inc. 165,490 11,710 Whiting Petroleum Corp. (a) 545,686 ------------- 9,545,289 --------------------------------------------------------------------------------------------------------------- Oil: Integrated Domestic 19,500 Delta Petroleum Corp. (a)(e) 450,645 - 0.2% 3,400 GMX Resources Inc. (a) 120,700 4,500 Giant Industries, Inc. (a) 337,275 ------------- 908,620 --------------------------------------------------------------------------------------------------------------- Oil: Integrated 21,700 Vaalco Energy, Inc. (a) 146,475 International - 0.0% --------------------------------------------------------------------------------------------------------------- Paints & Coatings - 0.2% 16,576 Ferro Corp. 342,957 20,380 H.B. Fuller Co. 526,212 1,693 Kronos Worldwide, Inc. 55,124 ------------- 924,293 --------------------------------------------------------------------------------------------------------------- Paper - 0.4% 9,726 Albany International Corp. Class A 320,083 16,800 Bowater, Inc. 378,000 7,698 Buckeye Technologies, Inc. (a) 92,222 9,974 Caraustar Industries, Inc. (a) 80,690 8,892 Chesapeake Corp. 151,342 8,600 Mercer International, Inc.-Sbi (a)(e) 102,082 4,700 Neenah Paper, Inc. 166,004 14,101 P.H. Glatfelter Co. 218,566 8,080 Rock-Tenn Co. Class A 219,049 14,242 Wausau Paper Corp. 213,488 ------------- 1,941,526 --------------------------------------------------------------------------------------------------------------- Plastics - 0.1% 5,600 The Lamson & Sessions Co. (a) 135,856 4,300 PW Eagle, Inc. (e) 148,350 12,354 Spartech Corp. 323,922 ------------- 608,128 --------------------------------------------------------------------------------------------------------------- Pollution Control & 5,600 American Ecology Corp. 103,656 Environmental Services - 4,300 Basin Water, Inc. (a)(e) 29,111 0.1% 19,000 Darling International, Inc. (a) 104,690 14,546 Headwaters, Inc. (a) 348,522 3,100 Team, Inc. (a) 107,973 ------------- 693,952 --------------------------------------------------------------------------------------------------------------- Power Transmission 9,751 Regal-Beloit Corp. 512,025 Equipment - 0.1% --------------------------------------------------------------------------------------------------------------- Printing & Copying 12,882 Bowne & Co., Inc. 205,339 Services - 0.1% 16,900 Cenveo, Inc. (a) 358,280 6,900 Schawk, Inc. 134,826 ------------- 698,445 ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- Production Technology 12,457 ATMI, Inc. (a)(h) $ 380,312 Equipment - 1.1% 37,800 Axcelis Technologies, Inc. (a) 220,374 23,678 Brooks Automation, Inc. (a) 340,963 14,556 Cognex Corp. 346,724 40,468 Credence Systems Corp. (a) 210,434 12,000 Cymer, Inc. (a)(h) 527,400 6,331 Dionex Corp. (a) 359,031 11,161 Electro Scientific Industries, Inc. (a) 224,783 16,700 Emcore Corp. (a)(e) 92,351 43,499 Entegris, Inc. (a) 470,659 7,690 Esterline Technologies Corp. (a) 309,369 9,255 FEI Co. (a) 244,054 8,000 Intevac, Inc. (a) 207,600 22,256 Kulicke & Soffa Industries, Inc. (a) 186,950 24,503 LTX Corp. (a) 137,217 6,200 MTS Systems Corp. 239,444 20,299 Mattson Technology, Inc. (a) 189,187 7,462 Photon Dynamics, Inc. (a) 87,231 11,979 Photronics, Inc. (a) 195,737 5,600 Rofin-Sinar Technologies, Inc. (a) 338,576 10,073 Rudolph Technologies, Inc. (a) 160,362 8,490 Ultratech, Inc. (a) 105,955 18,113 Varian Semiconductor Equipment Associates, Inc. (a) 824,504 ------------- 6,399,217 --------------------------------------------------------------------------------------------------------------- Publishing: Miscellaneous 8,394 Banta Corp. 305,542 - 0.4% 4,000 Consolidated Graphics, Inc. (a) 236,280 2,150 Courier Corp. 83,785 5,940 GateHouse Media, Inc. 110,246 7,982 Martha Stewart Living Omnimedia, Inc. Class A 174,806 9,907 Playboy Enterprises, Inc. Class B (a) 113,534 56,100 Primedia, Inc. (a) 94,809 2,800 Private Media Group, Inc. (a) 11,284 34,900 The Reader's Digest Association, Inc. Class A 582,830 11,960 Scholastic Corp. (a) 428,646 ------------- 2,141,762 --------------------------------------------------------------------------------------------------------------- Publishing: Newspapers - 29,800 Belo Corp. Class A 547,426 0.3% 11,100 Journal Communications, Inc. Class A 139,971 14,033 Journal Register Co. 102,441 14,700 Lee Enterprises, Inc. 456,582 8,400 Media General, Inc. Class A 312,228 29,629 Sun-Times Media Group, Inc. 145,478 ------------- 1,704,126 --------------------------------------------------------------------------------------------------------------- Radio & TV Broadcasters 15,700 CKX, Inc. (a) 184,161 - 0.4% 11,700 Citadel Broadcasting Corp. 116,532 17,800 Cox Radio, Inc. Class A (a) 290,140 16,000 Cumulus Media, Inc. Class A (a) 166,240 12,000 Emmis Communications Corp. Class A 98,880 9,500 Entercom Communications Corp. 267,710
