-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, PlWVywlABCRHPuYpkY8sm3bvqiXG0pDFQwL1Ep6DMxUSC566jsyVsmgCfv3lGOS/ pLzmBiM178sCBoxzD3gBPw== 0001193805-08-000788.txt : 20080307 0001193805-08-000788.hdr.sgml : 20080307 20080307110734 ACCESSION NUMBER: 0001193805-08-000788 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20071231 FILED AS OF DATE: 20080307 DATE AS OF CHANGE: 20080307 EFFECTIVENESS DATE: 20080307 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BLACKROCK INDEX FUNDS, INC. CENTRAL INDEX KEY: 0001026144 IRS NUMBER: 223483675 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07899 FILM NUMBER: 08673054 BUSINESS ADDRESS: STREET 1: MERRILL LYNCH ASSET MANAGEMENT STREET 2: 800 SCUDDERS MILL ROAD CITY: PLAINSBORO STATE: NJ ZIP: 08536 BUSINESS PHONE: 6092820785 MAIL ADDRESS: STREET 1: MERRILL LYNCH ASSET MANAGEMENT STREET 2: 800 SCUDDERS MILL ROAD CITY: PLAINSBORO STATE: NJ ZIP: 08536 FORMER COMPANY: FORMER CONFORMED NAME: MERRILL LYNCH INDEX FUNDS INC DATE OF NAME CHANGE: 19961031 0001026144 S000003117 BlackRock S&P 500 Index Fund C000008449 Investor A C000008450 Institutional N-CSR 1 e603448_ncsr-sp500.txt 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 S&P 500 Index Fund of BlackRock Index Funds, Inc. Master S&P 500 Index Series of Quantitative Master Series LLC Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011 Registrant's telephone number, including area code: (800) 441-7762 Date of fiscal year end: 12/31/2007 Date of reporting period: 01/01/2007 - 12/31/2007 Item 1 - Report to Stockholders EQUITIES FIXED INCOME REAL ESTATE LIQUIDITY ALTERNATIVES BLACKROCK SOLUTIONS BlackRock S&P 500 Index Fund OF BLACKROCK INDEX FUNDS, INC. ANNUAL REPORT | DECEMBER 31, 2007 NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE Table of Contents ================================================================================ Page - -------------------------------------------------------------------------------- A Letter to Shareholders ................................................. 3 Annual Report: Fund Summary ............................................................. 4 About Fund Performance ................................................... 6 Disclosure of Expenses ................................................... 6 Fund Financial Statements: Statement of Assets and Liabilities .............................. 7 Statement of Operations .......................................... 8 Statements of Changes in Net Assets .............................. 9 Fund Financial Highlights ................................................ 10 Fund Notes to Financial Statements ....................................... 11 Fund Report of Independent Registered Public Accounting Firm ............. 13 Important Tax Information (unaudited) .................................... 13 Series Portfolio Information ............................................. 14 Series Financial Statements: Summary Schedule of Investments .................................. 15 Statement of Assets and Liabilities .............................. 19 Statement of Operations .......................................... 20 Statements of Changes in Net Assets .............................. 21 Series Financial Highlights .............................................. 22 Series Notes to Financial Statements ..................................... 23 Series Report of Independent Registered Public Accounting Firm ........... 26 Proxy Results ............................................................ 27 Officers and Directors ................................................... 29 BlackRock Fund Information ............................................... 32 Mutual Fund Family ....................................................... 34 2 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 A Letter to Shareholders Dear Shareholder Financial markets endured heightened volatility during 2007, culminating in mixed results for some of the major benchmark indexes:
Total Returns as of December 31, 2007 6-month 12-month ============================================================================================================== U.S. equities (S&P 500 Index) -1.37% + 5.49% - -------------------------------------------------------------------------------------------------------------- Small cap U.S. equities (Russell 2000 Index) -7.53 - 1.57 - -------------------------------------------------------------------------------------------------------------- International equities (MSCI Europe, Australasia, Far East Index) +0.39 +11.17 - -------------------------------------------------------------------------------------------------------------- Fixed income (Lehman Brothers U.S. Aggregate Bond Index) +5.93 + 6.97 - -------------------------------------------------------------------------------------------------------------- Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) +3.22 + 3.36 - -------------------------------------------------------------------------------------------------------------- High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) -0.67 + 2.27 - --------------------------------------------------------------------------------------------------------------
Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index. Subprime mortgage woes dominated headlines for much of 2007, spawning a widespread liquidity and credit crisis with ramifications across global markets. The Federal Reserve Board (the "Fed") stepped in to inject liquidity into the markets and bolster investor confidence, cutting the federal funds rate by 0.50% in September, 0.25% in October and 0.25% in December, which brought the target short-term interest rate to 4.25%. In taking action, the central bankers, who had long deemed themselves inflation fighters, were seeking to stem the fallout from the credit crunch and forestall a wider economic unraveling. Amid the volatility, equity markets displayed surprising resilience. Market fundamentals generally held firm, dividend payouts and share buybacks continued, and valuations remained attractive. To some extent, the credit turmoil dampened corporate merger-and-acquisition (M&A) activity, a key source of strength for equity markets, but 2007 remained a record year for global M&A nonetheless. As the returns indicate, the most recent six months were more trying, reflecting the slowing U.S. economy, a troubled housing market and a more difficult corporate earnings backdrop. Overall, large cap stocks outperformed small caps as investors grew increasingly risk averse. International markets fared better than their U.S. counterparts, benefiting from generally stronger economies. In fixed income markets, mixed economic signals and subprime fallout resulted in a flight to quality. Investors shunned bonds associated with the housing and credit markets in favor of higher-quality Treasury issues. The yield on 10-year Treasury issues, which touched 5.30% in June (its highest level in five years), fell to 4.04% by year-end, while prices correspondingly rose. The tax-exempt bond market waffled amid the economic uncertainty and concerns around the credit worthiness of bond insurers, but set a new-issuance record in 2007. A drop in municipal bond prices created buying opportunities, and the heightened supply was generally well absorbed. 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 2007 and our 10 predictions for 2008, please ask your financial professional for a copy of "What's Ahead in 2008: An Investment Perspective," or view it online at www.blackrock.com/funds. As always, we thank you for entrusting BlackRock with your investment assets, and we look forward to continuing to serve you in the new year and beyond. Sincerely, /s/ Rob Kapito Rob Kapito President, BlackRock Advisors, LLC 3 THIS PAGE NOT PART OF YOUR FUND REPORT Fund Summary Portfolio Management Commentary How did the Fund perform? o During the fiscal year ended December 31, 2007, BlackRock S&P 500 Index Fund generated returns that were comparable, before fees and expenses, to that of the benchmark Standard & Poor's (S&P) 500 Index. Returns, after fees and expenses, for the Portfolio's respective share classes trailed the benchmark approximately by the amount of such classes' individual share-class fees and expenses. Describe the market environment. o Equity markets performed quite well in 2007. It was a year of intense market volatility, but still one that resulted in decent gains for most asset classes. The annual period began much like 2006 ended, with some slowing in U.S. economic growth, a Federal Reserve Board (the "Fed") that remained on hold and a generally positive investment environment. In the first half of 2007, solid earnings growth and continued high levels of merger-and-acquisition activity allowed equities to move upward. o The following six months were vastly different, however. The benign fundamentals that dominated from 2003 to 2006 -- namely, strong global growth, rising profitability levels and falling risk premiums -- were replaced by credit stress, pressures on the capital position of the financial system, question marks about the sustainability of the business cycle and rising food and energy prices. Reflecting these woes, U.S. government bond yields plummeted, the dollar's decline intensified, equities became volatile and trendless, and the Fed's focus shifted from inflation fighting to providing liquidity and reducing short-term interest rates. Beginning in September, the Fed lowered the target federal funds rate by 100 basis points (1.00%), from 5.25% to 4.25%. o For the 12 months, large-cap stocks outperformed their small-cap counterparts, as the S&P 500 Index returned +5.49%, while the small cap S&P 600 Index returned -0.30%. Within the S&P 500, the growth style of investing significantly outperformed the value style for the year. o From a sector perspective, eight of the 10 sectors in the Index recorded positive yearly returns. Energy (+34.4%), materials (+22.5%) and utilities (+19.4%) led the group, while financials (-18.6%) and consumer discretionary (-13.2%) were the laggards. Describe recent portfolio activity. o Throughout the period, as changes were made to the composition of the S&P 500 Index, the portfolio purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark. Describe Fund positioning at period-end. o In keeping with its investment objective, the portfolio remains positioned to match the risk characteristics of its benchmark, irrespective of the market's future direction. Expense Example
Actual Hypothetical** ---------------------------------------------------- ---------------------------------------------------- Beginning Ending Beginning Ending Account Value Account Value Expenses Paid Account Value Account Value Expenses Paid July 1, 2007 Dec. 31, 2007 During the Period* July 1, 2007 Dec. 31, 2007 During the Period* - ---------------------------------------------------------------------------------------------------------------------------------- Institutional ....... $1,000 $985.50 $1.71 $1,000 $1,023.58 $1.74 Investor A .......... $1,000 $983.90 $3.02 $1,000 $1,022.26 $3.07 - ----------------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense ratio for the class (.34% for Institutional and .60% for Investor A), multiplied by the average account value over the period, multiplied by 185/365 (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 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. See "Disclosure of Expenses" on page 6 for further information on how expenses were calculated. 4 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 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 S&P 500(R) Index. Values are from December 1997 to December 2007. Institutional Investor A S&P 500(R) Shares*+ Shares*+ Index++ 12/97 $10,000 $10,000 $10,000 12/98 $12,824 $12,795 $12,858 12/99 $15,446 $15,375 $15,563 12/00 $13,990 $13,895 $14,146 12/01 $12,284 $12,160 $12,465 12/02 $9,519 $9,409 $9,710 12/03 $12,217 $12,045 $12,495 12/04 $13,506 $13,276 $13,855 12/05 $14,131 $13,858 $14,536 12/06 $16,319 $15,961 $16,832 12/07 $17,182 $16,754 $17,756 * Assuming transaction costs, if any, and other operating expenses, including advisory fees. + The Fund invests all of its assets in Master S&P 500 Index Series (the "Series") of Quantitative Master Series LLC. The Series' investments are allocated among common stocks in approximately the same weightings as the S&P 500 Index. ++ This unmanaged Index covers 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE issues), representing about 75% of NYSE market capitalization and 30% of NYSE issues. S&P 500 is a registered trademark of the McGrawHill Companies. Performance Summary for the Period Ended December 31, 2007
Average Annual Total Returns* 6-Month -------------------------------------------------------------------- Total Returns 1 Year 5 Years 10 Years - ------------------------------------------------------------------------------------------------------------------------------------ Institutional ............................. -1.45% +5.29% +12.54% +5.56% Investor A ................................ -1.61 +4.97 +12.23 +5.30 S&P 500 Index ............................. -1.37 +5.49 +12.83 +5.91 - ------------------------------------------------------------------------------------------------------------------------------------
* See "About Fund Performance" on page 6 for a detailed description of share classes, including any related fees. Past performance is not indicative of future results. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 5 About Fund Performance o Institutional Shares are not subject to any sales charge. Institutional Shares bear no ongoing distribution or service fees and are available only to eligible investors. o Investor A Shares are not subject to any sales charge and bear no ongoing distribution fee. 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/funds 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. Figures shown in the performance tables on page 5 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 and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders. 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 expense example on page 4 (which is based on a hypothetical investment of $1,000 invested on July 1, 2007 and held through December 31, 2007) 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 table 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 corresponding to their share class under the heading entitled "Expenses Paid During the Period." The table also 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 hypothetical 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. 6 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Statement of Assets and Liabilities BlackRock S&P 500 Index Fund As of December 31, 2007 =================================================================================================================================== Assets - ----------------------------------------------------------------------------------------------------------------------------------- Investment in Master S&P 500 Index Series (the "Series"), at value (identified cost -- $1,871,894,361) ....................................................... $ 2,710,762,264 Prepaid expenses ............................................................................ 23,566 --------------- Total assets ................................................................................ 2,710,785,830 --------------- =================================================================================================================================== Liabilities - ----------------------------------------------------------------------------------------------------------------------------------- Payables: Administrative fees ..................................................................... $ 576,235 Distributor ............................................................................. 205,567 Other affiliates ........................................................................ 26,482 808,284 --------------- Accrued expenses ............................................................................ 570,588 --------------- Total liabilities ........................................................................... 1,378,872 --------------- =================================================================================================================================== Net Assets - ----------------------------------------------------------------------------------------------------------------------------------- Net assets .................................................................................. $ 2,709,406,958 =============== =================================================================================================================================== Net Assets Consist of - ----------------------------------------------------------------------------------------------------------------------------------- Institutional Shares of Common Stock, $.0001 par value, 250,000,000 shares authorized ....... $ 9,880 Investor A Shares of Common Stock, $.0001 par value, 250,000,000 shares authorized .......... 5,179 Paid-in capital in excess of par ............................................................ 2,040,599,230 Undistributed investment income -- net ...................................................... 758,147 Accumulated realized capital losses allocated from the Series -- net ........................ (170,833,381) Unrealized appreciation allocated from the Series -- net .................................... 838,867,903 --------------- Net assets .................................................................................. $ 2,709,406,958 =============== =================================================================================================================================== Net Asset Value - ----------------------------------------------------------------------------------------------------------------------------------- Institutional -- Based on net assets of $1,779,029,700 and 98,803,390 shares outstanding .... $ 18.01 =============== Investor A -- Based on net assets of $930,377,258 and 51,789,005 shares outstanding ......... $ 17.96 ===============
See Notes to Financial Statements. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 7 Statement of Operations BlackRock S&P 500 Index Fund For the Year Ended December 31, 2007 =================================================================================================================================== Investment Income - ----------------------------------------------------------------------------------------------------------------------------------- Net investment income allocated from the Series: Dividends ............................................................................. $ 53,030,005 Interest from affiliates .............................................................. 1,901,148 Securities lending -- net ............................................................. 536,095 Expenses .............................................................................. (864,620) ---------------- Total income .............................................................................. 54,602,628 ---------------- =================================================================================================================================== Expenses - ----------------------------------------------------------------------------------------------------------------------------------- Administration fees ....................................................................... $ 6,858,698 Service fees -- Investor A ................................................................ 2,488,518 Transfer agent fees -- Institutional ...................................................... 1,005,622 Transfer agent fees -- Investor A ......................................................... 579,958 Printing and shareholder reports .......................................................... 91,724 Licensing fees ............................................................................ 75,489 Professional fees ......................................................................... 57,989 Registration fees ......................................................................... 55,483 Directors' fees and expenses .............................................................. 18,344 Other ..................................................................................... 12,499 ---------------- Total expenses ............................................................................ 11,244,324 ---------------- Investment income -- net .................................................................. 43,358,304 ---------------- =================================================================================================================================== Realized & Unrealized Gain Allocated from the Series -- Net - ----------------------------------------------------------------------------------------------------------------------------------- Realized gain on: Investments -- net ...................................................................... 90,419,823 futures contracts -- net ................................................................ 773,341 91,193,164 ---------------- Change in unrealized appreciation/depreciation on investments and financial futures contracts -- net ........................................................................ 3,858,140 ---------------- Total realized and unrealized gain -- net ................................................. 95,051,304 ---------------- Net Increase in Net Assets Resulting from Operations ...................................... $ 138,409,608 ================
