Annual Reports for Barclays Global Investor Funds

Name, Year of Birth

Position(s),

Length of Service

Principal Occupation(s) During Past Five Years

Other Directorships Held

*Lee T. Kranefuss,

1961

Trustee (since 2001), President and Chief Executive Officer (since 2002).

Chief Executive Officer (since 2005) of Global Index and Markets Group of BGI; Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director (since 2005) of Barclays Global Fund Advisors; Director, President and Chief Executive Officer (since 2005) of Barclays Global Investors International, Inc.; Director, Chairman and Chief Executive Officer (since 2005) of Barclays Global Investors Services; Chief Executive Officer (1999-2003) of the Individual Investor Business of BGI.

Director (since 2003) of BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham,

1965

Secretary, Treasurer and Chief Financial Officer (since 2003).

Chief Operating Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director and Chief Financial Officer (since 2005) of Barclays Global Investors International, Inc.; Director (2000-2003) of Mutual Fund Delivery in the U.S. Individual Investor Business of BGI.

N-CSR 1 dncsr.htm ANNUAL REPORTS FOR BARCLAYS GLOBAL INVESTOR FUNDS Annual Reports for Barclays Global Investor Funds

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 811-07332

Barclays Global Investors Funds

(Exact name of registrant as specified in charter)

c/o: Investors Bank & Trust Company

200 Clarendon Street; Boston, MA 02116

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street;

Wilmington, DE 19801

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-877-244-1544

Date of fiscal year end: December 31, 2006

Date of reporting period: December 31, 2006

Item 1. Reports to Stockholders

LOGO

Table of Contents


Management’s Discussions of Fund Performance		1

Shareholder Expenses (Unaudited)		5

Barclays Global Investors Funds

Financial Statements		6

Financial Highlights		8

Notes to the Financial Statements		10

Report of Independent Registered Public Accounting Firm		13

Tax Information (Unaudited)		14

Trustee and Officer Information (Unaudited)		15

Master Investment Portfolio

Schedules of Investments		18

Bond Index Master Portfolio		18

S&P 500 Index Master Portfolio		27

Portfolio Allocations (Unaudited)		38

Financial Statements		39

Notes to the Financial Statements		41

Report of Independent Registered Public Accounting Firm		46

Trustee and Officer Information (Unaudited)		47

Management’s Discussion of Fund Performance

Bond Index Fund

Performance as of December 31, 2006

Average Annual Total Returns


Bond Index Fund	One-Year	4.76	%
	Five-Year	4.92	%
	Ten-Year	6.08	%

LOGO

Average annual total returns represent the Fund’s average annual increase or decrease in value during the time periods noted above.

Performance figures assume that dividends and capital gain distributions have been reinvested in the Fund at net asset value. The Fund’s “net asset value” is the value of one share of the Fund.

The performance shown in the table and chart above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed.

An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, an index does not actually hold a portfolio of securities and therefore does not incur the management, administration, distribution, transaction or other expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance is no guarantee of future results.

The Bond Index Fund (the “Fund”) seeks to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate, as represented by the Lehman Brothers U.S. Aggregate Bond Index (the “Index”). The Index is comprised of U.S. Government securities and investment-grade corporate bonds, as well as mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. The Fund invests in a representative sample of these securities. Due to the use of representative sampling, the Fund generally does not hold all of the securities that are included in the Index. For the twelve-month period ended December 31, 2006 (the “reporting period”), the Fund returned 4.76%, while the Index returned 4.33%.

After raising the federal funds rate 17 times from 1.0% to 5.25% over a two-year period, the Federal Reserve Board (the “Fed”) paused its rate-raising campaign after the June 2006 meeting, leaving rates unchanged during the second half of 2006. Falling energy prices and the softening real estate market helped to somewhat alleviate investors’ fears of inflationary pressures, providing optimism that the Fed’s increases in rates may have come to an end for this interest rate cycle.

BOND INDEX FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Continued)

The interest rate increases in the first half of the reporting period pushed up bond yields, particularly the yields of short-term issues. Yields of the 10-year and 30-year Treasury bonds only moved up slightly thus leading to a flat or slightly inverse yield curve. The Citigroup 3-Month Treasury bill Index was up 4.76% for the reporting period, whereas the broad-based U.S. bond market, as represented by the Index, finished the reporting period up 4.33%. As concerns about inflation subsided during the course of the reporting period, Treasury inflation-protected securities (“TIPS”) were negatively affected. In fact, TIPS ended 2006 up only 0.41% as represented by the Lehman Brothers U.S. Treasury TIPS Index.

The surge in corporate profits during the year and the improvement in many firms’ financial health also helped corporate bonds. As the prices of corporate bonds rose, their yields declined (bond yields move inversely to bond prices). In fact, the spread between the yield of corporate bonds and the yield of Treasury bonds narrowed to levels not seen since the mid 1990s, despite the softer economic climate.

Despite a slump in the housing market, particularly in the second half of the reporting period, mortgage-backed securities were strong performers for 2006. For the year, fixed-rate agency mortgage-backed securities gained roughly 1.25 percentage points in excess returns above Treasury bonds.

The Bond Index Fund is organized as a “feeder” fund in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, holds interests in the net assets of its corresponding Master Portfolio. It is the Master Portfolio that actually invests in individual securities. References to “the Fund” are to the feeder fund or the Master Portfolio, as the context requires. Barclays Global Fund Advisors (BGFA) advises the Master Portfolio.

Management’s Discussion of Fund Performance

S&P 500 Stock Fund

Performance as of December 31, 2006

Average Annual Total Returns


S&P 500 Stock Fund	One-Year	15.60	%
	Five-Year	6.00	%
	Ten-Year	8.19	%

LOGO

Average annual total returns represent the Fund’s average annual increase or decrease in value during the time periods noted above.

Performance figures assume that dividends and capital gain distributions have been reinvested in the Fund at net asset value. The Fund’s “net asset value” is the value of one share of the Fund.

The S&P 500 Stock Fund (the “Fund”) seeks to approximate as closely as practicable, before fees and expenses, the capitalization-weighted total rate of return of the Standard & Poor’s 500 Index (the “Index”). The Index is composed of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The component stocks of the Index are weighted according to the total float-adjusted market value of their outstanding shares. The percentage of the Fund’s assets invested in a given stock is approximately the same as the percentage such stock represents in the Index. For the twelve-month period ended December 31, 2006 (the “reporting period”), the Fund returned 15.60%, while the Index returned 15.79%.

Domestic equity markets, as represented by the Index, delivered solid gains for the reporting period against a backdrop of stabilizing interest rates and oil prices, and healthy corporate profit growth. The Federal Reserve Board left rates unchanged during the second half of 2006, after raising federal funds rates 17 times from 1.0% to 5.25% over a two-year period. Although oil prices continued to escalate for the first six months of the year, they sank sharply in the final

S&P 500 STOCK FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Continued)

six months to finish the reporting period about where they had begun. Corporate earnings continued to be strong, with average earnings of the companies that comprise the Index roughly 70% higher for 2006 than their 2000 level.

Within the Index, sector performance was positive for the reporting period. The strongest contributor to Index performance came from the financials sector, which benefited from improved market conditions during the reporting period. The energy and consumer discretionary sectors also made strong contributions to performance, followed by industrials and consumer staples. The most modest contributor during the reporting period was the materials sector.

Among the Fund’s ten largest holdings as of December 31, 2006, performance was positive for the reporting period. The strongest performer for the reporting period was oil company Exxon Mobil Corp. Financial companies Bank of America Corp. and Citigroup Inc. also performed well, as did Altria Group Inc. The most modest gains among the ten largest holdings came from insurer American International Group Inc.

The S&P 500 Stock Fund is organized as a “feeder” fund in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, holds interests in the net assets of its corresponding Master Portfolio. It is the Master Portfolio that actually invests in individual securities. References to “the Fund” are to the feeder fund or the Master Portfolio, as the context requires. Barclays Global Fund Advisors (BGFA) advises the Master Portfolio.

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited)

As a shareholder of a Fund, you incur ongoing costs, including management fees and other fund expenses. The following Example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 to December 31, 2006.

ACTUAL EXPENSES

The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line under each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line under each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.


*Fund*	Beginning Account Value (7/1/06)		Ending Account Value (12/31/06)		Annualized Expense Ratio^(a)		Expenses Paid During Period ^(b)(7/1/06 to 12/31/06)
Bond Index
Actual	$	1,000.00	$	1,055.70	0.23	%	$	1.19
Hypothetical (5% return before expenses)		1,000.00		1,024.04	0.23			1.17
S&P 500 Stock
Actual		1,000.00		1,126.50	0.20			1.07
Hypothetical (5% return before expenses)		1,000.00		1,024.20	0.20			1.02

^(a)	This ratio includes net expenses charged to the corresponding Master Portfolio and includes expense reductions during the period.

^(b)	Expenses are calculated using each Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	*Bond* *Index Fund*			*S&P 500* *Stock Fund*
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	103,695,466		$	270,082,086
Receivables:
Capital shares sold		48,690			378,981

Total Assets		103,744,156			270,461,067

LIABILITIES
Payables:
Capital shares redeemed		124,718			6,061
Administration fees (Note 2)		10,868			31,969
Accrued expenses		16,131			16,113

Total Liabilities		151,717			54,143

NET ASSETS	$	103,592,439		$	270,406,924

Net assets consist of:
Paid-in capital	$	118,286,736		$	554,831,643
Undistributed net investment income		369,350			36,626
Accumulated net realized loss		(3,166,020	)		(216,809,542	)
Net unrealized depreciation		(11,897,627	)		(67,651,803	)

NET ASSETS	$	103,592,439		$	270,406,924

Shares outstanding		10,798,332			1,594,994

Net asset value and offering price per share	$	9.59		$	169.53


STATEMENTS OF OPERATIONS For the Year Ended December 31, 2006
	*Bond* *Index Fund*			*S&P 500* *Stock Fund*
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Dividends	$	—		$	5,450,016
Interest		9,052,418			202,789
Expenses^(a)		(143,464	)		(142,998	)

Net investment income allocated from corresponding Master Portfolio		8,908,954			5,509,807

FUND EXPENSES (Note 2)
Administration fees		268,458			429,200
Professional fees		16,629			16,874
Independent trustees’ fees		840			1,238

Total fund expenses		285,927			447,312
Less expense reductions (Note 2)		(17,469	)		(18,112	)

Net fund expenses		268,458			429,200

Net investment income		8,640,496			5,080,607

REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized loss		(905,036	)		(40,366,577	)
Net change in unrealized appreciation (depreciation)		(365,963	)		75,291,837

Net realized and unrealized gain (loss)		(1,270,999	)		34,925,260

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	7,369,497		$	40,005,867

^(a)	Net of investment advisory fee reductions in the amounts of $30,930 and $5,226, respectively.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS


	*Bond Index Fund*						*S&P 500 Stock Fund*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,640,496		$	9,241,432		$	5,080,607		$	6,263,048
Net realized gain (loss)		(905,036	)		(299,993	)		(40,366,577	)		699,964
Net change in unrealized appreciation (depreciation)		(365,963	)		(4,384,158	)		75,291,837			8,281,127

Net increase in net assets resulting from operations		7,369,497			4,557,281			40,005,867			15,244,139

Distributions to shareholders:
From net investment income		(8,946,307	)		(10,537,601	)		(6,413,059	)		(6,795,594	)
Return of capital		—			—			(24,671	)		—

Total distributions to shareholders		(8,946,307	)		(10,537,601	)		(6,437,730	)		(6,795,594	)

Capital share transactions:
Proceeds from shares sold		26,942,543			46,271,967			66,130,169			87,847,489
Net asset value of shares issued in reinvestment of dividends and distributions		8,512,991			9,795,669			5,040,956			4,871,442
Cost of shares redeemed		(134,057,398	)		(63,329,532	)		(143,168,811	)		(232,695,846	)

Net decrease in net assets resulting from capital share transactions		(98,601,864	)		(7,261,896	)		(71,997,686	)		(139,976,915	)

Decrease in net assets		(100,178,674	)		(13,242,216	)		(38,429,549	)		(131,528,370	)
NET ASSETS:
Beginning of year		203,771,113			217,013,329			308,836,473			440,364,843

End of year	$	103,592,439		$	203,771,113		$	270,406,924		$	308,836,473

Undistributed net investment income included in net assets at end of year	$	369,350		$	336		$	36,626		$	1,436,880

SHARES ISSUED AND REDEEMED:
Shares sold		2,824,745			4,712,208			422,327			609,365
Shares issued in reinvestment of dividends and distributions		897,154			1,002,106			31,645			34,075
Shares redeemed		(14,055,134	)		(6,446,746	)		(916,882	)		(1,602,755	)

Net decrease in shares outstanding		(10,333,235	)		(732,432	)		(462,910	)		(959,315	)

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	*Bond Index Fund*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002
Net asset value, beginning of year	$	9.64		$	9.93		$	10.02		$	10.14		$	9.76

Income from investment operations:
Net investment income		0.46			0.44			0.45			0.52			0.58
Net realized and unrealized gain (loss)		(0.02	)		(0.23	)		(0.05	)		(0.13	)		0.36

Total from investment operations		0.44			0.21			0.40			0.39			0.94

Less distributions from:
Net investment income		(0.49	)		(0.50	)		(0.49	)		(0.51	)		(0.56	)

Total distributions		(0.49	)		(0.50	)		(0.49	)		(0.51	)		(0.56	)

Net asset value, end of year	$	9.59		$	9.64		$	9.93		$	10.02		$	10.14

Total return		4.76	%		2.12	%		4.05	%		3.92	%		9.90	%

Ratios/Supplemental data:
Net assets, end of year (000s)	$	103,592		$	203,771		$	217,013		$	178,217		$	96,281
Ratio of expenses to average net assets^(a)		0.23	%		0.23	%		0.23	%		0.23	%		0.23	%
Ratio of expenses to average net assets prior to expense reductions^(a)		0.26	%		n/a			n/a			n/a			n/a
Ratio of net investment income to average net assets^(a)		4.83	%		4.42	%		4.34	%		4.09	%		5.12	%
Portfolio turnover rate^(b)		57	%		76	%		148	%		67	%		118	%

^(a)	These ratios include the Fund’s share of net expenses charged to the corresponding Master Portfolio.

^(b)	Represents the portfolio turnover rate of the Fund’s corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*S&P 500 Stock Fund*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002
Net asset value, beginning of year	$	150.07		$	145.95		$	134.74		$	106.71		$	139.28

Income from investment operations:
Net investment income		3.04			2.66			3.51			1.86			0.48
Net realized and unrealized gain (loss)		20.11			4.07			10.69			28.06			(32.63	)

Total from investment operations		23.15			6.73			14.20			29.92			(32.15	)

Less distributions from:
Net investment income		(3.68	)		(2.61	)		(2.99	)		(1.89	)		(0.40	)
Net realized gain		—			—			—			—			(0.02	)
Return of capital		(0.01	)		—			—			—			—

Total distributions		(3.69	)		(2.61	)		(2.99	)		(1.89	)		(0.42	)

Net asset value, end of year	$	169.53		$	150.07		$	145.95		$	134.74		$	106.71

Total return		15.60	%		4.72	%		10.67	%		28.37	%		(22.20	)%

Ratios/Supplemental data:
Net assets, end of year (000s)	$	270,407		$	308,836		$	440,365		$	1,394,613		$	945,499
Ratio of expenses to average net assets^(a)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Ratio of expenses to average net assets prior to expense reductions^(a)		0.21	%		n/a			n/a			n/a			n/a
Ratio of net investment income to average net assets^(a)		1.78	%		1.69	%		1.63	%		1.59	%		1.41	%
Portfolio turnover rate^(b)		14	%		10	%		14	%		8	%		12	%

^(a)	These ratios include the Fund’s share of net expenses charged to the corresponding Master Portfolio.

^(b)	Represents the portfolio turnover rate of the Fund’s corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

Barclays Global Investors Funds (the “Trust”), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end series management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc., was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. As of December 31, 2006, the Trust offered the following series: Bond Index, Government Money Market, Institutional Money Market, Prime Money Market, S&P 500 Stock and Treasury Money Market Funds and the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios.

These financial statements relate only to the Bond Index and S&P 500 Stock Funds (each, a “Fund,” collectively, the “Funds”).

Under the Trust’s organizational documents, the Funds’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred.

1.	SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies are consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (99.99% and 9.90% for the Bond Index and S&P 500 Stock Funds, respectively, as of December 31, 2006). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

The performance of each Fund is directly affected by the performance of its corresponding Master Portfolio. The financial statements of each Master Portfolio, including the Schedules of Investments, accompanied by an unaudited summarized, tabular presentation, are included elsewhere in this report and should be read in conjunction with the corresponding Fund’s financial statements.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Bond Index Fund are declared and distributed monthly. Distributions to shareholders from net investment income of the S&P 500 Stock Fund, if any, are declared and distributed quarterly. For each Fund, distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually.

Due to the timing of distributions and the differences in accounting for income and realized gains (losses) for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains (losses) were recorded by the Funds.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the tax year-end of the Funds, the components of net distributable earnings (accumulated losses) on a tax basis were as follows:


*Fund*	Undistributed Ordinary Income		Unrealized Depreciation			Capital and Other Losses			Net Accumulated Losses
Bond Index	$	369,350	$	(9,277,024	)	$	(5,786,623	)	$	(14,694,297	)
S&P 500 Stock		—		(144,497,920	)		(139,926,799	)		(284,424,719	)

The tax character of distributions paid during the years ended December 31, 2006 and December 31, 2005, were as follows:


*Fund*	*2006*		*2005*
Bond Index
Distributions paid from:
Ordinary income	$	8,946,307	$	10,537,601

Total Distributions	$	8,946,307	$	10,537,601

S&P 500 Stock
Distributions paid from:
Ordinary income	$	6,413,059	$	6,795,594
Return of capital		24,671		—

Total Distributions	$	6,437,730	$	6,795,594

FEDERAL INCOME TAXES

Each Fund is treated as a separate entity for federal income tax purposes. It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to annually distribute substantially all of its net income and any net gains (taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2006.

The Funds had tax basis net capital loss carryforwards as of December 31, 2006, the tax year-end of the Funds, as follows:


*Fund*	Expiring 2008		*Expiring* *2010*		Expiring 2011		Expiring 2012		*Expiring* *2013*		*Expiring* *2014*		*Total*
Bond Index	$	1,845,447	$	—	$	159,923	$	—	$	1,501,172	$	2,280,081	$	5,786,623
S&P 500 Stock		—		72,553,461		—		1,601,227		21,068,837		31,394,394		126,617,919

Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first.

From November 1, 2006 to December 31, 2006, the S&P 500 Stock Fund incurred net realized capital losses. As permitted by tax regulations, the S&P 500 Stock Fund has elected to defer these losses of $13,341,895 and treat them as arising in the year ending December 31, 2007.

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Investors Bank & Trust Company (“IBT”) serves as the custodian, sub-administrator, transfer agent and dividend disbursement agent of the Funds. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Funds. IBT is entitled to receive fees for its transfer agent and dividend disbursing agent services, which BGI has agreed to pay out of the fees it receives for administration services to the Funds.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

SEI Investments Distribution Company (“SEI”) is the Funds’ distributor. SEI does not receive a fee from the Funds for its distribution services.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Funds. BGI is entitled to receive for these administration services an annual fee of 0.15% of the average daily net assets from each Fund. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BGI may delegate certain of its administration duties to sub-administrators.

The fees and expenses of the Funds’ trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Funds. BGI has voluntarily agreed to provide an offsetting credit against the administration fees paid by the Funds in an amount equal to the independent expenses.

For the year ended December 31, 2006, BGI credited administration fees of $17,469 and $18,112 for the Bond Index and S&P 500 Stock Funds, respectively.

Certain officers and trustees of the Trust are also officers of BGI and/or Barclays Global Fund Advisors (“BGFA”), the Master Portfolios’ investment adviser. As of December 31, 2006, these officers of BGI and/or BGFA collectively owned less than 1% of the outstanding shares of the Trust.

3.	CAPITAL SHARE TRANSACTIONS

As of December 31, 2006, there was an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for each Fund are disclosed in detail in the Funds’ Statements of Changes in Net Assets.

4.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. The Securities and Exchange Commission staff has stated that it would not object if a fund does not implement FIN 48 in its NAV calculation until the date of the fund’s last NAV calculation in the first required financial statement reporting period for its fiscal year beginning after December 15, 2006. The Trust is currently evaluating the impact of applying the various provisions of FIN 48.

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. The Trust is currently evaluating the impact the adoption of FAS 157 will have on the Funds’ financial statement disclosures.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Bond Index Fund and S&P 500 Stock Fund, each a series of Barclays Global Investors Funds (the “Funds”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION (Unaudited)

For corporate shareholders, 69.46% of the income dividends paid by the S&P 500 Stock Fund during the tax year ended December 31, 2006 qualified for the dividends-received deduction.

Under Section 854(b)(2) of the Internal Revenue Code (the “Code”), the S&P 500 Stock Fund hereby designates a maximum amount of $4,632,276 as qualified dividend income for purposes of the maximum rate under Section 1(h)(11) of the Code for the tax year ended December 31, 2006.

Pursuant to Section 871(k)(1)(C) of the Code, the Bond Index Fund hereby designates the maximum allowable amount of $8,529,022 as interest-related dividends for the tax year ended December 31, 2006.

In January 2007, shareholders should have received Form 1099-DIV which includes their share of qualified dividend income distributed during the calendar year 2006. Shareholders are advised to check with their tax advisers for information on the treatment of these amounts on their income tax returns.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited)

The Board of Trustees has responsibility for the overall management and operations of the Funds. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. Each Officer serves until he or she resigns, is removed, dies, retires or becomes disqualified.

Barclays Global Investors Funds (“BGIF”), Master Investment Portfolio (“MIP”), iShares Trust and iShares, Inc. are considered to be members of the same fund complex, as defined in Form N-1A under the 1940 Act. Lee T. Kranefuss, an interested Trustee of BGIF, also serves as a Trustee for MIP and iShares Trust and as a Director of iShares, Inc., and oversees 149 portfolios within the fund complex. Each other Trustee of BGIF also serves as a Trustee of MIP and oversees 24 portfolios within the fund complex. The address for each Trustee and Officer, unless otherwise noted in the tables below, is c/o Barclays Global Investors, N.A., 45 Fremont Street, San Francisco, California 94105.

BGIF’s Independent Trustees have designated Leo Soong as its Lead Independent Trustee. Additional information about the Funds’ Trustees and Officers may be found in the Funds’ combined Statements of Additional Information, which are available without charge, upon request, by calling toll-free 1-877-244-1544.

Interested Trustees and Officers

Lee T. Kranefuss is deemed to be an “interested person” (as defined in the 1940 Act) of BGIF due to his affiliations with BGFA, the investment adviser of the Master Portfolios, BGI, the parent company of BGFA and the administrator of the Funds and the Master Portfolios, and Barclays Global Investors Services, an affiliate of BGFA and BGI.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii; Director (since 2002) and Chairman of the Board (since 2005) of PBS (Public Broadcasting Service); Advisory Committee Member (since 1999) of Stanford Institute for Economic Policy Research; Director (since 1998) of Commonwealth Club of California; Advisory Committee Member (since 1992) of Pacific Forum/CSIS.