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 1,500 Fisher Communications, Inc. (a) $ 66,315 18,200 Gray Television, Inc. 133,406 11,000 Lin TV Corp. Class A (a) 109,450 4,200 Outdoor Channel Holdings, Inc. (a) 53,886 24,200 Radio One, Inc. Class D (a) 163,108 3,183 Salem Communications Corp. Class A 38,037 19,064 Sinclair Broadcast Group, Inc. Class A 200,172 14,884 Spanish Broadcasting System, Inc. Class A (a) 61,173 18,900 Westwood One, Inc. 133,434 9,396 World Wrestling Entertainment, Inc. 153,155 ------------- 2,235,799 --------------------------------------------------------------------------------------------------------------- Railroad Equipment - 1,700 American Railcar Industries, Inc. 57,868 0.2% 4,700 Freightcar America, Inc. 260,615 4,500 Greenbrier Cos., Inc. 135,000 15,339 Westinghouse Air Brake Technologies Corp. 465,999 ------------- 919,482 --------------------------------------------------------------------------------------------------------------- Railroads - 0.2% 11,181 Florida East Coast Industries, Inc. 666,388 11,475 Genesee & Wyoming, Inc. Class A (a) 301,104 12,302 RailAmerica, Inc. (a) 197,816 ------------- 1,165,308 --------------------------------------------------------------------------------------------------------------- Real Estate - 0.1% 1,200 AMREP Corp. (e) 147,000 1,800 Avatar Holdings, Inc. (a)(e) 145,530 5,500 Bluegreen Corp. (a) 70,565 3,200 California Coastal Communities, Inc. (a) 68,640 1,800 Consolidated-Tomoka Land Co. 130,320 4,800 Housevalues, Inc. (a)(e) 27,024 5,200 Newkirk Realty Trust, Inc. 93,808 2,715 Tejon Ranch Co. (a) 151,606 ------------- 834,493 --------------------------------------------------------------------------------------------------------------- Real Estate Investment 10,001 Acadia Realty Trust 250,225 Trusts (REITs) - 5.8% 9,800 Affordable Residential Communities Inc. (a) 114,170 3,800 Agree Realty Corp. 130,606 567 Alexander's, Inc. (a) 237,942 9,276 Alexandria Real Estate Equities, Inc. 931,310 7,250 American Campus Communities, Inc. 206,408 39,600 American Financial Realty Trust (h) 453,024 13,987 American Home Mortgage Investment Corp. (h) 491,223 22,200 Anthracite Capital, Inc. (h) 282,606 14,400 Anworth Mortgage Asset Corp. 136,944 5,500 Arbor Realty Trust, Inc. 165,495 19,000 Ashford Hospitality Trust, Inc. (h) 236,550 20,720 BioMed Realty Trust, Inc. 592,592 14,700 Capital Lease Funding, Inc. 170,520 2,700 Capital Trust, Inc. 134,838 7,300 Cedar Shopping Centers, Inc. 116,143 3,500 CentraCore Properties Trust 113,155
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 12,000 Corporate Office Properties Trust (h) $ 605,640 12,100 Cousins Properties, Inc. 426,767 24,200 Crescent Real Estate EQT Co. (h) 477,950 14,600 Deerfield Triarc Capital Corp. 247,178 19,300 DiamondRock Hospitality Co. 347,593 6,840 Digital Realty Trust, Inc. 234,133 7,027 Eastgroup Properties, Inc. 376,366 11,200 Education Realty Trust, Inc. 165,424 8,580 Entertainment Properties Trust 501,415 17,240 Equity Inns, Inc. 275,150 6,494 Equity Lifestyle Properties, Inc. 353,468 11,000 Equity One, Inc. 293,260 14,750 Extra Space Storage, Inc. 269,335 18,470 FelCor Lodging Trust, Inc. 403,385 20,000 Fieldstone Investment Corp. 87,600 15,100 First Industrial Realty Trust, Inc. 708,039 6,800 First Potomac Realty Trust 197,948 15,500 Franklin Street Properties Corp. 326,275 46,600 Friedman Billings Ramsey Group, Inc. Class A 372,800 12,590 GMH Communities Trust 127,789 5,200 Getty Realty Corp. 160,680 11,656 Glimcher Realty Trust 311,332 3,950 Gramercy Capital Corp. 122,016 15,000 Healthcare Realty Trust, Inc. 593,100 13,600 Hersha Hospitality Trust 154,224 17,300 Highland Hospitality Corp. 246,525 16,900 Highwoods Properties, Inc. 688,844 10,720 Home Properties, Inc. 635,374 17,000 HomeBanc Corp. 71,910 24,100 IMPAC Mortgage Holdings, Inc. 212,080 21,400 Inland Real Estate Corp. 400,608 13,692 Innkeepers USA Trust 212,226 14,800 Investors Real Estate Trust 151,848 6,000 JER Investors Trust, Inc. 124,020 25,000 KKR Financial Corp. 669,750 7,240 Kite Realty Group Trust 134,809 6,800 LTC Properties, Inc. 185,708 13,320 LaSalle Hotel Properties 610,722 21,332 Lexington Corporate Properties Trust 478,263 25,990 Longview Fibre Co. 570,481 17,200 Luminent Mortgage Capital, Inc. 167,012 25,100 MFA Mortgage Investments, Inc. 193,019 13,700 Maguire Properties, Inc. 548,000 16,200 Medical Properties Trust, Inc. 247,860 8,529 Mid-America Apartment Communities, Inc. 488,200 17,600 The Mills Corp. 352,000 9,250 MortgageIT Holdings, Inc. 136,438 7,429 National Health Investors, Inc. 245,157