See Notes to Financial Statements. 8 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Statements of Changes in Net Assets BlackRock S&P 500 Index Fund
For the Year Ended December 31, ----------------------------------- Increase (Decrease) in Net Assets: 2007 2006 =================================================================================================================================== Operations - ----------------------------------------------------------------------------------------------------------------------------------- Investment income -- net ................................................................... $ 43,358,304 $ 37,638,485 Realized gain (loss) -- net ................................................................ 91,193,164 (12,644,618) Change in unrealized appreciation/depreciation -- net ...................................... 3,858,140 335,003,357 ----------------------------------- Net increase in net assets resulting from operations ....................................... 138,409,608 359,997,224 ----------------------------------- =================================================================================================================================== Dividends to Shareholders - ----------------------------------------------------------------------------------------------------------------------------------- Investment income -- net: Institutional .......................................................................... (30,010,433) (25,275,471) Investor A ............................................................................. (13,728,052) (11,846,861) ----------------------------------- Net decrease in net assets resulting from dividends to shareholders ........................ (43,738,485) (37,122,332) ----------------------------------- =================================================================================================================================== Capital Share Transactions - ----------------------------------------------------------------------------------------------------------------------------------- Net decrease in net assets derived from capital share transactions ......................... (54,267,850) (94,689,583) ----------------------------------- =================================================================================================================================== Net Assets - ----------------------------------------------------------------------------------------------------------------------------------- Total increase in net assets ............................................................... 40,403,273 228,185,309 Beginning of year .......................................................................... 2,669,003,685 2,440,818,376 ----------------------------------- End of year* ............................................................................... $ 2,709,406,958 $ 2,669,003,685 =================================== * Undistributed investment income -- net ............................................... $ 758,147 $ 1,138,328 ===================================
See Notes to Financial Statements. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 9 Financial Highlights BlackRock S&P 500 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 2007 2006 2005 2004 2003 ================================================================================================================= Per Share Operating Performance - ----------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year $ 17.40 $ 15.29 $ 14.84 $ 13.64 $ 10.76 -------------------------------------------------------------------------- Investment income -- net** ........ .30 .26 .23 .24 .17 Realized and unrealized gain -- net .62 2.11 .46 1.19 2.88 -------------------------------------------------------------------------- Total from investment operations .. .92 2.37 .69 1.43 3.05 -------------------------------------------------------------------------- Less dividends from investment income -- net ................... (.31) (.26) (.24) (.23) (.17) -------------------------------------------------------------------------- Net asset value, end of year ...... $ 18.01 $ 17.40 $ 15.29 $ 14.84 $ 13.64 ========================================================================== ================================================================================================================= Total Investment Return - ----------------------------------------------------------------------------------------------------------------- Based on net asset value per share 5.29% 15.49% 4.63% 10.55% 28.35% ========================================================================== ================================================================================================================= Ratios to Average Net Assets* - ----------------------------------------------------------------------------------------------------------------- Expenses .......................... .34% .35% .35% .34% .36% ========================================================================== Investment income -- net .......... 1.64% 1.61% 1.52% 1.68% 1.44% ========================================================================== ================================================================================================================= Supplemental Data - ----------------------------------------------------------------------------------------------------------------- Net assets, end of year (in thousands) .................. $1,779,030 $1,699,791 $1,544,023 $1,653,423 $1,428,292 ========================================================================== Portfolio turnover from the Series 4% 4% 11% 6% 4% ========================================================================== 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 2007 2006 2005 2004 2003 ================================================================================================================= Per Share Operating Performance - ----------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year $ 17.36 $ 15.26 $ 14.81 $ 13.62 $ 10.75 -------------------------------------------------------------------------- Investment income -- net** ........ .25 .22 .19 .20 .14 Realized and unrealized gain -- net .61 2.10 .46 1.19 2.87 -------------------------------------------------------------------------- Total from investment operations .. .86 2.32 .65 1.39 3.01 -------------------------------------------------------------------------- Less dividends from investment income -- net ................... (.26) (.22) (.20) (.20) (.14) -------------------------------------------------------------------------- Net asset value, end of year ...... $ 17.96 $ 17.36 $ 15.26 $ 14.81 $ 13.62 ========================================================================== ================================================================================================================= Total Investment Return - ----------------------------------------------------------------------------------------------------------------- Based on net asset value per share 4.97% 15.18% 4.38% 10.22% 28.02% ========================================================================== ================================================================================================================= Ratios to Average Net Assets* - ----------------------------------------------------------------------------------------------------------------- Expenses .......................... .60% .60% .60% .59% .61% ========================================================================== Investment income -- net .......... 1.38% 1.36% 1.27% 1.42% 1.19% ========================================================================== ================================================================================================================= Supplemental Data - ----------------------------------------------------------------------------------------------------------------- Net assets, end of year (in thousands) .................. $ 930,377 $ 969,213 $ 896,796 $ 939,608 $ 880,875 ========================================================================== Portfolio turnover from the Series 4% 4% 11% 6% 4% ==========================================================================
* Includes the Fund's share of the Series' allocated expenses and investment income -- net. ** Based on average shares outstanding. See Notes to Financial Statements. 10 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Notes to Financial Statements BlackRock S&P 500 Index Fund 1. Significant Accounting Policies: BlackRock S&P 500 Index Fund (the "Fund"), a series of BlackRock Index Funds, Inc. (the "Corporation"), is registered under the Investment Company Act of 1940, as amended, as a non-diversified management investment company. 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 Fund seeks to achieve its investment objective by investing all of its assets in Master S&P 500 Index Series (the "Series") of Quantitative Master Series LLC (the "Master LLC"), 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 percentage of the Series owned by the Fund at December 31, 2007 was 72.8%. The Fund offers multiple classes of shares. Institutional and Investor A Shares are generally 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 shareholder servicing of such shares and have exclusive voting rights with respect to matters relating to their shareholder servicing 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 require-ments 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 -- Effective June 29, 2007, the Fund implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48, "Accounting for Uncertainty in Income Taxes -- an interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity, including investment companies, before being measured and recognized in the financial statements. Management has evaluated the application of FIN 48 to the Fund, and has determined that the adoption of FIN 48 does not have a material impact on the Fund's financial statements. The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund's U.S. federal tax returns remains open for the years ended December 31, 2004 through December 31, 2006. The statute of limitations on the Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction. In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The impact on the Fund's financial statement disclosures, if any, is currently being assessed. In addition, in February 2007, Statement of Financial Accounting Standards No. 159, "The Fair Value Option for Financial Assets and Financial Liabilities" ("FAS 159"), was issued and is effective for fiscal years beginning after November 15, 2007. Early adoption is permitted as of the beginning of a fiscal year that begins on or before November 15, 2007, provided the entity also elects to apply the provisions of FAS 157. FAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. FAS 159 also establishes presentation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. The impact on the Fund's financial statement disclosures, if any, is currently being assessed. 2. Transactions with Affiliates: The Corporation has entered into an Administration Agreement with BlackRock Advisors, LLC (the "Administrator") an indirect, wholly owned subsidiary of BlackRock, Inc. The Fund pays a monthly fee at an annual rate of .245% 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. The Administrator has entered into a voluntary arrangement with the Fund under which the expenses incurred by each class of shares of the Fund (excluding service fees) will not exceed .40%. This arrangement has a one-year term and is renewable. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The PNC Financial Services Group, Inc. ("PNC") are principal owners of BlackRock, Inc. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 11 Notes to Financial Statements (concluded) BlackRock S&P 500 Index Fund The Corporation has also entered into separate Distribution Agreements and a Distribution Plan with FAM Distributors, Inc. ("FAMD") and BlackRock Distributors, Inc. ("BDI") and its affiliates (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 Plan 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 the Distributor provide shareholder servicing to the Fund. PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the Administrator, is the Fund's transfer agent. Certain officers and/or directors of the Corporation are officers and/or directors of BlackRock, Inc. or its affiliates. 3. Capital Share Transactions: Net decrease in net assets derived from capital share transactions was $54,267,850 and $94,689,583 for the years ended December 31, 2007 and December 31, 2006, respectively. Transactions in capital shares for each class were as follows: - ------------------------------------------------------------------------------- Institutional Shares for the Year Dollar Ended December 31, 2007 Shares Amount - ------------------------------------------------------------------------------- Shares sold ................................. 31,473,402 $ 573,268,833 Shares issued to shareholders in reinvestment of dividends .............................. 1,628,519 29,084,218 ------------------------------- Total issued ................................ 33,101,921 602,353,051 Shares redeemed ............................. (31,960,698) (583,460,577) ------------------------------- Net increase ................................ 1,141,223 $ 18,892,474 =============================== - ------------------------------------------------------------------------------- Institutional Shares for the Year Dollar Ended December 31, 2006 Shares Amount - ------------------------------------------------------------------------------- Shares sold ................................. 28,896,398 $ 467,956,426 Shares issued to shareholders in reinvestment of dividends .............................. 1,407,779 24,580,626 ------------------------------- Total issued ................................ 30,304,177 492,537,052 Shares redeemed ............................. (33,597,086) (542,308,997) ------------------------------- Net decrease ................................ (3,292,909) $ (49,771,945) =============================== - ------------------------------------------------------------------------------- Investor A Shares for the the Year Dollar Ended December 31, 2007 Shares Amount - ------------------------------------------------------------------------------- Shares sold ................................. 10,990,071 $ 199,586,598 Shares issued to shareholders in reinvestment of dividends .............................. 713,622 12,721,725 ------------------------------- Total issued ................................ 11,703,693 212,308,323 Shares redeemed ............................. (15,730,807) (285,468,647) ------------------------------- Net decrease ................................ (4,027,114) $ (73,160,324) =============================== - ------------------------------------------------------------------------------- Investor A Shares for the Year Dollar Ended December 31, 2006 Shares Amount - ------------------------------------------------------------------------------- Shares sold ................................. 10,760,366 $ 174,132,500 Shares issued to shareholders in reinvestment of dividends .............................. 622,994 10,846,759 ------------------------------- Total issued ................................ 11,383,360 184,979,259 Shares redeemed ............................. (14,329,991) (229,896,897) ------------------------------- Net decrease ................................ (2,946,631) $ (44,917,638) =============================== 4. Distributions to Shareholders: The tax character of distributions paid during the fiscal years ended December 31, 2007 and December 31, 2006 was as follows: - -------------------------------------------------------------------------------- 12/31/2007 12/31/2006 - -------------------------------------------------------------------------------- Distributions paid from: Ordinary income .................................. $43,738,485 $37,122,332 -------------------------- Total taxable distributions ...................... $43,738,485 $37,122,332 ========================== As of December 31, 2007, the components of accumulated earnings on a tax basis were as follows: - ----------------------------------------------------------------------------- Undistributed ordinary income -- net ....................... $ 758,147 Capital loss carryforward .................................. (88,164,967)* Unrealized gains -- net .................................... 756,199,489** ------------- Total accumulated earnings -- net .......................... $ 668,792,669 ============= * On December 31, 2007, the Fund had a net capital loss carryforward of $88,164,967, of which $3,802,400 expires in 2010, $7,823,922 expires in 2011, $21,618,948 expires in 2012, $28,402,088 expires in 2013 and $26,517,609 expires in 2014. This amount will be available to offset like amounts of any future taxable gains. ** 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 futures contracts. 12 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Report of Independent Registered Public Accounting Firm BlackRock S&P 500 Index Fund To the Shareholders and Board of Directors of BlackRock Index Funds, Inc.: We have audited the accompanying statement of assets and liabilities of BlackRock S&P 500 Index Fund, one of the series constituting BlackRock Index Funds, Inc. (the "Fund"), as of December 31, 2007, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the 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 S&P 500 Index Fund of BlackRock Index Funds, Inc. as of December 31, 2007, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with U.S. accounting principles generally accepted in the United States of America. Deloitte & Touche LLP Princeton, New Jersey February 28, 2008 Important Tax Information (Unaudited) All of the ordinary income distributions paid by BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. during the fiscal year ended December 31, 2007 qualify for the dividends received deduction for corporations and consist entirely of qualified dividend income for individuals. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 13 Portfolio Information Master S&P 500 Index Series As of December 31, 2007 Percent of Ten Largest Holdings Net Assets - -------------------------------------------------------------------------------- Exxon Mobil Corp. ................................................... 4.0% General Electric Co. ................................................ 2.9 Microsoft Corp. ..................................................... 2.2 AT&T Inc. ........................................................... 2.0 The Procter & Gamble Co. ............................................ 1.8 Chevron Corp. ....................................................... 1.5 Johnson & Johnson ................................................... 1.5 Bank of America Corp. ............................................... 1.4 Apple Inc. .......................................................... 1.3 Cisco Systems, Inc. ................................................. 1.3 - -------------------------------------------------------------------------------- Percent of Five Largest Industries Net Assets - -------------------------------------------------------------------------------- Oil, Gas & Consumable Fuels ........................................ 10.1% Pharmaceuticals .................................................... 6.3 Computers & Peripherals ............................................ 4.6 Diversified Financial Services ..................................... 4.4 Insurance .......................................................... 4.3 - -------------------------------------------------------------------------------- Percent of Sector Representation Long-Term Investments - -------------------------------------------------------------------------------- Financials ......................................................... 17.6% Information Technology ............................................. 16.8 Energy ............................................................. 12.7 Health Care ........................................................ 12.0 Industrials ........................................................ 11.5 Consumer Staples ................................................... 10.3 Consumer Discretionary ............................................. 8.5 Utilities .......................................................... 3.7 Telecommunication Services ......................................... 3.6 Materials .......................................................... 3.3 - -------------------------------------------------------------------------------- For Series compliance purposes, the Series' industry and sector classifications refer to any one or more of the industry and sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine industry and sector sub-classifications for reporting ease. 14 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Summary Schedule of Investments as of December 31, 2007 Master S&P 500 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, and affiliated investments. "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 website at http://www.sec.gov.