A. John Gambs, 1945	Trustee (since 2006).	Retired.	Trustee (since 2006) of MIP; Governor (since 2001) and Vice President (since 2002) of San Francisco Symphony; Trustee (1995-2005) of Marin Country Day School; Trustee (2000-2004) of Marin Academy; President and Director (since 1997) of the Gambs Family Foundation.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees (Continued)

BOND INDEX MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Principal*		*Value*
CORPORATE BONDS & NOTES – 21.41%
AEROSPACE & DEFENSE – 0.31%
Boeing Co. (The)
6.13%, 02/15/33^(a)	$	100,000	$	107,873
Lockheed Martin Corp.
6.15%, 09/01/36		100,000		105,064
United Technologies Corp.
6.10%, 05/15/12		100,000		103,857

				316,794

AGRICULTURE – 0.10%
Altria Group Inc.
7.00%, 11/04/13		100,000		108,652

				108,652

AUTO MANUFACTURERS – 0.35%
DaimlerChrysler N.A. Holding Corp.
7.20%, 09/01/09		350,000		363,075

				363,075

BANKS – 2.65%
Abbey National PLC
7.95%, 10/26/29		100,000		126,620
Bank of America Corp.
5.49%, 03/15/19^(b)(c)		200,000		198,259
Bank One Corp.
3.70%, 01/15/08		150,000		147,590
HSBC Holdings PLC
5.25%, 12/12/12		300,000		298,897
KfW Bankengruppe
0.00%, 04/18/36		250,000		54,570
Landwirtschaftliche Rentenbank
3.88%, 03/15/10		500,000		483,081
NationsBank Corp.
7.75%, 08/15/15		250,000		287,624
Royal Bank of Scotland Group PLC
5.00%, 10/01/14		250,000		242,602
Sanwa Bank Ltd.
7.40%, 06/15/11		200,000		216,073
Swiss Bank Corp.
7.00%, 10/15/15		150,000		166,372
US Bank N.A.
6.38%, 08/01/11		250,000		260,973
Wells Fargo Bank N.A.
7.55%, 06/21/10		250,000		267,947

				2,750,608

BEVERAGES – 0.22%
Bottling Group LLC
4.63%, 11/15/12		100,000		96,569
Coca-Cola Enterprises Inc.
8.50%, 02/01/22		100,000		126,857

				223,426

BUILDING MATERIALS – 0.19%
Masco Corp.
5.88%, 07/15/12		200,000		200,222

				200,222

CHEMICALS – 0.20%
Dow Chemical Co. (The)
6.00%, 10/01/12		100,000		102,746
Du Pont (E.I.) de Nemours and Co.
6.88%, 10/15/09		100,000		104,398

				207,144

COMPUTERS – 0.24%
International Business Machines Corp.
4.75%, 11/29/12		250,000		244,064

				244,064

DIVERSIFIED FINANCIAL SERVICES – 4.33%
Bear Stearns Companies Inc. (The)
5.70%, 11/15/14		200,000		203,025
CIT Group Inc.
7.75%, 04/02/12		150,000		165,376
Citigroup Inc.
3.50%, 02/01/08		500,000		491,003
5.00%, 09/15/14		177,000		172,822
6.63%, 06/15/32		100,000		110,472
Credit Suisse First Boston USA Inc.
4.70%, 06/01/09		250,000		247,501
5.50%, 08/15/13		100,000		101,313
General Electric Capital Corp.
6.75%, 03/15/32		250,000		286,320
Goldman Sachs Group Inc.
4.13%, 01/15/08		200,000		197,715
6.13%, 02/15/33		200,000		203,793
Household Finance Corp.
6.50%, 11/15/08		375,000		383,339
8.00%, 07/15/10		250,000		271,575
John Deere Capital Corp.
7.00%, 03/15/12		150,000		160,520
JP Morgan Chase Capital XVIII
6.95%, 08/17/36		100,000		108,167
Lehman Brothers Holdings Inc.
4.80%, 03/13/14		150,000		144,394
Merrill Lynch & Co. Inc.
3.70%, 04/21/08		350,000		342,456
Morgan Stanley
4.75%, 04/01/14		450,000		430,257
National Rural Utilities Cooperative Finance Corp.
7.25%, 03/01/12		200,000		217,336
Residential Capital Corp.
6.50%, 04/17/13		250,000		253,359

				4,490,743

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
ELECTRIC – 1.85%
Alabama Power Co. Series Q
5.50%, 10/15/17	$	100,000	$	99,926
Arizona Public Service Co.
6.50%, 03/01/12		100,000		103,305
Cincinnati Gas & Electric Co.
5.70%, 09/15/12		100,000		100,938
Consumers Energy Co.
5.00%, 02/15/12		150,000		146,337
Indiana Michigan Power Co.
6.05%, 03/15/37		100,000		98,153
MidAmerican Energy Holdings Co.
6.13%, 04/01/36		150,000		151,208
Northern States Power Co.
8.00%, 08/28/12		100,000		112,638
Oncor Electric Delivery Co.
6.38%, 05/01/12		150,000		154,411
Ontario Hydro Canada
7.45%, 03/31/13		150,000		168,118
Pacific Gas & Electric Co.
6.05%, 03/01/34		100,000		100,858
Pepco Holdings Inc.
6.45%, 08/15/12		100,000		103,677
Public Service Electric & Gas Co.
5.13%, 09/01/12		100,000		98,649
Southern California Edison Co.
5.00%, 01/15/16		200,000		192,983
Toledo Edison Co.
6.15%, 05/15/37		100,000		98,437
Virginia Electric and Power Co.
4.75%, 03/01/13		200,000		192,061

				1,921,699

ENVIRONMENTAL CONTROL – 0.10%
USA Waste Services Inc.
7.00%, 07/15/28		100,000		107,323

				107,323

FOOD – 1.12%
Archer-Daniels-Midland Co.
8.38%, 04/15/17		150,000		182,049
Kellogg Co.
6.60%, 04/01/11		250,000		262,175
Kraft Foods Inc.
5.63%, 11/01/11		150,000		151,594
Safeway Inc.
7.50%, 09/15/09		285,000		299,081
Unilever Capital Corp.
7.13%, 11/01/10		250,000		265,556

				1,160,455

FOREST PRODUCTS & PAPER – 0.44%
International Paper Co.
6.75%, 09/01/11		200,000		211,814
MeadWestvaco Corp.
6.85%, 04/01/12		100,000		104,791
Weyerhaeuser Co.
5.95%, 11/01/08		140,000		141,119

				457,724

HEALTH CARE – SERVICES – 0.09%
UnitedHealth Group Inc.
3.75%, 02/10/09		100,000		96,880

				96,880

INSURANCE – 0.85%
Allstate Corp.
7.20%, 12/01/09		250,000		263,358
Berkshire Hathaway Finance Corp.
5.10%, 07/15/14		100,000		98,787
Hartford Financial Services Group Inc.
6.10%, 10/01/41		100,000		101,151
ING Capital Funding Trust III
8.44%, 10/31/49		100,000		110,376
MetLife Inc.
5.38%, 12/15/12		200,000		200,439
Travelers Property Casualty Corp.
6.38%, 03/15/33		100,000		105,320

				879,431

MANUFACTURING – 0.30%
General Electric Co.
5.00%, 02/01/13		100,000		98,890
Tyco International Group SA
6.38%, 10/15/11		200,000		209,298

				308,188

MEDIA – 1.20%
AOL Time Warner Inc.
6.88%, 05/01/12		350,000		369,862
Clear Channel Communications Inc.
4.25%, 05/15/09		150,000		145,278
Comcast Corp.
6.45%, 03/15/37		100,000		100,054
Cox Communications Inc.
5.50%, 10/01/15		100,000		96,891
News America Inc.
6.20%, 12/15/34		100,000		96,522
TCI Communications Inc.
8.75%, 08/01/15		200,000		236,557
Viacom Inc.
5.63%, 08/15/12		200,000		197,293

				1,242,457

MINING – 0.59%
Alcan Inc.
4.88%, 09/15/12		150,000		145,486

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
MINING *(Continued)*
Alcoa Inc.
7.38%, 08/01/10	$	250,000	$	266,512
BHP Finance (USA) Ltd.
4.80%, 04/15/13		100,000		96,795
Vale Overseas Ltd.
6.88%, 11/21/36		100,000		102,565

				611,358

MULTI-NATIONAL – 0.85%
European Investment Bank
4.88%, 02/16/16		250,000		246,142
International Bank for Reconstruction & Development
4.13%, 08/12/09		650,000		637,958

				884,100

OIL & GAS – 1.47%
Alberta Energy Co. Ltd.
7.38%, 11/01/31		100,000		112,505
Anadarko Petroleum Corp.
6.45%, 09/15/36		100,000		101,050
Burlington Resources Finance Co.
7.20%, 08/15/31		100,000		117,194
Devon Financing Corp. ULC
6.88%, 09/30/11		250,000		264,355
Enterprise Products Operating LP
5.60%, 10/15/14		200,000		196,426
Marathon Oil Corp.
6.13%, 03/15/12		150,000		154,475
Pemex Project Funding Master Trust
7.38%, 12/15/14		150,000		165,150
Phillips 66 Capital Trust II
8.00%, 01/15/37		250,000		260,124
Texaco Capital Inc.
5.50%, 01/15/09		150,000		151,316

				1,522,595

PHARMACEUTICALS – 0.40%
Merck & Co. Inc.
5.95%, 12/01/28		100,000		100,973
Pharmacia Corp.
6.50%, 12/01/18		150,000		164,207
Wyeth
5.50%, 03/15/13		150,000		150,971

				416,151

PIPELINES – 0.09%
KN Energy Inc.
7.25%, 03/01/28		100,000		96,483

				96,483

REAL ESTATE INVESTMENT TRUSTS – 0.40%
Boston Properties LP
6.25%, 01/15/13		200,000		208,145
Simon Property Group LP
5.63%, 08/15/14		200,000		201,695

				409,840

RETAIL – 0.30%
Home Depot Inc.
5.88%, 12/16/36		100,000		98,132
May Department Stores Co. (The)
6.65%, 07/15/24		125,000		123,849
Wal-Mart Stores Inc.
5.25%, 09/01/35		100,000		91,830

				313,811

SAVINGS & LOANS – 0.24%
Washington Mutual Bank
5.65%, 08/15/14		250,000		250,346

				250,346

TELECOMMUNICATIONS – 2.10%
AT&T Wireless Services Inc.
7.88%, 03/01/11		250,000		272,692
BellSouth Corp.
6.88%, 10/15/31		150,000		158,872
Deutsche Telekom International Finance AG
8.25%, 06/15/30		100,000		122,934
Embarq Corp.
7.08%, 06/01/16		100,000		101,802
France Telecom SA
7.75%, 03/01/11		150,000		163,391
Motorola Inc.
7.63%, 11/15/10		16,000		17,228
SBC Communications Inc.
5.10%, 09/15/14		300,000		291,285
Sprint Capital Corp.
8.38%, 03/15/12		150,000		166,707
Telecom Italia Capital SA
5.25%, 11/15/13		150,000		143,023
Telefonica Europe BV
8.25%, 09/15/30		150,000		178,711
Verizon Global Funding Corp.
4.38%, 06/01/13		250,000		235,776
Verizon Pennsylvania Inc.
5.65%, 11/15/11		150,000		150,531
Vodafone Group PLC
7.88%, 02/15/30		150,000		175,986

				2,178,938

TRANSPORTATION – 0.43%
Burlington Northern Santa Fe Corp.
7.13%, 12/15/10		250,000		266,140

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
TRANSPORTATION *(Continued)*
Norfolk Southern Corp.
7.70%, 05/15/17	$	150,000	$	174,451

				440,591

TOTAL CORPORATE BONDS & NOTES (Cost: $22,281,418)				22,203,098

ASSET-BACKED SECURITIES – 1.00%
Connecticut RRB Special Purpose Trust CL&P Series 2001-1 Class A5
6.21%, 12/30/11		1,000,000		1,031,122

				1,031,122

TOTAL ASSET-BACKED SECURITIES (Cost: $546,837)				1,031,122

COLLATERALIZED MORTGAGE OBLIGATIONS – 4.60%
MORTGAGE-BACKED SECURITIES – 4.60%
Credit Suisse First Boston Mortgage Securities Corp. Series 1999-C1 Class A2
7.29%, 09/15/41		769,899		798,133
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C2 Class A2
5.42%, 05/15/36		1,000,000		1,004,605
JP Morgan Chase Commercial Mortgage Finance Corp. Series 2000-C10 Class A2
7.37%, 08/15/32		753,051		791,234
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C3 Class A5
4.88%, 01/15/42		500,000		484,370
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-CB11 Class A2
5.02%, 08/12/37		210,000		208,546
LB-UBS Commercial Mortgage Trust Series 2004-C2 Class A4
4.37%, 03/15/36		500,000		472,249
Morgan Stanley Capital I Series 2006-HQ8 Class A4
5.56%, 03/12/44		1,000,000		1,010,765

				4,769,902

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $4,948,455)				4,769,902

MUNICIPAL DEBT OBLIGATIONS – 0.17%
NEW JERSEY – 0.17%
New Jersey State Turnpike Authority
4.25%, 01/01/16		190,000		178,877

				178,877

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost: $181,570)				178,877

FOREIGN GOVERNMENT BONDS & NOTES^(d) – 1.28%
British Columbia (Province of)
6.50%, 01/15/26		100,000		113,816
Finland (Republic of)
6.95%, 02/15/26		100,000		119,197
Hydro-Quebec
6.30%, 05/11/11		150,000		156,788
Israel (State of)
4.63%, 06/15/13		100,000		95,157
Italy (Republic of)
6.88%, 09/27/23		200,000		230,878
Nova Scotia (Province of)
5.75%, 02/27/12		150,000		154,434
Quebec (Province of)
6.13%, 01/22/11		150,000		154,979
United Mexican States
8.13%, 12/30/19		250,000		303,750

TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $1,302,477)				1,328,999

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 68.74%
MORTGAGE-BACKED SECURITIES – 34.47%
Federal Home Loan Mortgage Corp.
4.00%, 05/01/19		761,890		717,928
4.50%, 04/01/18		1,206,709		1,165,816
4.50%, 11/01/18		902,590		872,003
4.50%, 01/01/19		160,131		154,705
4.50%, 02/01/19		938,963		907,144
5.00%, 10/01/18		1,389,208		1,368,207
5.00%, 02/01/34		735,831		711,245
5.00%, 08/01/35		920,598		888,577
5.50%, 04/01/33		1,884,638		1,866,610
6.00%, 08/01/34		4,123,730		4,157,290
6.50%, 06/01/31		293,785		300,676
8.00%, 12/01/24		840,081		883,749
Federal National Mortgage Association
5.00%, 01/01/19		3,587,594		3,534,802
5.00%, 11/01/33		6,145,381		5,944,606
5.50%, 07/01/33		4,428,246		4,383,124
5.50%, 12/01/33		905,790		896,556
5.50%, 03/01/34		78,766		77,922

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
MORTGAGE-BACKED SECURITIES *(Continued)*
5.50%, 10/01/35	$	1,743,126	$	1,723,217
6.00%, 01/01/37^(e)		1,000,000		1,006,562
7.00%, 02/01/32		227,219		233,737
Government National Mortgage Association
5.50%, 12/15/32		845,289		842,647
6.00%, 03/15/35		862,921		875,543
6.50%, 09/15/36		997,202		1,023,140
7.50%, 12/15/23		1,152,927		1,202,877

				35,738,683

U.S. GOVERNMENT AGENCY OBLIGATIONS – 10.70%
Federal Home Loan Bank
3.75%, 08/18/09		1,000,000		970,377
Federal Home Loan Mortgage Corp.
4.88%, 08/16/10		750,000		748,787
6.25%, 07/15/32^(a)		320,000		368,272
Federal National Mortgage Association
4.38%, 09/15/12^(a)		500,000		485,799
4.63%, 10/15/13^(a)		1,000,000		979,699
5.25%, 01/15/09^(a)		750,000		753,208
5.38%, 11/15/11		500,000		509,549
5.50%, 01/15/08		2,750,000		2,757,678
6.00%, 05/15/08^(a)		1,500,000		1,517,049
6.25%, 02/01/11		500,000		521,069
7.25%, 01/15/10^(a)		500,000		531,947
Financing Corp.
8.60%, 09/26/19		200,000		263,674
Tennessee Valley Authority
6.25%, 12/15/17		400,000		440,391
7.13%, 05/01/30		200,000		251,498

				11,098,997

U.S. GOVERNMENT SECURITIES – 23.57%
U.S. Treasury Bonds
4.50%, 02/15/36^(a)		300,000		285,281
6.25%, 08/15/23^(a)		2,000,000		2,302,032
7.25%, 05/15/16^(a)		1,000,000		1,188,711
7.63%, 02/15/25^(a)		350,000		463,231
8.75%, 05/15/17		500,000		661,485
8.75%, 05/15/20		500,000		689,531
12.50%, 08/15/14		400,000		475,422
U.S. Treasury Notes
3.38%, 02/15/08^(a)		1,150,000		1,129,920
3.63%, 07/15/09		3,100,000		3,018,262
4.25%, 11/15/14^(a)		3,450,000		3,346,769
4.25%, 08/15/15^(a)		1,900,000		1,838,546
4.38%, 08/15/12^(a)		500,000		492,813
4.50%, 02/15/09^(a)		1,250,000		1,242,431
4.50%, 02/28/11		250,000		248,154
4.63%, 10/31/11^(a)		750,000		747,275
4.63%, 11/15/16^(a)		750,000		745,079
4.88%, 05/31/08^(a)		1,500,000		1,499,297
4.88%, 08/15/16^(a)		1,000,000		1,011,953
5.13%, 05/15/16^(a)		250,000		257,510
5.63%, 05/15/08		800,000		807,313
6.00%, 08/15/09		300,000		309,059
6.50%, 02/15/10		1,600,000		1,680,813

				24,440,887

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $72,124,273)				71,278,567

SHORT-TERM INVESTMENTS – 22.12%

CERTIFICATES OF DEPOSIT^(f)– 0.47%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07		105,586		105,586
Washington Mutual Bank
5.33%, 03/19/07		377,090		377,090

				482,676

COMMERCIAL PAPER^(f)– 4.14%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(c)		158,545		156,276
Aspen Funding Corp.
5.26%, 02/21/07^(c)		98,043		97,327
Beta Finance Inc.
5.27%, 01/25/07^(c)		30,167		30,066
BNP Paribas Finance Inc.
5.12%, 06/06/07		52,793		51,630
CAFCO LLC
5.26%, 01/30/07^(c)		75,418		75,109
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(c)		181,003		179,692
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(c)		177,986		175,801
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(c)		15,084		15,064
Curzon Funding LLC
5.24%, 02/27/07^(c)		82,734		82,059
Edison Asset Securitization LLC
5.21%, 04/11/07^(c)		62,511		61,615
Eureka Securitization
5.26%, 02/09/07^(c)		188,545		187,498
Five Finance Inc.
5.22%, 04/20/07^(c)		69,385		68,298
General Electric Capital Corp.
5.12%, 06/04/07^(c)		113,127		110,668
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(c)		247,371		244,980

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	Shares or Principal		*Value*
COMMERCIAL PAPER *(Continued)*
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(c)	$	294,130	$	288,034
Harrier Finance Funding LLC
5.12%, 06/06/07^(c)		150,836		147,514
KKR Atlantic Funding Trust
5.32%, 01/03/07^(c)		113,127		113,110
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(c)		496,395		493,418
Lockhart Funding LLC
5.28%, 02/09/07^(c)		150,836		149,995
Nationwide Building Society
5.21%, 04/13/07^(c)		143,294		141,200
Nestle Capital Corp.
5.19%, 08/09/07^(c)		90,502		87,644
Norddeutsche Landesbank
5.27%, 02/15/07		143,294		142,372
Polonius Inc.
5.26%, 02/20/07^(c)		42,656		42,351
Regency Markets No. 1 LLC
5.32%, 01/22/07^(c)		50,127		49,979
Sedna Finance Inc.
5.22%, 04/17/07^(c)		85,977		84,668
Societe Generale
5.18%, 05/16/07		377,090		369,819
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(c)		382,743		379,057
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(c)		185,830		184,547
Three Pillars Funding Corp.
5.26%, 02/14/07^(c)		88,147		87,593

				4,297,384

MEDIUM-TERM NOTES^(f) – 0.42%
Bank of America N.A.
5.28%, 04/20/07		37,709		37,709
Cullinan Finance Corp.
5.71%, 06/28/07^(c)		113,127		113,127
K2 USA LLC
5.39%, 06/04/07^(c)		113,127		113,127
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(c)		176,478		176,479

				440,442

MONEY MARKET FUNDS – 2.53%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%^(g)(h)		2,620,780		2,620,780

				2,620,780

REPURCHASE AGREEMENTS^(f)– 3.95%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $301,852 (collateralized by non-U.S. Government debt securities, value $311,077, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	301,672		301,672
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $226,389 (collateralized by
U.S. Government obligations, value $230,918, 0.00% to 11.00%, 1/1/08 to 1/1/37).		226,254		226,254
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $528,241 (collateralized by
non-U.S. Government debt securities, value $581,065, 1.00% to 8.84%, 8/3/14 to 12/25/46).		527,926		527,926
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $15,093 (collateralized by non-U.S. Government debt securities, value $15,856, 5.46%, 3/15/08).		15,084		15,084
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $528,241 (collateralized by
non-U.S. Government debt securities, value $554,956, 3.78% to 7.41%, 11/25/19 to 10/25/45).		527,926		527,926
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $166,020 (collateralized by non-U.S. Government debt securities, value $185,073, 0.00% to 10.00%, 6/1/28 to 11/16/36).		165,920		165,920
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $90,557 (collateralized by non-U.S. Government debt securities, value $100,949, 0.00% to 10.00%, 6/1/28 to 11/16/36).		90,502		90,502
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $301,851 (collateralized by non-U.S. Government debt securities, value $313,896, 0.00% to 10.00%, 1/23/07 to 5/15/44).		301,672		301,672
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $56,004 (collateralized by non-U.S. Government debt securities, value $58,221, 0.00% to 10.00%, 1/23/07 to 5/15/44).		55,971		55,971

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $90,557 (collateralized by non-U.S. Government debt securities, value $94,170, 0.00% to 10.00%, 1/23/07 to 5/15/44).	$	90,502	$	90,502
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $75,464 (collateralized by non-U.S. Government debt securities, value $83,457, 5.58%, 1/8/36).		75,418		75,418
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $75,463 (collateralized by non-U.S. Government debt securities, value $79,287, 3.16% to 5.32%, 5/15/34 to 6/1/46).		75,418		75,418
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $37,732 (collateralized by non-U.S. Government debt securities, value $39,643, 5.75% to 8.75%, 10/1/08 to 9/15/25).		37,709		37,709
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $301,852 (collateralized by non-U.S. Government debt securities, value $311,081, 3.34% to 8.75%, 6/15/07 to 12/1/66).		301,672		301,672
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $113,195 (collateralized by non-U.S. Government debt securities, value $116,592, 5.50% to 8.88%, 4/15/11 to 12/1/66).		113,127		113,127
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $301,852 (collateralized by non-U.S. Government debt securities, value $311,685, 0.00% to 10.13%, 6/15/07 to 9/1/26).		301,672		301,672
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $150,927 (collateralized by non-U.S. Government debt securities, value $155,455, 4.37% to 7.75%, 3/3/08 to 12/1/25).		150,836		150,836
Morgan Stanley, 5.36%, due 1/2/07, maturity value $150,926 (collateralized by non-U.S. Government debt securities, value $157,129, 0.00% to 10.00%, 1/1/07 to 12/31/37).		150,836		150,836
Morgan Stanley, 5.51%, due 6/4/07, maturity value $108,090 (collateralized by non-U.S. Government debt securities, value $110,908, 0.00% to 10.00%, 1/1/07 to 12/31/37).⁽ⁱ⁾		105,585		105,585
Wachovia Capital, 5.38%, due 1/2/07, maturity value $482,964 (collateralized by non-U.S. Government debt securities, value $507,388, 3.86% to 8.17%, 8/15/13 to 10/17/44).		482,675		482,675

				4,098,377

TIME DEPOSITS^(f)– 0.01%
Bank of America N.A.
5.13%, 01/02/07		7,219		7,219

				7,219

VARIABLE & FLOATING RATE NOTES^(f)– 10.60%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(c)		386,136		386,177
American Express Bank
5.32%, 02/28/07		150,836		150,836
American Express Centurion Bank
5.44%, 07/19/07		165,920		166,025
American Express Credit Corp.
5.45%, 07/05/07		45,251		45,266
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		18,872		18,872
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(c)		113,127		113,127
ASIF Global Financing
5.41%, 05/03/07^(c)		15,084		15,086
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(c)		98,043		98,043
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(c)		218,712		218,718
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(c)		384,632		384,643
BMW US Capital LLC
5.35%, 01/15/08^(c)		150,836		150,836
BNP Paribas
5.35%, 11/19/07^(c)		279,047		279,047
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(c)		110,110		110,111
CC USA Inc.
5.37%, 07/30/07^(c)		75,418		75,424

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Commodore CDO Ltd.
5.44%, 12/12/07^(c)	$	37,709	$	37,709
Credit Agricole SA
5.34%, 11/23/07		150,836		150,836
Credit Suisse First Boston NY
5.38%, 04/24/07		75,419		75,419
Cullinan Finance Corp.
5.36%, 04/25/07^(c)		37,709		37,709
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(c)		21,790		21,790
DEPFA Bank PLC
5.40%, 09/14/07		150,836		150,836
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(c)		173,461		173,467
Eli Lilly Services Inc.
5.34%, 12/31/07^(c)		100,683		100,683
Fifth Third Bancorp
5.33%, 12/21/07^(c)		301,672		301,672
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(c)		98,043		98,037
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(c)		158,378		158,401
Granite Master Issuer PLC
5.32%, 08/20/07^(c)		527,926		527,926
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(c)		196,087		196,089
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		226,254		226,275
HBOS Treasury Services PLC
5.46%, 10/24/07^(c)		150,836		150,836
Holmes Financing PLC
5.32%, 07/16/07^(c)		263,963		263,963
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07⁽ⁱ⁾		414,799		414,799
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(c)		113,127		113,124
Kestrel Funding LLC
5.33%, 07/11/07^(c)		60,334		60,331
Kommunalkredit Austria AG
5.35%, 01/09/08^(c)		90,502		90,502
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(c)		157,115		157,115
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(c)		165,920		165,914
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(c)		59,732		59,732
Marshall & Ilsley Bank
5.35%, 01/15/08		82,960		82,960
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(c)		272,972		272,972
Merrill Lynch & Co. Inc.
5.46%, 05/30/07⁽ⁱ⁾		165,920		165,920
Metropolitan Life Global Funding I
5.36%, 02/08/07^(c)		226,254		226,254
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(c)(ⁱ⁾		15,084		15,084
Mound Financing PLC
5.32%, 05/08/07^(c)		141,786		141,786
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(c)		543,010		543,006
National City Bank of Indiana
5.35%, 05/21/07		75,418		75,420
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(c)		497,759		497,834
Newcastle Ltd.
5.37%, 04/24/07^(c)		53,170		53,165
Northern Rock PLC
5.39%, 08/03/07^(c)		181,003		181,006
Northlake CDO I
5.42%, 09/06/07^(c)		45,251		45,251
Pricoa Global Funding I
5.34%, 11/27/07		203,629		203,629
Principal Life Global Funding I
5.80%, 02/08/07		67,876		67,908
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(c)		218,712		218,710
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(c)		150,836		150,836
Strips III LLC
5.40%, 07/24/07^(c)		32,650		32,650
SunTrust Bank
5.32%, 05/01/07		150,836		150,839
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(c)		368,040		368,020
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(c)		248,879		248,879
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(c)		184,300		184,300
Wachovia Bank N.A.
5.36%, 05/22/07		301,672		301,672
Wal-Mart Stores Inc.
5.50%, 07/16/07^(c)		113,127		113,168

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Wells Fargo & Co.
5.36%, 11/15/07^(c)	$	75,418	$	75,422
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(c)		113,127		113,127
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(c)		452,508		452,451
Wind Master Trust
5.34%, 07/25/07^(c)		60,334		60,334

				10,987,979

TOTAL SHORT-TERM INVESTMENTS (Cost: $22,934,857)				22,934,857

TOTAL INVESTMENTS IN SECURITIES – 119.32% (Cost: $124,319,887)				123,725,422

Other Assets, Less Liabilities – (19.32)%				(20,029,733	)

NET ASSETS – 100.00%			$	103,695,689

^(a)	All or a portion of this security represents a security on loan. See Note 4.

^(b)	Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1.

^(c)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(d)	Investments are denominated in U.S. dollars.

^(e)	To-be-announced (TBA). See Note 1.

^(f)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(g)	Affiliated issuer. See Note 2.

^(h)	The rate quoted is the annualized seven-day yield of the fund at period end.