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 17,775 National Retail Properties, Inc. $ 407,936 25,559 Nationwide Health Properties, Inc. 772,393 13,900 Newcastle Investment Corp. 435,348 13,400 NorthStar Realty Finance Corp. 222,038 10,400 Novastar Financial, Inc. (e) 277,160 18,400 Omega Healthcare Investors, Inc. 326,048 5,308 PS Business Parks, Inc. 375,329 3,804 Parkway Properties, Inc. 194,042 11,632 Pennsylvania Real Estate Investment Trust 458,068 13,386 Post Properties, Inc. 611,740 13,247 Potlatch Corp. 580,484 16,620 RAIT Investment Trust 573,058 7,000 Ramco-Gershenson Properties Trust 266,980 31,600 Realty Income Corp. 875,320 6,195 Redwood Trust, Inc. 359,806 12,500 Republic Property Trust (e) 144,250 3,422 Saul Centers, Inc. 188,860 20,214 Senior Housing Properties Trust 494,839 6,704 Sovran Self Storage, Inc. 384,005 33,300 Spirit Finance Corp. 415,251 24,900 Strategic Hotel Capital, Inc. 542,571 7,243 Sun Communities, Inc. 234,383 18,900 Sunstone Hotel Investors, Inc. 505,197 9,822 Tanger Factory Outlet Centers, Inc. 383,844 2,875 Tarragon Corp. 34,989 21,400 Trustreet Properties, Inc. 360,590 13,470 U-Store-It Trust 276,809 3,927 Universal Health Realty Income Trust 153,074 6,700 Urstadt Biddle Properties, Inc. Class A 127,903 15,065 Washington Real Estate Investment Trust 602,600 8,255 Winston Hotels, Inc. 109,379 2,300 Winthrop Realty Trust, Inc. 15,755 ------------- 32,383,521 --------------------------------------------------------------------------------------------------------------- Recreational Vehicles & 5,643 Arctic Cat, Inc. 99,260 Boats - 0.2% 20,199 Fleetwood Enterprises, Inc. (a) 159,774 2,075 Marine Products Corp. 24,361 8,524 Monaco Coach Corp. 120,700 12,700 Polaris Industries, Inc. (e) 594,741 10,690 Winnebago Industries, Inc. (e) 351,808 ------------- 1,350,644 --------------------------------------------------------------------------------------------------------------- Rental & Leasing 3,853 Electro Rent Corp. (a) 64,345 Services: Commercial - 4,800 H&E Equipment Services, Inc. (a) 118,896 0.1% 2,000 Interpool, Inc. 46,720 2,000 Marlin Business Services, Inc. (a) 48,060 6,210 McGrath RentCorp 190,212 11,200 Williams Scotsman International, Inc. (a) 219,744 ------------- 687,977 ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- Rental & Leasing 13,493 Aaron Rents, Inc. $ 388,329 Services: Consumer - 3,400 Amerco, Inc. (a) 295,834 0.3% 7,795 Dollar Thrifty Automotive Group (a) 355,530 23,400 Rent-A-Center, Inc. (a) 690,534 ------------- 1,730,227 --------------------------------------------------------------------------------------------------------------- Restaurants - 1.5% 11,100 AFC Enterprises, Inc. (a) 196,137 22,500 Applebee's International, Inc. 555,075 3,800 BJ's Restaurants, Inc. (a) 76,798 13,380 Bob Evans Farms, Inc. 457,864 3,225 Buffalo Wild Wings, Inc. (a) 171,570 9,000 CBRL Group, Inc. 402,840 10,550 CEC Entertainment, Inc. (a) 424,637 18,400 CKE Restaurants, Inc. 338,560 6,700 California Pizza Kitchen, Inc. (a) 223,177 8,200 Chipotle Mexican Grill, Inc. Class B (a) 426,400 7,200 Cosi, Inc. (a) 36,648 30,100 Denny's Corp. (a) 141,169 11,250 Domino's Pizza, Inc. 315,000 5,848 IHOP Corp. 308,190 11,218 Jack in the Box, Inc. (a) 684,747 17,400 Krispy Kreme Doughnuts, Inc. (a)(e) 193,140 5,496 Landry's Restaurants, Inc. 165,375 6,800 Luby's, Inc. (a) 74,052 2,400 McCormick & Schmick's Seafood Restaurants, Inc. (a) 57,696 600 Morton's Restaurant Group, Inc. (a) 9,990 10,184 O'Charleys, Inc. (a) 216,716 7,608 PF Chang's China Bistro, Inc. (a) 291,995 7,696 Papa John's International, Inc. (a) 223,261 12,777 Rare Hospitality International, Inc. (a) 420,747 6,300 Red Robin Gourmet Burgers, Inc. (a) 225,855 17,800 Ruby Tuesday, Inc. 488,432 7,800 Ruth's Chris Steak House, Inc. (a) 142,584 23,320 Sonic Corp. (a) 558,514 8,228 The Steak n Shake Co. (a) 144,813 15,000 Texas Roadhouse, Inc. Class A (a) 198,900 18,450 Triarc Cos. 369,000 ------------- 8,539,882 --------------------------------------------------------------------------------------------------------------- Retail - 3.3% 7,924 1-800-FLOWERS.COM, Inc. Class A (a) 48,812 13,500 99 Cents Only Stores (a) 164,295 6,700 AC Moore Arts & Crafts, Inc. (a) 145,189 17,250 Aeropostale, Inc. (a) 532,508 5,050 America's Car Mart, Inc. (a) 59,893 2,500 Asbury Automotive Group, Inc. 58,900 9,000 Big 5 Sporting Goods Corp. 219,780 35,500 Big Lots, Inc. (a) 813,660 60,400 Blockbuster, Inc. Class A (a) 319,516 5,800 Blue Nile, Inc. (a)(e) 213,962
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 3,100 The Bon-Ton Stores, Inc. $ 107,415 6,600 Books-A-Million, Inc. 149,688 19,500 Borders Group, Inc. 435,825 9,018 Brown Shoe Co., Inc. 430,519 2,249 The Buckle, Inc. 114,362 3,800 Build-A-Bear Workshop, Inc. (a)(e) 106,476 6,700 bebe Stores, Inc. 132,593 13,934 CSK Auto Corp. (a) 238,968 8,500 Cabela's, Inc. Class A (a)(e) 205,105 3,850 Cache, Inc. (a) 97,174 12,400 Casual Male Retail Group, Inc. (a) 161,820 10,995 The Cato Corp. Class A 251,895 6,100 Central Garden and Pet Co. (a) 295,362 6,100 Charlotte Russe Holding, Inc. (a) 187,575 40,840 Charming Shoppes, Inc. (a) 552,565 7,385 The Children's Place Retail Stores, Inc. (a) 469,095 11,528 Christopher & Banks Corp. 215,112 1,500 Conn's, Inc. (a) 34,905 9,276 Cost Plus, Inc. (a) 95,543 500 DEB Shops, Inc. 13,200 16,790 Dress Barn, Inc. (a) 391,711 6,709 dELiA*s, Inc. (a) 70,377 18,700 drugstore.com, Inc. (a) 68,442 10,200 Ezcorp, Inc. (a) 165,750 3,900 FTD Group, Inc. (a) 69,771 15,635 Fred's, Inc. 188,245 11,300 GSI Commerce, Inc. (a) 211,875 7,500 Gaiam, Inc. (a) 102,600 7,338 Genesco, Inc. (a) 273,707 17,400 Global Imaging Systems, Inc. (a) 381,930 7,732 Group 1 Automotive, Inc. 399,899 7,939 Guitar Center, Inc. (a) 360,907 10,258 Gymboree Corp. (a) 391,445 15,581 HOT Topic, Inc. (a) 207,851 13,575 Hibbett Sporting Goods, Inc. (a) 414,445 18,098 Insight Enterprises, Inc. (a) 341,509 7,605 Jo-Ann Stores, Inc. (a) 187,083 5,133 Jos. A. Bank Clothiers, Inc. (a) 150,654 1,288 Lawson Products, Inc. 59,106 5,300 Lithia Motors, Inc. Class A 152,428 6,700 MarineMax, Inc. (a) 173,731 15,100 Men's Wearhouse, Inc. 577,726 4,900 New York & Co. (a) 64,092 4,800 Overstock.com, Inc. (a)(e) 75,840 15,510 PEP Boys-Manny, Moe & Jack 230,479 22,500 Pacific Sunwear of California, Inc. (a) 440,550 8,100 The Pantry, Inc. (a) 379,404 21,100 Payless Shoesource, Inc. (a) 692,502 8,200 PetMed Express, Inc. (a) 109,470