==================================================================================================================================== Shares Percent of Industry Held Common Stocks Value Net Assets ==================================================================================================================================== Aerospace & Defense 223,361 Boeing Co. $ 19,535,153 0.5% 284,811 United Technologies Corp. 21,799,434 0.6 Other Securities 64,496,686 1.7 --------------------------- 105,831,273 2.8 - ------------------------------------------------------------------------------------------------------------------------------------ Air Freight & Logistics 302,787 United Parcel Service, Inc. Class B (e) 21,413,097 0.6 Other Securities 13,425,575 0.4 --------------------------- 34,838,672 1.0 - ------------------------------------------------------------------------------------------------------------------------------------ Airlines Other Securities 2,668,994 0.1 - ------------------------------------------------------------------------------------------------------------------------------------ Auto Components Other Securities 7,921,629 0.2 - ------------------------------------------------------------------------------------------------------------------------------------ Automobiles Other Securities 11,380,003 0.3 - ------------------------------------------------------------------------------------------------------------------------------------ Beverages 572,683 The Coca-Cola Co. 35,145,556 0.9 463,824 PepsiCo, Inc. 35,204,242 0.9 Other Securities 20,417,150 0.6 --------------------------- 90,766,948 2.4 - ------------------------------------------------------------------------------------------------------------------------------------ Biotechnology Other Securities 42,371,224 1.1 - ------------------------------------------------------------------------------------------------------------------------------------ Building Products Other Securities 4,736,537 0.1 - ------------------------------------------------------------------------------------------------------------------------------------ Capital Markets 328,077 The Bank of New York Mellon Corp. 15,997,034 0.4 114,593 The Goldman Sachs Group, Inc. (e) 24,643,225 0.7 246,638 Merrill Lynch & Co., Inc. (b) 13,239,528 0.4 305,833 Morgan Stanley (e) 16,242,791 0.4 Other Securities 54,084,462 1.4 --------------------------- 124,207,040 3.3 - ------------------------------------------------------------------------------------------------------------------------------------ Chemicals 157,572 Monsanto Co. 17,599,217 0.5 Other Securities 50,734,113 1.3 --------------------------- 68,333,330 1.8 - ------------------------------------------------------------------------------------------------------------------------------------ Commercial Banks 100,749 The PNC Financial Services Group, Inc. (b) 6,614,172 0.2 497,511 U.S. Bancorp (e) 15,790,999 0.4 569,261 Wachovia Corp. (e) 21,648,996 0.6 972,290 Wells Fargo & Co. 29,353,435 0.8 Other Securities 36,781,339 1.0 --------------------------- 110,188,941 3.0 - ------------------------------------------------------------------------------------------------------------------------------------ Commercial Services & Supplies Other Securities 17,216,489 0.5 - ------------------------------------------------------------------------------------------------------------------------------------ Communications Equipment 1,748,204 Cisco Systems, Inc. (a) 47,323,882 1.3 471,601 QUALCOMM, Inc. 18,557,499 0.5 Other Securities 28,923,712 0.8 --------------------------- 94,805,093 2.6 - ------------------------------------------------------------------------------------------------------------------------------------ Computers & Peripherals 252,903 Apple Inc. (a) 50,095,026 1.3 645,721 Dell, Inc. (a) 15,826,622 0.4 742,911 Hewlett-Packard Co. 37,502,147 1.0 397,091 International Business Machines Corp. 42,925,537 1.2 Other Securities 23,191,834 0.7 --------------------------- 169,541,166 4.6 - ------------------------------------------------------------------------------------------------------------------------------------ Construction & Engineering Other Securities 6,958,279 0.2 - ------------------------------------------------------------------------------------------------------------------------------------ Construction Materials Other Securities 2,338,849 0.1 - ------------------------------------------------------------------------------------------------------------------------------------ Consumer Finance 336,974 American Express Co. 17,529,387 0.5 Other Securities 9,874,933 0.2 --------------------------- 27,404,320 0.7 - ------------------------------------------------------------------------------------------------------------------------------------ Containers & Packaging Other Securities 4,338,440 0.1 - ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 15 Summary Schedule of Investments (continued) Master S&P 500 Index Series
Shares Percent of Industry Held Common Stocks Value Net Assets ==================================================================================================================================== Distributors Other Securities $ 2,287,081 0.1% - ------------------------------------------------------------------------------------------------------------------------------------ Diversified Consumer Services Other Securities 4,640,466 0.1 - ------------------------------------------------------------------------------------------------------------------------------------ Diversified Financial Services 1,283,653 Bank of America Corp. 52,963,523 1.4 1,444,179 Citigroup, Inc. 42,516,630 1.1 967,904 JPMorgan Chase & Co. 42,249,010 1.1 Other Securities 27,182,655 0.8 --------------------------- 164,911,818 4.4 - ------------------------------------------------------------------------------------------------------------------------------------ Diversified Telecommunication Services 1,752,191 AT&T Inc. 72,821,058 2.0 832,857 Verizon Communications, Inc. 36,387,522 1.0 Other Securities 9,717,464 0.2 --------------------------- 118,926,044 3.2 - ------------------------------------------------------------------------------------------------------------------------------------ Electric Utilities Other Securities 77,933,873 2.1 - ------------------------------------------------------------------------------------------------------------------------------------ Electrical Equipment Other Securities 18,732,455 0.5 - ------------------------------------------------------------------------------------------------------------------------------------ Electronic Equipment & Instruments Other Securities 11,645,227 0.3 - ------------------------------------------------------------------------------------------------------------------------------------ Energy Equipment & Services 344,590 Schlumberger Ltd. 33,897,318 0.9 Other Securities 60,582,396 1.6 --------------------------- 94,479,714 2.5 - ------------------------------------------------------------------------------------------------------------------------------------ Food & Staples Retailing 425,552 CVS/Caremark Corp. 16,915,692 0.5 680,909 Wal-Mart Stores, Inc. 32,363,605 0.9 Other Securities 38,078,143 1.0 --------------------------- 87,357,440 2.4 - ------------------------------------------------------------------------------------------------------------------------------------ Food Products Other Securities 55,323,978 1.5 - ------------------------------------------------------------------------------------------------------------------------------------ Gas Utilities Other Securities 7,946,105 0.2 - ------------------------------------------------------------------------------------------------------------------------------------ Health Care Equipment & Supplies 325,757 Medtronic, Inc. 16,375,804 0.4 Other Securities 47,897,372 1.3 --------------------------- 64,273,176 1.7 - ------------------------------------------------------------------------------------------------------------------------------------ Health Care Providers & Services 372,345 UnitedHealth Group, Inc. 21,670,479 0.6 Other Securities 67,187,331 1.8 --------------------------- 88,857,810 2.4 - ------------------------------------------------------------------------------------------------------------------------------------ Health Care Technology Other Securities 1,359,383 0.0 - ------------------------------------------------------------------------------------------------------------------------------------ Hotels, Restaurants & Leisure 340,801 McDonald's Corp. 20,076,587 0.5 Other Securities 32,996,304 0.9 --------------------------- 53,072,891 1.4 - ------------------------------------------------------------------------------------------------------------------------------------ Household Durables Other Securities 15,970,578 0.4 - ------------------------------------------------------------------------------------------------------------------------------------ Household Products 897,494 The Procter & Gamble Co. 65,894,009 1.8 Other Securities 22,495,490 0.6 --------------------------- 88,389,499 2.4 - ------------------------------------------------------------------------------------------------------------------------------------ IT Services Other Securities 32,380,701 0.9 - ------------------------------------------------------------------------------------------------------------------------------------ Independent Power Producers & Other Securities 10,294,221 0.3 Energy Traders - ------------------------------------------------------------------------------------------------------------------------------------ Industrial Conglomerates 205,485 3M Co. 17,326,495 0.5 2,917,337 General Electric Co. 108,145,683 2.9 Other Securities 10,580,434 0.3 --------------------------- 136,052,612 3.7 - ------------------------------------------------------------------------------------------------------------------------------------ Insurance 730,793 American International Group, Inc. 42,605,232 1.1 Other Securities 116,910,078 3.2 --------------------------- 159,515,310 4.3 - ------------------------------------------------------------------------------------------------------------------------------------ Internet & Catalog Retail Other Securities 11,647,333 0.3 - ------------------------------------------------------------------------------------------------------------------------------------ Internet Software & Services 66,869 Google, Inc. Class A (a) 46,238,576 1.2 Other Securities 23,924,604 0.7 --------------------------- 70,163,180 1.9 - ------------------------------------------------------------------------------------------------------------------------------------
16 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Summary Schedule of Investments (continued) Master S&P 500 Index Series Shares Percent of Industry Held Common Stocks Value Net Assets ==================================================================================================================================== Leisure Equipment & Products Other Securities $ 5,502,684 0.1% - ------------------------------------------------------------------------------------------------------------------------------------ Life Sciences Tools & Services Other Securities 13,020,828 0.4 - ------------------------------------------------------------------------------------------------------------------------------------ Machinery Other Securities 69,847,339 1.9 - ------------------------------------------------------------------------------------------------------------------------------------ Media 1,041,597 Time Warner, Inc. 17,196,766 0.5 548,540 Walt Disney Co. 17,706,871 0.5 Other Securities 69,684,878 1.8 --------------------------- 104,588,515 2.8 - ------------------------------------------------------------------------------------------------------------------------------------ Metals & Mining Other Securities 38,591,381 1.0 - ------------------------------------------------------------------------------------------------------------------------------------ Multi-Utilities Other Securities 41,902,697 1.1 - ------------------------------------------------------------------------------------------------------------------------------------ Multiline Retail Other Securities 27,878,380 0.7 - ------------------------------------------------------------------------------------------------------------------------------------ Office Electronics Other Securities 4,482,380 0.1 - ------------------------------------------------------------------------------------------------------------------------------------ Oil, Gas & Consumable Fuels 608,429 Chevron Corp. (e) 56,784,679 1.5 460,905 ConocoPhillips 40,697,911 1.1 1,576,427 Exxon Mobil Corp. (d) 147,695,446 4.0 238,719 Occidental Petroleum Corp. 18,378,976 0.5 Other Securities 113,080,803 3.0 --------------------------- 376,637,815 10.1 - ------------------------------------------------------------------------------------------------------------------------------------ Paper & Forest Products Other Securities 10,203,224 0.3 - ------------------------------------------------------------------------------------------------------------------------------------ Personal Products Other Securities 6,455,196 0.2 - ------------------------------------------------------------------------------------------------------------------------------------ Pharmaceuticals 445,254 Abbott Laboratories 25,001,012 0.7 824,637 Johnson & Johnson 55,003,288 1.5 627,225 Merck & Co., Inc. 36,448,045 1.0 1,968,030 Pfizer, Inc. 44,733,322 1.2 385,834 Wyeth 17,050,004 0.5 Other Securities 55,745,342 1.4 --------------------------- 233,981,013 6.3 - ------------------------------------------------------------------------------------------------------------------------------------ Real Estate Investment Trusts (REITs) Other Securities 36,787,135 1.0 - ------------------------------------------------------------------------------------------------------------------------------------ Real Estate Management & Development Other Securities 1,161,351 0.0 - ------------------------------------------------------------------------------------------------------------------------------------ Road & Rail Other Securities 28,300,627 0.8 - ------------------------------------------------------------------------------------------------------------------------------------ Semiconductors & 1,684,853 Intel Corp. 44,918,181 1.2 Semiconductor Equipment Other Securities 54,950,399 1.5 --------------------------- 99,868,580 2.7 - ------------------------------------------------------------------------------------------------------------------------------------ Software 2,319,487 Microsoft Corp. 82,573,737 2.2 1,136,319 Oracle Corp. (a)(e) 25,658,083 0.7 Other Securities 31,265,350 0.8 --------------------------- 139,497,170 3.7 - ------------------------------------------------------------------------------------------------------------------------------------ Specialty Retail Other Securities 56,038,079 1.5 - ------------------------------------------------------------------------------------------------------------------------------------ Textiles, Apparel & Luxury Goods Other Securities 14,327,190 0.4 - ------------------------------------------------------------------------------------------------------------------------------------ Thrifts & Mortgage Finance Other Securities 26,519,482 0.7 - ------------------------------------------------------------------------------------------------------------------------------------ Tobacco 606,937 Altria Group, Inc. 45,872,298 1.2 Other Securities 5,708,969 0.2 --------------------------- 51,581,267 1.4 - ------------------------------------------------------------------------------------------------------------------------------------ Trading Companies & Distributors Other Securities 1,889,732 0.1 - ------------------------------------------------------------------------------------------------------------------------------------ Wireless Telecommunication Services Other Securities 15,726,565 0.4 Total Common Stocks (Cost -- $2,794,100,719) 3,706,796,752 99.6 - ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 17 Summary Schedule of Investments (concluded) Master S&P 500 Index Series
Beneficial Percent of Interest Short-Term Securities Value Net Assets ==================================================================================================================================== $ 3,656,892 BlackRock Liquidity Series, LLC Cash Sweep Series, 5.04% (b)(c) $ 3,656,892 0.1% 352,564,900 BlackRock Liquidity Series, LLC Money Market Series, 4.78% (b)(c)(f) 352,564,900 9.5 - ------------------------------------------------------------------------------------------------------------------------------------ Total Short-Term Securities (Cost -- $356,221,792) 356,221,792 9.6 - ------------------------------------------------------------------------------------------------------------------------------------ Total Investments (Cost -- $3,150,322,511*) 4,063,018,544 109.2 Liabilities in Excess of Other Assets (341,847,708) (9.2) --------------------------- Net Assets $3,721,170,836 100.0% ===========================
* The cost and unrealized appreciation (depreciation) of investments as of December 31, 2007, as computed for federal income tax purposes, were as follows: Aggregate cost ....................................... $ 2,610,236,122 =============== Gross unrealized appreciation ........................ $ 1,546,979,510 Gross unrealized depreciation ........................ (94,197,088) --------------- Net unrealized appreciation .......................... $ 1,452,782,422 =============== (a) Non-income producing security. (b) Investments in companies considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
--------------------------------------------------------------------------------------- Interest/ Purchase Sale Realized Dividend Affiliate Cost Cost Gain Income --------------------------------------------------------------------------------------- Blackrock Liquidity Series, LLC Cash Sweep Series -- $42,257,333** -- $2,259,136 BlackRock Liquidity Series, LLC Money Market Series $17,223,100* -- -- $ 688,689 Merrill Lynch & Co., Inc. $ 2,802,808 $ 914,000 $282,077 $ 311,714 The PNC Financial Services Group, Inc. $ 1,807,325 $ 569,972 $ 55,595 $ 211,029 ---------------------------------------------------------------------------------------