⁽ⁱ⁾	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Shares*	*Value*
COMMON STOCKS – 98.70%

ADVERTISING – 0.18%
Interpublic Group of Companies Inc.^(a)(b)	92,689	$	1,134,513
Omnicom Group Inc.^(b)	36,164		3,780,585

			4,915,098

AEROSPACE & DEFENSE – 2.09%
Boeing Co. (The)	167,387		14,870,661
General Dynamics Corp.	84,934		6,314,843
Goodrich Corp.^(b)	26,227		1,194,640
L-3 Communications Holdings Inc.^(b)	25,890		2,117,284
Lockheed Martin Corp.	74,965		6,902,028
Northrop Grumman Corp.	72,529		4,910,213
Raytheon Co.	94,466		4,987,805
Rockwell Collins Inc.	36,070		2,282,870
United Technologies Corp.	212,977		13,315,322

			56,895,666

AGRICULTURE – 1.93%
Altria Group Inc.	442,791		38,000,324
Archer-Daniels-Midland Co.	138,044		4,411,886
Monsanto Co.	114,277		6,002,971
Reynolds American Inc.^(b)	36,073		2,361,699
UST Inc.^(b)	33,839		1,969,430

			52,746,310

AIRLINES – 0.09%
Southwest Airlines Co.^(b)	165,435		2,534,464

			2,534,464

APPAREL – 0.39%
Coach Inc.^(a)	77,010		3,308,350
Jones Apparel Group Inc.	23,719		792,926
Liz Claiborne Inc.	21,916		952,469
Nike Inc. Class B	40,323		3,993,187
VF Corp.^(b)	18,719		1,536,456

			10,583,388

AUTO MANUFACTURERS – 0.37%
Ford Motor Co.	395,922		2,973,374
General Motors Corp.	119,058		3,657,462
PACCAR Inc.^(b)	52,478		3,405,822

			10,036,658

AUTO PARTS & EQUIPMENT – 0.16%
Goodyear Tire & Rubber Co. (The)^(a)	37,341		783,788
Johnson Controls Inc.	41,165		3,536,897

			4,320,685

BANKS – 6.61%
Bank of America Corp.	952,439		50,850,718
Bank of New York Co. Inc. (The)	160,665		6,325,381
BB&T Corp.	113,630		4,991,766
Comerica Inc.	34,132		2,002,866
Commerce Bancorp Inc.^(b)	39,381		1,388,968
Compass Bancshares Inc.^(b)	27,220		1,623,673
Fifth Third Bancorp	117,447		4,807,106
First Horizon National Corp.^(b)	26,138		1,092,046
Huntington Bancshares Inc.^(b)	50,128		1,190,540
KeyCorp	84,887		3,228,253
M&T Bank Corp.^(b)	16,351		1,997,438
Marshall & Ilsley Corp.^(b)	53,517		2,574,703
Mellon Financial Corp.	86,606		3,650,443
National City Corp.^(b)	132,322		4,837,692
Northern Trust Corp.^(b)	39,437		2,393,432
PNC Financial Services Group	61,988		4,589,592
Regions Financial Corp.^(b)	153,209		5,730,017
State Street Corp.^(b)	69,711		4,701,310
SunTrust Banks Inc.^(b)	76,502		6,460,594
Synovus Financial Corp.^(b)	68,183		2,102,082
U.S. Bancorp	374,220		13,543,022
Wachovia Corp.	403,121		22,957,741
Wells Fargo & Co.	712,800		25,347,168
Zions Bancorporation	22,444		1,850,283

			180,236,834

BEVERAGES – 2.04%
Anheuser-Busch Companies Inc.	161,854		7,963,217
Brown-Forman Corp. Class B^(b)	16,513		1,093,821
Coca-Cola Co. (The)	430,377		20,765,690
Coca-Cola Enterprises Inc.	58,186		1,188,158
Constellation Brands Inc. Class A^(a)(b)	44,534		1,292,377
Molson Coors Brewing Co. Class B	9,439		721,517
Pepsi Bottling Group Inc.	28,850		891,753
PepsiCo Inc.	347,180		21,716,109

			55,632,642

BIOTECHNOLOGY – 1.12%
Amgen Inc.^(a)	246,495		16,838,073
Biogen Idec Inc.^(a)	72,327		3,557,765
Celgene Corp.^(a)	78,048		4,490,101
Genzyme Corp.^(a)	55,018		3,388,008
MedImmune Inc.^(a)(b)	50,371		1,630,509
Millipore Corp.^(a)	11,039		735,197

			30,639,653

BUILDING MATERIALS – 0.15%
American Standard Companies Inc.	36,709		1,683,108
Masco Corp.^(b)	83,780		2,502,509

			4,185,617

CHEMICALS – 1.32%
Air Products & Chemicals Inc.^(b)	46,379		3,259,516
Ashland Inc.	13,437		929,572
Dow Chemical Co. (The)	201,991		8,067,521

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
CHEMICALS *(Continued)*
Du Pont (E.I.) de Nemours and Co.^(b)	194,090	$	9,454,124
Eastman Chemical Co.	17,295		1,025,766
Ecolab Inc.^(b)	37,586		1,698,887
Hercules Inc.^(a)(b)	23,512		454,017
International Flavors & Fragrances Inc.^(b)	16,716		821,759
PPG Industries Inc.^(b)	34,759		2,231,875
Praxair Inc.	67,861		4,026,193
Rohm & Haas Co.^(b)	30,199		1,543,773
Sherwin-Williams Co. (The)^(b)	23,704		1,507,100
Sigma-Aldrich Corp.	14,034		1,090,722

			36,110,825

COAL – 0.13%
CONSOL Energy Inc.^(b)	38,858		1,248,508
Peabody Energy Corp.	55,633		2,248,130

			3,496,638

COMMERCIAL SERVICES – 0.70%
Apollo Group Inc. Class A^(a)(b)	29,694		1,157,175
Block (H & R) Inc.	67,674		1,559,209
Convergys Corp.^(a)	29,501		701,534
Donnelley (R.R.) & Sons Co.	45,504		1,617,212
Equifax Inc.	26,835		1,089,501
McKesson Corp.	63,004		3,194,303
Monster Worldwide Inc.^(a)	26,753		1,247,760
Moody’s Corp.	49,844		3,442,227
Robert Half International Inc.	36,312		1,347,901
Western Union Co.	161,067		3,611,122

			18,967,944

COMPUTERS – 4.02%
Affiliated Computer Services Inc. Class A^(a)(b)	24,988		1,220,414
Apple Computer Inc.^(a)	179,385		15,219,023
Cognizant Technology Solutions Corp.^(a)	29,653		2,288,025
Computer Sciences Corp.^(a)	36,132		1,928,365
Dell Inc.^(a)	478,333		12,001,375
Electronic Data Systems Corp.^(b)	108,945		3,001,435
EMC Corp.^(a)(b)	476,070		6,284,124
Hewlett-Packard Co.	578,197		23,815,934
International Business Machines Corp.	320,052		31,093,052
Lexmark International Inc. Class A^(a)(b)	21,098		1,544,374
NCR Corp.^(a)	37,910		1,621,032
Network Appliance Inc.^(a)	78,385		3,078,963
SanDisk Corp.^(a)	47,354		2,037,643
Sun Microsystems Inc.^(a)	738,722		4,003,873
Unisys Corp.^(a)(b)	71,803		562,936

			109,700,568

COSMETICS & PERSONAL CARE – 1.99%
Avon Products Inc.^(b)	94,227		3,113,260
Colgate-Palmolive Co.	108,730		7,093,545
Estee Lauder Companies Inc. (The) Class A	27,299		1,114,345
Procter & Gamble Co.	669,551		43,032,043

			54,353,193

DISTRIBUTION & WHOLESALE – 0.10%
Genuine Parts Co.^(b)	36,041		1,709,425
Grainger (W.W.) Inc.^(b)	15,911		1,112,815

			2,822,240

DIVERSIFIED FINANCIAL SERVICES – 8.78%
American Express Co.	255,817		15,520,417
Ameriprise Financial Inc.	51,304		2,796,068
Bear Stearns Companies Inc. (The)	25,341		4,125,008
Capital One Financial Corp.	86,188		6,620,962
Chicago Mercantile Exchange Holdings Inc.	7,488		3,817,008
CIT Group Inc.	41,841		2,333,473
Citigroup Inc.	1,041,146		57,991,832
Countrywide Financial Corp.	130,225		5,528,051
E*TRADE Financial Corp.^(a)	89,891		2,015,356
Federal Home Loan Mortgage Corp.	145,917		9,907,764
Federal National Mortgage Association	205,479		12,203,398
Federated Investors Inc. Class B^(b)	19,309		652,258
Franklin Resources Inc.	35,091		3,865,975
Goldman Sachs Group Inc. (The)	90,752		18,091,411
Janus Capital Group Inc.^(b)	43,966		949,226
JPMorgan Chase & Co.	732,809		35,394,675
Legg Mason Inc.	27,602		2,623,570
Lehman Brothers Holdings Inc.	113,112		8,836,309
Merrill Lynch & Co. Inc.	186,670		17,378,977
Morgan Stanley	222,218		18,095,212
Rowe (T.) Price Group Inc.	55,070		2,410,414
Schwab (Charles) Corp. (The)	217,689		4,210,105
SLM Corp.^(b)	86,316		4,209,631

			239,577,100

ELECTRIC – 3.19%
AES Corp. (The)^(a)	139,222		3,068,453
Allegheny Energy Inc.^(a)	34,625		1,589,634
Ameren Corp.	43,324		2,327,799
American Electric Power Co. Inc.	82,930		3,531,159
CenterPoint Energy Inc.^(b)	65,629		1,088,129
CMS Energy Corp.^(a)(b)	46,605		778,303
Consolidated Edison Inc.	53,362		2,565,111
Constellation Energy Group Inc.	37,812		2,604,112
Dominion Resources Inc.	74,288		6,228,306
DTE Energy Co.	37,400		1,810,534
Duke Energy Corp.^(b)	264,566		8,786,237
Dynegy Inc. Class A^(a)	83,003		600,942
Edison International	68,578		3,118,927
Entergy Corp.^(b)	43,861		4,049,248
Exelon Corp.	141,368		8,749,266

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
ELECTRIC *(Continued)*
FirstEnergy Corp.	69,435	$	4,186,930
FPL Group Inc.	85,138		4,633,210
PG&E Corp.^(b)	73,266		3,467,680
Pinnacle West Capital Corp.^(b)	20,916		1,060,232
PPL Corp.	80,188		2,873,938
Progress Energy Inc.	53,319		2,616,897
Public Service Enterprise Group Inc.	52,987		3,517,277
Southern Co. (The)	156,276		5,760,333
TECO Energy Inc.^(b)	44,015		758,378
TXU Corp.	97,135		5,265,688
Xcel Energy Inc.	85,558		1,972,967

			87,009,690

ELECTRICAL COMPONENTS & EQUIPMENT – 0.35%
American Power Conversion Corp.	35,740		1,093,287
Emerson Electric Co.	171,680		7,569,371
Molex Inc.^(b)	29,773		941,720

			9,604,378

ELECTRONICS – 0.48%
Agilent Technologies Inc.^(a)	86,013		2,997,553
Applera Corp. – Applied Biosystems Group	38,352		1,407,135
Jabil Circuit Inc.	39,014		957,794
PerkinElmer Inc.	26,427		587,472
Sanmina-SCI Corp.^(a)	110,847		382,422
Solectron Corp.^(a)	192,031		618,340
Symbol Technologies Inc.	53,117		793,568
Tektronix Inc.	17,481		509,921
Thermo Fisher Scientific Inc.^(a)(b)	85,554		3,874,741
Waters Corp.^(a)	21,685		1,061,914

			13,190,860

ENGINEERING & CONSTRUCTION – 0.06%
Fluor Corp.	18,509		1,511,260

			1,511,260

ENTERTAINMENT – 0.12%
International Game Technology Inc.	71,439		3,300,482

			3,300,482

ENVIRONMENTAL CONTROL – 0.18%
Allied Waste Industries Inc.^(a)	53,277		654,774
Waste Management Inc.	113,780		4,183,691

			4,838,465

FOOD – 1.45%
Campbell Soup Co.^(b)	48,581		1,889,315
ConAgra Foods Inc.	107,515		2,902,905
Dean Foods Co.^(a)	28,175		1,191,239
General Mills Inc.	74,271		4,278,010
Heinz (H.J.) Co.^(b)	69,770		3,140,348
Hershey Co. (The)^(b)	36,953		1,840,259
Kellogg Co.	52,600		2,633,156
Kroger Co.	152,080		3,508,486
McCormick & Co. Inc. NVS^(b)	27,721		1,068,922
Safeway Inc.^(b)	93,576		3,233,987
Sara Lee Corp.	159,979		2,724,442
SUPERVALU Inc.	44,600		1,594,450
Sysco Corp.^(b)	130,213		4,786,630
Tyson Foods Inc. Class A^(b)	53,338		877,410
Whole Foods Market Inc.^(b)	29,697		1,393,680
Wrigley (William Jr.) Co.^(b)	46,141		2,386,413

			39,449,652

FOREST PRODUCTS & PAPER – 0.39%
International Paper Co.	95,687		3,262,927
MeadWestvaco Corp.^(b)	38,097		1,145,196
Plum Creek Timber Co. Inc.	37,719		1,503,102
Temple-Inland Inc.^(b)	23,119		1,064,168
Weyerhaeuser Co.	51,834		3,662,072

			10,637,465

GAS – 0.25%
KeySpan Corp.	36,818		1,516,165
Nicor Inc.^(b)	9,283		434,444
NiSource Inc.	57,846		1,394,089
Peoples Energy Corp.^(b)	7,975		355,446
Sempra Energy	54,981		3,081,135

			6,781,279

HAND & MACHINE TOOLS – 0.10%
Black & Decker Corp.^(b)	15,293		1,222,981
Snap-On Inc.	12,210		581,684
Stanley Works (The)^(b)	17,150		862,474

			2,667,139

HEALTH CARE – PRODUCTS – 3.07%
Bard (C.R.) Inc.^(b)	21,779		1,807,004
Bausch & Lomb Inc.	11,453		596,243
Baxter International Inc.	137,354		6,371,852
Becton, Dickinson & Co.	51,508		3,613,286
Biomet Inc.^(b)	51,628		2,130,688
Boston Scientific Corp.^(a)	247,965		4,260,039
Johnson & Johnson	615,347		40,625,209
Medtronic Inc.	242,639		12,983,613
Patterson Companies Inc.^(a)(b)	29,322		1,041,224
St. Jude Medical Inc.^(a)	74,220		2,713,483
Stryker Corp.^(b)	62,471		3,442,777
Zimmer Holdings Inc.^(a)	51,098		4,005,061

			83,590,479

HEALTH CARE – SERVICES – 1.48%
Aetna Inc.	113,559		4,903,478
Coventry Health Care Inc.^(a)	33,429		1,673,121

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
HEALTH CARE – SERVICES *(Continued)*
Health Management Associates Inc. Class A	50,540	$	1,066,899
Humana Inc.^(a)	34,739		1,921,414
Laboratory Corp. of America Holdings^(a)(b)	26,343		1,935,420
Manor Care Inc.^(b)	15,366		720,973
Quest Diagnostics Inc.^(b)	34,011		1,802,583
Tenet Healthcare Corp.^(a)(b)	100,137		697,955
UnitedHealth Group Inc.	284,142		15,266,950
WellPoint Inc.^(a)(b)	130,505		10,269,438

			40,258,231

HOME BUILDERS – 0.25%
Centex Corp.^(b)	24,946		1,403,711
Horton (D.R.) Inc.	57,305		1,518,009
KB Home^(b)	16,587		850,581
Lennar Corp. Class A	29,116		1,527,425
Pulte Homes Inc.^(b)	44,528		1,474,767

			6,774,493

HOME FURNISHINGS – 0.10%
Harman International Industries Inc.	13,711		1,369,866
Whirlpool Corp.	16,454		1,366,011

			2,735,877

HOUSEHOLD PRODUCTS & WARES – 0.46%
Avery Dennison Corp.^(b)	19,887		1,350,924
Clorox Co. (The)	31,806		2,040,355
Fortune Brands Inc.^(b)	31,744		2,710,620
Kimberly-Clark Corp.	96,471		6,555,204

			12,657,103

HOUSEWARES – 0.06%
Newell Rubbermaid Inc.	58,255		1,686,482

			1,686,482

INSURANCE – 4.94%
ACE Ltd.	68,453		4,146,198
AFLAC Inc.	104,479		4,806,034
Allstate Corp. (The)	132,545		8,630,005
Ambac Financial Group Inc.^(b)	22,286		1,985,014
American International Group Inc.	549,264		39,360,258
Aon Corp.^(b)	66,179		2,338,766
Chubb Corp.	86,483		4,575,816
CIGNA Corp.^(b)	20,652		2,717,184
Cincinnati Financial Corp.^(b)	36,590		1,657,893
Genworth Financial Inc. Class A	95,769		3,276,257
Hartford Financial Services Group Inc. (The)	66,524		6,207,354
Lincoln National Corp.	60,442		4,013,349
Loews Corp.	96,220		3,990,243
Marsh & McLennan Companies Inc.^(b)	115,856		3,552,145
MBIA Inc.^(b)	28,356		2,071,689
MetLife Inc.	159,897		9,435,522
MGIC Investment Corp.^(b)	17,892		1,118,966
Principal Financial Group Inc.	56,682		3,327,233
Progressive Corp. (The)	162,554		3,937,058
Prudential Financial Inc.	102,119		8,767,937
SAFECO Corp.^(b)	24,028		1,502,951
St. Paul Travelers Companies Inc.	145,474		7,810,499
Torchmark Corp.^(b)	20,810		1,326,846
UnumProvident Corp.	72,049		1,497,178
XL Capital Ltd. Class A^(b)	37,945		2,732,799

			134,785,194

INTERNET – 1.64%
Amazon.com Inc.^(a)(b)	66,128		2,609,411
eBay Inc.^(a)	247,351		7,437,845
Google Inc. Class A^(a)	45,236		20,830,273
IAC/InterActiveCorp^(a)(b)	46,919		1,743,510
Symantec Corp.^(a)	204,903		4,272,228
VeriSign Inc.^(a)	51,558		1,239,970
Yahoo! Inc.^(a)(b)	261,720		6,684,329

			44,817,566

IRON & STEEL – 0.27%
Allegheny Technologies Inc.	21,166		1,919,333
Nucor Corp.	64,902		3,547,543
United States Steel Corp.	25,896		1,894,033

			7,360,909

LEISURE TIME – 0.37%
Brunswick Corp.	19,071		608,365
Carnival Corp.	93,677		4,594,857
Harley-Davidson Inc.^(b)	55,200		3,889,944
Sabre Holdings Corp.	27,788		886,159

			9,979,325

LODGING – 0.50%
Harrah’s Entertainment Inc.	39,112		3,235,345
Hilton Hotels Corp.^(b)	81,194		2,833,671
Marriott International Inc. Class A^(b)	72,324		3,451,301
Starwood Hotels & Resorts Worldwide Inc.	45,844		2,865,250
Wyndham Worldwide Corp.^(a)	42,525		1,361,651

			13,747,218

MACHINERY – 0.66%
Caterpillar Inc.	138,071		8,467,894
Cummins Inc.	10,959		1,295,135
Deere & Co.^(b)	48,672		4,627,247
Rockwell Automation Inc.	37,026		2,261,548
Terex Corp.^(a)(b)	21,506		1,388,857

			18,040,681

MANUFACTURING – 5.16%
Cooper Industries Ltd.	19,259		1,741,591
Danaher Corp.^(b)	49,808		3,608,092

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
MANUFACTURING *(Continued)*
Dover Corp.	42,827	$	2,099,380
Eastman Kodak Co.^(b)	60,428		1,559,042
Eaton Corp.	31,568		2,372,020
General Electric Co.	2,179,157		81,086,432
Honeywell International Inc.	172,427		7,800,597
Illinois Tool Works Inc.^(b)	88,465		4,086,198
Ingersoll-Rand Co. Class A	67,714		2,649,649
ITT Industries Inc.	38,860		2,208,025
Leggett & Platt Inc.^(b)	37,825		904,018
Pall Corp.	26,387		911,671
Parker Hannifin Corp.	25,297		1,944,833
Textron Inc.	26,573		2,491,750
3M Co.	157,455		12,270,468
Tyco International Ltd.^(b)	424,237		12,896,805

			140,630,571

MEDIA – 3.51%
CBS Corp. Class B	164,342		5,124,184
Clear Channel Communications Inc.	104,471		3,712,899
Comcast Corp. Class A^(a)	440,695		18,654,619
DIRECTV Group Inc. (The)^(a)	162,265		4,046,889
Dow Jones & Co. Inc.	13,868		526,984
Gannett Co. Inc.	49,752		3,008,006
McGraw-Hill Companies Inc. (The)^(b)	74,084		5,039,194
Meredith Corp.	8,055		453,899
New York Times Co. Class A^(b)	30,804		750,385
News Corp. Class A	493,191		10,593,743
Scripps (E.W.) Co. Class A	17,620		879,943
Time Warner Inc.^(b)	850,776		18,529,901
Tribune Co.	40,191		1,237,079
Univision Communications Inc. Class A^(a)	52,856		1,872,160
Viacom Inc. Class B^(a)	149,365		6,128,446
Walt Disney Co. (The)^(b)	440,127		15,083,152

			95,641,483

MINING – 0.70%
Alcoa Inc.	182,509		5,477,095
Freeport-McMoRan Copper & Gold Inc.	41,346		2,304,213
Newmont Mining Corp.^(b)	94,664		4,274,080
Phelps Dodge Corp.	42,944		5,141,256
Vulcan Materials Co.^(b)	20,302		1,824,541

			19,021,185

OFFICE & BUSINESS EQUIPMENT – 0.21%
Pitney Bowes Inc.^(b)	46,617		2,153,239
Xerox Corp.^(a)(b)	205,905		3,490,090

			5,643,329

OIL & GAS – 7.95%
Anadarko Petroleum Corp.	96,728		4,209,603
Apache Corp.^(b)	69,313		4,610,008
Chesapeake Energy Corp.^(b)	86,485		2,512,389
Chevron Corp.	462,867		34,034,611
ConocoPhillips	347,474		25,000,754
Devon Energy Corp.	92,862		6,229,183
EOG Resources Inc.^(b)	51,069		3,189,259
Exxon Mobil Corp.	1,235,477		94,674,602
Hess Corp.	56,357		2,793,616
Marathon Oil Corp.	75,411		6,975,518
Murphy Oil Corp.^(b)	39,317		1,999,269
Nabors Industries Ltd.^(a)(b)	66,507		1,980,578
Noble Corp.^(b)	28,863		2,197,917
Occidental Petroleum Corp.	181,403		8,857,908
Rowan Companies Inc.	23,207		770,472
Sunoco Inc.	26,937		1,679,791
Transocean Inc.^(a)	61,557		4,979,346
Valero Energy Corp.	129,037		6,601,533
XTO Energy Inc.^(b)	76,988		3,622,285

			216,918,642

OIL & GAS SERVICES – 1.33%
Baker Hughes Inc.^(b)	69,254		5,170,504
BJ Services Co.	62,951		1,845,723
Halliburton Co.^(b)	208,597		6,476,937
National Oilwell Varco Inc.^(a)	36,909		2,258,093
Schlumberger Ltd.^(b)	249,330		15,747,683
Smith International Inc.	42,178		1,732,250
Weatherford International Ltd.^(a)	72,830		3,043,566

			36,274,756

PACKAGING & CONTAINERS – 0.14%
Ball Corp.	21,915		955,494
Bemis Co. Inc.	21,747		738,963
Pactiv Corp.^(a)	29,008		1,035,296
Sealed Air Corp.^(b)	17,045		1,106,561

			3,836,314

PHARMACEUTICALS – 5.68%
Abbott Laboratories	323,699		15,767,378
Allergan Inc.^(b)	32,137		3,848,084
AmerisourceBergen Corp.	42,412		1,906,844
Barr Pharmaceuticals Inc.^(a)	22,352		1,120,282
Bristol-Myers Squibb Co.^(b)	414,079		10,898,559
Cardinal Health Inc.	85,374		5,500,647
Caremark Rx Inc.	89,870		5,132,476
Express Scripts Inc.^(a)	28,985		2,075,326
Forest Laboratories Inc.^(a)	66,928		3,386,557
Gilead Sciences Inc.^(a)	96,574		6,270,550
Hospira Inc.^(a)	33,140		1,112,841
King Pharmaceuticals Inc.^(a)	51,335		817,253
Lilly (Eli) & Co.	207,545		10,813,095
Medco Health Solutions Inc.^(a)	61,868		3,306,226
Merck & Co. Inc.	458,249		19,979,656
Mylan Laboratories Inc.	44,405		886,324
Pfizer Inc.	1,530,503		39,640,028

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
PHARMACEUTICALS *(Continued)*
Schering-Plough Corp.^(b)	311,884	$	7,372,938
Watson Pharmaceuticals Inc.^(a)	21,309		554,673
Wyeth	283,949		14,458,683

			154,848,420

PIPELINES – 0.34%
El Paso Corp.^(b)	146,448		2,237,725
Kinder Morgan Inc.^(b)	22,547		2,384,345
Questar Corp.^(b)	18,030		1,497,392
Williams Companies Inc.	125,413		3,275,788

			9,395,250

REAL ESTATE – 0.10%
CB Richard Ellis Group Inc. Class A^(a)	38,616		1,282,051
Realogy Corp.^(a)	45,329		1,374,375

			2,656,426

REAL ESTATE INVESTMENT TRUSTS – 1.06%
Apartment Investment & Management Co. Class A^(b)	20,298		1,137,094
Archstone-Smith Trust^(b)	45,515		2,649,428
Boston Properties Inc.^(b)	24,308		2,719,579
Equity Office Properties Trust	73,700		3,550,129
Equity Residential^(b)	61,243		3,108,082
Kimco Realty Corp.^(b)	46,792		2,103,300
ProLogis^(b)	51,594		3,135,367
Public Storage Inc.	25,519		2,488,103
Simon Property Group Inc.^(b)	46,562		4,716,265
Vornado Realty Trust^(b)	26,938		3,272,967

			28,880,314

RETAIL – 5.51%
AutoNation Inc.^(a)	32,376		690,256
AutoZone Inc.^(a)	11,094		1,282,023
Bed Bath & Beyond Inc.^(a)(b)	59,392		2,262,835
Best Buy Co. Inc.	85,592		4,210,271
Big Lots Inc.^(a)(b)	22,516		516,067
Circuit City Stores Inc.^(b)	29,625		562,283
Costco Wholesale Corp.	98,521		5,208,805
CVS Corp.^(b)	172,930		5,345,266
Darden Restaurants Inc.	30,854		1,239,405
Dillard’s Inc. Class A^(b)	12,705		444,294
Dollar General Corp.^(b)	64,929		1,042,760
Family Dollar Stores Inc.	32,239		945,570
Federated Department Stores Inc.	114,427		4,363,102
Gap Inc. (The)	113,321		2,209,760
Home Depot Inc.	434,638		17,455,062
Kohl’s Corp.^(a)	68,925		4,716,538
Limited Brands Inc.	71,477		2,068,544
Lowe’s Companies Inc.^(b)	321,722		10,021,640
McDonald’s Corp.	260,541		11,549,783
Nordstrom Inc.^(b)	48,063		2,371,428
Office Depot Inc.^(a)	59,611		2,275,352
OfficeMax Inc.	15,589		773,994
Penney (J.C.) Co. Inc.	47,195		3,651,005
RadioShack Corp.	28,512		478,431
Sears Holdings Corp.^(a)(b)	17,508		2,940,118
Staples Inc.	152,931		4,083,258
Starbucks Corp.^(a)	159,177		5,638,049
Target Corp.^(b)	180,809		10,315,153
Tiffany & Co.	29,209		1,146,161
TJX Companies Inc.^(b)	94,600		2,697,992
Walgreen Co.	212,241		9,739,739
Wal-Mart Stores Inc.	519,166		23,975,086
Wendy’s International Inc.	24,111		797,833
Yum! Brands Inc.	56,987		3,350,836