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 27,599 Pier 1 Imports, Inc. $ 164,214 9,316 Priceline.com, Inc. (a) 406,271 13,300 Restoration Hardware, Inc. (a) 113,183 6,700 Retail Ventures, Inc. (a) 127,568 8,800 Rush Enterprises, Inc. Class A (a) 148,896 3,747 Russ Berrie & Co., Inc. (a) 57,891 7,254 School Specialty, Inc. (a) 271,952 8,700 Sonic Automotive, Inc. 252,648 8,400 Stage Stores, Inc. 255,276 7,303 Stamps.com, Inc. (a) 115,022 7,824 Stein Mart, Inc. 103,746 7,300 Talbots, Inc. 175,930 10,390 Tuesday Morning Corp. 161,565 10,366 Tween Brands, Inc. (a) 413,914 13,980 United Natural Foods, Inc. (a) 502,162 9,856 ValueVision Media, Inc. Class A (a) 129,508 3,100 Volcom, Inc. (a) 91,667 18,300 The Wet Seal, Inc. Class A (a) 122,061 15,300 Zale Corp. (a) 431,613 4,000 Zumiez, Inc. (a) 118,160 ------------- 18,368,488 --------------------------------------------------------------------------------------------------------------- Savings & Loan - 1.6% 6,237 Anchor Bancorp Wisconsin, Inc. 179,750 8,750 BFC Financial Corp. (a) 55,912 23,438 Bank Mutual Corp. 283,834 18,142 BankAtlantic Bancorp, Inc. Class A 250,541 9,073 BankUnited Financial Corp. Class A 253,681 2,600 Berkshire Hills Bancorp, Inc. 86,996 23,487 Brookline Bancorp, Inc. 309,324 500 Charter Financial Corp. 25,760 1,500 Citizens First Bancorp, Inc. 46,110 4,842 Coastal Financial Corp. 80,910 9,549 Dime Community Bancshares, Inc. 133,781 6,400 Downey Financial Corp. 464,512 9,522 Fidelity Bankshares, Inc. 377,738 3,826 First Financial Holdings, Inc. 149,903 5,800 First Indiana Corp. 147,088 39,653 First Niagara Financial Group, Inc. 589,244 3,100 First Place Financial Corp. 72,819 8,150 First Republic Bank 318,502 4,800 FirstFed Financial Corp. (a) 321,456 11,250 Flagstar Bancorp, Inc. 166,950 7,875 Flushing Financial Corp. 134,426 2,978 Great Southern Bancorp, Inc. 87,881 3,750 Horizon Financial Corp. 90,225 3,050 IBERIABANK Corp. 180,102 1,800 ITLA Capital Corp. 104,238 9,100 KNBT Bancorp, Inc. 152,243 6,600 Kearny Financial Corp. 105,996
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 10,960 MAF Bancorp, Inc. $ 489,802 300 NASB Financial, Inc. 12,369 20,811 Netbank, Inc. 96,563 34,900 NewAlliance Bancshares, Inc. 572,360 4,867 Northwest Bancorp, Inc. 133,648 3,296 OceanFirst Financial Corp. 75,577 13,965 Ocwen Financial Corp. (a) 221,485 8,211 PFF Bancorp, Inc. 283,362 14,228 Partners Trust Financial Group, Inc. 165,614 3,000 Pennfed Financial Services, Inc. 57,960 23,958 Provident Financial Services, Inc. 434,359 12,689 Provident New York Bancorp 190,081 3,200 Rockville Financial, Inc. 57,120 12,953 Sterling Financial Corp. 437,941 4,200 Texas United Bancshares, Inc. 144,228 5,800 TierOne Corp. 183,338 8,561 United Community Financial Corp. 104,787 34,533 W Holding Co., Inc. 205,817 400 Westfield Financial, Inc. 13,840 7,400 Willow Grove Bancorp, Inc. 110,408 ------------- 9,160,581 --------------------------------------------------------------------------------------------------------------- Scientific Equipment & 12,835 Newport Corp. (a) 268,893 Suppliers - 0.1% 10,335 Varian, Inc. (a) 462,905 ------------- 731,798 --------------------------------------------------------------------------------------------------------------- Securities Brokerage & 16,545 CharterMac 355,221 Services - 0.4% 4,600 GFI Group, Inc. (a) 286,396 4,200 Gladstone Investment Corp. 64,302 33,600 Knight Capital Group, Inc. Class A (a)(h) 644,112 16,800 LaBranche & Co., Inc. (a) 165,144 13,800 MarketAxess Holdings, Inc. (a) 187,266 6,600 optionsXpress Holdings, Inc. 149,754 3,900 Penson Worldwide, Inc. (a) 106,899 5,004 SWS Group, Inc. 178,643 3,800 Thomas Weisel Partners Group, Inc. (a) 80,180 ------------- 2,217,917 --------------------------------------------------------------------------------------------------------------- Services: Commercial - 13,870 ABM Industries, Inc. (h) 314,988 2.9% 9,405 AMN Healthcare Services, Inc. (a) 259,014 7,261 Administaff, Inc. 310,553 7,000 The Advisory Board Co. (a) 374,780 5,700 Ambassadors Group, Inc. 172,995 1,100 Ambassadors International, Inc. 50,182 700 Barrett Business Services 16,394 24,253 CBIZ, Inc. (a) 169,043 5,601 CDI Corp. 139,465 4,700 CRA International, Inc. (a) 246,280 6,978 Casella Waste Systems, Inc. (a) 85,341 2,800 Central Parking Corp. 50,400