* Represents net purchase cost. ** Represents net sale cost. (c) Represents the current yield as of December 31, 2007. (d) All or a portion of security held as collateral in connection with open financial futures contracts. (e) Security, or a portion of security, is on loan. (f) Security was purchased with the cash proceeds from securities loans. 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 held in connection with open financial futures contracts. o For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Series management. This definition may not apply for this report, which may combine industry sub-classification for reporting ease. Industries are shown as a percent of net assets. These industry classifications are unaudited. o Financial futures contracts purchased as of December 31, 2007 were as follows: -------------------------------------------------------------------------- Number of Expiration Face Unrealized Contracts Issue Date Value Appreciation -------------------------------------------------------------------------- 44 S&P 500 Index March 2008 $16,154,369 $94,831 -------------------------------------------------------------------------- See Notes to Financial Statements. 18 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Statement of Assets and Liabilities Master S&P 500 Index Series As of December 31, 2007 =================================================================================================================================== Assets - ----------------------------------------------------------------------------------------------------------------------------------- Investments in unaffiliated securities, at value (including securities loaned of $342,057,698) (identified cost -- $2,779,483,873) ............................. $ 3,686,943,052 Investments in affiliated securities, at value (identified cost -- $370,838,638) .......... 376,075,492 Receivables: Securities sold ....................................................................... $ 37,882,599 Contributions ......................................................................... 6,695,103 Dividends ............................................................................. 5,512,285 Securities lending .................................................................... 91,718 50,181,705 --------------- Prepaid expenses and other assets ......................................................... 1,976,807 --------------- Total assets .............................................................................. 4,115,177,056 --------------- =================================================================================================================================== Liabilities - ----------------------------------------------------------------------------------------------------------------------------------- Collateral on securities loaned, at value ................................................. 352,564,900 Bank overdraft ............................................................................ 17,453 Payables: Withdrawals ........................................................................... 38,042,468 Securities purchased .................................................................. 3,027,144 Other affiliates ...................................................................... 34,618 Investment adviser .................................................................... 16,133 Variation margin ...................................................................... 13,764 41,134,127 --------------- Accrued expenses and other liabilities .................................................... 289,740 --------------- Total liabilities ......................................................................... 394,006,220 --------------- =================================================================================================================================== Net Assets - ----------------------------------------------------------------------------------------------------------------------------------- Net assets ................................................................................ $ 3,721,170,836 =============== =================================================================================================================================== Net Assets Consist of - ----------------------------------------------------------------------------------------------------------------------------------- Investors' capital ........................................................................ $ 2,808,379,972 Unrealized appreciation -- net ............................................................ 912,790,864 --------------- Net Assets ................................................................................ $ 3,721,170,836 ===============
See Notes to Financial Statements. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 19 Statement of Operations Master S&P 500 Index Series For the Year Ended December 31, 2007 =================================================================================================================================== Investment Income - ----------------------------------------------------------------------------------------------------------------------------------- Dividends (including $522,743 from affiliates) ............................................ $ 66,269,541 Interest from affiliates .................................................................. 2,259,136 Securities lending -- net ................................................................. 688,689 --------------- Total income .............................................................................. 69,217,366 =============== =================================================================================================================================== Expenses - ----------------------------------------------------------------------------------------------------------------------------------- Accounting services ....................................................................... $ 511,948 Investment advisory fees .................................................................. 349,953 Professional fees ......................................................................... 138,798 Custodian fees ............................................................................ 129,648 Directors' fees and expenses .............................................................. 31,065 Licensing fees ............................................................................ 20,000 Printing and shareholder reports .......................................................... 3,443 Pricing fees .............................................................................. 120 Other ..................................................................................... 63,126 --------------- Total expenses before waiver .............................................................. 1,248,101 Waiver of expenses ........................................................................ (174,977) --------------- Total expenses after waiver ............................................................... 1,073,124 --------------- Investment income -- net .................................................................. 68,144,242 --------------- =================================================================================================================================== Realized & Unrealized Gain (Loss) -- Net - ----------------------------------------------------------------------------------------------------------------------------------- Realized gain on: Investments (including $337,672 from affiliates) -- net ............................... 71,700,711 Financial futures contracts -- net .................................................... 1,271,248 72,971,959 --------------- Change in unrealized appreciation on: Investments -- net .................................................................... (17,249,512) Financial futures contracts -- net .................................................... (2,161) (17,251,673) ------------------------------------ Total realized and unrealized gain -- net ................................................. 55,720,286 --------------- Net Increase in Net Assets Resulting from Operations ...................................... $ 123,864,528 ===============
See Notes to Financial Statements. 20 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Statements of Changes in Net Assets Master S&P 500 Index Series
For the Year Ended December 31, ------------------------------------ Increase (Decrease) in Net Assets: 2007 2006 =================================================================================================================================== Operations - ----------------------------------------------------------------------------------------------------------------------------------- Investment income -- net .................................................................. $ 68,144,242 $ 52,217,414 Realized gain (loss) -- net ............................................................... 72,971,959 (15,353,939) Change in unrealized appreciation/depreciation -- net ..................................... (17,251,673) 370,124,158 ------------------------------------ Net increase in net assets resulting from operations ...................................... 123,864,528 406,987,633 ------------------------------------ =================================================================================================================================== Capital Transactions - ----------------------------------------------------------------------------------------------------------------------------------- Proceeds from contributions ............................................................... 1,916,951,681* 682,690,342 Fair value of withdrawals ................................................................. (1,130,278,630) (1,224,826,445) ------------------------------------ Net increase (decrease) in net assets derived from capital transactions ................... 786,673,051 (542,136,103) ------------------------------------ =================================================================================================================================== Net Assets - ----------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets ................................................... 910,537,579 (135,148,470) Beginning of year ......................................................................... 2,810,633,257 2,945,781,727 ------------------------------------ End of year ............................................................................... $ 3,721,170,836 $ 2,810,633,257 ====================================
* Amount includes an in-kind contribution of $1,099,448,117 from an affiliated fund. See Notes to Financial Statements. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 21 Financial Highlights Master S&P 500 Index Series
For the Year Ended December 31, The following ratios have been derived from -------------------------------------------------------------------------------- information provided in the financial statements. 2007 2006 2005 2004 2003 =================================================================================================================================== Total Investment Return - ----------------------------------------------------------------------------------------------------------------------------------- Total investment return ....................... 5.56% 15.85% 4.96% 10.90% 28.70% ================================================================================ =================================================================================================================================== Ratios to Average Net Assets - ----------------------------------------------------------------------------------------------------------------------------------- Expenses, net of waiver ....................... .03% .04% .03% .03% .04% ================================================================================ Expenses ...................................... .04% .04% .03% .03% .04% ================================================================================ Investment income -- net ...................... 1.95% 1.92% 1.84% 1.99% 1.76% ================================================================================ =================================================================================================================================== Supplemental Data - ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of year (in thousands) ........ $ 3,721,171 $ 2,810,633 $ 2,945,782 $ 2,938,391 $ 2,474,596 ================================================================================ Portfolio turnover ............................ 4% 4% 11% 6% 4% ================================================================================
See Notes to Financial Statements. 22 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Notes to Financial Statements Master S&P 500 Index Series 1. Significant Accounting Policies: Master S&P 500 Index Series (the "Series"), a non-diversified management investment company, is part of Quantitative Master Series LLC (the "Master LLC"). The Master LLC is registered under the Investment Company Act of 1940, as amended, and is organized as a Delaware limited liability company. Prior to June 15, 2007, the Master LLC was organized as a Delaware statutory trust (the "Trust"). The Limited Liability Company Agreement permits the Directors (and prior to June 15, 2007, the Declaration of Trust permitted the Trustees) to issue nontransferable interests in the Master LLC/Trust, subject to certain limitations. Throughout this report, the Trust and the Master LLC are referred to as the Master LLC and the Board of Trustees of the Trust and the Board of Directors of the Master LLC are referred to as the Board of Directors. The Series' financial statements are prepared in conformity with U.S. generally accepted accounting principles, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The following is a summary of significant accounting policies followed by the Series. (a) Valuation of investments -- Equity securities that are held by the Series that are traded on stock exchanges or the NASDAQ Global Market are valued at the last sale price or official close price on the exchange, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price for long positions, and at the last available asked price for short positions. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by or under the authority of the Board of Directors. Long positions traded in the over-the-counter ("OTC") markets, NASDAQ Capital Market or Bulletin Board are valued at the last available bid price or yield equivalent obtained from one or more dealers or pricing services approved by the Board of Directors. Short positions traded in the OTC markets are valued at the last available asked price. Portfolio securities that are traded both in the OTC markets and on a stock exchange are valued according to the broadest and most representative market. Effective September 4, 2007, exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade and previously were valued at the last sales price as of the close of options trading on applicable exchanges. Options traded on the OTC market are valued at the last asked price (options written) or the last bid price (options purchased). Swap agreements are valued based upon quoted fair valuations received daily by the Series from a pricing service or counterparty. Financial futures contracts and options thereon, which are traded on exchanges, are valued at their last sale price as of the close of such exchanges. Valuation of short-term investment vehicles is generally based on the net asset value of the underlying investment vehicle or amortized cost. Repurchase agreements are valued at cost plus accrued interest. The Series employs pricing services to provide certain securities prices for the Series. Securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by or under the direction of the Board of Directors, including valuations furnished by the pricing services retained by the 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 Master LLC under the general supervision of the Board of Directors. Such valuations and procedures will be reviewed periodically by the Board of Directors. Generally, trading in foreign securities, as well as U.S. government securities, money market instruments and certain fixed income securities is substantially completed each day at various times prior to the close of business on the New York Stock Exchange ("NYSE"). The values of such securities used in computing the net assets of the Series are determined as of such times. Foreign currency exchange rates will generally be determined as of the close of business on the NYSE. Occasionally, events affecting the values of such securities and such exchange rates may occur between the times at which they are determined and the close of business on the NYSE that may not be reflected in the computation of the Series' net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such securities, those securities will be valued at their fair value as determined in good faith by the Board of Directors or by BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of BlackRock, Inc., using a pricing service and/or procedures approved by the Board of Directors. (b) Derivative financial instruments -- The Series may engage in various portfolio investment strategies to provide liquidity or as a proxy for a direct investment in securities underlying the Series' index. Losses may arise due to changes in the value of the contract or if the counterparty does not perform under the contract. The counterparty, for certain instruments, may pledge cash or securities as collateral. o Financial futures contracts -- The Series may purchase or sell financial futures contracts and options on such financial futures contracts. Financial futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Upon entering into a contract, the Series deposits, and maintains as collateral, such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Series as unrealized gains or losses. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 23 Notes to Financial Statements (continued) Master S&P 500 Index Series o Options -- The Series may purchase and write call and put options. When the Series writes an option, an amount equal to the premium received by the Series is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or the Series enters into a closing transaction), the Series realizes a gain or loss on the option to the extent of the premiums received or paid (or a gain or loss to the extent that the cost of the closing transaction exceeds the premium paid or received). Written and purchased options are non-income producing investments. (c) Income taxes -- The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series' assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code. (d) Security transactions and investment income -- Security transactions are accounted for on the date the securities are purchased or sold (the trade dates). Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income is recognized on the accrual basis. (e) Securities lending -- The Series may lend securities to financial institutions that provide cash or securities issued or guaranteed by the U.S. government as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Where the Series receives securities as collateral for the loaned securities, it collects a fee from the borrower. The Series typically receives the income on the loaned securities but does not receive the income on the collateral. Where the Series receives cash collateral, it may invest such collateral and retain the amount earned on such investment, net of any amount rebated to the borrower. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within five business days. The Series may pay reasonable 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) Bank overdraft -- The Series recorded a bank overdraft which resulted from management estimates of available cash. (g) Recent accounting pronouncements -- Effective June 29, 2007, the Series implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48, "Accounting for Uncertainty in Income Taxes -- an interpretation of FASB Statement No. 109" ("FIN 48"). FIN 48 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity, including investment companies, before being measured and recognized in the financial statements. Management has evaluated the application of FIN 48 to the Series, and has determined that the adoption of FIN 48 does not have a material impact on the Series' financial statements. The Series files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series' U.S. federal tax returns remains open for the years ended December 31, 2004 through December 31, 2006. The statute of limitations on the Series' state and local tax returns may remain open for an additional year depending upon the jurisdiction. In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The impact on the Series' financial statement disclosures, if any, is currently being assessed. In addition, in February 2007, Statement of Financial Accounting Standards No. 159, "The Fair Value Option for Financial Assets and Financial Liabilities" ("FAS 159"), was issued and is effective for fiscal years beginning after November 15, 2007. Early adoption is permitted as of the beginning of a fiscal year that begins on or before November 15, 2007, provided the entity also elects to apply the provisions of FAS 157. FAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. FAS 159 also establishes presentation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. The impact on the Series' financial statement disclosures, if any, is currently being assessed. 24 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Notes to Financial Statements (concluded) Master S&P 500 Index Series 2. Investment Advisory Agreement and Transactions with Affiliates: The Master LLC, on behalf of the Series, has entered into an Investment Advisory Agreement with the Manager. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The PNC Financial Services Group, Inc. are the principal owners of BlackRock, Inc. The Manager is responsible for the management of the Series' investments and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Manager earns a monthly fee at an annual rate of .01% of the average daily value of the Series' net assets. However, the Manager has entered into a contract with the Master LLC on behalf of the Series, that provides that the management fee for the Series, when combined with the administrative fee of a certain feeder fund, will not exceed a specified amount. As a result, the Series pays a monthly fee at an annual rate of .005% of the average daily value of the Series' net assets. For the year ended December 31, 2007, the Manager earned $349,953, of which $174,977 was waived. 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. The Master LLC, on behalf of the Series, has received an exemptive order from the Securities and Exchange Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned subsidiary of Merrill Lynch, or its affiliates. As of December 31, 2007, the Series loaned securities with a value of $79,561,400 to MLPF&S or its affiliates. Pursuant to that order, the Master LLC also has retained BIM as the securities lending agent for a fee based on a share of the returns on investment of cash collateral. BIM may, on behalf of the Master LLC 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, 2007, BIM received $203,707 in securities lending agent fees. Prior to March 28, 2007, Merrill Lynch Trust Company ("MLTC"), a wholly owned subsidiary of Merrill Lynch, was the Series' custodian. Effective March 28, 2007, State Street Bank & Trust Co. became the Series' custodian. For the year ended December 31, 2007, the Series reimbursed the Manager $63,062 for certain accounting services. Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock, Inc. or its affiliates. 3. Investments: Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2007 were $138,148,702 and $351,559,549, respectively. 4. Short-Term Borrowings: The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is party to a $500,000,000 credit agreement with a group of lenders. The Series may borrow under the credit agreement to fund shareholder redemptions and for other lawful purposes other than for leverage. The Series may borrow up to the maximum amount allowable under the Series' current prospectus and statement of additional information, subject to various other legal, regulatory or contractual limits. The Series pays a commitment fee of .06% per annum based on the Series' pro rata share of the unused portion of the credit agreement. Amounts borrowed under the credit agreement bear interest at a rate equal to, at each fund's election, the federal funds rate plus .35% or a base rate as defined in the credit agreement. The Series did not borrow under the credit agreement during the year ended December 31, 2007. On November 21, 2007, the credit agreement was renewed for one year under substantially the same terms. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 25 Report of Independent Registered Public Accounting Firm Master S&P 500 Index Series To the Investors and Board of Directors of Quantitative Master Series LLC: We have audited the accompanying statement of assets and liabilities, including the summary schedule of investments, of Master S&P 500 Index Series, one of the portfolios constituting Quantitative Master Series LLC (formerly Quantitative Master Series Trust) (the "Master LLC"), as of December 31, 2007, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting 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, 2007, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master S&P 500 Index Series of Quantitative Master Series LLC as of December 31, 2007, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. Deloitte & Touche LLP Princeton, New Jersey February 28, 2008 26 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Proxy Results Master S&P 500 Index Series During the six-month period ended December 31, 2007, the holders of interests of Master S&P 500 Index Series of Quantitative Master Series LLC voted on the following proposal, which was approved at a special meeting on September 7, 2007. This proposal was a part of the reorganization of the Board of Directors of Quantitative Master Series LLC that took effect on November 1, 2007. A description of the proposal and number of shares voted for each Director are as follows:
- ------------------------------------------------------------------------------------------------------------------------------------ Units of Interest Units of Interest Voted For Withheld From Voting - ------------------------------------------------------------------------------------------------------------------------------------ To elect the Board of Directors David O. Beim, Richard S. Davis, Ronald W. Forbes, of Quantitative Master Series LLC: Henry Gabbay, Dr. Matina Horner, Rodney D. Johnson, Herbert I. London, Cynthia A. Montgomery, Joseph P. Platt, Jr., Robert C. Robb, Jr., Toby Rosenblatt, Kenneth L. Urish and Frederick W. Winter 2,427,287,326 0 - ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 27 Proxy Results BlackRock S&P 500 Index Fund During the six-month period ended December 31, 2007, the shareholders of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. voted on the following proposal, which was approved at a special shareholders' meeting on September 7, 2007. This proposal was a part of the reorganization of the Corporation's Board of Directors that took effect on November 1, 2007. A description of the proposal and number of shares voted are as follows:
- ------------------------------------------------------------------------------------------------------------------------------ Shares Voted Shares Withheld For From Voting - ------------------------------------------------------------------------------------------------------------------------------ To elect the Corporation's Board of Directors: David O. Beim 72,231,963 2,040,303 Richard S. Davis 72,211,640 2,060,626 Ronald W. Forbes 72,235,874 2,036,392 Henry Gabbay 72,258,290 2,013,976 Dr. Matina Horner 72,226,461 2,045,805 Rodney D. Johnson 72,229,841 2,042,425 Herbert I. London 72,235,935 2,036,331 Cynthia A. Montgomery 72,263,439 2,008,827 Joseph P. Platt, Jr. 72,256,695 2,015,571 Robert C. Robb, Jr. 72,255,689 2,016,577 Toby Rosenblatt 72,233,933 2,038,333 Kenneth L. Urish 72,252,993 2,019,273 Frederick W. Winter 72,225,341 2,046,925 - ------------------------------------------------------------------------------------------------------------------------------
28 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Officers and Directors
Number of BlackRock- Position(s) Advised Held with Length of Funds and Name, Address Fund/ Time Portfolios Public and Year of Birth Master LLC Served Principal Occupation(s) During Past Five Years Overseen Directorships ==================================================================================================================================== Non-Interested Directors* - ------------------------------------------------------------------------------------------------------------------------------------ David O. Beim Director 2007 to Professor of Finance and Economics at the 35 Funds None 40 East 52nd Street present Columbia University Graduate School of 81 Portfolios New York, NY 10022 Business since 1991; Chairman of Outward 1940 Bound USA from 1997 to 2001; Chairman of Wave Hill, Inc. from 1990 to 2006; Trustee of Phillips Exeter Academy from 2002 to present. - ------------------------------------------------------------------------------------------------------------------------------------ Ronald W. Forbes Director 2007 to Professor Emeritus of Finance, School of 35 Funds None 40 East 52nd Street and present Business, State University of New York at 81 Portfolios New York, NY 10022 Co-Chairman Albany since 2000 and Professor thereof from 1940 of the Board 1989 to 2000; International Consultant, of Directors Urban Institute, Washington, D.C. from 1995 to 1999. - ------------------------------------------------------------------------------------------------------------------------------------ Dr. Matina Horner Director 2007 to Executive Vice President of Teachers 35 Funds NSTAR (electric 40 East 52nd Street present Insurance and Annuity Association and 81 Portfolios and gas utility) New York, NY 10022 College Retirement Equities Fund from 1989 1939 to 2003. - ------------------------------------------------------------------------------------------------------------------------------------ Rodney D. Johnson Director 2007 to President, Fairmount Capital Advisors, Inc. 35 Funds None 40 East 52nd Street and present since 1987; Director, Fox Chase Cancer 81 Portfolios New York, NY 10022 Co-Chairman Center since 2002; Member of the 1941 of the Board Archdiocesan Investment Committee of the of Directors Archdiocese of Philadelphia since 2003. - ------------------------------------------------------------------------------------------------------------------------------------ Herbert I. London Director 2007 to Professor Emeritus, New York University 35 Funds AIMS Worldwide, Inc. 40 East 52nd Street and present since 2005; John M. Olin Professor of 81 Portfolios (marketing) New York, NY 10022 Member of Humanities, New York University from 1993 to 1939 the Audit 2005 and Professor thereof from 1980 to Committee 2005; President, Hudson Institute since 1997 and Trustee thereof since 1980; Dean, Gallatin Division of New York University from 1976 to 1993; Distinguished Fellow, Herman Kahn Chair, Hudson Institute from 1984 to 1985; Chairman of the Board of Directors of Vigilant Research, Inc. since 2006; Member of the Board of Directors for Grantham University since 2006; Director of AIMS Worldwide, Inc. since 2006; Director of Reflex Security since 2006; Director of InnoCentive, Inc. since 2006; Director of Cerego, LLC since 2005; Director, Damon Corp. from 1991 to 1995; Overseer, Center for Naval Analyses from 1983 to 1993. - ------------------------------------------------------------------------------------------------------------------------------------ Cynthia A. Montgomery Director 2007 to Professor, Harvard Business School since 35 Funds Newell Rubbermaid, 40 East 52nd Street present 1989; Associate Professor, J.L. Kellogg 81 Portfolios Inc. (manufacturing) New York, NY 10022 Graduate School of Management, Northwestern 1952 University from 1985 to 1989; Associate Professor, Graduate School of Business Administration, University of Michigan from 1979 to 1985; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005. - ------------------------------------------------------------------------------------------------------------------------------------ Joseph P. Platt, Jr. Director 2007 to Partner, Amarna Corporation, LLC (private 35 Funds Greenlight Capital 40 East 52nd Street present investment company) since 2002; Director, 81 Portfolios Re, Ltd. (reinsurance New York, NY 10022 Jones and Brown (Canadian insurance broker) company) 1947 since 1998; Director, Greenlight Capital Re, Ltd. (reinsurance company) since 2004; Partner, Amarna Financial Company (private investment company) since 2005; Director and Executive Vice President, Johnson and Higgins (insurance brokerage) from 1990 to 1997. - ------------------------------------------------------------------------------------------------------------------------------------ Robert C. Robb, Jr. Director 2007 to Partner, Lewis, Eckert, Robb and Company 35 Funds None 40 East 52nd Street present (management and financial consulting firm) 81 Portfolios New York, NY 10022 since 1981; Trustee, Medical College of 1945 Pennsylvania/Hahnemann University from 1998 to 2002; Director, EQK Realty Investors from 1994 to 2000; Director, Tamaqua Cable Products Company from 1981 to 1998; Director, Brynwood Partners from 1984 to 1998; Director, The PNC Bank Corp. from 1994 to 1998; Director, Provident National Bank from 1983 to 1993; Director, Brinks, Inc. from 1981 to 1986. ---------------------------------------------------------------------------------------------------------- * Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.
BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 29 Officers and Directors (continued)