			150,368,699

SAVINGS & LOANS – 0.41%
Sovereign Bancorp Inc.^(b)	75,457		1,915,853
Washington Mutual Inc.	202,869		9,228,511

			11,144,364

SEMICONDUCTORS – 2.42%
Advanced Micro Devices Inc.^(a)	114,147		2,322,891
Altera Corp.^(a)	75,579		1,487,395
Analog Devices Inc.	74,257		2,440,828
Applied Materials Inc.	292,405		5,394,872
Broadcom Corp. Class A^(a)(b)	98,709		3,189,288
Intel Corp.	1,217,430		24,652,958
KLA-Tencor Corp.	41,894		2,084,227
Linear Technology Corp.^(b)	63,387		1,921,894
LSI Logic Corp.^(a)	83,006		747,054
Maxim Integrated Products Inc.^(b)	67,482		2,066,299
Micron Technology Inc.^(a)	156,181		2,180,287
National Semiconductor Corp.	62,619		1,421,451
Novellus Systems Inc.^(a)(b)	25,831		889,103
NVIDIA Corp.^(a)	74,190		2,745,772
PMC-Sierra Inc.^(a)(b)	43,249		290,201
QLogic Corp.^(a)	32,946		722,176
Teradyne Inc.^(a)	41,559		621,723
Texas Instruments Inc.	318,441		9,171,101
Xilinx Inc.^(b)	71,512		1,702,701

			66,052,221

SOFTWARE – 3.82%
Adobe Systems Inc.^(a)(b)	121,930		5,013,762
Autodesk Inc.^(a)	48,754		1,972,587
Automatic Data Processing Inc.	116,966		5,760,576
BMC Software Inc.^(a)(b)	43,144		1,389,237
CA Inc.	86,404		1,957,051
Citrix Systems Inc.^(a)	38,324		1,036,664
Compuware Corp.^(a)	78,503		653,930
Electronic Arts Inc.^(a)	64,552		3,250,839
Fidelity National Information Services Inc.^(b)	34,221		1,371,920
First Data Corp.	161,072		4,110,557
Fiserv Inc.^(a)	36,659		1,921,665

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
SOFTWARE *(Continued)*
IMS Health Inc.	42,749	$	1,174,743
Intuit Inc.^(a)	71,905		2,193,822
Microsoft Corp.	1,828,326		54,593,814
Novell Inc.^(a)	70,772		438,786
Oracle Corp.^(a)	849,356		14,557,962
Paychex Inc.	71,243		2,816,948

			104,214,863

TELECOMMUNICATIONS – 6.11%
ADC Telecommunications Inc.^(a)	24,625		357,801
Alltel Corp.	76,729		4,640,570
AT&T Inc.	816,659		29,195,559
Avaya Inc.^(a)(b)	96,375		1,347,323
BellSouth Corp.	384,844		18,130,001
CenturyTel Inc.^(b)	24,476		1,068,622
Ciena Corp.^(a)	18,153		503,020
Cisco Systems Inc.^(a)	1,285,553		35,134,163
Citizens Communications Co.^(b)	68,103		978,640
Comverse Technology Inc.^(a)(b)	43,007		907,878
Corning Inc.^(a)	328,403		6,144,420
Embarq Corp.	31,371		1,648,860
JDS Uniphase Corp.^(a)	43,696		727,975
Juniper Networks Inc.^(a)(b)	119,063		2,255,053
Motorola Inc.	515,893		10,606,760
QUALCOMM Inc.	348,489		13,169,399
Qwest Communications International Inc.^(a)(b)	336,815		2,819,142
Sprint Nextel Corp.^(b)	619,217		11,697,009
Tellabs Inc.^(a)	93,477		959,074
Verizon Communications Inc.	616,266		22,949,746
Windstream Corp.	100,169		1,424,403

			166,665,418

TEXTILES – 0.04%
Cintas Corp.	28,500		1,131,735

			1,131,735

TOYS, GAMES & HOBBIES – 0.10%
Hasbro Inc.	34,766		947,374
Mattel Inc.	79,528		1,802,104

			2,749,478

TRANSPORTATION – 1.57%
Burlington Northern Santa Fe Corp.	76,206		5,624,765
CSX Corp.	93,359		3,214,350
FedEx Corp.	64,514		7,007,511
Norfolk Southern Corp.	81,263		4,086,716
Ryder System Inc.	13,132		670,520
Union Pacific Corp.	56,706		5,218,086
United Parcel Service Inc. Class B	227,638		17,068,297

			42,890,245

TOTAL COMMON STOCKS (Cost: $2,275,598,239)			2,692,143,464

SHORT-TERM INVESTMENTS – 11.21%

CERTIFICATES OF DEPOSIT^(c)– 0.24%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07	1,426,559		1,426,559
Washington Mutual Bank
5.33%, 03/19/07	5,094,856		5,094,856

			6,521,415

COMMERCIAL PAPER^(c)– 2.13%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(d)	2,142,102		2,111,447
Aspen Funding Corp.
5.26%, 02/21/07^(d)	1,324,663		1,314,985
Beta Finance Inc.
5.27%, 01/25/07^(d)	407,588		406,217
BNP Paribas Finance Inc.
5.12%, 06/06/07	713,280		697,571
CAFCO LLC
5.26%, 01/30/07^(d)	1,018,971		1,014,802
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(d)	2,445,531		2,427,812
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(d)	2,404,772		2,375,259
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(d)	203,794		203,526
Curzon Funding LLC
5.24%, 02/27/07^(d)	1,117,811		1,108,700
Edison Asset Securitization LLC
5.21%, 04/11/07^(d)	844,584		832,484
Eureka Securitization
5.26%, 02/09/07^(d)	2,547,428		2,533,284
Five Finance Inc.
5.22%, 04/20/07^(d)	937,453		922,773
General Electric Capital Corp.
5.12%, 06/04/07^(d)	1,528,457		1,495,230
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(d)	3,342,225		3,309,926
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(d)	3,973,988		3,891,613
Harrier Finance Funding LLC
5.12%, 06/06/07^(d)	2,037,942		1,993,061
KKR Atlantic Funding Trust
5.32%, 01/03/07^(d)	1,528,457		1,528,231
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(d)	6,706,787		6,666,565
Lockhart Funding LLC
5.28%, 02/09/07^(d)	2,037,942		2,026,584
Nationwide Building Society
5.21%, 04/13/07^(d)	1,936,045		1,907,746

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	Shares or Principal		*Value*
COMMERCIAL PAPER *(Continued)*
Nestle Capital Corp.
5.19%, 08/09/07^(d)	$	1,222,765	$	1,184,160
Norddeutsche Landesbank
5.27%, 02/15/07		1,936,045		1,923,587
Polonius Inc.
5.26%, 02/20/07^(d)		576,330		572,204
Regency Markets No. 1 LLC
5.32%, 01/22/07^(d)		677,269		675,268
Sedna Finance Inc.
5.22%, 04/17/07^(d)		1,161,627		1,143,941
Societe Generale
5.18%, 05/16/07		5,094,856		4,996,621
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(d)		5,171,238		5,121,434
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(d)		2,510,745		2,493,406
Three Pillars Funding Corp.
5.26%, 02/14/07^(d)		1,190,953		1,183,471

				58,061,908

MEDIUM-TERM NOTES^(c)– 0.22%
Bank of America N.A.
5.28%, 04/20/07		509,486		509,486
Cullinan Finance Corp.
5.71%, 06/28/07^(d)		1,528,457		1,528,457
K2 USA LLC
5.39%, 06/04/07^(d)		1,528,457		1,528,457
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(d)		2,384,393		2,384,393

				5,950,793

MONEY MARKET FUNDS – 1.09%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30% ^(e)(f)		29,683,696		29,683,696

				29,683,696

REPURCHASE AGREEMENTS^(c)– 2.03%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $4,078,312 (collateralized by non-U.S. Government debt securities, value $4,202,958, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	4,075,885		4,075,885
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $3,058,737 (collateralized by U.S. Government obligations, value $3,119,927, 0.00% to 11.00%, 1/1/08 to 1/1/37).		3,056,913		3,056,913
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $7,137,054 (collateralized by non-U.S. Government debt securities, value $7,850,764, 1.00% to 8.84%, 8/3/14 to 12/25/46).		7,132,798		7,132,798
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $203,915 (collateralized by non-U.S. Government debt securities, value $ 214,228, 5.46%, 3/15/08).		203,794		203,794
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $7,137,046 (collateralized by non-U.S. Government debt securities, value $7,497,996, 3.78% to 7.41%, 11/25/19 to 10/25/45).		7,132,798		7,132,798
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $2,243,087 (collateralized by non-U.S. Government debt securities, value $2,500,515, 0.00% to 10.00%, 6/1/28 to 11/16/36).		2,241,737		2,241,737
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $1,223,507 (collateralized by non-U.S. Government debt securities, value $1,363,923, 0.00% to 10.00%, 6/1/28 to 11/16/36).		1,222,765		1,222,765
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $4,078,308 (collateralized by
non-U.S. Government debt securities, value $4,241,043, 0.00% to 10.00%, 1/23/07 to 5/15/44).		4,075,885		4,075,885
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $756,669 (collateralized by non-U.S. Government debt securities, value $786,619, 0.00% to 10.00%, 1/23/07 to 5/15/44).		756,219		756,219
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $1,223,507 (collateralized by non-U.S. Government debt securities, value $1,272,329, 0.00% to 10.00%, 1/23/07 to 5/15/44).		1,222,765		1,222,765
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $1,019,589 (collateralized by non-U.S. Government debt securities, value $1,127,586, 5.58%, 1/8/36).		1,018,971		1,018,971

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $1,019,578 (collateralized by non-U.S. Government debt securities, value $1,071,244, 3.16% to 5.32%, 5/15/34 to 6/1/46).	$	1,018,971	$	1,018,971
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $509,792 (collateralized by non-U.S. Government debt securities, value $535,622, 5.75% to 8.75%, 10/1/08 to 9/15/25).		509,486		509,486
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $4,078,312 (collateralized by non-U.S. Government debt securities, value $4,203,009, 3.34% to 8.75%, 6/15/07 to 12/1/66).		4,075,885		4,075,885
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $1,529,381 (collateralized by non-U.S. Government debt securities, value $1,575,270, 5.50% to 8.88%, 4/15/11 to 12/1/66).		1,528,457		1,528,457
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $4,078,312 (collateralized by non-U.S. Government debt securities, value $4,211,173, 0.00% to 10.13%, 6/15/07 to 9/1/26).		4,075,885		4,075,885
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $2,039,174 (collateralized by non-U.S. Government debt securities, value $2,100,355, 4.37% to 7.75%, 3/3/08 to 12/1/25).		2,037,942		2,037,942
Morgan Stanley, 5.36%, due 1/2/07, maturity value $2,039,156 (collateralized by non-U.S. Government debt securities, value $2,122,965, 0.00% to 10.00%, 1/1/07 to 12/31/37).		2,037,942		2,037,942
Morgan Stanley, 5.51%, due 6/4/07, maturity value $1,460,403 (collateralized by non-U.S. Government debt securities, value $1,498,483, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(g)		1,426,560		1,426,560
Wachovia Capital, 5.38%, due 1/2/07, maturity value $6,525,313 (collateralized by non-U.S. Government debt securities, value $6,855,310, 3.86% to 8.17%, 8/15/13 to 10/17/44).		6,521,415		6,521,415

				55,373,073

TIME DEPOSITS^(c)– 0.00%
Bank of America N.A.
5.13%, 01/02/07		97,536		97,536

				97,536

U.S. TREASURY OBLIGATIONS – 0.06%
U.S. Treasury Bill
4.71%, 03/22/07^(h)(ⁱ⁾		1,600,000		1,583,116

				1,583,116

VARIABLE & FLOATING RATE NOTES^(c)– 5.44%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(d)		5,217,132		5,217,688
American Express Bank
5.32%, 02/28/07		2,037,942		2,037,940
American Express Centurion Bank
5.44%, 07/19/07		2,241,737		2,243,155
American Express Credit Corp.
5.45%, 07/05/07		611,383		611,589
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		254,984		254,984
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(d)		1,528,457		1,528,457
ASIF Global Financing
5.41%, 05/03/07^(d)		203,794		203,831
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(d)		1,324,663		1,324,663
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(d)		2,955,016		2,955,096
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(d)		5,196,753		5,196,904
BMW US Capital LLC
5.35%, 01/15/08^(d)		2,037,942		2,037,942
BNP Paribas
5.35%, 11/19/07^(d)		3,770,193		3,770,193
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(d)		1,487,698		1,487,697
CC USA Inc.
5.37%, 07/30/07^(d)		1,018,971		1,019,052
Commodore CDO Ltd.
5.44%, 12/12/07^(d)		509,486		509,486
Credit Agricole SA
5.34%, 11/23/07		2,037,942		2,037,942
Credit Suisse First Boston NY
5.38%, 04/24/07		1,018,971		1,018,988
Cullinan Finance Corp.
5.36%, 04/25/07^(d)		509,486		509,486
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(d)		294,404		294,404
DEPFA Bank PLC
5.40%, 09/14/07		2,037,942		2,037,942

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(d)	$	2,343,634	$	2,343,710
Eli Lilly Services Inc.
5.34%, 12/31/07^(d)		1,360,327		1,360,326
Fifth Third Bancorp
5.33%, 12/21/07^(d)		4,075,885		4,075,885
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(d)		1,324,663		1,324,564
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(d)		2,139,839		2,140,145
Granite Master Issuer PLC
5.32%, 08/20/07^(d)		7,132,798		7,132,798
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(d)		2,649,325		2,649,352
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		3,056,913		3,057,202
HBOS Treasury Services PLC
5.46%, 10/24/07^(d)		2,037,942		2,037,942
Holmes Financing PLC
5.32%, 07/16/07^(d)		3,566,399		3,566,399
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(g)		5,604,341		5,604,342
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(d)		1,528,457		1,528,417
Kestrel Funding LLC
5.33%, 07/11/07^(d)		815,177		815,132
Kommunalkredit Austria AG
5.35%, 01/09/08^(d)		1,222,765		1,222,765
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(d)		2,122,779		2,122,778
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(d)		2,241,737		2,241,655
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(d)		807,034		807,034
Marshall & Ilsley Bank
5.35%, 01/15/08		1,120,868		1,120,868
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(d)		3,688,125		3,688,125
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(g)		2,241,737		2,241,737
Metropolitan Life Global Funding I
5.36%, 02/08/07^(d)		3,056,913		3,056,913
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(d)(g)		203,794		203,794
Mound Financing PLC
5.32%, 05/08/07^(d)		1,915,666		1,915,666
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(d)		7,336,592		7,336,536
National City Bank of Indiana
5.35%, 05/21/07		1,018,971		1,019,004
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(d)		6,725,210		6,726,220
Newcastle Ltd.
5.37%, 04/24/07^(d)		718,375		718,309
Northern Rock PLC
5.39%, 08/03/07^(d)		2,445,531		2,445,568
Northlake CDO I
5.42%, 09/06/07^(d)		611,383		611,383
Pricoa Global Funding I
5.34%, 11/27/07		2,751,222		2,751,222
Principal Life Global Funding I
5.80%, 02/08/07		917,074		917,507
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(d)		2,955,016		2,954,980
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(d)		2,037,942		2,037,942
Strips III LLC
5.40%, 07/24/07^(d)		441,139		441,139
SunTrust Bank
5.32%, 05/01/07		2,037,942		2,037,982
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(d)		4,972,579		4,972,325
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(d)		3,362,605		3,362,605
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(d)		2,490,077		2,490,077
Wachovia Bank N.A.
5.36%, 05/22/07		4,075,885		4,075,885
Wal-Mart Stores Inc.
5.50%, 07/16/07^(d)		1,528,457		1,529,007
Wells Fargo & Co.
5.36%, 11/15/07^(d)		1,018,971		1,019,021
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(d)		1,528,457		1,528,459
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(d)		6,113,827		6,113,053
Wind Master Trust
5.34%, 07/25/07^(d)		815,177		815,177

				148,458,389

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


	Value
TOTAL SHORT-TERM INVESTMENTS (Cost: $305,729,192)	$	305,729,926

TOTAL INVESTMENTS IN SECURITIES – 109.91% (Cost: $2,581,327,431)		2,997,873,390

Other Assets, Less Liabilities – (9.91)%		(270,424,060	)

NET ASSETS – 100.00%	$	2,727,449,330

NVS Non-Voting Shares

^(a)	Non-income earning security.

^(b)	All or a portion of this security represents a security on loan. See Note 4.

^(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(d)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(e)	Affiliated issuer. See Note 2.

^(f)	The rate quoted is the annualized seven-day yield of the fund at period end.

^(g)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

^(h)	The rate quoted is the yield to maturity.

⁽ⁱ⁾	This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of December 31, 2006, the open futures contracts held by the Master Portfolio were as follows:


Futures Contracts (Expiration Date)	Number of Contracts	Notional Contract Value		Net Unrealized Depreciation
S&P 500 Index (03/16/07)	484	$	34,567,280	$	(37,778	)

				$	(37,778	)

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2006

Bond Index Master Portfolio


Sector/Investment Type	Value			% of Net Assets
Mortgage-Backed Securities	$	40,508,585		39.07	%
U.S. Government and Agency		35,539,884		34.27
Financial		8,780,968		8.47
Communications		3,421,395		3.30
Consumer Non-Cyclical		2,005,564		1.93
Utilities		1,921,699		1.85
Energy		1,619,078		1.56
Industrial		1,373,118		1.33
Foreign Government		1,328,999		1.28
Basic Materials		1,276,226		1.23
Asset-Backed Securities		1,031,122		1.00
Other		1,983,927		1.91
Short-Term and Other Net Assets		2,905,124		2.80

TOTAL	$	103,695,689		100.00	%


S&P 500 Index Master Portfolio

Sector/Investment Type	Value			% of Net Assets
Financial	$	597,280,232		21.90	%
Consumer Non-Cyclical		543,143,627		19.92
Communications		312,039,565		11.44
Industrial		298,291,196		10.94
Technology		285,610,981		10.47
Energy		266,085,286		9.75
Consumer Cyclical		222,771,224		8.16
Utilities		93,790,969		3.44
Basic Materials		73,130,384		2.68
Futures Contracts		(37,778	)	(0.00	)
Short-Term and Other Net Assets		35,343,644		1.30

TOTAL	$	2,727,449,330		100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	Bond Index Master Portfolio		S&P 500 Index Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	121,699,107	$	2,551,643,735

Affiliated issuers (Note 2)	$	2,620,780	$	29,683,696

Investments in securities, at value (including securities on loan^(a)) (Note 1):
Unaffiliated issuers	$	121,104,642	$	2,968,189,694
Affiliated issuers (Note 2)		2,620,780		29,683,696
Receivables:
Investment securities sold		305,493		412,304
Dividends and interest		1,118,228		3,900,392

Total Assets		125,149,143		3,002,186,086

LIABILITIES
Payables:
Investment securities purchased		1,106,825		—
Due to broker – variation margin		—		134,208
Collateral for securities on loan (Note 4)		20,314,077		274,463,114
Investment advisory fees (Note 2)		2,962		108,068
Accrued expenses (Note 2):
Professional fees		29,552		31,298
Independent trustees’ fees		38		68

Total Liabilities		21,453,454		274,736,756

NET ASSETS	$	103,695,689	$	2,727,449,330

^(a)	Securities on loan with market values of $19,565,075 and $266,630,828, respectively. See Note 4.

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	Bond Index Master Portfolio			S&P 500 Index Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers	$	—		$	47,597,830
Interest from unaffiliated issuers		8,901,455			103,843
Interest from affiliated issuers (Note 2)		108,218			1,396,726
Securities lending income		42,756			282,685

Total investment income		9,052,429			49,381,084

EXPENSES (Note 2)
Investment advisory fees		143,464			1,247,308
Professional fees		30,042			37,568
Independent trustees’ fees		888			10,506

Total expenses		174,394			1,295,382
Less expense reductions (Note 2)		(30,930	)		(48,074	)

Net expenses		143,464			1,247,308

Net investment income		8,908,965			48,133,776

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized loss from sale of investments in unaffiliated issuers^(a)		(905,036	)		(48,740,145	)
Net realized gain on futures contracts		—			2,584,556
Net change in unrealized appreciation (depreciation) of investments		(365,963	)		364,364,199
Net change in unrealized appreciation (depreciation) of futures contracts		—			339,499

Net realized and unrealized gain (loss)		(1,270,999	)		318,548,109

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	7,637,966		$	366,681,885

^(a)	Includes a net realized gain of $570,172 and $89,939, respectively, resulting from a partial litigation settlement relating to WorldCom Inc.

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	Bond Index Master Portfolio						S&P 500 Index Master Portfolio
	For the year ended December 31, 2006			For the year ended December 31, 2005			For the year ended December 31, 2006			For the year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,908,965		$	9,555,414		$	48,133,776		$	43,812,074
Net realized gain (loss)		(905,036	)		(299,993	)		(46,155,589	)		7,404,269
Net change in unrealized appreciation (depreciation)		(365,963	)		(4,384,176	)		364,703,698			61,163,102

Net increase in net assets resulting from operations		7,637,966			4,871,245			366,681,885			112,379,445

Interestholder transactions:
Contributions		27,189,870			46,465,907			725,880,991			749,027,738
Withdrawals		(134,776,793	)		(64,378,783	)		(773,639,196	)		(859,684,082	)

Net decrease in net assets resulting from interestholder transactions		(107,586,923	)		(17,912,876	)		(47,758,205	)		(110,656,344	)

Increase (decrease) in net assets		(99,948,957	)		(13,041,631	)		318,923,680			1,723,101

NET ASSETS:
Beginning of year		203,644,646			216,686,277			2,408,525,650			2,406,802,549

End of year	$	103,695,689		$	203,644,646		$	2,727,449,330		$	2,408,525,650

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end series management investment company organized as a Delaware statutory trust. As of December 31, 2006, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Bond Index and S&P 500 Index Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”).

Under MIP’s organizational documents, the Master Portfolios’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Master Portfolios. Additionally, in the normal course of business, the Master Portfolios enter into contracts with service providers that contain general indemnification clauses. The Master Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Portfolios that have not yet occurred.

1.	SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies are consistently followed by MIP in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

SECURITY VALUATION

The securities and other assets of the Master Portfolios are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. In the event that current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the “Board”).

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Distributions received by the S&P 500 Index Master Portfolio may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method.

FEDERAL INCOME TAXES

In general, MIP believes that each Master Portfolio has and will continue to be operated in a manner so as to qualify it as a non-publicly traded partnership for federal income tax purposes. Provided that each such Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gains (if any). However, each interestholder in such a Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership for federal income tax purposes, each such Master Portfolio will be deemed to have “passed through” to its interestholders any interest, dividends, gains or losses of the Master Portfolio for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the “Code”), and regulations promulgated thereunder.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2006, the gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:


*Master Portfolio*	*Tax Cost*		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Bond Index	$	125,034,416	$	1,482,420	$	(2,791,414	)	$	(1,308,994	)
S&P 500 Index		2,634,140,669		642,092,425		(278,359,704	)		363,732,721

FUTURES CONTRACTS

The Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, a Master Portfolio is required to pledge to the broker and hold in a segregated account, an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, 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. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

As of December 31, 2006, the S&P 500 Index Master Portfolio has pledged to brokers a U.S. Treasury Bill with a face amount of $1,600,000 for initial margin requirements on outstanding futures contracts.

WHEN ISSUED/TBA TRANSACTIONS

The Bond Index Master Portfolio may purchase mortgage pass-through securities on a when-issued or to-be-announced (“TBA”) basis, with payment and delivery scheduled for a future date. The Master Portfolio may enter into a TBA agreement, sell the obligation to purchase the pools stipulated in the TBA agreement prior to the stipulated settlement date and enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities (a “TBA roll”). The Master Portfolio could be exposed to possible risk if there is adverse market action, expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover, higher transaction costs and to allocate larger short-term capital gains to interestholders.

Repurchase Agreements

Each Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by the Master Portfolio, collateralized by securities, which are delivered to the Master Portfolio’s custodian or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest.

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILITATES

Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.08% and 0.05% of the average daily

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

net assets of the Bond Index and S&P 500 Index Master Portfolios, respectively, as compensation for investment advisory services. From time to time, BGFA may waive a portion of its advisory fees. Any such waivers will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.

The fees and expenses of the Master Portfolios’ trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Master Portfolios. BGFA has voluntarily agreed to cap the expenses of the Master Portfolios at the rate at which the Master Portfolios pay an advisory fee to BGFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolios in an amount equal to the independent expenses.

For the year ended December 31, 2006, BGFA credited investment advisory fees for the Bond Index and S&P 500 Index Master Portfolios in the amounts of $30,930 and $48,074, respectively.

Investors Bank & Trust Company (“IBT”) serves as the custodian and sub-administrator of the Master Portfolios. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Master Portfolios.

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC”), BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the year ended December 31, 2006, BGI earned securities lending agent fees as follows:


*Master Portfolio*	Securities Lending Agent Fees
Bond Index	$	42,756
S&P 500 Index		282,685

MIP has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolios’ custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolios. BGI is not entitled to compensation for providing administration services to the Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators.

Cross trades for the year ended December 31, 2006, if any, were executed by the Master Portfolios pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

Each Master Portfolio may invest in the Institutional Shares of certain money market funds managed by BGFA, the Master Portfolios’ investment adviser, including the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”), Prime Money Market Fund (“PMMF”) and Treasury Money Market Fund (“TMMF”) of Barclays Global Investors Funds. The GMMF, IMMF, PMMF and TMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (collectively, the “Money Market Master Portfolios”), respectively, which are also managed by BGFA. While the GMMF, IMMF, PMMF and TMMF do not directly charge an investment advisory fee, the Money Market Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF, PMMF and TMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments are recorded as interest from affiliated issuers in the accompanying Statements of Operations. Income distributions earned by the Master Portfolios from the investment of securities lending collateral are included in securities lending income in the accompanying Statements of Operations.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)


*Master Portfolio and Name of Affiliated Issuer*	Number of Shares Held Beginning of Year *(in 000s)*	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Year (in 000s)	*Value at* *End* *of Year*		Interest Income
Bond Index IMMF	1,875	550,793	550,047	2,621	$	2,620,780	$	108,218
S&P 500 Index IMMF	19,125	7,100,132	7,089,573	29,684		29,683,696		1,396,726

Certain officers and trustees of MIP are also officers of BGI and/or BGFA. As of December 31, 2006, these officers of BGI and/or BGFA collectively owned less than 1% of MIP’s outstanding beneficial interests.