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 8,272 Chemed Corp. $ 305,899 5,300 Clark, Inc. 88,139 6,250 CoStar Group, Inc. (a) 334,750 6,600 Coinmach Service Corp. Class A 78,540 8,792 Coinstar, Inc. (a) 268,771 1,500 Cornell Cos., Inc. (a) 27,495 12,600 Cross Country Healthcare, Inc. (a) 274,932 9,800 Diamond Management & Technology Consultants, Inc. 121,912 5,700 DynCorp. International, Inc. (a) 90,459 7,704 Exponent, Inc. (a) 143,757 12,541 FTI Consulting, Inc. (a) 349,768 2,200 First Advantage Corp. Class A (a) 50,512 10,000 First Consulting Group, Inc. (a) 137,600 4,481 Forrester Research, Inc. (a) 121,480 6,777 G&K Services, Inc. Class A 263,558 7,350 The Geo Group, Inc. (a) 275,772 10,000 Gevity HR, Inc. 236,900 16,500 Harris Interactive, Inc. (a) 83,160 7,158 Heidrick & Struggles International, Inc. (a) 303,213 15,800 Home Solutions of America, Inc. (a)(e) 92,588 10,400 Hudson Highland Group, Inc. (a) 173,472 1,300 ICT Group, Inc. (a) 41,067 34,700 IKON Office Solutions, Inc. 568,039 10,700 Jackson Hewitt Tax Service, Inc. 363,479 6,768 Kelly Services, Inc. Class A 195,866 6,300 Kenexa Corp. (a) 209,538 11,700 Kforce, Inc. (a) 142,389 6,300 The Knot, Inc. (a) 165,312 12,968 Korn/Ferry International (a) 297,745 17,322 Labor Ready, Inc. (a) 317,512 11,200 Lightbridge, Inc. (a) 151,648 4,300 Liquidity Services, Inc. (a) 74,003 6,004 MAXIMUS, Inc. 184,803 32,705 MPS Group, Inc. (a) 463,757 4,942 Midas, Inc. (a) 113,666 5,100 Monro Muffler, Inc. 179,010 13,523 Navigant Consulting, Inc. (a) 267,214 15,200 Net 1 UEPS Technologies, Inc. (a) 449,312 4,117 Netratings, Inc. (a) 72,089 6,300 On Assignment, Inc. (a) 74,025 17,364 PHH Corp. (a) 501,299 8,200 People Support, Inc. (a) 172,610 7,500 Perficient, Inc. (a) 123,075 3,260 Pre-Paid Legal Services, Inc. (a)(e) 127,564 5,300 The Providence Service Corp. (a) 133,189 14,000 Regis Corp. 553,560 17,532 Resources Connection, Inc. (a) 558,219 9,402 Rollins, Inc. 207,878 13,800 Sirva, Inc. (a) 48,024
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 13,700 Sitel Corp. (a) $ 57,814 14,200 Source Interlink Cos., Inc. (a) 115,872 18,229 Spherion Corp. (a) 135,441 600 Standard Parking Corp. (a) 23,046 5,940 Startek, Inc. 80,428 28,900 Synagro Technologies, Inc. 127,738 10,389 TeleTech Holdings, Inc. (a) 248,089 19,131 Tetra Tech, Inc. (a) 346,080 1,700 Travelzoo, Inc. (a) 50,915 4,400 Unifirst Corp. 169,004 3,200 Vertrue, Inc. (a) 122,912 6,700 Viad Corp. 272,020 2,259 Volt Information Sciences, Inc. (a) 113,424 15,718 Waste Connections, Inc. (a) 653,083 700 Waste Industries USA, Inc. 21,364 6,533 Waste Services, Inc. (a) 64,350 13,415 Watson Wyatt Worldwide, Inc. 605,687 18,113 Wireless Facilities, Inc. (a) 51,622 9,400 World Fuel Services Corp. 417,924 ------------- 16,444,817 --------------------------------------------------------------------------------------------------------------- Shipping - 0.2% 10,000 American Commercial Lines, Inc. (a)(h) 655,100 6,700 Gulfmark Offshore, Inc. (a) 250,647 4,300 Horizon Lines, Inc. Class A 115,928 2,100 Star Maritime Acquisition Corp. (a) 20,601 ------------- 1,042,276 --------------------------------------------------------------------------------------------------------------- Shoes - 0.6% 2,300 CROCS, Inc. (a)(e) 99,360 6,200 DSW, Inc. Class A (a) 239,134 4,300 Deckers Outdoor Corp. (a) 257,785 13,566 The Finish Line, Inc. Class A 193,722 10,800 Iconix Brand Group, Inc. (a) 209,412 10,296 K-Swiss, Inc. Class A 316,499 3,192 Kenneth Cole Productions, Inc. Class A 76,576 4,100 Shoe Carnival, Inc. (a) 129,560 4,655 Skechers U.S.A., Inc. Class A (a) 155,058 7,768 Steven Madden Ltd. 272,579 11,635 Stride Rite Corp. 175,456 15,900 Timberland Co. Class A (a) 502,122 300 Weyco Group, Inc. 7,455 17,708 Wolverine World Wide, Inc. 505,032 ------------- 3,139,750 --------------------------------------------------------------------------------------------------------------- Steel - 0.5% 34,827 AK Steel Holding Corp. (a)(h) 588,576 15,890 Chaparral Steel Co. 703,450 7,534 Gibraltar Industries, Inc. 177,124 3,500 Olympic Steel, Inc. 77,805 11,900 Oregon Steel Mills, Inc. (a) 742,679 6,750 Schnitzer Steel Industries, Inc. Class A 267,975
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 5,200 Steel Technologies, Inc. $ 91,260 3,600 Wheeling-Pittsburgh Corp. (a) 67,428 24,000 Worthington Industries, Inc. 425,280 ------------- 3,141,577 --------------------------------------------------------------------------------------------------------------- Sugar - 0.0% 4,700 Imperial Sugar Co. New Shares (e) 113,787 --------------------------------------------------------------------------------------------------------------- Telecommunications 50,600 Andrew Corp. (a) 517,638 Equipment - 0.8% 33,900 Arris Group, Inc. (a) 424,089 5,285 Audiovox Corp. Class A (a) 74,466 13,461 Belden CDT, Inc. 526,190 17,934 C-COR, Inc. (a) 199,785 5,300 CalAmp Corp. (a) 44,732 18,100 Interdigital Communications Corp. (a) 607,255 11,900 Mastec, Inc. (a) 137,326 14,899 Plantronics, Inc. 315,859 27,400 Polycom, Inc. (a) 846,934 40,377 Powerwave Technologies, Inc. (a) 260,432 8,100 Radyne Corp. (a) 86,994 19,000 Symmetricom, Inc. (a) 169,480 ------------- 4,211,180 --------------------------------------------------------------------------------------------------------------- Textile Products - 0.0% 15,121 Interface, Inc. Class A (a) 215,021 --------------------------------------------------------------------------------------------------------------- Textiles Apparel 17,500 Carter's, Inc. (a) 446,250 Manufacturers - 0.8% 2,500 Cherokee, Inc. 107,275 5,200 Columbia Sportswear Co. 289,640 6,485 Guess?, Inc. (a) 411,344 6,300 Hartmarx Corp. (a) 44,478 7,370 J. Crew Group, Inc. (a) 284,113 7,182 Kellwood Co. 233,559 4,500 Maidenform Brands, Inc. (a) 81,540 4,842 Oxford Industries, Inc. 240,405 3,700 Perry Ellis International, Inc. (a) 151,700 17,154 Phillips-Van Heusen Corp. 860,616 38,700 Quiksilver, Inc. (a) 609,525 5,600 True Religion Apparel, Inc. (a)(e) 85,736 6,200 Under Armour, Inc. Class A (a) 312,790 17,400 The Warnaco Group, Inc. (a) 441,612 ------------- 4,600,583 --------------------------------------------------------------------------------------------------------------- Tires & Rubber - 0.1% 3,574 Bandag, Inc. 180,237 16,900 Cooper Tire & Rubber Co. 241,670 3,900 Titan International, Inc. 78,585 ------------- 500,492 --------------------------------------------------------------------------------------------------------------- Tobacco - 0.2% 37,855 Alliance One International, Inc. (a)(h) 267,256 4,920 Schweitzer-Mauduit International, Inc. 128,166 7,456 Universal Corp. 365,419 13,033 Vector Group Ltd. (e) 231,336 ------------- 992,177 ---------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- Toys - 0.1% 10,730 Jakks Pacific, Inc. (a) $ 234,343 10,800 Leapfrog Enterprises, Inc. (a) 102,384 17,400 Marvel Entertainment, Inc. (a) 468,234 ------------- 804,961 --------------------------------------------------------------------------------------------------------------- Transportation 9,100 Celadon Group, Inc. (a) 152,425 Miscellaneous - 0.2% 1,500 Dynamex, Inc. (a) 35,040 12,700 HUB Group, Inc. Class A (a) 349,885 11,700 Pacer International, Inc. 348,309 4,100 US Xpress Enterprises, Inc. Class A (a) 67,527 ------------- 953,186 --------------------------------------------------------------------------------------------------------------- Truckers - 0.4% 7,541 Arkansas Best Corp. 271,476 11,532 Forward Air Corp. 333,621 19,173 Heartland Express, Inc. 287,978 17,662 Knight Transportation, Inc. 301,137 4,450 Marten Transport Ltd. (a) 81,569 9,425 Old Dominion Freight Line, Inc. (a) 226,860 1,100 PAM Transportation Services (a) 24,222 100 Patriot Transportation Holding, Inc. (a) 9,336 1,000 Quality Distribution, Inc. (a) 13,320 5,981 Saia, Inc. (a) 138,819 4,100 USA Truck, Inc. (a) 65,805 1,700 Universal Truckload Services, Inc. (a) 40,375 17,300 Werner Enterprises, Inc. 302,404 ------------- 2,096,922 --------------------------------------------------------------------------------------------------------------- Utilities: Cable TV & 17,600 Mediacom Communications Corp. Class A (a) 141,504 Radio - 0.0% --------------------------------------------------------------------------------------------------------------- Utilities: Electrical - 9,166 Allete, Inc. 426,586 1.3% 15,175 Avista Corp. 384,079 12,000 Black Hills Corp. 443,280 4,989 CH Energy Group, Inc. 263,419 17,867 Cleco Corp. 450,784 30,040 Duquesne Light Holdings, Inc. 596,294 15,308 El Paso Electric Co. (a) 373,056 8,068 The Empire District Electric Co. 199,199 13,100 IDACORP, Inc. 506,315 4,000 ITC Holdings Corp. 159,600 6,145 MGE Energy, Inc. 224,784 11,300 NorthWestern Corp. 399,794 9,186 Otter Tail Corp. 286,236 21,400 PNM Resources, Inc. 665,540 4,100 Pike Electric Corp. (a) 66,953 10,500 Portland General Electric Co. 286,125 9,167 UIL Holdings Corp. 386,756 10,483 Unisource Energy Corp. 382,944 27,200 Westar Energy, Inc. 706,112 ------------- 7,207,856 --------------------------------------------------------------------------------------------------------------- Utilities: Gas 5,322 Cascade Natural Gas Corp. 137,946 Distributors - 0.8% 2,200 EnergySouth, Inc. 88,220
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 6,048 The Laclede Group, Inc. $ 211,861 9,174 New Jersey Resources Corp. 445,673 13,800 Nicor, Inc. 645,840 8,699 Northwest Natural Gas Co. 369,186 13,100 Peoples Energy Corp. 583,867 25,100 Piedmont Natural Gas Co. (e) 671,425 9,232 South Jersey Industries, Inc. 308,441 12,790 Southwest Gas Corp. 490,752 17,500 WGL Holdings, Inc. 570,150 ------------- 4,523,361 --------------------------------------------------------------------------------------------------------------- Utilities: Miscellaneous 118,500 Aquila, Inc. (a) 556,950 - 0.1% --------------------------------------------------------------------------------------------------------------- Utilities: 17,000 Alaska Communications Systems Group, Inc. 258,230 Telecommunications - 400 Atlantic Tele-Network, Inc. 11,720 1.0% 5,155 CT Communications, Inc. 118,153 5,626 Centennial Communications Corp. (a) 40,451 86,400 Cincinnati Bell, Inc. (a) 394,848 8,333 Commonwealth Telephone Enterprises, Inc. 348,819 7,200 Consolidated Communications