Number of BlackRock- Position(s) Advised Held with Length of Funds and Name, Address Fund/ Time Portfolios Public and Year of Birth Master LLC Served Principal Occupation(s) During Past Five Years Overseen Directorships ==================================================================================================================================== Non-Interested Directors* (concluded) - ------------------------------------------------------------------------------------------------------------------------------------ Toby Rosenblatt Director 2007 to President since 1999 and Vice President -- 35 Funds A.P. Pharma, Inc. 40 East 52nd Street and Vice present General Partner since 1990, Founders 81 Portfolios (speciality New York, NY 10022 Chairman Investments Ltd. (private investments); pharmaceuticals) 1938 of the Director, Forward Management, LLC since Performance 2007; Director, SSR Funds from 1990 to 2005; Oversight Trustee, Metropolitan Series Funds, Inc. Committee from 2001 to 2005. - ------------------------------------------------------------------------------------------------------------------------------------ Kenneth L. Urish Director 2007 to Managing Partner, Urish Popeck & Co., LLC 35 Funds None 40 East 52nd Street and present (certified public account- ants and 81 Portfolios New York, NY 10022 Chairman of consultants) since 1976; External Advisory 1951 the Audit Board, The Pennsylvania State University Committee Accounting Department since 2001; Trustee, The Holy Family Foundation since 2001; President and Trustee, Pittsburgh Catholic Publishing Associates since 2003; Former Director, Inter-Tel from 2006 to 2007. - ------------------------------------------------------------------------------------------------------------------------------------ Frederick W. Winter Director 2007 to Professor and Dean Emeritus of the Joseph M. 35 Funds None 40 East 52nd Street and present Katz School of Business -- University of 81 Portfolios New York, NY 10022 Member of Pittsburgh since 2005 and Dean thereof from 1945 the Audit 1997 to 2005; Director, Alkon Corporation Committee (pneumatics) since 1992; Director, Indotronix International (IT service) since 2004; Director, Tippman Sports (recreation) since 2005. ---------------------------------------------------------------------------------------------------------- * Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. ==================================================================================================================================== Interested Directors* - ------------------------------------------------------------------------------------------------------------------------------------ Richard S. Davis Director 2007 to Managing Director, BlackRock, Inc. since 184 Funds None 40 East 52nd Street present 2005; Chief Executive Officer, State Street 289 Portfolios New York, NY 10022 Research & Management Company from 2000 to 1945 2005; Chairman of the Board of Trustees, State Street Research mutual funds ("SSR Funds") from 2000 to 2005; Senior Vice President, Metropolitan Life Insurance Company from 1999 to 2000; Chairman, SSR Realty from 2000 to 2004. - ------------------------------------------------------------------------------------------------------------------------------------ Henry Gabbay Director 2007 to Consultant, BlackRock, Inc. since 2007; 183 Funds None 40 East 52nd Street present Managing Director, BlackRock, Inc. from 1989 288 Portfolios New York, NY 10022 to June 2007; Chief Administrative Officer, 1947 BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock Fund complex from 1989 to 2006. ---------------------------------------------------------------------------------------------------------- * Messrs. Davis and Gabbay are both "interested persons," as defined in the Investment Company Act of 1940, of the Fund/Master LLC based on their positions with BlackRock, Inc. and its affiliates. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. ==================================================================================================================================== Advisory Board Member - ------------------------------------------------------------------------------------------------------------------------------------ David R. Director 2007 Chairman, Wilmerding & Associates, Inc. 35 Funds Chestnut Street Wilmerding, Jr.* (investment advisers) from 1989 to 2005; 81 Portfolios Exchange Fund, 40 East 52nd Street Chairman, Coho Partners, Ltd. (investment (open-end New York, NY 10022 advisors) from 2003 to 2005; Director, investment company) 1935 Beaver Management Corporation. ---------------------------------------------------------------------------------------------------------- * David R. Wilmerding, Jr. resigned from the Advisory Board of the Fund/Master LLC, effective December 31, 2007.
30 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 Officers and Directors (concluded)
Position(s) Held with Length of Name, Address Fund/ Time and Year of Birth Master LLC Served Principal Occupation(s) During Past Five Years ==================================================================================================================================== Fund/Master LLC Officers* - ------------------------------------------------------------------------------------------------------------------------------------ Donald C. Burke Fund 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Managing Director of 40 East 52nd Street President present Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P. New York, NY 10022 and Chief ("FAM") in 2006; First Vice President thereof from 1997 to 2005; Treasurer thereof 1960 Executive from 1999 to 2006 and Vice President thereof from 1990 to 1997. Officer - ------------------------------------------------------------------------------------------------------------------------------------ Anne F. Ackerley Vice 2007 to Managing Director of BlackRock, Inc. since 2000 and First Vice President and Chief 40 East 52nd Street President present Operating Officer of Mergers and Acquisitions Group from 1997 to 2000; First Vice New York, NY 10022 President and Chief Operating Officer of Public Finance Group thereof from 1995 to 1962 1997; First Vice President of Emerging Markets Fixed Income Research of Merrill Lynch & Co., Inc. from 1994 to 1995. - ------------------------------------------------------------------------------------------------------------------------------------ Neal J. Andrews Chief 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Senior Vice President and 40 East 52nd Street Financial present Line of Business Head of Fund Accounting and Administration at PFPC Inc. from 1992 New York, NY 10022 Officer to 2006. 1966 - ------------------------------------------------------------------------------------------------------------------------------------ Jay M. Fife Treasurer 2007 to Managing Director of BlackRock, Inc. since 2007 and Director since 2006; Formerly 40 East 52nd Street present Assistant Treasurer of the MLIM/FAM advised funds from 2005 to 2006; Director of New York, NY 10022 MLIM Fund Services Group from 2001 to 2006. 1970 - ------------------------------------------------------------------------------------------------------------------------------------ Brian P. Kindelan Chief 2007 to Chief Compliance Officer of the Funds since 2007; Managing Director and Senior 40 East 52nd Street Compliance present Counsel thereof since January 2005; Director and Senior Counsel of BlackRock New York, NY 10022 Officer Advisors, Inc. from 2001 to 2004 and Vice President and Senior Counsel thereof from 1959 1998 to 2000; Senior Counsel of The PNC Bank Corp. from 1995 to 1998. - ------------------------------------------------------------------------------------------------------------------------------------ Howard Surloff Secretary 2007 to Managing Director of BlackRock, Inc. and General Counsel of U.S. Funds at BlackRock, 40 East 52nd Street present Inc. since 2006; Formerly General Counsel (U.S.) of Goldman Sachs Asset Management, New York, NY 10022 L.P. from 1993 to 2006. 1965 ---------------------------------------------------------------------------------------------------------- * Officers of the Fund/Master LLC serve at the pleasure of the Board of Directors. - ------------------------------------------------------------------------------------------------------------------------------------ Further information about the Fund's Officers and Directors is available in the Fund's Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762. - ------------------------------------------------------------------------------------------------------------------------------------
Custodian State Street Bank and Trust Company North Quincy, MA 02171 Transfer Agent PFPC Inc. Wilmington, DE 19809 Accounting Agent State Street Bank and Trust Company Princeton, NJ 08540 Independent Registered Public Accounting Firm Deloitte & Touche LLP Princeton, NJ 08540 Legal Counsel Sidley Austin LLP New York, NY 10019 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 31 BlackRock Fund Information 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 non-public 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 non-public 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 websites. BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated 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 non-public 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 non-public 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 website 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 website 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. 32 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 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. 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 website at www.blackrock.com, by calling (800) 441-7762, or on the website 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 or the Fund's previous adviser during the most recent 12-month period ended June 30 is available, upon request and without charge, on our website at www.blackrock.com, by calling (800) 441-7762 or on the website 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 website 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/funds. 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 funds. Systematic Withdrawal Plans Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, 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. BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 33 A World-Class Mutual Fund Family BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing. Equity Funds BlackRock All-Cap Global Resources Portfolio BlackRock Aurora Portfolio BlackRock Asset Allocation Portfolio+ BlackRock Balanced Capital Fund+ BlackRock Basic Value Fund BlackRock Capital Appreciation Portfolio BlackRock Developing Capital Markets Fund BlackRock Equity Dividend Fund BlackRock EuroFund BlackRock Focus Growth 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 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 Large Cap Core Fund BlackRock Large Cap Growth Fund BlackRock Large Cap Value Fund BlackRock Latin America Fund 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 Technology Fund BlackRock U.S. Opportunities Portfolio BlackRock Utilities and Telecommunications Fund BlackRock Value Opportunities Fund Fixed Income Funds BlackRock Commodity Strategies 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 II BlackRock Intermediate Government Bond Portfolio BlackRock International Bond Portfolio BlackRock Low Duration Bond Portfolio BlackRock Managed Income Portfolio BlackRock Short-Term Bond Fund BlackRock Total Return Fund BlackRock Total Return Portfolio II BlackRock World Income Fund Municipal Bond Funds 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 Target Risk & Target Date Funds BlackRock Prepared Portfolios Conservative Prepared Portfolio Moderate Prepared Portfolio Growth Prepared Portfolio Aggressive Growth Prepared Portfolio BlackRock Lifecycle Prepared Portfolios Prepared Portfolio 2010 Prepared Portfolio 2015 Prepared Portfolio 2020 Prepared Portfolio 2025 Prepared Portfolio 2030 Prepared Portfolio 2035 Prepared Portfolio 2040 Prepared Portfolio 2045 Prepared Portfolio 2050 * See the prospectus for information on specific limitations on investments in the fund. + Mixed asset 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. 34 BLACKROCK S&P 500 INDEX FUND DECEMBER 31, 2007 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 returns 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. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling toll-free 1-800-441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission's website at http://www.sec.gov. Information about how the Fund voted proxies relating to securities held in the Fund's portfolio during the most recent 12-month period ended June 30 is available (1) at www.blackrock.com and (2) on the Securities and Exchange Commission's website at http://www.sec.gov. BlackRock Index Funds, Inc. 100 Bellevue Parkway Wilmington, DE 19809 BLACKROCK #Index 4-12/07 Item 2 - Code of Ethics - The registrant (or the "Fund") has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant's principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com. Item 3 - Audit Committee Financial Expert - The registrant's board of directors or trustees, as applicable (the "board of directors") has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: Donald W. Burton (term ended, effective November 1, 2007) John F. O'Brien (term ended, effective November 1, 2007) Kenneth L. Urish (term began, effective November 1, 2007) David H. Walsh (term ended, effective November 1, 2007) Fred G. Weiss (term ended, effective November 1, 2007) Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. Item 4 - Principal Accountant Fees and Services
- ---------------------------------------------------------------------------------------------------------------------------------- (a) Audit Fees (b) Audit-Related Fees(1) (c) Tax Fees(2) (d) All Other Fees(3) - ---------------------------------------------------------------------------------------------------------------------------------- Current Previous Current Previous Current Previous Current Previous Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal Entity Name End Year End End Year End End Year End End Year End - ---------------------------------------------------------------------------------------------------------------------------------- BlackRock S&P 500 Index Fund $6,500 $6,500 $0 $0 $6,100 $6,000 $1,042 $0 - ---------------------------------------------------------------------------------------------------------------------------------- Master S&P 500 Index Series $35,500 $35,500 $0 $24,000 $17,000 $17,000 $0 $0 - ----------------------------------------------------------------------------------------------------------------------------------
1 The nature of the services include assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees. 2 The nature of the services include tax compliance, tax advice and tax planning. 3 The nature of the services include a review of compliance procedures and attestation thereto. (e)(1) Audit Committee Pre-Approval Policies and Procedures: The registrant's audit committee (the "Committee") has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the registrant's affiliated service providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC's auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis ("general pre-approval"). However, such services will only be deemed pre-approved provided that any individual project does not exceed $5,000 attributable to the registrant or $50,000 for all of the registrants the Committee oversees. Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. (e)(2) None of the services described in each of Items 4(b) through (d) were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) Not Applicable (g) Affiliates' Aggregate Non-Audit Fees: -------------------------------------------------------------------- Current Fiscal Previous Fiscal Entity Name Year End Year End -------------------------------------------------------------------- BlackRock S&P 500 Index Fund $291,642 $3,077,450 -------------------------------------------------------------------- Master S&P 500 Index Series $301,500 $3,112,450 -------------------------------------------------------------------- (h) The registrant's audit committee has considered and determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any non-affiliated sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by the registrant's investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. Regulation S-X Rule 2-01(c)(7)(ii) - $284,500, 0% Item 5 - Audit Committee of Listed Registrants - Not Applicable Item 6 - Schedule of Investments - Master S&P 500 Index Series Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- Aerospace & Defense - 2.8% 223,361 Boeing Co. $ 19,535,153 115,157 General Dynamics Corp. 10,247,821 38,549 Goodrich Corp. 2,721,945 215,174 Honeywell International, Inc. 13,248,263 34,767 L-3 Communications Holdings, Inc. 3,683,216 99,151 Lockheed Martin Corp. (e) 10,436,634 97,462 Northrop Grumman Corp. 7,664,412 39,100 Precision Castparts Corp. 5,423,170 123,683 Raytheon Co. 7,507,558 49,516 Rockwell Collins, Inc. 3,563,667 284,811 United Technologies Corp. 21,799,434 --------------- 105,831,273 - -------------------------------------------------------------------------------------------------------------------------------- Air Freight & Logistics - 1.0% 50,892 C.H. Robinson Worldwide, Inc. 2,754,275 63,500 Expeditors International Washington, Inc. 2,837,180 87,856 FedEx Corp. (e) 7,834,120 302,787 United Parcel Service, Inc. Class B (e) 21,413,097 --------------- 34,838,672 - -------------------------------------------------------------------------------------------------------------------------------- Airlines - 0.1% 218,770 Southwest Airlines Co. (e) 2,668,994 - -------------------------------------------------------------------------------------------------------------------------------- Auto Components - 0.2% 65,683 The Goodyear Tire & Rubber Co. (a)(e) 1,853,574 168,370 Johnson Controls, Inc. 6,068,055 --------------- 7,921,629 - -------------------------------------------------------------------------------------------------------------------------------- Automobiles - 0.3% 607,982 Ford Motor Co. (a)(e) 4,091,719 159,898 General Motors Corp. 3,979,861 70,829 Harley-Davidson, Inc. 3,308,423 --------------- 11,380,003 - -------------------------------------------------------------------------------------------------------------------------------- Beverages - 2.4% 211,409 Anheuser-Busch Cos., Inc. 11,065,147 26,413 Brown-Forman Corp. Class B 1,957,467 572,683 The Coca-Cola Co. 35,145,556 89,423 Coca-Cola Enterprises, Inc. 2,327,681 59,756 Constellation Brands, Inc. Class A (a) 1,412,632 37,100 Molson Coors Brewing Co. Class B 1,915,102 44,073 Pepsi Bottling Group, Inc. 1,739,121 463,824 PepsiCo, Inc. 35,204,242 --------------- 90,766,948 - -------------------------------------------------------------------------------------------------------------------------------- Biotechnology - 1.1% 313,140 Amgen, Inc. (a) 14,542,222 83,322 Biogen Idec, Inc. (a)(e) 4,742,688 111,236 Celgene Corp. (a) 5,140,216 75,323 Genzyme Corp. (a) 5,607,044 268,182 Gilead Sciences, Inc. (a) 12,339,054 --------------- 42,371,224 - -------------------------------------------------------------------------------------------------------------------------------- Building Products - 0.1% 106,307 Masco Corp. 2,297,294 52,221 Trane, Inc. 2,439,243 --------------- 4,736,537 - -------------------------------------------------------------------------------------------------------------------------------- Capital Markets - 3.3% 52,300 American Capital Strategies Ltd. (e) 1,723,808 69,873 Ameriprise Financial, Inc. 3,850,701 328,077 The Bank of New York Mellon Corp. 15,997,034 32,223 The Bear Stearns Cos., Inc. (e) 2,843,680 267,894 The Charles Schwab Corp. 6,844,692 118,082 E*Trade Financial Corp. (a)(e) 419,191 27,348 Federated Investors, Inc. Class B 1,125,644 46,622 Franklin Resources, Inc. 5,334,955 114,593 The Goldman Sachs Group, Inc. (e) 24,643,225 44,232 Janus Capital Group, Inc. 1,453,021