3.	INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments) for the Master Portfolios for the year ended December 31, 2006 were as follows:


	*U.S. Government Obligations*				*Other Securities*
*Master Portfolio*	*Purchases*		*Sales*		*Purchases*		*Sales*
Bond Index	$	88,528,886	$	158,535,509	$	11,868,436	$	39,582,628
S&P 500 Index		—		—		343,775,190		354,079,273

4.	PORTFOLIO SECURITIES LOANED

Each Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Master Portfolio is required to have a value of at least 102% of the market value of the loaned securities plus the interest accrued on such securities, if any, for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan plus accrued interest, if any. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due.

As of December 31, 2006, the Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities or non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of December 31, 2006 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

5.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

if a fund does not implement FIN 48 in its NAV calculation until the date of the fund’s last NAV calculation in the first required financial statement reporting period for its fiscal year beginning after December 15, 2006. MIP is currently evaluating the impact of applying the various provisions of FIN 48.

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolios’ financial statement disclosures.

6.	FINANCIAL HIGHLIGHTS

Financial highlights for each of the Master Portfolios were as follows:


*Master Portfolio*	Year Ended December 31, 2006		Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002
Bond Index
Ratio of expenses to average net assets	0.08	%	0.08	%	0.08	%	0.08	%	0.08	%
Ratio of expenses to average net assets prior to expense reductions	0.10	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets	4.97	%	4.56	%	4.17	%	4.24	%	5.27	%
Portfolio turnover rate^(a)	57	%	76	%	148	%	67	%	118	%
Total return	4.91	%	2.27	%	4.20	%	4.07	%	10.05	%
S&P 500 Index
Ratio of expenses to average net assets	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%
Ratio of expenses to average net assets prior to expense reductions	0.05	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets	1.93	%	1.84	%	1.91	%	1.74	%	1.57	%
Portfolio turnover rate^(a)	14	%	10	%	14	%	8	%	12	%
Total return	15.75	%	4.87	%	10.82	%	28.52	%	(22.05	)%

^(a)	Portfolio turnover rates include in-kind transactions, if any.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Bond Index Master Portfolio and S&P 500 Index Master Portfolio, each a portfolio of Master Investment Portfolio (collectively, the “Master Portfolios”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and their 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. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

MASTER INVESTMENT PORTFOLIO

TRUSTEE AND OFFICER INFORMATION (Unaudited)

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustee and Officer Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees and Officers may be found in Part B of each Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

Notes:

LOGO

Table of Contents


Management’s Discussions of Fund Performance		1

Shareholder Expenses (Unaudited)		6

Barclays Global Investors Funds

Financial Statements		8

Financial Highlights		13

Notes to the Financial Statements		23

Report of Independent Registered Public Accounting Firm		28

Tax Information (Unaudited)		29

Trustee and Officer Information (Unaudited)		30

Master Investment Portfolio

Schedules of Investments		33

LifePath Retirement Master Portfolio		33

LifePath 2010 Master Portfolio		37

LifePath 2020 Master Portfolio		41

LifePath 2030 Master Portfolio		45

LifePath 2040 Master Portfolio		49

Active Stock Master Portfolio		53

CoreAlpha Bond Master Portfolio		61

Portfolio Allocations (Unaudited)		76

Financial Statements		77

Notes to the Financial Statements		82

Report of Independent Registered Public Accounting Firm		92

Trustee and Officer Information (Unaudited)		93

Management’s Discussion of Fund Performance

LifePath^® Portfolios

Performance as of December 31, 2006

Average Annual Total Returns


	*One-Year*		*Five-Year*		*Ten-Year*
Class I Shares
LifePath Retirement Portfolio	8.80	%	5.63	%	6.23	%
LifePath 2010 Portfolio	10.15	%	5.72	%	6.93	%
LifePath 2020 Portfolio	13.01	%	6.76	%	7.56	%
LifePath 2030 Portfolio	15.12	%	7.46	%	8.07	%
LifePath 2040 Portfolio	16.97	%	7.91	%	8.26	%


	*One-Year*		Since Inception⁽¹⁾
Class R Shares
LifePath Retirement Portfolio	8.52	%	9.42	%
LifePath 2010 Portfolio	9.89	%	5.40	%
LifePath 2020 Portfolio	12.77	%	6.45	%
LifePath 2030 Portfolio	14.83	%	15.05	%
LifePath 2040 Portfolio	16.64	%	16.82	%

⁽¹⁾

Total returns are calculated from an inception date of April 11, 2003 for the LifePath Retirement Portfolio, an inception date of March 7, 2002 for the LifePath 2010 and LifePath 2020 Portfolios, and an inception date of April 8, 2003 for the LifePath 2030 and LifePath 2040 Portfolios. These inception dates represent the date investors began investing in the Class R shares of the respective LifePath Portfolios. To establish the new share class, the LifePath Portfolios’ distributor privately seeded each Portfolio’s Class R on April 30, 2001. The class had no activity from April 30, 2001 until investment began on the Class R inception date for the relevant LifePath Portfolio. Since inception returns calculated from April 30, 2001 for the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios were 5.07%, 4.54%, 4.71%, 4.93% and 5.14%, respectively.

LOGO

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

LOGO

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

LOGO

⁽¹⁾

The LifePath custom benchmarks are hypothetical representations of the performance of the respective LifePath Portfolios’ asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Portfolios’ custom benchmarks are adjusted quarterly to reflect the funds’ changing asset allocations over time. The following indexes are used to calculate the LifePath Portfolios’ custom benchmarks: S&P 500 Index, S&P 400 Index, S&P 600 Index, MSCI EAFE Index, Lehman Brothers U.S. Aggregate Bond Index, and the Citigroup 3-Month Treasury Bill Index. The Lehman Brothers U.S. Treasury TIPS Index and the Cohen & Steers Realty Majors Index were added to the LifePath Portfolios’ custom benchmarks on January 1, 2006. On March 15, 2004, the LifePath Portfolios were restructured to be funds-of-funds. Prior to that date, the LifePath Portfolios held portfolio securities directly. In addition, as of December 31, 2003, the investment adviser made certain changes to its asset allocation strategy for the LifePath Portfolios, including a change to the frequency with which the LifePath Portfolios’ holdings are rebalanced among the asset classes, from monthly to quarterly.

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

Average annual total returns represent each LifePath Portfolio’s average annual increase or decrease in value during the time periods noted above.

Performance figures for each class of each LifePath Portfolio assume that dividends and capital gain distributions have been reinvested in the applicable class of the applicable LifePath Portfolio at net asset value. The “net asset value” of a class of a LifePath Portfolio is the value of one share of that class. The performance shown in the table and charts above do not reflect the deduction of taxes that a shareholder would pay on LifePath Portfolio distributions or the redemption of LifePath Portfolio shares. The investment return and principal value of shares of each LifePath Portfolio will vary with changes in market conditions. Shares of each LifePath Portfolio may be worth more or less than their original cost when they are redeemed.

An index is a statistical composite that tracks a specified financial market or sector. Unlike the LifePath Portfolios, an index does not actually hold a portfolio of securities and therefore does not incur the management, administration, distribution, transaction or other expenses incurred by the LifePath Portfolios. These expenses negatively impact the performance of the LifePath Portfolios. Each LifePath Portfolio’s past performance is no guarantee of future results.

The broad domestic equity market, as represented by the S&P 1500 Index, posted gains for the twelve-month period ended December 31, 2006 (the “reporting period”), returning 15.34%. International equities, as represented by the MSCI EAFE Index, gained 26.34% for the reporting period, and bond prices, as represented by the Lehman Brothers U.S. Aggregate Bond Index, rose 4.33% for the reporting period. Cash, as represented by the Citigroup 3-Month Treasury Bill Index, returned 4.76% for the reporting period.

Domestic equity markets, as represented by the S&P 500 Index, delivered solid gains for the reporting period against a backdrop of stabilizing interest rates and oil prices, and healthy corporate profit growth. The Federal Reserve Board left rates unchanged during the second half of 2006, after raising federal funds rates 17 times from 1.0% to 5.25% over a two-year period. Although oil prices continued to escalate for the first six months of the year, they sank sharply in the final six months to finish the reporting period about where they had begun. Corporate earnings continued to be strong, with average earnings of the companies that comprise the S&P 500 Index roughly 70% higher for 2006 than their 2000 level.

The interest rate increases in the first half of the reporting period pushed up bond yields, particularly yields of short-term issues. Yields of the 10-year and 30-year Treasury bonds only moved up slightly, leading to a flat or slightly inverse yield curve. Falling energy prices and the softening real estate market helped to somewhat alleviate investors’ fears of inflationary pressures, which hurt the performance of Treasury inflation-protected securities (“TIPS”). In fact, TIPS ended 2006 up only 0.41% as represented by the Lehman Brothers U.S. Treasury TIPS Index.

Even though the U.S. real estate market saw a marked slowdown, particularly in the second half of the reporting period, real estate investment trusts (“REITs”), as represented by the Cohen & Steers Realty Majors Index, closed the year 39.86% higher. The Cohen & Steers Realty Majors Index provides exposure to the large and liquid spectrum of U.S. REITs. The REIT market performance was supported by strong merger and acquisition activity throughout the year.

International markets, as measured by the MSCI EAFE Index, were well ahead of the domestic equity markets during the reporting period. Stronger economic growth abroad, coupled with favorable interest rates and a depreciating U.S. dollar, helped to push the overseas markets ahead of the U.S. markets.

The LifePath Portfolios are invested in a combination of stock, bond and money market funds for which Barclays Global Fund Advisors is the investment adviser. Each LifePath Portfolio invested in the same underlying funds but in differing proportions, depending upon the acceptable risk level of the LifePath Portfolio.

During 2006, each LifePath Portfolio invested a portion of its assets in various iShares Funds, including the iShares MSCI EAFE Index Fund, iShares S&P 500 Index Fund, iShares S&P MidCap 400 Index Fund, iShares S&P SmallCap 600 Index Fund, iShares Cohen & Steers Realty Majors Index Fund, iShares Lehman Aggregate Bond Fund and iShares Lehman TIPS Bond Fund. The iShares Funds performed broadly in line with their respective benchmark indices.

In January 2006, the LifePath Portfolios started investing in two new asset classes: real estate and inflation-protected bonds. Both of these asset classes have distinct risk and return characteristics and have become recognized and established in the eyes of investors. The addition of these two new asset classes has increased portfolio diversification and may improve the risk and return profile of the LifePath Portfolios.

The LifePath Portfolios invest a significant amount of their assets in the Active Stock and CoreAlpha Bond Master Portfolios. Both of these Master Portfolios seek to outperform their respective indices by employing sophisticated quantitative models that help to identify attractive securities. The Active Stock Master Portfolio ended the year modestly down against the S&P 500 Index, which had a return of 15.79% for the reporting period. The CoreAlpha Bond Master Portfolio ended the year relatively flat compared to its benchmark, the Lehman Brothers U.S. Aggregate Bond Index, which posted a positive performance of 4.33% for the reporting period.

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

Each LifePath Portfolio seeks to maximize assets for retirement or other purposes consistent with the quantitatively measured risk that investors on average may be willing to accept given their investment time horizon. An investor’s time horizon marks the point when the investors plan to start making net withdrawals. Each LifePath Portfolio has its own time horizon, which affects the acceptable risk level of the LifePath Portfolio and, in turn, its asset allocation.

The LifePath Portfolios with longer time horizons, such as the LifePath 2040 Portfolio, invested a greater share of their assets in equity funds, such as the iShares MSCI EAFE Index Fund and the Active Stock Master Portfolio. The more conservative LifePath Portfolios, such as the LifePath Retirement Portfolio, allocated more of their assets to more income-producing investments, such as the CoreAlpha Bond Master Portfolio. As a result, the LifePath 2040 Portfolio posted a higher return than the more conservative LifePath Portfolios, because equities, particularly international equities, outperformed bonds for the reporting period.

The LifePath Portfolios are organized as “feeder” funds in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, holds interests in the net assets of its corresponding Master Portfolio. It is the Master Portfolio that actually invests in individual securities. References to “the LifePath Portfolios” are to the feeder funds or the Master Portfolios, as the context requires. Barclays Global Fund Advisors (BGFA) advises the Master Portfolios.

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited)

As a shareholder of a LifePath Portfolio, you incur ongoing costs, including management fees and other fund expenses. The following Example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a LifePath Portfolio and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 to December 31, 2006.

ACTUAL EXPENSES

The first line under each share class of each LifePath Portfolio in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your share class of your LifePath Portfolio under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line under each share class of each LifePath Portfolio in the table below provides information about hypothetical account values and hypothetical expenses based on the LifePath Portfolio’s actual expense ratio of each share class and an assumed rate of return of 5% per year before expenses, which is not the LifePath Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your share class of your LifePath Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line under each share class of each LifePath Portfolio in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.


*Portfolio*	Beginning Account Value (7/1/06)		Ending Account Value (12/31/06)		Annualized Expense Ratio^(a)		Expenses Paid During Period^(b)(7/1/06 to 12/31/06)
LifePath Retirement
Class I Shares
Actual	$	1,000.00	$	1,071.60	0.77	%	$	4.02
Hypothetical (5% return before expenses)		1,000.00		1,021.32	0.77			3.92
Class R Shares
Actual		1,000.00		1,070.10	1.03			5.37
Hypothetical (5% return before expenses)		1,000.00		1,020.01	1.03			5.24
LifePath 2010
Class I Shares
Actual		1,000.00		1,078.30	0.76			3.98
Hypothetical (5% return before expenses)		1,000.00		1,021.35	0.76			3.87
Class R Shares
Actual		1,000.00		1,077.40	1.02			5.34
Hypothetical (5% return before expenses)		1,000.00		1,020.07	1.02			5.19
LifePath 2020
Class I Shares
Actual		1,000.00		1,093.80	0.75			3.96
Hypothetical (5% return before expenses)		1,000.00		1,021.42	0.75			3.82
Class R Shares
Actual		1,000.00		1,092.60	1.00			5.27
Hypothetical (5% return before expenses)		1,000.00		1,020.16	1.00			5.09

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited) (Continued)


*Portfolio*	Beginning Account Value (7/1/06)		Ending Account Value (12/31/06)		Annualized Expense Ratio^(a)		Expenses Paid During Period^(b)(7/1/06 to 12/31/06)
LifePath 2030
Class I Shares
Actual	$	1,000.00	$	1,105.70	0.73	%	$	3.87
Hypothetical (5% return before expenses)		1,000.00		1,021.53	0.73			3.72
Class R Shares
Actual		1,000.00		1,104.10	0.99			5.25
Hypothetical (5% return before expenses)		1,000.00		1,020.21	0.99			5.04
LifePath 2040
Class I Shares
Actual		1,000.00		1,115.80	0.72			3.84
Hypothetical (5% return before expenses)		1,000.00		1,021.58	0.72			3.67
Class R Shares
Actual		1,000.00		1,114.30	0.97			5.17
Hypothetical (5% return before expenses)		1,000.00		1,020.32	0.97			4.94

^(a)	This ratio includes net expenses charged to the corresponding Master Portfolio and includes expense reductions during the period.

^(b)

Expenses are calculated using each LifePath Portfolio’s annualized expense ratio for each share class (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	LifePath Retirement Portfolio			*LifePath* *2010* *Portfolio*			*LifePath* *2020* *Portfolio*			*LifePath* *2030* *Portfolio*			*LifePath* *2040* *Portfolio*
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	107,385,570		$	391,168,671		$	724,183,247		$	491,406,006		$	347,855,687
Receivables:
Capital shares sold		562,381			996,501			1,797,255			1,504,789			1,715,357

Total Assets		107,947,951			392,165,172			725,980,502			492,910,795			349,571,044

LIABILITIES
Payables:
Capital shares redeemed		2,680,366			5,589,516			8,393,274			5,676,444			5,356,444
Distribution to shareholders		219,102			505,807			180,384			505,235			92,038
Administration fees (Note 2)		46,649			176,252			324,720			215,124			149,041
Distribution fees – Class R (Note 2)		7,892			30,904			68,675			44,669			37,847
Accrued expenses (Note 2):
Professional fees		16,067			16,183			16,230			16,153			16,093
Independent trustees’ fees		19			34			78			49			47

Total Liabilities		2,970,095			6,318,696			8,983,361			6,457,674			5,651,510

NET ASSETS	$	104,977,856		$	385,846,476		$	716,997,141		$	486,453,121		$	343,919,534

Net assets consist of:
Paid-in capital	$	95,673,128		$	340,014,540		$	579,882,739		$	407,208,785		$	267,520,135
Distributions in excess of net investment income		(648,526	)		(1,565,284	)		(1,780,229	)		(575,864	)		(144,848	)
Undistributed net realized gain		2,810,160			10,110,360			19,544,894			13,361,188			807,629
Net unrealized appreciation		7,143,094			37,286,860			119,349,737			66,459,012			75,736,618

NET ASSETS	$	104,977,856		$	385,846,476		$	716,997,141		$	486,453,121		$	343,919,534

Class I Shares
Net Assets	$	91,517,863		$	333,298,338		$	598,633,448		$	408,563,544		$	278,716,371

Shares outstanding		7,894,713			24,646,347			34,239,575			24,171,016			13,335,620

Net asset value and offering price per share	$	11.59		$	13.52		$	17.48		$	16.90		$	20.90

Class R Shares
Net Assets	$	13,459,993		$	52,548,138		$	118,363,693		$	77,889,577		$	65,203,163

Shares outstanding		1,238,094			3,947,128			7,057,292			4,685,661			3,250,104

Net asset value and offering price per share	$	10.87		$	13.31		$	16.77		$	16.62		$	20.06

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	LifePath Retirement Portfolio			*LifePath* *2010* *Portfolio*			*LifePath* *2020* *Portfolio*			*LifePath* *2030* *Portfolio*			*LifePath* *2040* *Portfolio*
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Dividends	$	1,331,987		$	5,223,920		$	10,996,352		$	7,951,210		$	5,719,911
Interest		3,287,714			10,025,343			11,626,419			4,486,203			1,439,270
Expenses^(a)		(314,735	)		(1,091,269	)		(1,801,832	)		(1,091,708	)		(688,320	)

Net investment income allocated from corresponding Master Portfolio		4,304,966			14,157,994			20,820,939			11,345,705			6,470,861

FUND EXPENSES (Note 2)
Administration fees		568,012			2,036,106			3,599,280			2,304,093			1,515,718
Distribution fees – Class R		26,170			100,497			206,077			136,931			119,586
Professional fees		16,354			17,210			18,036			17,302			16,843
Independent trustees’ fees		490			1,703			2,995			1,887			1,238

Total fund expenses		611,026			2,155,516			3,826,388			2,460,213			1,653,385
Less expense reductions (Note 2)		(16,844	)		(18,913	)		(21,031	)		(19,189	)		(18,081	)

Net fund expenses		594,182			2,136,603			3,805,357			2,441,024			1,635,304

Net investment income		3,710,784			12,021,391			17,015,582			8,904,681			4,835,557

REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		2,975,214			12,344,309			26,652,459			19,068,169			13,500,393
Net change in unrealized appreciation (depreciation)		3,132,746			16,543,641			47,073,820			39,225,770			30,955,563

Net realized and unrealized gain		6,107,960			28,887,950			73,726,279			58,293,939			44,455,956

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	9,818,744		$	40,909,341		$	90,741,861		$	67,198,620		$	49,291,513

^(a)	Net of investment advisory fee reductions in the amounts of $382,873, $1,350,471, $2,389,943, $1,537,448 and $1,019,875, respectively.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS


	*LifePath Retirement Portfolio*						*LifePath 2010 Portfolio*
	For the year ended December 31, 2006			For the year ended December 31, 2005			For the year ended December 31, 2006			For the year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	3,710,784		$	2,829,792		$	12,021,391		$	8,426,608
Net realized gain		2,975,214			1,141,033			12,344,309			4,565,717
Net change in unrealized appreciation (depreciation)		3,132,746			586,644			16,543,641			5,314,719

Net increase in net assets resulting from operations		9,818,744			4,557,469			40,909,341			18,307,044

Distributions to shareholders:
From net investment income:
Class I Shares		(3,439,671	)		(2,902,716	)		(11,091,041	)		(8,631,475	)
Class R Shares		(372,312	)		(232,284	)		(1,262,642	)		(628,574	)

		(3,811,983	)		(3,135,000	)		(12,353,683	)		(9,260,049	)

From net realized gain:
Class I Shares		(1,737,659	)		(886,064	)		(7,300,723	)		(3,618,530	)
Class R Shares		(241,173	)		(90,415	)		(1,067,349	)		(326,995	)

		(1,978,832	)		(976,479	)		(8,368,072	)		(3,945,525	)

Total distributions to shareholders		(5,790,815	)		(4,111,479	)		(20,721,755	)		(13,205,574	)

Capital share transactions (Note 3):
Class I Shares		(11,573,479	)		8,040,098			(35,440,542	)		49,080,565
Class R Shares		3,607,466			3,494,551			19,568,034			13,953,296

Net increase (decrease) in net assets resulting from capital share transactions		(7,966,013	)		11,534,649			(15,872,508	)		63,033,861

Increase (decrease) in net assets		(3,938,084	)		11,980,639			4,315,078			68,135,331
NET ASSETS:
Beginning of year		108,915,940			96,935,301			381,531,398			313,396,067

End of year	$	104,977,856		$	108,915,940		$	385,846,476		$	381,531,398

Distributions in excess of net investment income included in net assets at end of year	$	(648,526	)	$	(649,909	)	$	(1,565,284	)	$	(1,589,548	)

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*LifePath 2020 Portfolio*						*LifePath 2030 Portfolio*
	For the year ended December 31, 2006			For the year ended December 31, 2005			For the year ended December 31, 2006			For the year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	17,015,582		$	11,295,868		$	8,904,681		$	5,607,046
Net realized gain		26,652,459			11,190,255			19,068,169			7,999,028
Net change in unrealized appreciation (depreciation)		47,073,820			16,086,965			39,225,770			13,056,181

Net increase in net assets resulting from operations		90,741,861			38,573,088			67,198,620			26,662,255

Distributions to shareholders:
From net investment income:
Class I Shares		(15,376,250	)		(11,337,684	)		(8,855,429	)		(5,424,198	)
Class R Shares		(2,213,881	)		(908,242	)		(1,249,596	)		(447,102	)

		(17,590,131	)		(12,245,926	)		(10,105,025	)		(5,871,300	)

From net realized gain:
Class I Shares		—			—			(10,552,671	)		(7,647,361	)
Class R Shares		—			—			(1,927,068	)		(859,784	)

		—			—			(12,479,739	)		(8,507,145	)

Total distributions to shareholders		(17,590,131	)		(12,245,926	)		(22,584,764	)		(14,378,445	)

Capital share transactions (Note 3):
Class I Shares		(44,684,452	)		107,734,952			15,974,439			76,354,552
Class R Shares		52,507,854			26,782,362			33,930,857			18,966,314

Net increase in net assets resulting from capital share transactions		7,823,402			134,517,314			49,905,296			95,320,866

Increase in net assets		80,975,132			160,844,476			94,519,152			107,604,676
NET ASSETS:
Beginning of year		636,022,009			475,177,533			391,933,969			284,329,293

End of year	$	716,997,141		$	636,022,009		$	486,453,121		$	391,933,969

Undistributed (distributions in excess of) net investment income included in net assets at end of year	$	(1,780,229	)	$	(1,800,336	)	$	(575,864	)	$	271,134

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*LifePath 2040 Portfolio*
	For the year ended December 31, 2006			For the year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	4,835,557		$	2,825,237
Net realized gain		13,500,393			5,677,336
Net change in unrealized appreciation (depreciation)		30,955,563			9,921,759

Net increase in net assets resulting from operations		49,291,513			18,424,332

Distributions to shareholders:
From net investment income:
Class I Shares		(4,629,940	)		(2,568,816	)
Class R Shares		(877,216	)		(352,909	)

Total distributions to shareholders		(5,507,156	)		(2,921,725	)

Capital share transactions (Note 3):
Class I Shares		20,394,746			82,738,786
Class R Shares		23,671,011			9,638,347

Net increase in net assets resulting from capital share transactions		44,065,757			92,377,133

Increase in net assets		87,850,114			107,879,740
NET ASSETS:
Beginning of year		256,069,420			148,189,680

End of year	$	343,919,534		$	256,069,420

Undistributed (distributions in excess of) net investment income included in net assets at end of year	$	(144,848	)	$	306,475

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	*LifePath Retirement Portfolio – Class I Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002^(a)			Year ended Feb. 28, 2002
Net asset value, beginning of period	$	11.22		$	11.18		$	11.03		$	10.03		$	10.59		$	10.77

Income from investment operations:
Net investment income		0.39			0.30			0.20			0.19			0.21			0.34
Net realized and unrealized gain (loss)		0.58			0.17			0.49			1.00			(0.40	)		(0.10	)

Total from investment operations		0.97			0.47			0.69			1.19			(0.19	)		0.24

Less distributions from:
Net investment income		(0.39	)		(0.33	)		(0.24	)		(0.19	)		(0.28	)		(0.35	)
Net realized gain		(0.21	)		(0.10	)		(0.30	)		(0.00	)^(b)		(0.09	)		(0.07	)

Total distributions		(0.60	)		(0.43	)		(0.54	)		(0.19	)		(0.37	)		(0.42	)

Net asset value, end of period	$	11.59		$	11.22		$	11.18		$	11.03		$	10.03		$	10.59

Total return		8.80	%		4.32	%		6.35	%		11.95	%		(1.78	)%^(c)		2.25	%

Ratios/Supplemental data:
Net assets, end of period (000s)	$	91,518		$	99,349		$	90,871		$	60,944		$	40,509		$	36,936
Ratio of expenses to average net assets^(d)		0.78	%		0.81	%		0.82	%		0.85	%		0.85	%		0.89	%
Ratio of expenses to average net assets prior to expense reductions^(d)		1.13	%		1.15	%		1.10	%		n/a			n/a			n/a
Ratio of net investment income to average net assets^(d)		3.28	%		2.72	%		1.92	%		1.81	%		2.47	%		3.19	%
Portfolio turnover rate^(e)		10	%		11	%		138	%		29	%		56	%		116	%