Holdings, Inc. 150,480 52,500 Dobson Communications Corp. Class A (a) 456,225 1,600 Eschelon Telecom, Inc. (a) 31,696 10,400 FairPoint Communications, Inc. 197,080 39,050 FiberTower Corp. (a)(e) 229,614 16,939 General Communication, Inc. Class A (a) 266,450 6,492 Golden Telecom, Inc. (f) 304,085 16,800 IDT Corp. Class B (a) 219,744 10,600 Iowa Telecommunications Services, Inc. 208,926 6,200 iPCS, Inc. (a) 343,232 6,900 NTELOS Holdings Corp. (a) 123,372 4,121 North Pittsburgh Systems, Inc. 99,481 28,300 Premiere Global Services, Inc. (a) 267,152 8,300 RCN Corp. (a) 250,245 1,700 Shenandoah Telecom Co. 79,917 4,600 SureWest Communications 126,684 47,100 Time Warner Telecom, Inc. Class A (a) 938,703 10,420 USA Mobility, Inc. 233,095 ------------- 5,698,402 --------------------------------------------------------------------------------------------------------------- Utilities: Water - 0.1% 4,585 American States Water Co. 177,073 5,396 California Water Service Group 217,998 3,748 SJW Corp. 145,272 9,983 Southwest Water Co. 137,366 ------------- 677,709 --------------------------------------------------------------------------------------------------------------- Wholesale & 11,625 Central European Distribution Corp. (a) 345,262 International Trade - 0.1% --------------------------------------------------------------------------------------------------------------- Wholesalers - 0.2% 18,430 Brightpoint, Inc. (a) 247,883 13,800 LKQ Corp. (a) 317,262
Master Small Cap Index Series Schedule of Investments as of December 31, 2006
Share Industry Held Common Stocks Value --------------------------------------------------------------------------------------------------------------- 900 MWI Veterinary Supply, Inc. (a) $ 29,070 8,700 Prestige Brands Holdings, Inc. (a) 113,274 10,469 United Stationers, Inc. (a) 488,798 ------------- 1,196,287 --------------------------------------------------------------------------------------------------------------- Total Common Stocks (Cost - $331,305,141) - 78.2% 439,097,192 --------------------------------------------------------------------------------------------------------------- Exchange-Traded Funds --------------------------------------------------------------------------------------------------------------- 169,590 iShares Russell 2000 Index Fund (e) 13,241,587 --------------------------------------------------------------------------------------------------------------- Total Exchange-Traded Funds (Cost - $12,341,064) - 2.4% 13,241,587 --------------------------------------------------------------------------------------------------------------- Mutual Funds --------------------------------------------------------------------------------------------------------------- Investment Management 4,400 Gladstone Capital Corp. (e) 104,984 Companies - 0.0% --------------------------------------------------------------------------------------------------------------- Total Mutual Funds (Cost - $92,876) - 0.0% 104,984 --------------------------------------------------------------------------------------------------------------- Rights --------------------------------------------------------------------------------------------------------------- Cosmetics - 0.0% 47,510 Revlon, Inc. (expires 1/19/2007) (a) 2,376 --------------------------------------------------------------------------------------------------------------- Real Estate Investment 9,800 Affordable Residential Communities (expires 1/23/2007) 8,656 Trusts (REITs) - 0.0% --------------------------------------------------------------------------------------------------------------- Total Rights (Cost - $0) - 0.0% 11,032 --------------------------------------------------------------------------------------------------------------- Beneficial Interest Other Interests (b) --------------------------------------------------------------------------------------------------------------- Oil: Crude Producers - $ 500 PetroCorp, Inc. (Escrow Shares) 0 0.0% --------------------------------------------------------------------------------------------------------------- Total Other Interests (Cost - $0) - 0.0% 0 --------------------------------------------------------------------------------------------------------------- Short-Term Securities --------------------------------------------------------------------------------------------------------------- $108,812,950 BlackRock Liquidity Series, LLC Cash Sweep Series, 5.26% (c)(g) 108,812,950 34,166,480 BlackRock Liquidity Series, LLC Money Market Series, 5.29% (c)(d)(g) 34,166,480 --------------------------------------------------------------------------------------------------------------- Total Short-Term Securities (Cost - $142,979,430) - 25.5% 142,979,430 --------------------------------------------------------------------------------------------------------------- Total Investments (Cost - $486,718,511*) - 106.1% 595,434,225 Liabilities in Excess of Other Assets - (6.1%) (34,061,648) ------------- Net Assets - 100.0% $ 561,372,577 ============= =============