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 38,354 Legg Mason, Inc. $ 2,805,595 152,376 Lehman Brothers Holdings, Inc. (e) 9,971,485 246,638 Merrill Lynch & Co., Inc. (b) 13,239,528 305,833 Morgan Stanley (e) 16,242,791 55,161 Northern Trust Corp. 4,224,229 110,515 State Street Corp. 8,973,818 74,140 T. Rowe Price Group, Inc. (e) 4,513,643 --------------- 124,207,040 - -------------------------------------------------------------------------------------------------------------------------------- Chemicals - 1.8% 62,018 Air Products & Chemicals, Inc. 6,116,835 19,132 Ashland, Inc. 907,431 270,053 The Dow Chemical Co. 10,645,489 257,137 E.I. du Pont de Nemours & Co. 11,337,170 23,362 Eastman Chemical Co. 1,427,185 54,095 Ecolab, Inc. 2,770,205 30,102 Hercules, Inc. 582,474 24,864 International Flavors & Fragrances, Inc. 1,196,704 157,572 Monsanto Co. 17,599,217 47,947 PPG Industries, Inc. 3,367,318 91,057 Praxair, Inc. 8,077,666 39,726 Rohm & Haas Co. (e) 2,108,259 40,245 Sigma-Aldrich Corp. 2,197,377 --------------- 68,333,330 - -------------------------------------------------------------------------------------------------------------------------------- Commercial Banks - 3.0% 158,296 BB&T Corp. 4,854,938 43,543 Comerica, Inc. 1,895,427 52,251 Commerce Bancorp, Inc. 1,992,853 153,497 Fifth Third Bancorp (e) 3,857,380 42,158 First Horizon National Corp. (e) 765,168 105,329 Huntington Bancshares, Inc. (e) 1,554,656 111,982 KeyCorp (e) 2,625,978 23,866 M&T Bank Corp. 1,946,750 70,721 Marshall & Ilsley Corp. 1,872,692 175,705 National City Corp. (e) 2,892,104 100,749 The PNC Financial Services Group, Inc. (b) 6,614,172 208,548 Regions Financial Corp. (e) 4,932,160 100,611 SunTrust Banks, Inc. (e) 6,287,181 497,511 U.S. Bancorp (e) 15,790,999 569,261 Wachovia Corp. 21,648,996 972,290 Wells Fargo & Co. 29,353,435 27,930 Zions Bancorporation 1,304,052 --------------- 110,188,941 - -------------------------------------------------------------------------------------------------------------------------------- Commercial Services & 74,642 Allied Waste Industries, Inc. (a) 822,555 Supplies - 0.5% 29,212 Avery Dennison Corp. 1,552,326 42,897 Cintas Corp. 1,442,197 39,854 Equifax, Inc. 1,449,091 34,751 Monster Worldwide, Inc. (a) 1,125,932 64,862 Pitney Bowes, Inc. 2,467,350 60,022 R.R. Donnelley & Sons Co. 2,265,230 48,292 Robert Half International, Inc. 1,305,816 146,495 Waste Management, Inc. 4,785,992 --------------- 17,216,489 - -------------------------------------------------------------------------------------------------------------------------------- Communications Equipment - 2.6% 23,001 Ciena Corp. (a) 784,564 1,748,204 Cisco Systems, Inc. (a) 47,323,882 454,049 Corning, Inc. 10,892,635
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 58,672 JDS Uniphase Corp. (a) $ 780,338 150,283 Juniper Networks, Inc. (a) 4,989,396 658,108 Motorola, Inc. 10,556,052 471,601 QUALCOMM, Inc. 18,557,499 140,784 Tellabs, Inc. (a) 920,727 --------------- 94,805,093 - -------------------------------------------------------------------------------------------------------------------------------- Computers & Peripherals - 4.6% 252,903 Apple, Inc. (a) 50,095,026 645,721 Dell, Inc. (a) 15,826,622 604,338 EMC Corp. 11,198,383 742,911 Hewlett-Packard Co. 37,502,147 397,091 International Business Machines Corp. 42,925,537 27,544 Lexmark International, Inc. Class A (a) 960,184 99,200 Network Appliance, Inc. (a) 2,476,032 47,581 QLogic Corp. (a) 675,650 63,247 SanDisk Corp. (a) 2,097,903 238,732 Sun Microsystems, Inc. (a) 4,328,211 53,100 Teradata Corp. (a) 1,455,471 --------------- 169,541,166 - -------------------------------------------------------------------------------------------------------------------------------- Construction & Engineering - 0.2% 24,918 Fluor Corp. 3,631,051 34,800 Jacobs Engineering Group, Inc. (a) 3,327,228 --------------- 6,958,279 - -------------------------------------------------------------------------------------------------------------------------------- Construction Materials - 0.1% 29,572 Vulcan Materials Co. 2,338,849 - -------------------------------------------------------------------------------------------------------------------------------- Consumer Finance - 0.7% 336,974 American Express Co. 17,529,387 112,619 Capital One Financial Corp. (e) 5,322,374 142,466 Discover Financial Services 2,148,387 119,373 SLM Corp. 2,404,172 --------------- 27,404,320 - -------------------------------------------------------------------------------------------------------------------------------- Containers & Packaging - 0.1% 31,433 Ball Corp. 1,414,485 29,930 Bemis Co. 819,483 37,589 Pactiv Corp. (a) 1,000,995 47,687 Sealed Air Corp. 1,103,477 --------------- 4,338,440 - -------------------------------------------------------------------------------------------------------------------------------- Distributors - 0.1% 49,397 Genuine Parts Co. 2,287,081 - -------------------------------------------------------------------------------------------------------------------------------- Diversified Consumer 39,431 Apollo Group, Inc. Class A (a) 2,766,085 Services - 0.1% 100,936 H&R Block, Inc. 1,874,381 --------------- 4,640,466 - -------------------------------------------------------------------------------------------------------------------------------- Diversified Financial 1,283,653 Bank of America Corp. 52,963,523 Services - 4.4% 57,129 CIT Group, Inc. 1,372,810 15,679 CME Group, Inc. 10,755,794 1,444,179 Citigroup, Inc. 42,516,630 20,000 IntercontinentalExchange, Inc. (a) 3,850,000 967,904 JPMorgan Chase & Co. 42,249,010 48,700 Leucadia National Corp. (e) 2,293,770 61,755 Moody's Corp. (e) 2,204,653 76,400 NYSE Euronext (e) 6,705,628 --------------- 164,911,818 - -------------------------------------------------------------------------------------------------------------------------------- Diversified Telecommunication 1,752,191 AT&T Inc. 72,821,058 Services - 3.2% 35,615 CenturyTel, Inc. 1,476,598 109,504 Citizens Communications Co. (e) 1,393,986 40,456 Embarq Corp. 2,003,786 452,326 Qwest Communications International, Inc. 3,170,805 832,857 Verizon Communications, Inc. 36,387,522
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 128,440 Windstream Corp. $ 1,672,289 --------------- 118,926,044 - -------------------------------------------------------------------------------------------------------------------------------- Electric Utilities - 2.1% 47,918 Allegheny Energy, Inc. 3,048,064 119,455 American Electric Power Co., Inc. 5,561,825 357,334 Duke Energy Corp. 7,207,427 94,047 Edison International 5,019,288 55,970 Entergy Corp. 6,689,534 190,211 Exelon Corp. 15,528,826 117,264 FPL Group, Inc. (e) 7,948,154 87,834 FirstEnergy Corp. 6,353,912 107,069 PPL Corp. 5,577,224 56,984 Pepco Holdings, Inc. 1,671,341 26,258 Pinnacle West Capital Corp. 1,113,602 79,560 Progress Energy, Inc. (a) 3,809,801 216,900 The Southern Co. 8,404,875 --------------- 77,933,873 - -------------------------------------------------------------------------------------------------------------------------------- Electrical Equipment - 0.5% 51,850 Cooper Industries Ltd. Class A 2,741,828 226,830 Emerson Electric Co. 12,852,188 45,511 Rockwell Automation, Inc. 3,138,439 --------------- 18,732,455 - -------------------------------------------------------------------------------------------------------------------------------- Electronic Equipment & 114,949 Agilent Technologies, Inc. (a) 4,223,226 Instruments - 0.3% 54,386 Jabil Circuit, Inc. 830,474 46,140 Molex, Inc. 1,259,622 143,601 Tyco Electronics Ltd. 5,331,905 --------------- 11,645,227 - -------------------------------------------------------------------------------------------------------------------------------- Energy Equipment & 84,333 BJ Services Co. 2,045,919 Services - 2.5% 90,145 Baker Hughes, Inc. 7,310,759 39,509 ENSCO International, Inc. 2,355,527 252,451 Halliburton Co. 9,570,417 81,379 Nabors Industries Ltd. (a) 2,228,971 102,790 National Oilwell Varco, Inc. (a) 7,550,953 74,846 Noble Corp. 4,229,547 32,040 Rowan Cos., Inc. 1,264,298 344,590 Schlumberger Ltd. 33,897,318 57,501 Smith International, Inc. 4,246,449 91,575 Transocean, Inc. (a) 13,108,961 97,239 Weatherford International Ltd. (a) 6,670,595 --------------- 94,479,714 - -------------------------------------------------------------------------------------------------------------------------------- Food & Staples Retailing - 2.4% 425,552 CVS/Caremark Corp. 16,915,692 124,124 Costco Wholesale Corp. 8,658,890 196,241 The Kroger Co. 5,241,597 57,710 SUPERVALU INC. 2,165,279 172,515 SYSCO Corp. 5,384,193 124,110 Safeway, Inc. 4,245,803 680,909 Wal-Mart Stores, Inc. 32,363,605 284,044 Walgreen Co. (e) 10,816,395 38,382 Whole Foods Market, Inc. (e) 1,565,986 --------------- 87,357,440 - -------------------------------------------------------------------------------------------------------------------------------- Food Products - 1.5% 183,418 Archer-Daniels-Midland Co. 8,516,098 63,462 Campbell Soup Co. 2,267,497 137,320 ConAgra Foods, Inc. 3,266,843 40,049 Dean Foods Co. 1,035,667 95,460 General Mills, Inc. 5,441,220
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 90,107 H.J. Heinz Co. $ 4,206,195 52,846 The Hershey Co. (e) 2,082,132 76,486 Kellogg Co. 4,010,161 444,151 Kraft Foods, Inc. 14,492,647 38,348 McCormick & Co., Inc. 1,453,773 219,005 Sara Lee Corp. 3,517,220 76,645 Tyson Foods, Inc. Class A 1,174,968 65,919 Wm. Wrigley Jr. Co. 3,859,557 --------------- 55,323,978 - -------------------------------------------------------------------------------------------------------------------------------- Gas Utilities - 0.2% 12,458 Nicor, Inc. 527,596 49,996 Questar Corp. 2,704,784 182,561 Spectra Energy Corp. 4,713,725 --------------- 7,946,105 - -------------------------------------------------------------------------------------------------------------------------------- Health Care Equipment & 182,677 Baxter International, Inc. 10,604,400 Supplies - 1.7% 70,324 Becton Dickinson & Co. 5,877,680 380,113 Boston Scientific Corp. (a) 4,420,714 31,306 C.R. Bard, Inc. 2,967,809 143,601 Covidien Ltd. 6,360,088 44,027 Hospira, Inc. (a) 1,877,311 325,757 Medtronic, Inc. 16,375,804 99,515 St. Jude Medical, Inc. (a) 4,044,290 70,939 Stryker Corp. 5,300,562 37,809 Varian Medical Systems, Inc. (a) 1,972,117 67,610 Zimmer Holdings, Inc. (a) 4,472,401 --------------- 64,273,176 - -------------------------------------------------------------------------------------------------------------------------------- Health Care Providers & 144,211 Aetna, Inc. 8,325,301 Services - 2.4% 51,391 AmerisourceBergen Corp. 2,305,914 103,416 Cardinal Health, Inc. 5,972,274 80,457 Cigna Corp. 4,322,955 47,199 Coventry Health Care, Inc. (a) 2,796,541 72,670 Express Scripts, Inc. (a) 5,304,910 47,384 Humana, Inc. (a) 3,568,489 33,223 Laboratory Corp. of America Holdings (a) 2,509,333 83,391 McKesson Corp. (e) 5,462,944 77,118 Medco Health Solutions, Inc. (a) 7,819,765 41,966 Patterson Cos., Inc. (a) 1,424,746 42,642 Quest Diagnostics, Inc. (e) 2,255,762 132,885 Tenet Healthcare Corp. (a) 675,056 372,345 UnitedHealth Group, Inc. 21,670,479 164,634 WellPoint, Inc. (a)(e) 14,443,341 --------------- 88,857,810 - -------------------------------------------------------------------------------------------------------------------------------- Health Care Technology - 0.0% 59,001 IMS Health, Inc. 1,359,383 - -------------------------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & 124,785 Carnival Corp. (e) 5,551,685 Leisure - 1.4% 43,759 Darden Restaurants, Inc. 1,212,562 52,389 Harrah's Entertainment, Inc. 4,649,524 93,168 International Game Technology 4,092,870 90,119 Marriott International, Inc. Class A (e) 3,080,267 340,801 McDonald's Corp. 20,076,587 205,491 Starbucks Corp. (a) 4,206,401 57,411 Starwood Hotels & Resorts Worldwide, Inc. 2,527,806 28,433 Wendy's International, Inc. 734,709 56,485 Wyndham Worldwide Corp. 1,330,787 146,582 Yum! Brands, Inc. (e) 5,609,693 --------------- 53,072,891 - --------------------------------------------------------------------------------------------------------------------------------
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- Household Durables - 0.4% 18,607 Black & Decker Corp. $ 1,295,978 34,654 Centex Corp. 875,360 78,911 D.R. Horton, Inc. (e) 1,039,258 42,151 Fortune Brands, Inc. 3,050,046 18,957 Harman International Industries, Inc. 1,397,320 20,291 KB Home 438,286 53,452 Leggett & Platt, Inc. 932,203 38,391 Lennar Corp. Class A 686,815 77,433 Newell Rubbermaid, Inc. 2,003,966 61,125 Pulte Homes, Inc. (e) 644,257 16,579 Snap-On, Inc. 799,771 22,889 The Stanley Works 1,109,659 20,797 Whirlpool Corp. 1,697,659 --------------- 15,970,578 - -------------------------------------------------------------------------------------------------------------------------------- Household Products - 2.4% 42,837 Clorox Co. 2,791,687 145,784 Colgate-Palmolive Co. 11,365,321 120,255 Kimberly-Clark Corp. 8,338,482 897,494 The Procter & Gamble Co. 65,894,009 --------------- 88,389,499 - -------------------------------------------------------------------------------------------------------------------------------- IT Services - 0.9% 30,038 Affiliated Computer Services, Inc. Class A (a) 1,354,714 148,643 Automatic Data Processing, Inc. 6,619,073 81,202 Cognizant Technology Solutions Corp. (a) 2,755,996 50,551 Computer Sciences Corp. (a) 2,500,758 40,681 Convergys Corp. (a) 669,609 149,172 Electronic Data Systems Corp. 3,092,336 47,464 Fidelity National Information Services, Inc. 1,974,028 45,082 Fiserv, Inc. (a) 2,501,600 96,079 Paychex, Inc. 3,479,981 57,700 Total System Services, Inc. 1,615,600 94,590 Unisys Corp. (a) 447,411 221,153 The Western Union Co. 5,369,595 --------------- 32,380,701 - -------------------------------------------------------------------------------------------------------------------------------- Independent Power Producers & 188,763 The AES Corp. (a) 4,037,641 Energy Traders - 0.3% 52,049 Constellation Energy Group, Inc. 5,336,584 128,851 Dynegy, Inc. Class A (a) 919,996 --------------- 10,294,221 - -------------------------------------------------------------------------------------------------------------------------------- Industrial Conglomerates - 3.7% 205,485 3M Co. (e) 17,326,495 2,917,337 General Electric Co. 108,145,683 70,038 Textron, Inc. 4,993,709 140,901 Tyco International Ltd. 5,586,725 --------------- 136,052,612 - -------------------------------------------------------------------------------------------------------------------------------- Insurance - 4.3% 92,631 ACE Ltd. 5,722,743 25,381 AMBAC Financial Group, Inc. (e) 654,068 88,131 AON Corp. (e) 4,202,967 140,574 Aflac, Inc. 8,804,150 162,100 The Allstate Corp. 8,466,483 730,793 American International Group, Inc. 42,605,232 27,552 Assurant, Inc. 1,843,229 110,597 Chubb Corp. 6,036,384 49,962 Cincinnati Financial Corp. 1,975,497 123,975 Genworth Financial, Inc. Class A 3,155,164 89,824 Hartford Financial Services Group, Inc. 7,831,755 77,531 Lincoln National Corp. 4,513,855
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 127,770 Loews Corp. $ 6,431,942 36,159 MBIA, Inc. (e) 673,642 149,860 Marsh & McLennan Cos., Inc. 3,966,794 213,446 MetLife, Inc. (e) 13,152,543 75,398 Principal Financial Group, Inc. 5,190,398 209,547 The Progressive Corp. (e) 4,014,921 130,839 Prudential Financial, Inc. 12,173,261 23,894 Safeco Corp. 1,330,418 29,820 Torchmark Corp. 1,805,005 187,546 The Travelers Cos., Inc. 10,089,975 98,467 UnumProvident Corp. 2,342,530 50,335 XL Capital Ltd. Class A 2,532,354 --------------- 159,515,310 - -------------------------------------------------------------------------------------------------------------------------------- Internet & Catalog Retail - 0.3% 88,560 Amazon.com, Inc. (a)(e) 8,204,198 60,000 Expedia, Inc. (a) 1,897,200 57,427 IAC/InterActiveCorp (a) 1,545,935 --------------- 11,647,333 - -------------------------------------------------------------------------------------------------------------------------------- Internet Software & 49,100 Akamai Technologies, Inc. (a) 1,698,860 Services - 1.9% 327,588 eBay, Inc. (a)(e) 10,872,646 66,869 Google, Inc. Class A (a) 46,238,576 63,673 VeriSign, Inc. (a)(e) 2,394,742 385,140 Yahoo! Inc. (a) 8,958,356 --------------- 70,163,180 - -------------------------------------------------------------------------------------------------------------------------------- Leisure Equipment & 26,046 Brunswick Corp. 444,084 Products - 0.1% 83,027 Eastman Kodak Co. 1,815,800 48,104 Hasbro, Inc. 1,230,500 105,688 Mattel, Inc. 2,012,300 --------------- 5,502,684 - -------------------------------------------------------------------------------------------------------------------------------- Life Sciences Tools & 52,486 Applera Corp. - Applied Biosystems Group 1,780,325 Services - 0.4% 13,883 Millipore Corp. (a) 1,015,958 31,961 PerkinElmer, Inc. 831,625 120,666 Thermo Fisher Scientific, Inc. (a) 6,960,015 30,769 Waters Corp. (a) 2,432,905 --------------- 13,020,828 - -------------------------------------------------------------------------------------------------------------------------------- Machinery - 1.9% 182,516 Caterpillar, Inc. 13,243,361 29,181 Cummins, Inc. 3,716,784 71,351 Danaher Corp. 6,260,337 127,908 Deere & Co. 11,910,793 57,887 Dover Corp. 2,668,012 42,183 Eaton Corp. 4,089,642 51,782 ITT Corp. 3,419,683 117,829 Illinois Tool Works, Inc. 6,308,565 78,498 Ingersoll-Rand Co. Class A 3,647,802 36,800 Manitowoc Co. 1,796,944 106,177 PACCAR, Inc. (e) 5,784,523 35,075 Pall Corp. 1,414,224 48,468 Parker Hannifin Corp. 3,650,125 29,534 Terex Corp. (a) 1,936,544 --------------- 69,847,339 - -------------------------------------------------------------------------------------------------------------------------------- Media - 2.8% 197,412 CBS Corp. Class B (e) 5,379,477 149,075 Clear Channel Communications, Inc. 5,146,069 838,909 Comcast Corp. Class A (a) 15,318,478