^(a)	For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(e)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath Retirement Portfolio – Class R Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 11, 2003^(a)to Dec. 31, 2003
Net asset value, beginning of period	$	10.56		$	10.55		$	10.44		$	9.05

Income from investment operations:
Net investment income		0.35			0.28			0.18			0.17
Net realized and unrealized gain		0.53			0.14			0.45			1.39

Total from investment operations		0.88			0.42			0.63			1.56

Less distributions from:
Net investment income		(0.36	)		(0.31	)		(0.22	)		(0.17	)
Net realized gain		(0.21	)		(0.10	)		(0.30	)		(0.00	)^(b)

Total distributions		(0.57	)		(0.41	)		(0.52	)		(0.17	)

Net asset value, end of period	$	10.87		$	10.56		$	10.55		$	10.44

Total return		8.52	%		4.05	%		6.07	%		16.75	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	13,460		$	9,567		$	6,064		$	2,807
Ratio of expenses to average net assets^(d)		1.03	%		1.06	%		1.07	%		1.10	%
Ratio of expenses to average net assets prior to expense reductions^(d)		1.38	%		1.40	%		1.35	%		n/a
Ratio of net investment income to average net assets^(d)		3.18	%		2.51	%		1.69	%		1.52	%
Portfolio turnover rate^(e)		10	%		11	%		138	%		29	%^(f)

^(a)

Commencement of operations. April 11, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on April 11, 2003.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(e)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(f)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2010 Portfolio – Class I Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002^(a)			Year ended Feb. 28, 2002
Net asset value, beginning of period	$	12.92		$	12.74		$	12.30		$	10.82		$	11.85		$	12.46

Income from investment operations:
Net investment income		0.41			0.31			0.20			0.18			0.19			0.31
Net realized and unrealized gain (loss)		0.90			0.34			0.69			1.49			(1.00	)		(0.46	)

Total from investment operations		1.31			0.65			0.89			1.67			(0.81	)		(0.15	)

Less distributions from:
Net investment income		(0.42	)		(0.34	)		(0.24	)		(0.19	)		(0.20	)		(0.33	)
Net realized gain		(0.29	)		(0.13	)		(0.21	)		—			(0.02	)		(0.13	)

Total distributions		(0.71	)		(0.47	)		(0.45	)		(0.19	)		(0.22	)		(0.46	)

Net asset value, end of period	$	13.52		$	12.92		$	12.74		$	12.30		$	10.82		$	11.85

Total return		10.15	%		5.20	%		7.38	%		15.66	%		(6.85	)%^(b)		(1.13	)%

Ratios/Supplemental data:
Net assets, end of period (000s)	$	333,298		$	350,226		$	296,439		$	172,075		$	121,627		$	108,601
Ratio of expenses to average net assets^(c)		0.77	%		0.80	%		0.81	%		0.85	%		0.86	%		0.89	%
Ratio of expenses to average net assets prior to expense reductions^(c)		1.11	%		1.14	%		1.09	%		n/a			n/a			n/a
Ratio of net investment income to average net assets^(c)		2.96	%		2.45	%		1.78	%		1.64	%		1.98	%		2.59	%
Portfolio turnover rate^(d)		12	%		12	%		130	%		23	%		72	%		86	%

^(a)	For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(d)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2010 Portfolio – Class R Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period from Mar. 7, 2002^(a) *to Dec. 31, 2002*
Net asset value, beginning of period	$	12.74		$	12.57		$	12.13		$	10.67		$	11.98

Income from investment operations:
Net investment income		0.38			0.29			0.18			0.16			0.13
Net realized and unrealized gain (loss)		0.86			0.32			0.68			1.47			(1.30	)

Total from investment operations		1.24			0.61			0.86			1.63			(1.17	)

Less distributions from:
Net investment income		(0.38	)		(0.31	)		(0.21	)		(0.17	)		(0.12	)
Net realized gain		(0.29	)		(0.13	)		(0.21	)		—			(0.02	)

Total distributions		(0.67	)		(0.44	)		(0.42	)		(0.17	)		(0.14	)

Net asset value, end of period	$	13.31		$	12.74		$	12.57		$	12.13		$	10.67

Total return		9.89	%		4.94	%		7.23	%		15.45	%		(9.72	)%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	52,548		$	31,306		$	16,957		$	10,258		$	28
Ratio of expenses to average net assets^(c)		1.02	%		1.05	%		1.06	%		1.10	%		1.58	%
Ratio of expenses to average net assets prior to expense reductions^(c)		1.36	%		1.39	%		1.34	%		n/a			n/a
Ratio of net investment income to average net assets^(c)		2.87	%		2.23	%		1.56	%		1.21	%		1.84	%
Portfolio turnover rate^(d)		12	%		12	%		130	%		23	%		72	%^(e)

^(a)

Commencement of operations. March 7, 2002 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on March 7, 2002.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(d)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(e)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the ten months ended December 31, 2002.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2020 Portfolio – Class I Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002^(a)			Year ended Feb. 28, 2002
Net asset value, beginning of period	$	15.85		$	15.19		$	14.13		$	11.89		$	13.52		$	14.55

Income from investment operations:
Net investment income		0.40			0.30			0.21			0.19			0.17			0.23
Net realized and unrealized gain (loss)		1.64			0.68			1.09			2.24			(1.59	)		(1.02	)

Total from investment operations		2.04			0.98			1.30			2.43			(1.42	)		(0.79	)

Less distributions from:
Net investment income		(0.41	)		(0.32	)		(0.24	)		(0.19	)		(0.21	)		(0.24	)
Net realized gain		—			—			—			—			—			(0.00	)^(b)

Total distributions		(0.41	)		(0.32	)		(0.24	)		(0.19	)		(0.21	)		(0.24	)

Net asset value, end of period	$	17.48		$	15.85		$	15.19		$	14.13		$	11.89		$	13.52

Total return		13.01	%		6.54	%		9.27	%		20.61	%		(10.58	)%^(c)		(5.44	)%

Ratios/Supplemental data:
Net assets, end of period (000s)	$	598,633		$	578,497		$	446,486		$	386,387		$	270,696		$	319,935
Ratio of expenses to average net assets^(d)		0.75	%		0.78	%		0.79	%		0.85	%		0.83	%		0.89	%
Ratio of expenses to average net assets prior to expense reductions^(d)		1.08	%		1.12	%		1.07	%		n/a			n/a			n/a
Ratio of net investment income to average net assets^(d)		2.37	%		2.01	%		1.49	%		1.54	%		1.59	%		1.74	%
Portfolio turnover rate^(e)		16	%		17	%		140	%		23	%		67	%		86	%

^(a)	For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(e)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2020 Portfolio – Class R Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period from Mar. 7, 2002^(a)to Dec. 31, 2002
Net asset value, beginning of period	$	15.22		$	14.60		$	13.59		$	11.44		$	13.45

Income from investment operations:
Net investment income		0.37			0.27			0.19			0.17			0.11
Net realized and unrealized gain (loss)		1.56			0.64			1.03			2.14			(1.99	)

Total from investment operations		1.93			0.91			1.22			2.31			(1.88	)

Less distributions from:
Net investment income		(0.38	)		(0.29	)		(0.21	)		(0.16	)		(0.13	)

Total distributions		(0.38	)		(0.29	)		(0.21	)		(0.16	)		(0.13	)

Net asset value, end of period	$	16.77		$	15.22		$	14.60		$	13.59		$	11.44

Total return		12.77	%		6.28	%		9.01	%		20.37	%		(14.05	)%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	118,364		$	57,525		$	28,692		$	17,299		$	202
Ratio of expenses to average net assets^(c)		1.00	%		1.03	%		1.04	%		1.10	%		1.59	%
Ratio of expenses to average net assets prior to expense reductions^(c)		1.33	%		1.37	%		1.32	%		n/a			n/a
Ratio of net investment income to average net assets^(c)		2.31	%		1.82	%		1.33	%		1.26	%		1.42	%
Portfolio turnover rate^(d)		16	%		17	%		140	%		23	%		67	%^(e)

^(a)

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(d)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(e)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the ten months ended December 31, 2002.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2030 Portfolio – Class I Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002^(a)			Year ended Feb. 28, 2002
Net asset value, beginning of period	$	15.39		$	14.87		$	14.13		$	11.56		$	13.69		$	15.77

Income from investment operations:
Net investment income		0.32			0.24			0.19			0.18			0.13			0.18
Net realized and unrealized gain (loss)		1.99			0.88			1.32			2.55			(1.97	)		(1.48	)

Total from investment operations		2.31			1.12			1.51			2.73			(1.84	)		(1.30	)

Less distributions from:
Net investment income		(0.36	)		(0.26	)		(0.19	)		(0.16	)		(0.13	)		(0.19	)
Net realized gain		(0.44	)		(0.34	)		(0.58	)		—			(0.16	)		(0.59	)

Total distributions		(0.80	)		(0.60	)		(0.77	)		(0.16	)		(0.29	)		(0.78	)

Net asset value, end of period	$	16.90		$	15.39		$	14.87		$	14.13		$	11.56		$	13.69

Total return		15.12	%		7.63	%		10.78	%		23.86	%		(13.46	)%^(b)		(8.25	)%

Ratios/Supplemental data:
Net assets, end of period (000s)	$	408,564		$	352,800		$	265,166		$	176,647		$	103,485		$	108,538
Ratio of expenses to average net assets^(c)		0.74	%		0.76	%		0.78	%		0.85	%		0.84	%		0.89	%
Ratio of expenses to average net assets prior to expense reductions^(c)		1.08	%		1.10	%		1.06	%		n/a			n/a			n/a
Ratio of net investment income to average net assets^(c)		1.95	%		1.69	%		1.37	%		1.48	%		1.28	%		1.25	%
Portfolio turnover rate^(d)		22	%		24	%		138	%		32	%		68	%		53	%

^(a)	For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(d)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2030 Portfolio – Class R Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 8, 2003^(a)to Dec. 31, 2003
Net asset value, beginning of period	$	15.15		$	14.65		$	13.94		$	11.33

Income from investment operations:
Net investment income		0.28			0.22			0.15			0.17
Net realized and unrealized gain		1.95			0.85			1.30			2.59

Total from investment operations		2.23			1.07			1.45			2.76

Less distributions from:
Net investment income		(0.32	)		(0.23	)		(0.16	)		(0.15	)
Net realized gain		(0.44	)		(0.34	)		(0.58	)		—

Total distributions		(0.76	)		(0.57	)		(0.74	)		(0.15	)

Net asset value, end of period	$	16.62		$	15.15		$	14.65		$	13.94

Total return		14.83	%		7.37	%		10.51	%		23.85	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	77,890		$	39,134		$	19,163		$	6,776
Ratio of expenses to average net assets^(c)		0.99	%		1.01	%		1.04	%		1.10	%
Ratio of expenses to average net assets prior to expense reductions^(c)		1.33	%		1.35	%		1.32	%		n/a
Ratio of net investment income to average net assets^(c)		1.84	%		1.52	%		1.24	%		1.27	%
Portfolio turnover rate^(d)		22	%		24	%		138	%		32	%^(e)

^(a)

Commencement of operations. April 8, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from the date until investment began on April 8, 2003.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(d)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(e)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2040 Portfolio – Class I Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002^(a)			Year ended Feb. 28, 2002
Net asset value, beginning of period	$	18.18		$	17.03		$	15.47		$	12.27		$	14.73		$	16.74

Income from investment operations:
Net investment income		0.31			0.21			0.21			0.18			0.12			0.10
Net realized and unrealized gain (loss)		2.76			1.18			1.55			3.18			(2.48	)		(1.93	)

Total from investment operations		3.07			1.39			1.76			3.36			(2.36	)		(1.83	)

Less distributions from:
Net investment income		(0.35	)		(0.24	)		(0.20	)		(0.16	)		(0.10	)		(0.10	)
Net realized gain		—			—			—			—			—			(0.08	)

Total distributions		(0.35	)		(0.24	)		(0.20	)		(0.16	)		(0.10	)		(0.18	)

Net asset value, end of period	$	20.90		$	18.18		$	17.03		$	15.47		$	12.27		$	14.73

Total return		16.97	%		8.24	%		11.43	%		27.64	%		(16.03	)%^(b)		(10.89	)%

Ratios/Supplemental data:
Net assets, end of period (000s)	$	278,716		$	221,359		$	125,063		$	127,357		$	74,352		$	84,961
Ratio of expenses to average net assets^(c)		0.73	%		0.76	%		0.78	%		0.85	%		0.83	%		0.90	%
Ratio of expenses to average net assets prior to expense reductions^(c)		1.07	%		1.09	%		1.06	%		n/a			n/a			n/a
Ratio of net investment income to average net assets^(c)		1.62	%		1.45	%		1.15	%		1.36	%		1.05	%		0.64	%
Portfolio turnover rate^(d)		29	%		38	%		147	%		29	%		62	%		15	%

^(a)	For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(d)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*LifePath 2040 Portfolio – Class R Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 8, 2003^(a)to Dec. 31, 2003
Net asset value, beginning of period	$	17.47		$	16.37		$	14.89		$	11.74

Income from investment operations:
Net investment income		0.25			0.19			0.16			0.17
Net realized and unrealized gain		2.64			1.11			1.48			3.13

Total from investment operations		2.89			1.30			1.64			3.30

Less distributions from:
Net investment income		(0.30	)		(0.20	)		(0.16	)		(0.15	)

Total distributions		(0.30	)		(0.20	)		(0.16	)		(0.15	)

Net asset value, end of period	$	20.06		$	17.47		$	16.37		$	14.89

Total return		16.64	%		8.01	%		11.08	%		27.65	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	65,203		$	34,710		$	23,126		$	14,860
Ratio of expenses to average net assets^(c)		0.98	%		1.01	%		1.03	%		1.10	%
Ratio of expenses to average net assets prior to expense reductions^(c)		1.32	%		1.34	%		1.31	%		n/a
Ratio of net investment income to average net assets^(c)		1.46	%		1.20	%		1.06	%		1.07	%
Portfolio turnover rate^(d)		29	%		38	%		147	%		29	%^(e)

^(a)

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

^(d)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(e)	Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios (each, a “LifePath Portfolio,” collectively, the “LifePath Portfolios”).

The LifePath Portfolios offer two classes of shares: Class I and Class R. Both classes of shares have equal rights to assets and earnings, and differ principally in that the Class R shares bear distribution fees.

Under the Trust’s organizational documents, the LifePath Portfolios’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the LifePath Portfolios. Additionally, in the normal course of business, the LifePath Portfolios enter into contracts with service providers that contain general indemnification clauses. The LifePath Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the LifePath Portfolios that have not yet occurred.

1.	SIGNIFICANT ACCOUNTING POLICIES

INVESTMENT POLICY AND SECURITY VALUATION

Each LifePath Portfolio invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding LifePath Portfolio. The value of each LifePath Portfolio’s investment in its corresponding Master Portfolio reflects that LifePath Portfolio’s interest in the net assets of that Master Portfolio (41.26%, 49.70%, 52.06%, 49.71% and 49.11% for the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios, respectively, as of December 31, 2006). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

The performance of each LifePath Portfolio is directly affected by the performance of its corresponding Master Portfolio. The financial statements of each Master Portfolio, including the Schedules of Investments, accompanied by an unaudited summarized tabular presentation, are included elsewhere in this report and should be read in conjunction with the corresponding LifePath Portfolio’s financial statements.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each LifePath Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each LifePath Portfolio accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of each LifePath Portfolio based on relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income, if any, are declared and distributed quarterly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the tax year-end of the LifePath Portfolios, the components of net distributable earnings on a tax basis were as follows:


*Portfolio*	Undistributed Ordinary Income		Unrealized Appreciation		Capital Gains (Losses) and Other Losses			Net Distributable Earnings
LifePath Retirement	$	73,231	$	7,834,706	$	1,396,791		$	9,304,728
LifePath 2010		566,805		39,293,284		5,971,847			45,831,936
LifePath 2020		—		130,359,191		6,755,211			137,114,402
LifePath 2030		958,256		68,555,561		9,730,519			79,244,336
LifePath 2040		—		78,690,641		(2,291,242	)		76,399,399

The tax character of distributions paid for the years ended December 31, 2006 and December 31, 2005, were as follows:


*Portfolio*	*2006*		*2005*
LifePath Retirement
Distributions paid from:
Ordinary income	$	3,984,419	$	3,135,000
Long-term capital gain		1,806,396		976,479

Total Distributions	$	5,790,815	$	4,111,479

LifePath 2010
Distributions paid from:
Ordinary income	$	13,211,999	$	9,913,696
Long-term capital gain		7,509,756		3,291,878

Total Distributions	$	20,721,755	$	13,205,574

LifePath 2020
Distributions paid from:
Ordinary income	$	17,590,131	$	12,245,926

Total Distributions	$	17,590,131	$	12,245,926

LifePath 2030
Distributions paid from:
Ordinary income	$	10,936,998	$	9,260,387
Long-term capital gain		11,647,766		5,118,058

Total Distributions	$	22,584,764	$	14,378,445

LifePath 2040
Distributions paid from:
Ordinary income	$	5,507,156	$	2,921,725

Total Distributions	$	5,507,156	$	2,921,725

FEDERAL INCOME TAXES

Each LifePath Portfolio is treated as a separate entity for federal income tax purposes. It is the policy of each LifePath Portfolio to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to annually distribute substantially all of its net income and any net gains (taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2006.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

The LifePath Portfolios had tax basis net capital loss carryforwards as of December 31, 2006, the tax year-end of the LifePath Portfolios, as follows:


*Portfolio*	Expiring 2012		*Total*
LifePath 2040	$	2,339,387	$	2,339,387

Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year, or until their respective expiration date, whichever occurs first.

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Investors Bank & Trust Company (“IBT”) serves as the custodian, sub-administrator, transfer agent and dividend disbursement agent of the LifePath Portfolios. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the LifePath Portfolios. IBT is entitled to receive fees for its transfer agent and dividend disbursing agent services, which BGI has agreed to pay out of the fees it receives for administration services to the LifePath Portfolios.

SEI Investments Distribution Company (“SEI”) is the LifePath Portfolios’ distributor. The LifePath Portfolios have adopted a plan pursuant to Rule 12b-1 under the 1940 Act, which authorizes Class R of the LifePath Portfolios to pay expenses relating to the distribution of its shares. Under the plan, SEI is entitled to receive an annual fee for these services of 0.25% of the average daily net assets of each LifePath Portfolio’s Class R. Class I shareholders do not pay any fees for distribution services. Class R of each LifePath Portfolio paid distribution fees for the year ended December 31, 2006 as follows:


*Portfolio*	Distribution Fees
LifePath Retirement – Class R	$	26,170
LifePath 2010 – Class R		100,497
LifePath 2020 – Class R		206,077
LifePath 2030 – Class R		136,931
LifePath 2040 – Class R		119,586

The Trust has entered into an administration services arrangement with BGI which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the LifePath Portfolios’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the LifePath Portfolios for which BGI receives a fee paid by each LifePath Portfolio. BGI, in consideration thereof, has agreed to bear all of the LifePath Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees, brokerage and other expenses related to the executions of portfolio transactions, extraordinary expenses and certain other expenses which are borne directly by the LifePath Portfolios. BGI is entitled to receive for these administration services an annual fee of 0.50% of the average daily net assets of each LifePath Portfolio.

The fees and expenses of the LifePath Portfolios’ trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (the “independent expenses”) are paid directly by the LifePath Portfolios. BGI has voluntarily agreed to provide an offsetting credit against the administration fees paid by the LifePath Portfolios in an amount equal to the independent expenses.

For the year ended December 31, 2006, BGI waived and/or credited administration fees as follows:


*Portfolio*	Administration Fees Waived/Credited
LifePath Retirement	$	16,844
LifePath 2010		18,913
LifePath 2020		21,031
LifePath 2030		19,189
LifePath 2040		18,081

BGI may delegate certain of its administration duties to sub-administrators.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3.	CAPITAL SHARE TRANSACTIONS

As of December 31, 2006, there was an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the LifePath Portfolios were as follows:


	For the Year Ended December 31, 2006					For the Year Ended December 31, 2005
	*Shares*		*Amount*			*Shares*		*Amount*
LifePath Retirement
Class I Shares:
Shares sold	4,652,739		$	53,280,195		3,319,407		$	37,110,296
Shares issued in reinvestment of dividends and distributions	412,612			4,733,179		302,634			3,389,301
Shares redeemed	(6,023,082	)		(69,586,853	)	(2,897,759	)		(32,459,499	)

Net increase (decrease)	(957,731	)	$	(11,573,479	)	724,282		$	8,040,098

Class R Shares:
Shares sold	764,884		$	8,276,272		499,383		$	5,269,507
Shares issued in reinvestment of dividends and distributions	55,222			595,939		30,562			322,701
Shares redeemed	(487,834	)		(5,264,745	)	(199,096	)		(2,097,657	)

Net increase	332,272		$	3,607,466		330,849		$	3,494,551

LifePath 2010
Class I Shares:
Shares sold	10,085,739		$	134,108,233		7,738,773		$	98,914,967
Shares issued in reinvestment of dividends and distributions	1,302,506			17,421,932		895,395			11,499,813
Shares redeemed	(13,838,764	)		(186,970,707	)	(4,798,692	)		(61,334,215	)

Net increase (decrease)	(2,450,519	)	$	(35,440,542	)	3,835,476		$	49,080,565

Class R Shares:
Shares sold	1,990,409		$	26,085,238		1,486,787		$	18,730,748
Shares issued in reinvestment of dividends and distributions	175,999			2,323,091		75,306			954,834
Shares redeemed	(677,249	)		(8,840,295	)	(453,633	)		(5,732,286	)

Net increase	1,489,159		$	19,568,034		1,108,460		$	13,953,296

LifePath 2020
Class I Shares:
Shares sold	12,868,872		$	213,349,890		11,566,591		$	176,538,923
Shares issued in reinvestment of dividends and distributions	886,751			14,917,805		707,484			10,974,301
Shares redeemed	(16,008,293	)		(272,952,147	)	(5,184,665	)		(79,778,272	)

Net increase (decrease)	(2,252,670	)	$	(44,684,452	)	7,089,410		$	107,734,952

Class R Shares:
Shares sold	4,068,680		$	64,997,512		2,305,778		$	34,061,646
Shares issued in reinvestment of dividends and distributions	135,578			2,205,823		60,613			907,063
Shares redeemed	(925,730	)		(14,695,481	)	(553,148	)		(8,186,347	)

Net increase	3,278,528		$	52,507,854		1,813,243		$	26,782,362

LifePath 2030
Class I Shares:
Shares sold	10,465,430		$	170,408,536		7,961,482		$	119,322,662
Shares issued in reinvestment of dividends and distributions	1,122,138			18,689,424		823,021			12,570,833
Shares redeemed	(10,342,184	)		(173,123,521	)	(3,695,390	)		(55,538,943	)

Net increase	1,245,384		$	15,974,439		5,089,113		$	76,354,552

Class R Shares:
Shares sold	2,566,642		$	41,222,930		1,563,771		$	23,281,438
Shares issued in reinvestment of dividends and distributions	191,532			3,150,898		86,652			1,306,880
Shares redeemed	(655,499	)		(10,442,971	)	(375,786	)		(5,622,004	)

Net increase	2,102,675		$	33,930,857		1,274,637		$	18,966,314

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)


	For the Year Ended December 31, 2006					For the Year Ended December 31, 2005
	*Shares*		*Amount*			*Shares*		*Amount*
LifePath 2040
Class I Shares:
Shares sold	8,037,748		$	156,741,631		7,749,231		$	133,344,210
Shares issued in reinvestment of dividends and distributions	221,567			4,446,238		139,058			2,439,767
Shares redeemed	(7,099,466	)		(140,793,123	)	(3,057,850	)		(53,045,191	)

Net increase	1,159,849		$	20,394,746		4,830,439		$	82,738,786

Class R Shares:
Shares sold	1,784,732		$	33,331,346		1,031,838		$	17,207,568
Shares issued in reinvestment of dividends and distributions	45,070			874,490		20,938			352,922
Shares redeemed	(566,731	)		(10,534,825	)	(478,371	)		(7,922,143	)

Net increase	1,263,071		$	23,671,011		574,405		$	9,638,347

4.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the LifePath Retirement Portfolio, LifePath 2010 Portfolio, LifePath 2020 Portfolio, LifePath 2030 Portfolio and LifePath 2040 Portfolio, each a series of Barclays Global Investors Funds (the “Portfolios”), at December 31, 2006, and the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION (Unaudited)

Pursuant to Section 852(b)(3)(C) of the Internal Revenue Code (the “Code”), the LifePath Portfolios designate the following amounts as capital gains dividends for the tax year ended December 31, 2006:


*Portfolio*	*Capital* Gains Distributions
LifePath Retirement	$	1,806,396
LifePath 2010		7,509,756
LifePath 2030		11,647,766

For corporate shareholders, the following percentages of the income dividends paid by the LifePath Portfolios during the tax year ended December 31, 2006 qualified for the dividends-received deduction:


*Portfolio*	Dividends- Received Deduction
LifePath Retirement	11.29	%
LifePath 2010	13.24
LifePath 2020	22.97
LifePath 2030	33.03
LifePath 2040	52.62

Under Section 845(b)(2) of the Code, the LifePath Portfolios hereby designate the following maximum amounts as qualified dividend income for purposes of the maximum rate under Section 1(h)(11) of the Code for the tax year ended December 31, 2006:


*Portfolio*	Qualified Dividend Income
LifePath Retirement	$	692,289
LifePath 2010		2,913,474
LifePath 2020		7,101,283
LifePath 2030		5,689,320
LifePath 2040		4,418,983

Pursuant to Section 871(k)(1)(C) of the Code, the LifePath Portfolios hereby designate the following maximum amounts allowable as interest-related dividends for the tax year ended December 31, 2006:


*Portfolio*	Interest- Related Dividends
LifePath Retirement	$	3,376,844
LifePath 2010		10,518,832
LifePath 2020		12,078,895
LifePath 2030		4,660,869
LifePath 2040		1,314,184

In January 2007, shareholders should have received Form 1099-DIV which includes their share of qualified dividend income distributed during the calendar year of 2006. Shareholders are advised to check with their tax advisers for information on the treatment of those amounts on their income tax returns.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited)

The Board of Trustees has responsibility for the overall management and operations of the LifePath Portfolios. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. Each Officer serves until he or she resigns, is removed, dies, retires or becomes disqualified.

BGIF’s Independent Trustees have designated Leo Soong as its Lead Independent Trustee. Additional information about the LifePath Portfolios’Trustees and Officers may be found in the LifePath Portfolios’combined Statements of Additional Information, which are available without charge, upon request, by calling toll-free 1-877-244-1544.