* The cost and unrealized appreciation (depreciation) of investments, as of December 31, 2006, as computed for federal income tax purposes, were as follows: Aggregate cost $ 491,852,083 ============= Gross unrealized appreciation $ 123,684,950 Gross unrealized depreciation (20,102,808) ------------- Net unrealized appreciation $ 103,582,142 ============= (a) Non-income producing security. (b) Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. Master Small Cap Index Series Schedule of Investments as of December 31, 2006 (c) Investments in companies considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: -------------------------------------------------------------------------- Net Interest Affiliate Activity Income -------------------------------------------------------------------------- BlackRock Liquidity Series, LLC Cash Sweep Series $108,171,275 $2,287,352 BlackRock Liquidity Series, LLC Money Market Series $ 20,701,425 $ 417,774 -------------------------------------------------------------------------- (d) Security was purchased with the cash proceeds from securities loans. (e) Security, or a portion of security, is on loan. (f) Depositary receipts. (g) Represents the current yield as of December 31, 2006. (h) Security held as collateral in connection with open future contracts. o For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of net assets. These industry classifications are unaudited. o Financial futures contracts purchased as of December 31, 2006, were as follows: -------------------------------------------------------------------------- Number of Expiration Face Unrealized Contracts Issue Date Value Depreciation -------------------------------------------------------------------------- 274 Russell 2000 March Index 2007 $109,431,543 ($530,243) -------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF INVESTMENTS To the Investors and Board of Trustees of Quantitative Master Series Trust: We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of Master Small Cap Index Series (the "Series"), one of the portfolios constituting the Quantitative Master Series Trust (the "Trust"), as of December 31, 2006, and for the year then ended and have issued our report thereon dated February 26, 2007 which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR. Our audit also included the Series' schedule of investments in securities (the "Schedule") as of December 31, 2006 appearing in Item 6 of this Form N-CSR. This Schedule is the responsibility of the Trust's management. Our responsibility is to express an opinion based on our audit. In our opinion, the Schedule referred to above, when considered in relation to the basic financial statements taken as a whole of the Series referred to above, presents fairly, in all material respects, the information set forth therein. Deloitte & Touche LLP Princeton, New Jersey February 26, 2007 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 - Not Applicable Item 11 - Controls and Procedures 11(a) - The registrant's certifying officers have reasonably designed such disclosure controls and procedures to ensure material information relating to the registrant is made known to us by others particularly during the period in which this report is being prepared. The registrant's certifying officers have determined that the registrant's disclosure controls and procedures are effective based on our evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report. 11(b) - As of September 29, 2006, with the conclusion of the combination of Merrill Lynch's asset management business with BlackRock, the registrant was migrated to BlackRock's trading and compliance monitoring systems, and various personnel changes occurred. In conjunction with these business improvements, there were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under Act (17 CFR 270.30a-3(d)) that occurred during the last fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely to affect, the registrant's internal control over financial reporting. Item 12 - Exhibits attached hereto 12(a)(1) - Code of Ethics - See Item 2 12(a)(2) - Certifications - Attached hereto 12(a)(3) - Not Applicable 12(b) - Certifications - Attached hereto Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master Small Cap Index Series of Quantitative Master Series Trust By: /s/ Robert C. Doll, Jr. --------------------------------- Robert C. Doll, Jr., Chief Executive Officer of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master Small Cap Index Series of Quantitative Master Series Trust Date: February 20, 2007 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/ Robert C. Doll, Jr. --------------------------------- Robert C. Doll, Jr., Chief Executive Officer of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master Small Cap Index Series of Quantitative Master Series Trust Date: February 20, 2007 By: /s/ Donald C. Burke --------------------------------- Donald C. Burke, Chief Financial Officer of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master Small Cap Index Series of Quantitative Master Series Trust Date: February 20, 2007