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 46,657 Comcast Corp. Special Class A (a) $ 845,425 213,068 The DIRECTV Group, Inc. (a) 4,926,132 24,899 The E.W. Scripps Co. Class A (e) 1,120,704 63,925 Gannett Co., Inc. (e) 2,493,075 121,646 Interpublic Group of Cos., Inc. (a)(e) 986,549 92,201 The McGraw-Hill Cos., Inc. 4,039,326 13,345 Meredith Corp. 733,708 41,598 The New York Times Co. Class A (e) 729,213 675,293 News Corp. Class A (e) 13,836,754 94,214 Omnicom Group, Inc. 4,477,991 1,041,597 Time Warner, Inc. 17,196,766 189,129 Viacom, Inc. Class B (a)(e) 8,306,546 548,540 Walt Disney Co. 17,706,871 1,700 The Washington Post Co. Class B 1,345,431 --------------- 104,588,515 - -------------------------------------------------------------------------------------------------------------------------------- Metals & Mining - 1.0% 244,428 Alcoa, Inc. 8,933,843 28,313 Allegheny Technologies, Inc. 2,446,243 110,075 Freeport-McMoRan Copper & Gold, Inc. Class B 11,276,083 127,577 Newmont Mining Corp. 6,229,585 82,931 Nucor Corp. 4,911,174 25,700 Titanium Metals Corp. (e) 679,765 34,031 United States Steel Corp. 4,114,688 --------------- 38,591,381 - -------------------------------------------------------------------------------------------------------------------------------- Multi-Utilities - 1.1% 57,262 Ameren Corp. 3,104,173 73,731 CMS Energy Corp. 1,281,445 89,758 CenterPoint Energy, Inc. (e) 1,537,555 75,002 Consolidated Edison, Inc. (e) 3,663,848 48,053 DTE Energy Co. 2,112,410 166,018 Dominion Resources, Inc. 7,877,554 21,370 Integrys Energy Group, Inc. 1,104,615 71,915 NiSource, Inc. 1,358,474 106,431 PG&E Corp. 4,586,112 73,250 Public Service Enterprise Group, Inc. 7,196,080 73,238 Sempra Energy 4,531,967 56,516 TECO Energy, Inc. 972,640 114,126 Xcel Energy, Inc. 2,575,824 --------------- 41,902,697 - -------------------------------------------------------------------------------------------------------------------------------- Multiline Retail - 0.7% 29,182 Big Lots, Inc. (a) 466,620 21,950 Dillard's, Inc. Class A 412,221 46,933 Family Dollar Stores, Inc. 902,522 61,854 J.C. Penney Co., Inc. (e) 2,720,957 88,454 Kohl's Corp. (a)(e) 4,051,193 124,766 Macy's, Inc. 3,227,696 54,132 Nordstrom, Inc. 1,988,268 20,977 Sears Holdings Corp. (a)(e) 2,140,703 239,364 Target Corp. 11,968,200 --------------- 27,878,380 - -------------------------------------------------------------------------------------------------------------------------------- Office Electronics - 0.1% 276,861 Xerox Corp. 4,482,380 - -------------------------------------------------------------------------------------------------------------------------------- Oil, Gas & Consumable 132,687 Anadarko Petroleum Corp. 8,716,209 Fuels - 10.1% 94,503 Apache Corp. 10,162,853 130,861 Chesapeake Energy Corp. (e) 5,129,751 608,429 Chevron Corp. (e) 56,784,679 460,905 ConocoPhillips 40,697,911
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 52,248 Consol Energy, Inc. $ 3,736,777 128,264 Devon Energy Corp. 11,403,952 69,422 EOG Resources, Inc. 6,195,913 196,759 El Paso Corp. 3,392,125 1,576,427 Exxon Mobil Corp. (d) 147,695,446 78,984 Hess Corp. 7,966,326 204,058 Marathon Oil Corp. 12,418,970 53,359 Murphy Oil Corp. 4,526,978 50,200 Noble Energy, Inc. 3,991,904 238,719 Occidental Petroleum Corp. 18,378,976 76,342 Peabody Energy Corp. 4,705,721 43,000 Range Resources Corp. 2,208,480 33,908 Sunoco, Inc. 2,456,296 39,500 Tesoro Corp. 1,884,150 158,660 Valero Energy Corp. 11,110,960 168,867 Williams Cos., Inc. 6,042,061 136,904 XTO Energy, Inc. (e) 7,031,377 --------------- 376,637,815 - -------------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products - 0.3% 123,384 International Paper Co. 3,995,174 56,015 MeadWestvaco Corp. 1,753,269 60,412 Weyerhaeuser Co. 4,454,781 --------------- 10,203,224 - -------------------------------------------------------------------------------------------------------------------------------- Personal Products - 0.2% 123,658 Avon Products, Inc. 4,888,201 35,932 The Estee Lauder Cos., Inc. Class A 1,566,995 --------------- 6,455,196 - -------------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals - 6.3% 445,254 Abbott Laboratories 25,001,012 87,008 Allergan, Inc. (e) 5,589,394 29,959 Barr Pharmaceuticals, Inc. (a) 1,590,823 570,131 Bristol-Myers Squibb Co. 15,119,874 283,556 Eli Lilly & Co. (e) 15,139,055 89,874 Forest Laboratories, Inc. (a) 3,275,907 824,637 Johnson & Johnson 55,003,288 66,773 King Pharmaceuticals, Inc. (a) 683,756 627,225 Merck & Co., Inc. 36,448,045 79,643 Mylan, Inc. (e) 1,119,781 1,968,030 Pfizer, Inc. 44,733,322 465,522 Schering-Plough Corp. 12,401,506 30,407 Watson Pharmaceuticals, Inc. (a) 825,246 385,834 Wyeth 17,050,004 --------------- 233,981,013 - -------------------------------------------------------------------------------------------------------------------------------- Real Estate Investment Trusts 25,831 Apartment Investment & Management Co. Class A 897,111 (REITS) - 1.0% 21,268 AvalonBay Communities, Inc. 2,002,170 32,746 Boston Properties, Inc. (e) 3,006,410 37,075 Developers Diversified Realty Corp. 1,419,602 78,136 Equity Residential 2,849,620 74,300 General Growth Properties, Inc. 3,059,674 159,595 Host Marriott Corp. 2,719,499 68,741 Kimco Realty Corp. (e) 2,502,172 51,130 Plum Creek Timber Co., Inc. (e) 2,354,025 74,164 ProLogis (e) 4,700,514 34,446 Public Storage 2,528,681 63,283 Simon Property Group, Inc. 5,496,761 36,963 Vornado Realty Trust 3,250,896 --------------- 36,787,135 - --------------------------------------------------------------------------------------------------------------------------------
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- Real Estate Management & 53,891 CB Richard Ellis Group, Inc. (a) $ 1,161,351 Development - 0.0% - -------------------------------------------------------------------------------------------------------------------------------- Road & Rail - 0.8% 84,602 Burlington Northern Santa Fe Corp. 7,041,424 121,110 CSX Corp. 5,326,418 111,602 Norfolk Southern Corp. 5,629,205 17,147 Ryder System, Inc. 806,080 75,605 Union Pacific Corp. 9,497,500 --------------- 28,300,627 - -------------------------------------------------------------------------------------------------------------------------------- Semiconductors & Semiconductor 173,882 Advanced Micro Devices, Inc. (a)(e) 1,304,115 Equipment - 2.7% 96,804 Altera Corp. 1,870,253 87,398 Analog Devices, Inc. 2,770,517 391,880 Applied Materials, Inc. 6,959,789 132,564 Broadcom Corp. Class A (a) 3,465,223 1,684,853 Intel Corp. 44,918,181 50,766 KLA-Tencor Corp. 2,444,891 216,075 LSI Logic Corp. (a) 1,147,358 64,169 Linear Technology Corp. (e) 2,042,499 65,700 MEMC Electronic Materials, Inc. (a) 5,813,793 61,700 Microchip Technology, Inc. 1,938,614 206,743 Micron Technology, Inc. (a)(e) 1,498,887 67,734 National Semiconductor Corp. (e) 1,533,498 33,492 Novellus Systems, Inc. (a) 923,374 158,911 Nvidia Corp. (a) 5,406,152 53,961 Teradyne, Inc. (a) 557,957 401,812 Texas Instruments, Inc. 13,420,521 84,726 Xilinx, Inc. 1,852,958 --------------- 99,868,580 - -------------------------------------------------------------------------------------------------------------------------------- Software - 3.7% 165,376 Adobe Systems, Inc. (a) 7,066,516 66,523 Autodesk, Inc. (a) 3,310,184 60,189 BMC Software, Inc. (a) 2,145,136 119,624 CA, Inc. 2,984,619 52,098 Citrix Systems, Inc. (a) 1,980,245 95,471 Compuware Corp. (a) 847,782 89,082 Electronic Arts, Inc. (a) 5,203,280 93,996 Intuit, Inc. (a) 2,971,214 2,319,487 Microsoft Corp. 82,573,737 105,431 Novell, Inc. (a) 724,311 1,136,319 Oracle Corp. (a)(e) 25,658,083 249,818 Symantec Corp. (a) 4,032,063 --------------- 139,497,170 - -------------------------------------------------------------------------------------------------------------------------------- Specialty Retail - 1.5% 24,782 Abercrombie & Fitch Co. Class A 1,981,817 47,813 AutoNation, Inc. (a) 748,752 12,764 AutoZone, Inc. (a) 1,530,531 72,266 Bed Bath & Beyond, Inc. (a)(e) 2,123,898 101,157 Best Buy Co., Inc. (e) 5,325,916 31,846 Circuit City Stores, Inc. 133,753 45,800 GameStop Corp. Class A (a) 2,844,638 134,199 The Gap, Inc. 2,855,755 485,273 Home Depot, Inc. (e) 13,073,255 89,543 Limited Brands, Inc. (e) 1,695,049 421,489 Lowe's Cos., Inc. 9,534,081 79,947 Office Depot, Inc. (a) 1,112,063 24,242 OfficeMax, Inc. 500,840 44,129 RadioShack Corp. 744,015
Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------- Shares Industry Held Common Stocks Value - -------------------------------------------------------------------------------------------------------------------------------- 29,548 The Sherwin-Williams Co. $ 1,714,966 203,793 Staples, Inc. 4,701,504 125,972 TJX Cos., Inc. 3,619,176 39,063 Tiffany & Co. 1,798,070 --------------- 56,038,079 - -------------------------------------------------------------------------------------------------------------------------------- Textiles, Apparel & 106,108 Coach, Inc. (a) 3,244,783 Luxury Goods - 0.4% 31,167 Jones Apparel Group, Inc. 498,360 28,640 Liz Claiborne, Inc. 582,824 108,755 Nike, Inc. Class B 6,986,421 18,018 Polo Ralph Lauren Corp. 1,113,332 27,694 VF Corp. 1,901,470 --------------- 14,327,190 - -------------------------------------------------------------------------------------------------------------------------------- Thrifts & Mortgage Finance - 0.7% 166,545 Countrywide Financial Corp. (e) 1,488,912 281,351 Fannie Mae 11,248,413 190,619 Freddie Mac (e) 6,494,389 145,919 Hudson City Bancorp, Inc. (e) 2,191,703 23,544 MGIC Investment Corp. (e) 528,092 105,865 Sovereign Bancorp, Inc. 1,206,861 246,959 Washington Mutual, Inc. (e) 3,361,112 --------------- 26,519,482 - -------------------------------------------------------------------------------------------------------------------------------- Tobacco - 1.4% 606,937 Altria Group, Inc. 45,872,298 49,061 Reynolds American, Inc. 3,236,064 45,126 UST, Inc. 2,472,905 --------------- 51,581,267 - -------------------------------------------------------------------------------------------------------------------------------- Trading Companies & 21,592 W.W. Grainger, Inc. 1,889,732 Distributors - 0.1% - -------------------------------------------------------------------------------------------------------------------------------- Wireless Telecommunication 116,600 American Tower Corp. Class A (a) 4,967,160 Services - 0.4% 819,452 Sprint Nextel Corp. 10,759,405 --------------- 15,726,565 - -------------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (Cost - $2,794,100,719) - 99.6% 3,706,796,752 - -------------------------------------------------------------------------------------------------------------------------------- Beneficial Interest Short-Term Securities - -------------------------------------------------------------------------------------------------------------------------------- $ 3,656,892 BlackRock Liquidity Series, LLC Cash Sweep Series, 5.04% (b)(c) 3,656,892 352,564,900 BlackRock Liquidity Series, LLC Money Market Series, 4.78% (b)(c)(f) 352,564,900 - -------------------------------------------------------------------------------------------------------------------------------- Total Short-Term Securities (Cost - $356,221,792) - 9.6% 356,221,792 - -------------------------------------------------------------------------------------------------------------------------------- Total Investments (Cost - $3,150,322,511*) - 109.2% 4,063,018,544 Liabilities in Excess of Other Assets - (9.2%) (341,847,708) --------------- Net Assets - 100.0% $ 3,721,170,836 ===============
* The cost and unrealized appreciation (depreciation) of investments as of December 31, 2007, as computed for federal income tax purposes, were as follows: Aggregate cost $ 2,610,236,122 =============== Gross unrealized appreciation $ 1,546,979,510 Gross unrealized depreciation (94,197,088) --------------- Net unrealized appreciation $ 1,452,782,422 =============== Master S&P 500 Index Series of Quantitative Master Series LLC Schedule of Investments as of December 31, 2007 (a) Non-income producing security. (b) Investments in companies considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
-------------------------------------------------------------------------------------------------------- Affiliate Purchase Sale Realized Interest/Dividend Cost Cost Gain Income -------------------------------------------------------------------------------------------------------- Blackrock Liquidity Series, LLC -- $42,257,333 ** - $ 2,259,136 Cash Sweep Series BlackRock Liquidity Series, LLC $17,223,100 * -- - $ 688,689 Money Market Series Merrill Lynch & Co., Inc. $ 2,802,808 $ 914,000 $282,077 $ 311,714 The PNC Financial Services $ 1,807,325 $ 569,972 $ 55,595 $ 211,029 Group, Inc. --------------------------------------------------------------------------------------------------------
* Represents net purchase cost. ** Represents net sale cost. (c) Represents the current yield as of December 31, 2007. (d) All or a portion of security held as collateral in connection with open financial futures contracts. (e) Security, or a portion of security, is on loan. (f) Security was purchases with the cash proceeds from securities loans. 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 this report, which may combine industry sub-classification for reporting ease. Industries are shown as a percent of net assets. These industry classifications are unaudited. o Financial futures contracts purchased as of December 31, 2007 were as follows: ------------------------------------------------------------------------- Number of Expiration Unrealized Contracts Issue Date Face Value Appreciation ------------------------------------------------------------------------- 44 S&P 500 Index March 2008 $ 16,154,369 $ 94,831 ------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF INVESTMENTS To the Investors and Board of Directors of Quantitative Master Series LLC: We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of Master S&P 500 Index Series, one of the portfolios constituting Quantitative Master Series LLC (formerly Quantitative Master Series Trust) (the "Master LLC") as of December 31, 2007, and for the year then ended and have issued our report thereon dated February 28, 2008 which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR. Our audit also included the Master LLC's schedule of investments in securities (the "Schedule") as of December 31, 2007 appearing in Item 6 of this Form N-CSR. This Schedule is the responsibility of the Master LLC'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 Master LLC referred to above, presents fairly, in all material respects, the information set forth therein. DELOITTE & TOUCHE LLP Princeton, New Jersey February 28, 2008 Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies - Not Applicable Item 8 - Portfolio Managers of Closed-End Management Investment Companies - Not Applicable Item 9 - Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers - Not Applicable Item 10 - Submission of Matters to a Vote of Security Holders - The registrant's Nominating and Governance Committee will consider nominees to the Board recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations which include biographical information and set forth the qualifications of the proposed nominee to the registrant's Secretary. There have been no material changes to these procedures. Item 11 - Controls and Procedures 11(a) - The registrant's principal executive and principal financial officers or persons performing similar functions have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. 11(b) - There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 12 - Exhibits attached hereto 12(a)(1) - Code of Ethics - See Item 2 12(a)(2) - Certifications - Attached hereto 12(a)(3) - Not Applicable 12(b) - Certifications - Attached hereto Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC By: /s/ Donald C. Burke ------------------- Donald C. Burke Chief Executive Officer (principal executive officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC Date: February 21, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Donald C. Burke ------------------- Donald C. Burke Chief Executive Officer (principal executive officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC Date: February 21, 2008 By: /s/ Neal J. Andrews ------------------- Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC Date: February 21, 2008 EX-99.CERT 2 e603448_ex99-cert.txt EX-99. CERT CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 - -------------------------------------------------------------------------------- I, Donald C. Burke, Chief Executive Officer (principal executive officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC, certify that: 1. I have reviewed this report on Form N-CSR of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committees of the registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 21, 2008 /s/ Donald C. Burke - ------------------- Donald C. Burke Chief Executive Officer (principal executive officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC EX-99. CERT CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 - -------------------------------------------------------------------------------- I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC, certify that: 1. I have reviewed this report on Form N-CSR of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committees of the registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 21, 2008 /s/ Neal J. Andrews - ------------------- Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC EX-99.1350CERT 3 e603448_ex99-1350cert.txt Exhibit 99.1350CERT Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes Oxley Act Pursuant to 18 U.S.C. ss. 1350, the undersigned officer of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's Report on Form N-CSR for the period ended December 31, 2007, (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: February 21, 2008 /s/ Donald C. Burke - ------------------- Donald C. Burke Chief Executive Officer (principal executive officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC Pursuant to 18 U.S.C. ss. 1350, the undersigned officer of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's Report on Form N-CSR for the period ended December 31, 2007, (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: February 21, 2008 /s/ Neal J. Andrews - ------------------- Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock S&P 500 Index Fund of BlackRock Index Funds, Inc. and Master S&P 500 Index Series of Quantitative Master Series LLC This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission. -----END PRIVACY-ENHANCED MESSAGE-----