Interested Trustees and Officers


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2005) of Global Index and Markets Group of BGI; Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director (since 2005) of Barclays Global Fund Advisors; Director, President and Chief Executive Officer (since 2005) of Barclays Global Investors International, Inc.; Director, Chairman and Chief Executive Officer (since 2005) of Barclays Global Investors Services; Chief Executive Officer (1999-2003) of the Individual Investor Business of BGI.	Director (since 2003) of BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director and Chief Financial Officer (since 2005) of Barclays Global Investors International, Inc.; Director (2000-2003) of Mutual Fund Delivery in the U.S. Individual Investor Business of BGI.	None.

Lee T. Kranefuss is deemed to be an “interested person” (as defined in the 1940 Act) of BGIF due to his affiliations with BGFA, the investment adviser of the Master Portfolios and the Underlying Funds, BGI, the parent company of BGFA and the administrator of the LifePath Portfolios and the Master Portfolios, and Barclays Global Investors Services, an affiliate of BGFA and BGI.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees


*Name, Year of Birth*	Position(s), Length of Service	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii; Director (since 2002) and Chairman of the Board (since 2005) of PBS (Public Broadcasting Service); Advisory Committee Member (since 1999) of Stanford Institute for Economic Policy Research; Director (since 1998) of Commonwealth Club of California; Advisory Committee Member (since 1992) of Pacific Forum/CSIS.

A. John Gambs, 1945	Trustee (since 2006).	Retired.	Trustee (since 2006) of MIP; Governor (since 2001) and Vice President (since 2002) of San Francisco Symphony; Trustee (1995-2005) of Marin Country Day School; Trustee (2000-2004) of Marin Academy; President and Director (since 1997) of the Gambs Family Foundation.

Wendy Paskin-Jordan, 1956	Trustee (since 2006).	Managing Partner (since 1999) of Paskin & Kahr Capital Management; Registered Representative (since 2005) of ThinkEquity Partners (broker-dealer); Registered Representative (1999-2005) of ePlanning Securities, Inc. (broker-dealer).	Trustee (since 2006) of MIP; Director (since 2001) of California State Automobile Association; Director (since 2001) of Maier Siebel Baber; Trustee (since 2005) of World Affairs Council of Northern California.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees (Continued)


*Name, Year of Birth*	Position(s), Length of Service	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Leo Soong, 1946	Trustee (since 2000) and Lead Trustee (since 2006).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder (President through 1999) of Crystal Geyser Water Co.	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association; Director (since 2001) of Flash Electronics.

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	Shares or Principal		*Value*
MASTER PORTFOLIOS – 71.20%
Active Stock Master Portfolio^(a)			$	51,575,914
CoreAlpha Bond Master Portfolio^(a)				133,734,800

TOTAL MASTER PORTFOLIOS				185,310,714

EXCHANGE-TRADED FUNDS – 27.95%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)		69,570		6,986,219
iShares Lehman TIPS Bond Fund^(a)(b)		265,004		26,182,395
iShares MSCI EAFE Index Fund^(a)(b)		342,900		25,107,138
iShares S&P MidCap 400 Index Fund^(a)(b)		119,099		9,551,740
iShares S&P SmallCap 600 Index Fund ^(a)(b)		74,524		4,917,839

TOTAL EXCHANGE-TRADED FUNDS (Cost: $63,566,832)				72,745,331

SHORT-TERM INVESTMENTS – 7.95%
CERTIFICATES OF DEPOSIT^(c)– 0.17%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07	$	99,745		99,745
Washington Mutual Bank
5.33%, 03/19/07		356,235		356,235

				455,980

COMMERCIAL PAPER^(c)– 1.56%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(d)		149,777		147,634
Aspen Funding Corp.
5.26%, 02/21/07^(d)		92,621		91,944
Beta Finance Inc.
5.27%, 01/25/07^(d)		28,499		28,403
BNP Paribas Finance Inc.
5.12%, 06/06/07		49,873		48,775
CAFCO LLC
5.26%, 01/30/07^(d)		71,247		70,955
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(d)		170,993		169,754
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(d)		168,143		166,079
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(d)		14,249		14,231
Curzon Funding LLC
5.24%, 02/27/07^(d)		78,158		77,521
Edison Asset Securitization LLC
5.21%, 04/11/07^(d)		59,054		58,208
Eureka Securitization
5.26%, 02/09/07^(d)		178,117		177,128
Five Finance Inc.
5.22%, 04/20/07^(d)		65,547		64,521
General Electric Capital Corp.
5.12%, 06/04/07^(d)		106,870		104,547
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(d)		233,690		231,432
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(d)		277,863		272,103
Harrier Finance Funding LLC
5.12%, 06/06/07^(d)		142,494		139,356
KKR Atlantic Funding Trust
5.32%, 01/03/07^(d)		106,870		106,855
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(d)		468,942		466,130
Lockhart Funding LLC
5.28%, 02/09/07^(d)		142,494		141,700
Nationwide Building Society
5.21%, 04/13/07^(d)		135,369		133,391
Nestle Capital Corp.
5.19%, 08/09/07^(d)		85,496		82,797
Norddeutsche Landesbank
5.27%, 02/15/07		135,369		134,498
Polonius Inc.
5.26%, 02/20/07^(d)		40,297		40,009
Regency Markets No. 1 LLC
5.32%, 01/22/07^(d)		47,355		47,215
Sedna Finance Inc.
5.22%, 04/17/07^(d)		81,222		79,985
Societe Generale
5.18%, 05/16/07		356,235		349,366
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(d)		361,576		358,093
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(d)		175,553		174,340
Three Pillars Funding Corp.
5.26%, 02/14/07^(d)		83,272		82,749

				4,059,719

MEDIUM-TERM NOTES^(c)– 0.16%
Bank of America N.A.
5.28%, 04/20/07		35,623		35,623
Cullinan Finance Corp.
5.71%, 06/28/07^(d)		106,870		106,870
K2 USA LLC
5.39%, 06/04/07^(d)		106,870		106,870
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(d)		166,718		166,718

				416,081

MONEY MARKET FUNDS – 0.58%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%^(a)(e)		1,519,285		1,519,285

				1,519,285

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS ^(c)– 1.49%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $285,158 (collateralized by non-U.S. Government debt securities, value $293,873, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	284,988	$	284,988
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $213,869 (collateralized by U.S. Government obligations, value $218,147, 0.00% to 11.00%, 1/1/08 to 1/1/37).		213,741		213,741
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $499,027 (collateralized by non-U.S. Government debt securities, value $548,929, 1.00% to 8.84%, 8/3/14 to 12/25/46).		498,729		498,729
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $14,257 (collateralized by non-U.S. Government debt securities, value $14,979, 5.46%, 3/15/08).		14,249		14,249
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $499,026 (collateralized by non-U.S. Government debt securities, value $524,264, 3.78% to 7.41%, 11/25/19 to 10/25/45).		498,729		498,729
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $156,837 (collateralized by non-U.S. Government debt securities, value $174,837, 0.00% to 10.00%, 6/1/28 to 11/16/36).		156,743		156,743
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $85,548 (collateralized by non-U.S. Government debt securities, value $95,366, 0.00% to 10.00%, 6/1/28 to 11/16/36).		85,496		85,496
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $285,157 (collateralized by non-U.S. Government debt securities, value $296,536, 0.00% to 10.00%, 1/23/07 to 5/15/44).		284,988		284,988
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $52,906 (collateralized by non-U.S. Government debt securities, value $55,001, 0.00% to 10.00%, 1/23/07 to 5/15/44).		52,875		52,875
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $85,548 (collateralized by non-U.S. Government debt securities, value $88,962, 0.00% to 10.00%, 1/23/07 to 5/15/44).		85,496		85,496
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $71,290 (collateralized by non-U.S. Government debt securities, value $78,841, 5.58%, 1/8/36).		71,247		71,247
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $71,289 (collateralized by non-U.S. Government debt securities, value $74,902, 3.16% to 5.32%, 5/15/34 to 6/1/46).		71,247		71,247
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $35,644 (collateralized by non-U.S. Government debt securities, value $37,451, 5.75% to 8.75%, 10/1/08 to 9/15/25).		35,623		35,623
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $285,158 (collateralized by non-U.S. Government debt securities, value $293,877, 3.34% to 8.75%, 6/15/07 to 12/1/66).		284,988		284,988
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $106,935 (collateralized by non-U.S. Government debt securities, value $110,144, 5.50% to 8.88%, 4/15/11 to 12/1/66).		106,870		106,870
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $285,158 (collateralized by non-U.S. Government debt securities, value $294,447, 0.00% to 10.13%, 6/15/07 to 9/1/26).		284,988		284,988
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $142,580 (collateralized by non-U.S. Government debt securities, value $146,858, 4.37% to 7.75%, 3/3/08 to 12/1/25).		142,494		142,494
Morgan Stanley, 5.36%, due 1/2/07, maturity value $142,579 (collateralized by non-U.S. Government debt securities, value $148,439, 0.00% to 10.00%, 1/1/07 to 12/31/37).		142,494		142,494

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
Morgan Stanley, 5.51%, due 6/4/07, maturity value $102,112 (collateralized by non-U.S. Government debt securities, value $104,775, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(f)	$	99,746	$	99,746
Wachovia Capital, 5.38%, due 1/2/07, maturity value $456,254 (collateralized by non-U.S. Government debt securities, value $479,327, 3.86% to 8.17%, 8/15/13 to 10/17/44).		455,981		455,981

				3,871,712

TIME DEPOSITS^(c)– 0.00%
Bank of America N.A.
5.13%, 01/02/07		6,820		6,820

				6,820

VARIABLE & FLOATING RATE NOTES^(c)– 3.99%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(d)		364,784		364,823
American Express Bank
5.32%, 02/28/07		142,494		142,494
American Express Centurion Bank
5.44%, 07/19/07		156,743		156,842
American Express Credit Corp.
5.45%, 07/05/07		42,748		42,763
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		17,829		17,829
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(d)		106,870		106,870
ASIF Global Financing
5.41%, 05/03/07^(d)		14,249		14,252
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(d)		92,621		92,621
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(d)		206,616		206,622
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(d)		363,360		363,370
BMW US Capital LLC
5.35%, 01/15/08^(d)		142,494		142,494
BNP Paribas
5.35%, 11/19/07^(d)		263,614		263,614
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(d)		104,021		104,021
CC USA Inc.
5.37%, 07/30/07^(d)		71,247		71,253
Commodore CDO Ltd.
5.44%, 12/12/07^(d)		35,623		35,623
Credit Agricole SA
5.34%, 11/23/07		142,494		142,494
Credit Suisse First Boston NY
5.38%, 04/24/07		71,247		71,248
Cullinan Finance Corp.
5.36%, 04/25/07^(d)		35,623		35,623
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(d)		20,585		20,585
DEPFA Bank PLC
5.40%, 09/14/07		142,494		142,494
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(d)		163,868		163,874
Eli Lilly Services Inc.
5.34%, 12/31/07^(d)		95,115		95,115
Fifth Third Bancorp
5.33%, 12/21/07^(d)		284,988		284,988
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(d)		92,621		92,614
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(d)		149,619		149,640
Granite Master Issuer PLC
5.32%, 08/20/07^(d)		498,729		498,729
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(d)		185,242		185,243
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		213,741		213,761
HBOS Treasury Services PLC
5.46%, 10/24/07^(d)		142,494		142,494
Holmes Financing PLC
5.32%, 07/16/07^(d)		249,364		249,364
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(f)		391,858		391,858
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(d)		106,870		106,868
Kestrel Funding LLC
5.33%, 07/11/07^(d)		56,998		56,994
Kommunalkredit Austria AG
5.35%, 01/09/08^(d)		85,496		85,496
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(d)		148,426		148,425
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(d)		156,743		156,738
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(d)		56,428		56,428

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Marshall & Ilsley Bank
5.35%, 01/15/08	$	78,372	$	78,372
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(d)		257,876		257,876
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(f)		156,743		156,743
Metropolitan Life Global Funding I
5.36%, 02/08/07^(d)		213,741		213,741
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(d)(f)		14,249		14,249
Mound Financing PLC
5.32%, 05/08/07^(d)		133,944		133,944
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(d)		512,978		512,974
National City Bank of Indiana
5.35%, 05/21/07		71,247		71,249
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(d)		470,230		470,301
Newcastle Ltd.
5.37%, 04/24/07^(d)		50,229		50,225
Northern Rock PLC
5.39%, 08/03/07^(d)		170,993		170,995
Northlake CDO I
5.42%, 09/06/07^(d)		42,748		42,748
Pricoa Global Funding I
5.34%, 11/27/07		192,367		192,367
Principal Life Global Funding I
5.80%, 02/08/07		64,122		64,153
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(d)		206,616		206,614
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(d)		142,494		142,494
Strips III LLC
5.40%, 07/24/07^(d)		30,845		30,845
SunTrust Bank
5.32%, 05/01/07		142,494		142,497
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(d)		347,685		347,668
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(d)		235,115		235,115
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(d)		174,107		174,107
Wachovia Bank N.A.
5.36%, 05/22/07		284,988		284,988
Wal-Mart Stores Inc.
5.50%, 07/16/07^(d)		106,870		106,909
Wells Fargo & Co.
5.36%, 11/15/07^(d)		71,247		71,250
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(d)		106,870		106,870
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(d)		427,482		427,427
Wind Master Trust
5.34%, 07/25/07^(d)		56,998		56,998

				10,380,283

TOTAL SHORT-TERM INVESTMENTS (Cost: $20,709,880)				20,709,880

TOTAL INVESTMENTS – 107.10%				278,765,925

Other Assets, Less Liabilities – (7.10)%				(18,487,241	)

NET ASSETS – 100.00%			$	260,278,684

^(a)	Affiliated issuer. See Note 2.

^(b)	All or a portion of this security represents a security on loan. See Note 4.

^(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(d)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

^(f)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	Shares or Principal		*Value*
MASTER PORTFOLIOS – 69.08%
Active Stock Master Portfolio^(a)			$	196,493,712
CoreAlpha Bond Master Portfolio^(a)				347,134,749

TOTAL MASTER PORTFOLIOS				543,628,461

EXCHANGE-TRADED FUNDS – 29.57%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)		243,321		24,434,294
iShares Lehman TIPS Bond Fund^(a)(b)		693,355		68,503,474
iShares MSCI EAFE Index Fund^(a)(b)		1,233,911		90,346,963
iShares S&P MidCap 400 Index Fund^(a)		407,849		32,709,490
iShares S&P SmallCap 600 Index Fund^(a)(b)		252,935		16,691,181

TOTAL EXCHANGE-TRADED FUNDS (Cost: $195,676,434)				232,685,402

SHORT-TERM INVESTMENTS – 14.37%
CERTIFICATES OF DEPOSIT^(c)– 0.33%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07	$	565,517		565,517
Washington Mutual Bank
5.33%, 03/19/07		2,019,703		2,019,703

				2,585,220

COMMERCIAL PAPER^(c)– 2.92%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(d)		849,172		837,023
Aspen Funding Corp.
5.26%, 02/21/07^(d)		525,123		521,287
Beta Finance Inc.
5.27%, 01/25/07^(d)		161,576		161,033
BNP Paribas Finance Inc.
5.12%, 06/06/07		282,758		276,531
CAFCO LLC
5.26%, 01/30/07^(d)		403,941		402,288
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(d)		969,458		962,434
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(d)		953,300		941,601
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(d)		80,788		80,682
Curzon Funding LLC
5.24%, 02/27/07^(d)		443,123		439,511
Edison Asset Securitization LLC
5.21%, 04/11/07^(d)		334,810		330,013
Eureka Securitization
5.26%, 02/09/07^(d)		1,009,852		1,004,245

*Security*	*Principal*		*Value*
Five Finance Inc.
5.22%, 04/20/07^(d)	$	371,625	$	365,806
General Electric Capital Corp.
5.12%, 06/04/07^(d)		605,911		592,739
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(d)		1,324,925		1,312,121
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(d)		1,575,369		1,542,714
Harrier Finance Funding LLC
5.12%, 06/06/07^(d)		807,881		790,089
KKR Atlantic Funding Trust
5.32%, 01/03/07^(d)		605,911		605,821
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(d)		2,658,705		2,642,761
Lockhart Funding LLC
5.28%, 02/09/07^(d)		807,881		803,379
Nationwide Building Society
5.21%, 04/13/07^(d)		767,487		756,269
Nestle Capital Corp.
5.19%, 08/09/07^(d)		484,729		469,425
Norddeutsche Landesbank
5.27%, 02/15/07		767,487		762,549
Polonius Inc.
5.26%, 02/20/07^(d)		228,469		226,833
Regency Markets No. 1 LLC
5.32%, 01/22/07^(d)		268,483		267,690
Sedna Finance Inc.
5.22%, 04/17/07^(d)		460,492		453,481
Societe Generale
5.18%, 05/16/07		2,019,703		1,980,761
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(d)		2,049,983		2,030,239
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(d)		995,310		988,437
Three Pillars Funding Corp.
5.26%, 02/14/07^(d)		472,118		469,152

				23,016,914

MEDIUM-TERM NOTES^(c)– 0.30%
Bank of America N.A.
5.28%, 04/20/07		201,970		201,970
Cullinan Finance Corp.
5.71%, 06/28/07^(d)		605,911		605,911
K2 USA LLC
5.39%, 06/04/07^(d)		605,911		605,911
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(d)		945,221		945,221

				2,359,013

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	Shares or Principal		*Value*
MONEY MARKET FUNDS – 0.55%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%^(a)(e)		4,299,324	$	4,299,324

				4,299,324

REPURCHASE AGREEMENTS^(c)– 2.79%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $1,616,725 (collateralized by non-U.S. Government debt securities, value $1,666,137, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	1,615,763		1,615,763
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $1,212,545 (collateralized by U.S. Government obligations, value $1,236,802, 0.00% to 11.00%, 1/1/08 to 1/1/37).		1,211,822		1,211,822
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $2,829,272 (collateralized by non-U.S. Government debt securities, value $3,112,201, 1.00% to 8.84%, 8/3/14 to 12/25/46).		2,827,585		2,827,585
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $80,836 (collateralized by non-U.S. Government debt securities, value $84,924, 5.46%, 3/15/08).		80,788		80,788
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $2,829,269 (collateralized by non-U.S. Government debt securities, value $2,972,356, 3.78% to 7.41%, 11/25/19 to 10/25/45).		2,827,585		2,827,585
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $889,205 (collateralized by non-U.S. Government debt securities, value $991,254, 0.00% to 10.00%, 6/1/28 to 11/16/36).		888,670		888,670
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $485,023 (collateralized by non-U.S. Government debt securities, value $540,687, 0.00% to 10.00%, 6/1/28 to 11/16/36).		484,729		484,729
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $1,616,723 (collateralized by non-U.S. Government debt securities, value $1,681,235, 0.00% to 10.00%, 1/23/07 to 5/15/44).		1,615,763		1,615,763

*Security*	*Principal*		*Value*
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $299,960 (collateralized by non-U.S. Government debt securities, value $311,832, 0.00% to 10.00%, 1/23/07 to 5/15/44).	$	299,781	$	299,781
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $485,023 (collateralized by non-U.S. Government debt securities, value $504,377, 0.00% to 10.00%, 1/23/07 to 5/15/44).		484,729		484,729
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $404,186 (collateralized by non-U.S. Government debt securities, value $446,998, 5.58%, 1/8/36).		403,941		403,941
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $404,182 (collateralized by non-U.S. Government debt securities, value $424,663, 3.16% to 5.32%, 5/15/34 to 6/1/46).		403,941		403,941
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $202,091 (collateralized by non-U.S. Government debt securities, value $212,331, 5.75% to 8.75%, 10/1/08 to 9/15/25).		201,970		201,970
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $1,616,725 (collateralized by non-U.S. Government debt securities, value $1,666,158, 3.34% to 8.75%, 6/15/07 to 12/1/66).		1,615,763		1,615,763
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $606,277 (collateralized by non-U.S. Government debt securities, value $624,469, 5.50% to 8.88%, 4/15/11 to 12/1/66).		605,911		605,911
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $1,616,725 (collateralized by non-U.S. Government debt securities, value $1,669,394, 0.00% to 10.13%, 6/15/07 to 9/1/26).		1,615,763		1,615,763
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $808,369 (collateralized by non-U.S. Government debt securities, value $832,623, 4.37% to 7.75%, 3/3/08 to 12/1/25).		807,881		807,881

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
Morgan Stanley, 5.36%, due 1/2/07, maturity value $808,362 (collateralized by non-U.S. Government debt securities, value $841,586, 0.00% to 10.00%, 1/1/07 to 12/31/37).	$	807,881	$	807,881
Morgan Stanley, 5.51%, due 6/4/07, maturity value $578,933 (collateralized by non-U.S. Government debt securities, value $594,029, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(f)		565,517		565,517
Wachovia Capital, 5.38%, due 1/2/07, maturity value $2,586,765 (collateralized by non-U.S. Government debt securities, value $2,717,583, 3.86% to 8.17%, 8/15/13 to 10/17/44).		2,585,220		2,585,220

				21,951,003

TIME DEPOSITS^(c)– 0.00%
Bank of America N.A.
5.13%, 01/02/07		38,665		38,665

				38,665

VARIABLE & FLOATING RATE NOTES^(c)– 7.48%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(d)		2,068,176		2,068,396
American Express Bank
5.32%, 02/28/07		807,881		807,881
American Express Centurion Bank
5.44%, 07/19/07		888,670		889,232
American Express Credit Corp.
5.45%, 07/05/07		242,364		242,446
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		101,081		101,081
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(d)		605,911		605,911
ASIF Global Financing
5.41%, 05/03/07^(d)		80,788		80,803
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(d)		525,123		525,123
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(d)		1,171,428		1,171,459
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(d)		2,060,098		2,060,157
BMW US Capital LLC
5.35%, 01/15/08^(d)		807,881		807,881
BNP Paribas
5.35%, 11/19/07^(d)		1,494,581		1,494,581
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(d)		589,753		589,754
CC USA Inc.
5.37%, 07/30/07^(d)		403,941		403,973
Commodore CDO Ltd.
5.44%, 12/12/07^(d)		201,970		201,970
Credit Agricole SA
5.34%, 11/23/07		807,881		807,881
Credit Suisse First Boston NY
5.38%, 04/24/07		403,941		403,947
Cullinan Finance Corp.
5.36%, 04/25/07^(d)		201,970		201,970
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(d)		116,708		116,708
DEPFA Bank PLC
5.40%, 09/14/07		807,881		807,881
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(d)		929,064		929,094
Eli Lilly Services Inc.
5.34%, 12/31/07^(d)		539,261		539,261
Fifth Third Bancorp
5.33%, 12/21/07^(d)		1,615,763		1,615,763
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(d)		525,123		525,084
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(d)		848,275		848,397
Granite Master Issuer PLC
5.32%, 08/20/07^(d)		2,827,585		2,827,585
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(d)		1,050,246		1,050,256
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		1,211,822		1,211,936
HBOS Treasury Services PLC
5.46%, 10/24/07^(d)		807,881		807,881
Holmes Financing PLC
5.32%, 07/16/07^(d)		1,413,792		1,413,792
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(f)		2,221,674		2,221,674
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(d)		605,911		605,895
Kestrel Funding LLC
5.33%, 07/11/07^(d)		323,153		323,135
Kommunalkredit Austria AG
5.35%, 01/09/08^(d)		484,729		484,729
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(d)		841,512		841,512

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(d)	$	888,670	$	888,637
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(d)		319,924		319,924
Marshall & Ilsley Bank
5.35%, 01/15/08		444,335		444,335
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(d)		1,462,047		1,462,047
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(f)		888,670		888,670
Metropolitan Life Global Funding I
5.36%, 02/08/07^(d)		1,211,822		1,211,822
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(d)(f)		80,788		80,788
Mound Financing PLC
5.32%, 05/08/07^(d)		759,408		759,408
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(d)		2,908,373		2,908,351
National City Bank of Indiana
5.35%, 05/21/07		403,941		403,954
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(d)		2,666,009		2,666,409
Newcastle Ltd.
5.37%, 04/24/07^(d)		284,778		284,752
Northern Rock PLC
5.39%, 08/03/07^(d)		969,458		969,472
Northlake CDO I
5.42%, 09/06/07^(d)		242,364		242,364
Pricoa Global Funding I
5.34%, 11/27/07		1,090,640		1,090,640
Principal Life Global Funding I
5.80%, 02/08/07		363,547		363,718
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(d)		1,171,428		1,171,413
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(d)		807,881		807,881
Strips III LLC
5.40%, 07/24/07^(d)		174,876		174,876
SunTrust Bank
5.32%, 05/01/07		807,881		807,897
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(d)		1,971,231		1,971,130
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(d)		1,333,004		1,333,004
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(d)		987,117		987,116
Wachovia Bank N.A.
5.36%, 05/22/07		1,615,763		1,615,763
Wal-Mart Stores Inc.
5.50%, 07/16/07^(d)		605,911		606,129
Wells Fargo & Co.
5.36%, 11/15/07^(d)		403,941		403,960
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(d)		605,911		605,912
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(d)		2,423,644		2,423,337
Wind Master Trust
5.34%, 07/25/07^(d)		323,153		323,153

				58,851,891

TOTAL SHORT-TERM INVESTMENTS (Cost: $113,102,030)				113,102,030

TOTAL INVESTMENTS – 113.02%				889,415,893

Other Assets, Less Liabilities – (13.02)%				(102,435,345	)

NET ASSETS – 100.00%			$	786,980,548

^(a)	Affiliated issuer. See Note 2.

^(b)	All or a portion of this security represents a security on loan. See Note 4.

^(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(d)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

^(f)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	Shares or Principal		*Value*
MASTER PORTFOLIOS – 64.44%
Active Stock Master Portfolio^(a)			$	505,763,471
CoreAlpha Bond Master Portfolio^(a)				390,732,236

TOTAL MASTER PORTFOLIOS				896,495,707

EXCHANGE-TRADED FUNDS – 33.86%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)		574,689		57,710,270
iShares Lehman TIPS Bond Fund^(a)(b)		750,799		74,178,941
iShares MSCI EAFE Index Fund^(a)(b)		3,021,678		221,247,263
iShares S&P MidCap 400 Index Fund^(a)(b)		967,741		77,612,828
iShares S&P SmallCap 600 Index Fund^(a)(b)		611,441		40,348,992

TOTAL EXCHANGE-TRADED FUNDS (Cost: $381,819,142)				471,098,294

SHORT-TERM INVESTMENTS – 20.64%
CERTIFICATES OF DEPOSIT^(c)– 0.48%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07	$	1,445,361		1,445,361
Washington Mutual Bank
5.33%, 03/19/07		5,162,003		5,162,003

				6,607,364

COMMERCIAL PAPER^(c)– 4.23%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(d)		2,170,333		2,139,278
Aspen Funding Corp.
5.26%, 02/21/07^(d)		1,342,121		1,332,316
Beta Finance Inc.
5.27%, 01/25/07^(d)		412,960		411,571
BNP Paribas Finance Inc.
5.12%, 06/06/07		722,680		706,765
CAFCO LLC
5.26%, 01/30/07^(d)		1,032,401		1,028,177
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(d)		2,477,761		2,459,815
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(d)		2,436,465		2,406,564
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(d)		206,480		206,208
Curzon Funding LLC
5.24%, 02/27/07^(d)		1,132,543		1,123,312
Edison Asset Securitization LLC
5.21%, 04/11/07^(d)		855,716		843,455
Eureka Securitization
5.26%, 02/09/07^(d)		2,581,001		2,566,671

*Security*	*Principal*		*Value*
Five Finance Inc.
5.22%, 04/20/07^(d)	$	949,809	$	934,935
General Electric Capital Corp.
5.12%, 06/04/07^(d)		1,548,601		1,514,936
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(d)		3,386,274		3,353,548
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(d)		4,026,362		3,942,903
Harrier Finance Funding LLC
5.12%, 06/06/07^(d)		2,064,801		2,019,328
KKR Atlantic Funding Trust
5.32%, 01/03/07^(d)		1,548,601		1,548,372
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(d)		6,795,178		6,754,426
Lockhart Funding LLC
5.28%, 02/09/07^(d)		2,064,801		2,053,293
Nationwide Building Society
5.21%, 04/13/07^(d)		1,961,561		1,932,889
Nestle Capital Corp.
5.19%, 08/09/07^(d)		1,238,881		1,199,766
Norddeutsche Landesbank
5.27%, 02/15/07		1,961,561		1,948,938
Polonius Inc.
5.26%, 02/20/07^(d)		583,926		579,745
Regency Markets No. 1 LLC
5.32%, 01/22/07^(d)		686,195		684,167
Sedna Finance Inc.
5.22%, 04/17/07^(d)		1,176,937		1,159,018
Societe Generale
5.18%, 05/16/07		5,162,003		5,062,474
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(d)		5,239,392		5,188,932
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(d)		2,543,835		2,526,268
Three Pillars Funding Corp.
5.26%, 02/14/07^(d)		1,206,649		1,199,068

				58,827,138

MEDIUM-TERM NOTES^(c)– 0.43%
Bank of America N.A.
5.28%, 04/20/07		516,200		516,200
Cullinan Finance Corp.
5.71%, 06/28/07^(d)		1,548,601		1,548,601
K2 USA LLC
5.39%, 06/04/07^(d)		1,548,601		1,548,601
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(d)		2,415,817		2,415,817

				6,029,219

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	Shares or Principal		*Value*
MONEY MARKET FUNDS – 0.65%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%^(a)(e)		8,994,702	$	8,994,702

				8,994,702

REPURCHASE AGREEMENTS^(c)– 4.03%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $4,132,061 (collateralized by non-U.S. Government debt securities, value $4,258,351, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	4,129,602		4,129,602
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $3,099,050 (collateralized by U.S. Government obligations, value $3,161,045, 0.00% to 11.00%, 1/1/08 to 1/1/37).		3,097,202		3,097,202
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $7,231,116 (collateralized by non-U.S. Government debt securities, value $7,954,233, 1.00% to 8.84%, 8/3/14 to 12/25/46).		7,226,804		7,226,804
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $206,603 (collateralized by non-U.S. Government debt securities, value $217,052, 5.46%, 3/15/08).		206,480		206,480
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $7,231,108 (collateralized by non-U.S. Government debt securities, value $7,596,815, 3.78% to 7.41%, 11/25/19 to 10/25/45).		7,226,804		7,226,804
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $2,272,649 (collateralized by non-U.S. Government debt securities, value $2,533,470, 0.00% to 10.00%, 6/1/28 to 11/16/36).		2,271,281		2,271,281
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $1,239,633 (collateralized by non-U.S. Government debt securities, value $1,381,899, 0.00% to 10.00%, 6/1/28 to 11/16/36).		1,238,881		1,238,881
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $4,132,057 (collateralized by non-U.S. Government debt securities, value $4,296,937, 0.00% to 10.00%, 1/23/07 to 5/15/44).		4,129,602		4,129,602

*Security*	*Principal*		*Value*
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $766,642 (collateralized by non-U.S. Government debt securities, value $796,986, 0.00% to 10.00%, 1/23/07 to 5/15/44).	$	766,186	$	766,186
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $1,239,633 (collateralized by non-U.S. Government debt securities, value $1,289,097, 0.00% to 10.00%, 1/23/07 to 5/15/44).		1,238,881		1,238,881
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $1,033,027 (collateralized by non-U.S. Government debt securities, value $1,142,447, 5.58%, 1/8/36).		1,032,401		1,032,401
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $1,033,016 (collateralized by non-U.S. Government debt securities, value $1,085,363, 3.16% to 5.32%, 5/15/34 to 6/1/46).		1,032,401		1,032,401
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $516,510 (collateralized by non-U.S. Government debt securities, value $542,681, 5.75% to 8.75%, 10/1/08 to 9/15/25).		516,200		516,200
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $4,132,061 (collateralized by non-U.S. Government debt securities, value $4,258,403, 3.34% to 8.75%, 6/15/07 to 12/1/66).		4,129,602		4,129,602
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $1,549,537 (collateralized by non-U.S. Government debt securities, value $1,596,032, 5.50% to 8.88%, 4/15/11 to 12/1/66).		1,548,601		1,548,601
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $4,132,061 (collateralized by non-U.S. Government debt securities, value $4,266,673, 0.00% to 10.13%, 6/15/07 to 9/1/26).		4,129,602		4,129,602
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $2,066,049 (collateralized by non-U.S. Government debt securities, value $2,128,036, 4.37% to 7.75%, 3/3/08 to 12/1/25).		2,064,801		2,064,801

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
Morgan Stanley, 5.36%, due 1/2/07, maturity value $2,066,031 (collateralized by non-U.S. Government debt securities, value $2,150,944, 0.00% to 10.00%, 1/1/07 to 12/31/37).	$	2,064,801	$	2,064,801
Morgan Stanley, 5.51%, due 6/4/07, maturity value $1,479,650 (collateralized by non-U.S. Government debt securities, value $1,518,232, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(f)		1,445,361		1,445,361
Wachovia Capital, 5.38%, due 1/2/07, maturity value $6,611,314 (collateralized by non-U.S. Government debt securities, value $6,945,659, 3.86% to 8.17%, 8/15/13 to 10/17/44).		6,607,364		6,607,364

				56,102,857

TIME DEPOSITS^(c)– 0.01%
Bank of America N.A.
5.13%, 01/02/07		98,821		98,821

				98,821

VARIABLE & FLOATING RATE NOTES^(c)– 10.81%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(d)		5,285,891		5,286,454
American Express Bank
5.32%, 02/28/07		2,064,801		2,064,799
American Express Centurion Bank
5.44%, 07/19/07		2,271,281		2,272,718
American Express Credit Corp.
5.45%, 07/05/07		619,440		619,649
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		258,344		258,344
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(d)		1,548,601		1,548,601
ASIF Global Financing
5.41%, 05/03/07^(d⁾		206,480		206,517
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(d)		1,342,121		1,342,121
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(d)		2,993,962		2,994,042
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(d)		5,265,243		5,265,396
BMW US Capital LLC
5.35%, 01/15/08^(d)		2,064,801		2,064,801
BNP Paribas
5.35%, 11/19/07^(d)		3,819,882		3,819,882
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(d)		1,507,305		1,507,305
CC USA Inc.
5.37%, 07/30/07^(d)		1,032,401		1,032,483
Commodore CDO Ltd.
5.44%, 12/12/07^(d)		516,200		516,200
Credit Agricole SA
5.34%, 11/23/07		2,064,801		2,064,801
Credit Suisse First Boston NY
5.38%, 04/24/07		1,032,401		1,032,417
Cullinan Finance Corp.
5.36%, 04/25/07^(d)		516,200		516,200
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(d)		298,284		298,284
DEPFA Bank PLC
5.40%, 09/14/07		2,064,801		2,064,801
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(d)		2,374,521		2,374,599
Eli Lilly Services Inc.
5.34%, 12/31/07^(d)		1,378,255		1,378,255
Fifth Third Bancorp
5.33%, 12/21/07^(d)		4,129,602		4,129,602
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(d)		1,342,121		1,342,021
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(d)		2,168,041		2,168,351
Granite Master Issuer PLC
5.32%, 08/20/07^(d)		7,226,804		7,226,804
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(d)		2,684,242		2,684,269
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		3,097,202		3,097,494
HBOS Treasury Services PLC
5.46%, 10/24/07^(d)		2,064,801		2,064,801
Holmes Financing PLC
5.32%, 07/16/07^(d)		3,613,402		3,613,402
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(f)		5,678,203		5,678,203
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(d)		1,548,601		1,548,560
Kestrel Funding LLC
5.33%, 07/11/07^(d)		825,920		825,875
Kommunalkredit Austria AG
5.35%, 01/09/08^(d)		1,238,881		1,238,881

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(d)	$	2,150,756	$	2,150,755
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(d)		2,271,281		2,271,199
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(d)		817,670		817,670
Marshall & Ilsley Bank
5.35%, 01/15/08		1,135,641		1,135,641
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(d)		3,736,733		3,736,733
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(f)		2,271,281		2,271,281
Metropolitan Life Global Funding I
5.36%, 02/08/07^(d)		3,097,202		3,097,202
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(d)(f)		206,480		206,480
Mound Financing PLC
5.32%, 05/08/07^(d)		1,940,913		1,940,913
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(d)		7,433,284		7,433,227
National City Bank of Indiana
5.35%, 05/21/07		1,032,401		1,032,434
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(d)		6,813,844		6,814,867
Newcastle Ltd.
5.37%, 04/24/07^(d)		727,842		727,776
Northern Rock PLC
5.39%, 08/03/07^(d)		2,477,761		2,477,799
Northlake CDO I
5.42%, 09/06/07^(d)		619,440		619,440
Pricoa Global Funding I
5.34%, 11/27/07		2,787,482		2,787,482
Principal Life Global Funding I
5.80%, 02/08/07		929,161		929,599
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(d)		2,993,962		2,993,925
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(d)		2,064,801		2,064,801
Strips III LLC
5.40%, 07/24/07^(d)		446,953		446,953
SunTrust Bank
5.32%, 05/01/07		2,064,801		2,064,841
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(d)		5,038,115		5,037,859
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(d)		3,406,922		3,406,921
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(d)		2,522,895		2,522,895
Wachovia Bank N.A.
5.36%, 05/22/07		4,129,602		4,129,602
Wal-Mart Stores Inc.
5.50%, 07/16/07^(d)		1,548,601		1,549,159
Wells Fargo & Co.
5.36%, 11/15/07^(d)		1,032,401		1,032,451
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(d)		1,548,601		1,548,602
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(d)		6,194,404		6,193,618
Wind Master Trust
5.34%, 07/25/07^(d)		825,920		825,920

				150,414,977

TOTAL SHORT-TERM INVESTMENTS (Cost: $287,075,078)				287,075,078

TOTAL INVESTMENTS – 118.94%				1,654,669,079

Other Assets, Less Liabilities – (18.94)%				(263,515,784	)

NET ASSETS – 100.00%			$	1,391,153,295

^(a)	Affiliated issuer. See Note 2.

^(b)	All or a portion of this security represents a security on loan. See Note 4.

^(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(d)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

^(f)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	Shares or Principal		*Value*
MASTER PORTFOLIOS – 60.96%
Active Stock Master Portfolio^(a)			$	442,221,978
CoreAlpha Bond Master Portfolio^(a)				160,445,879

TOTAL MASTER PORTFOLIOS				602,667,857

EXCHANGE-TRADED FUNDS – 36.94%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)		484,906		48,694,260
iShares Lehman TIPS Bond Fund^(a)(b)		278,009		27,467,289
iShares MSCI EAFE Index Fund^(a)(b)		2,595,790		190,063,744
iShares S&P MidCap 400 Index Fund^(a)(b)		811,278		65,064,496
iShares S&P SmallCap 600 Index Fund^(a)(b)		513,403		33,879,464

TOTAL EXCHANGE-TRADED FUNDS (Cost: $293,787,764)				365,169,253

SHORT-TERM INVESTMENTS – 20.57%
CERTIFICATES OF DEPOSIT^(c)– 0.47%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07	$	1,018,486		1,018,486
Washington Mutual Bank
5.33%, 03/19/07		3,637,452		3,637,452

				4,655,938

COMMERCIAL PAPER^(c)– 4.19%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(d)		1,529,345		1,507,465
Aspen Funding Corp.
5.26%, 02/21/07^(d)		945,737		938,828
Beta Finance Inc.
5.27%, 01/25/07^(d)		290,996		290,017
BNP Paribas Finance Inc.
5.12%, 06/06/07		509,243		498,028
CAFCO LLC
5.26%, 01/30/07^(d)		727,490		724,514
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(d)		1,745,977		1,733,326
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(d)		1,716,877		1,695,808
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(d)		145,498		145,306
Curzon Funding LLC
5.24%, 02/27/07^(d)		798,057		791,552
Edison Asset Securitization LLC
5.21%, 04/11/07^(d)		602,988		594,348
Eureka Securitization
5.26%, 02/09/07^(d)		1,818,726		1,808,628
Five Finance Inc.
5.22%, 04/20/07^(d)		669,291		658,810
General Electric Capital Corp.
5.12%, 06/04/07^(d)		1,091,236		1,067,513
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(d)		2,386,168		2,363,108
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(d)		2,837,212		2,778,402
Harrier Finance Funding LLC
5.12%, 06/06/07^(d)		1,454,981		1,422,938
KKR Atlantic Funding Trust
5.32%, 01/03/07^(d)		1,091,236		1,091,074
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(d)		4,788,283		4,759,568
Lockhart Funding LLC
5.28%, 02/09/07^(d)		1,454,981		1,446,872
Nationwide Building Society
5.21%, 04/13/07^(d)		1,382,232		1,362,028
Nestle Capital Corp.
5.19%, 08/09/07^(d)		872,988		845,426
Norddeutsche Landesbank
5.27%, 02/15/07		1,382,232		1,373,337
Polonius Inc.
5.26%, 02/20/07^(d)		411,469		408,523
Regency Markets No. 1 LLC
5.32%, 01/22/07^(d)		483,534		482,105
Sedna Finance Inc.
5.22%, 04/17/07^(d)		829,339		816,712
Societe Generale
5.18%, 05/16/07		3,637,452		3,567,318
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(d)		3,691,984		3,656,427
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(d)		1,792,536		1,780,158
Three Pillars Funding Corp.
5.26%, 02/14/07^(d)		850,276		844,934

				41,453,073

MEDIUM-TERM NOTES^(c)– 0.43%
Bank of America N.A.
5.28%, 04/20/07		363,745		363,745
Cullinan Finance Corp.
5.71%, 06/28/07^(d)		1,091,236		1,091,236
K2 USA LLC
5.39%, 06/04/07^(d)		1,091,236		1,091,236
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(d)		1,702,327		1,702,327

				4,248,544

MONEY MARKET FUNDS – 0.75%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%^(a)(e)		7,455,939		7,455,939

				7,455,939

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS^(c)– 4.00%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $2,911,694 (collateralized by non-U.S. Government debt securities, value $3,000,685, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	2,909,961	$	2,909,961
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $2,183,773 (collateralized by U.S. Government obligations, value $2,227,459, 0.00% to 11.00%, 1/1/08 to 1/1/37).		2,182,471		2,182,471
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $5,095,470 (collateralized by non-U.S. Government debt securities, value $5,605,021, 1.00% to 8.84%, 8/3/14 to 12/25/46).		5,092,432		5,092,432
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $145,585 (collateralized by non-U.S. Government debt securities, value $152,948, 5.46%, 3/15/08).		145,498		145,498
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $5,095,465 (collateralized by non-U.S. Government debt securities, value $5,353,164, 3.78% to 7.41%, 11/25/19 to 10/25/45).		5,092,432		5,092,432
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $1,601,443 (collateralized by non-U.S. Government debt securities, value $1,785,232, 0.00% to 10.00%, 6/1/28 to 11/16/36).		1,600,479		1,600,479
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $873,518 (collateralized by non-U.S. Government debt securities, value $973,768, 0.00% to 10.00%, 6/1/28 to 11/16/36).		872,988		872,988
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $2,911,691 (collateralized by non-U.S. Government debt securities, value $3,027,875, 0.00% to 10.00%, 1/23/07 to 5/15/44).		2,909,961		2,909,961
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $540,222 (collateralized by non-U.S. Government debt securities, value $561,603, 0.00% to 10.00%, 1/23/07 to 5/15/44).		539,900		539,900
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $873,518 (collateralized by non-U.S. Government debt securities, value $908,374, 0.00% to 10.00%, 1/23/07 to 5/15/44).		872,988		872,988
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $727,931 (collateralized by non-U.S. Government debt securities, value $805,036, 5.58%, 1/8/36).		727,490		727,490
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $727,923 (collateralized by non-U.S. Government debt securities, value $764,811, 3.16% to 5.32%, 5/15/34 to 6/1/46).		727,490		727,490
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $363,964 (collateralized by non-U.S. Government debt securities, value $382,405, 5.75% to 8.75%, 10/1/08 to 9/15/25).		363,745		363,745
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $2,911,694 (collateralized by non-U.S. Government debt securities, value $3,000,722, 3.34% to 8.75%, 6/15/07 to 12/1/66).		2,909,961		2,909,961
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $1,091,896 (collateralized by non-U.S. Government debt securities, value $1,124,658, 5.50% to 8.88%, 4/15/11 to 12/1/66).		1,091,236		1,091,236
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $2,911,694 (collateralized by non-U.S. Government debt securities, value $3,006,550, 0.00% to 10.13%, 6/15/07 to 9/1/26).		2,909,961		2,909,961
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $1,455,860 (collateralized by non-U.S. Government debt securities, value $1,499,540, 4.37% to 7.75%, 3/3/08 to 12/1/25).		1,454,981		1,454,981
Morgan Stanley, 5.36%, due 1/2/07, maturity value $1,455,848 (collateralized by non-U.S. Government debt securities, value $1,515,682, 0.00% to 10.00%, 1/1/07 to 12/31/37).		1,454,981		1,454,981

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
Morgan Stanley, 5.51%, due 6/4/07, maturity value $1,042,648 (collateralized by non-U.S. Government debt securities, value $1,069,836, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(f)	$	1,018,486	$	1,018,486
Wachovia Capital, 5.38%, due 1/2/07, maturity value $4,658,721 (collateralized by non-U.S. Government debt securities, value $4,894,321, 3.86% to 8.17%, 8/15/13 to 10/17/44).		4,655,938		4,655,938

				39,533,379

TIME DEPOSITS^(c)– 0.01%
Bank of America N.A.
5.13%, 01/02/07		69,635		69,635

				69,635

VARIABLE & FLOATING RATE NOTES^(c)– 10.72%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(d)		3,724,750		3,725,147
American Express Bank
5.32%, 02/28/07		1,454,981		1,454,979
American Express Centurion Bank
5.44%, 07/19/07		1,600,479		1,601,491
American Express Credit Corp.
5.45%, 07/05/07		436,494		436,641
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		182,044		182,044
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(d)		1,091,236		1,091,236
ASIF Global Financing
5.41%, 05/03/07^(d)		145,498		145,524
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(d)		945,737		945,737
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(d)		2,109,722		2,109,778
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(d)		3,710,201		3,710,308
BMW US Capital LLC
5.35%, 01/15/08^(d)		1,454,981		1,454,981
BNP Paribas
5.35%, 11/19/07^(d)		2,691,714		2,691,714
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(d)		1,062,136		1,062,135
CC USA Inc.
5.37%, 07/30/07^(d)		727,490		727,548
Commodore CDO Ltd.
5.44%, 12/12/07^(d)		363,745		363,745
Credit Agricole SA
5.34%, 11/23/07		1,454,981		1,454,981
Credit Suisse First Boston NY
5.38%, 04/24/07		727,490		727,502
Cullinan Finance Corp.
5.36%, 04/25/07^(d)		363,745		363,745
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(d)		210,188		210,188
DEPFA Bank PLC
5.40%, 09/14/07		1,454,981		1,454,981
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(d)		1,673,228		1,673,282
Eli Lilly Services Inc.
5.34%, 12/31/07^(d)		971,200		971,200
Fifth Third Bancorp
5.33%, 12/21/07^(d)		2,909,961		2,909,961
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(d)		945,737		945,668
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(d)		1,527,730		1,527,947
Granite Master Issuer PLC
5.32%, 08/20/07^(d)		5,092,432		5,092,432
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(d)		1,891,475		1,891,494
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		2,182,471		2,182,677
HBOS Treasury Services PLC
5.46%, 10/24/07^(d)		1,454,981		1,454,981
Holmes Financing PLC
5.32%, 07/16/07^(d)		2,546,216		2,546,216
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(f)		4,001,197		4,001,197
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(d)		1,091,235		1,091,207
Kestrel Funding LLC
5.33%, 07/11/07^(d)		581,992		581,960
Kommunalkredit Austria AG
5.35%, 01/09/08^(d)		872,988		872,988
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(d)		1,515,549		1,515,549
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(d)		1,600,479		1,600,421
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(d)		576,178		576,178

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Marshall & Ilsley Bank
5.35%, 01/15/08	$	800,239	$	800,239
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(d)		2,633,122		2,633,123
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(f)		1,600,479		1,600,479
Metropolitan Life Global Funding I
5.36%, 02/08/07^(d)		2,182,471		2,182,471
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(d)(f)		145,498		145,498
Mound Financing PLC
5.32%, 05/08/07^(d)		1,367,682		1,367,682
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(d)		5,237,930		5,237,890
National City Bank of Indiana
5.35%, 05/21/07		727,490		727,514
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(d)		4,801,436		4,802,158
Newcastle Ltd.
5.37%, 04/24/07^(d)		512,881		512,834
Northern Rock PLC
5.39%, 08/03/07^(d)		1,745,977		1,746,003
Northlake CDO I
5.42%, 09/06/07^(d)		436,494		436,494
Pricoa Global Funding I
5.34%, 11/27/07		1,964,224		1,964,224
Principal Life Global Funding I
5.80%, 02/08/07		654,741		655,050
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(d)		2,109,722		2,109,697
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(d)		1,454,981		1,454,981
Strips III LLC
5.40%, 07/24/07^(d)		314,949		314,949
SunTrust Bank
5.32%, 05/01/07		1,454,981		1,455,009
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(d)		3,550,153		3,549,971
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(d)		2,400,718		2,400,718
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(d)		1,777,780		1,777,780
Wachovia Bank N.A.
5.36%, 05/22/07		2,909,961		2,909,961
Wal-Mart Stores Inc.
5.50%, 07/16/07^(d)		1,091,236		1,091,629
Wells Fargo & Co.
5.36%, 11/15/07^(d)		727,490		727,526
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(d)		1,091,235		1,091,236
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(d)		4,364,942		4,364,389
Wind Master Trust
5.34%, 07/25/07^(d)		581,992		581,992

				105,991,260

TOTAL SHORT-TERM INVESTMENTS (Cost: $203,407,768)				203,407,768

TOTAL INVESTMENTS – 118.47%				1,171,244,878

Other Assets, Less Liabilities – (18.47)%				(182,604,629	)

NET ASSETS – 100.00%			$	988,640,249

^(a)	Affiliated issuer. See Note 2.

^(b)	All or a portion of this security represents a security on loan. See Note 4.

^(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(d)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

^(f)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	Shares or Principal		*Value*
MASTER PORTFOLIOS – 58.78%
Active Stock Master Portfolio^(a)			$	365,884,829
CoreAlpha Bond Master Portfolio^(a)				50,420,363

TOTAL MASTER PORTFOLIOS				416,305,192

EXCHANGE-TRADED FUNDS – 38.95%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)		392,561		39,420,976
iShares MSCI EAFE Index Fund^(a)(b)		2,126,936		155,734,254
iShares S&P MidCap 400 Index Fund^(a)(b)		656,631		52,661,806
iShares S&P SmallCap 600 Index Fund^(a)(b)		425,380		28,070,826

TOTAL EXCHANGE-TRADED FUNDS (Cost: $223,583,086)				275,887,862

SHORT-TERM INVESTMENTS – 21.31%
CERTIFICATES OF DEPOSIT^(c)– 0.49%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07	$	751,798		751,798
Washington Mutual Bank
5.33%, 03/19/07		2,684,994		2,684,994

				3,436,792

COMMERCIAL PAPER^(c)– 4.32%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(d)		1,128,890		1,112,731
Aspen Funding Corp.
5.26%, 02/21/07^(d)		698,099		692,999
Beta Finance Inc.
5.27%, 01/25/07^(d)		214,800		214,077
BNP Paribas Finance Inc.
5.12%, 06/06/07		375,899		367,621
CAFCO LLC
5.26%, 01/30/07^(d)		536,999		534,802
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(d)		1,288,797		1,279,459
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(d)		1,267,317		1,251,764
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(d)		107,400		107,258
Curzon Funding LLC
5.24%, 02/27/07^(d)		589,088		584,286
Edison Asset Securitization LLC
5.21%, 04/11/07^(d)		445,097		438,720
Eureka Securitization
5.26%, 02/09/07^(d)		1,342,497		1,335,043
Five Finance Inc.
5.22%, 04/20/07^(d)		494,039		486,302
General Electric Capital Corp.
5.12%, 06/04/07^(d)		805,498		787,988
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(d)		1,761,356		1,744,335
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(d)		2,094,296		2,050,884
Harrier Finance Funding LLC
5.12%, 06/06/07^(d)		1,073,998		1,050,345
KKR Atlantic Funding Trust
5.32%, 01/03/07^(d)		805,498		805,379
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(d)		3,534,484		3,513,287
Lockhart Funding LLC
5.28%, 02/09/07^(d)		1,073,998		1,068,012
Nationwide Building Society
5.21%, 04/13/07^(d)		1,020,298		1,005,384
Nestle Capital Corp.
5.19%, 08/09/07^(d)		644,399		624,053
Norddeutsche Landesbank
5.27%, 02/15/07		1,020,298		1,013,732
Polonius Inc.
5.26%, 02/20/07^(d)		303,727		301,552
Regency Markets No. 1 LLC
5.32%, 01/22/07^(d)		356,922		355,867
Sedna Finance Inc.
5.22%, 04/17/07^(d)		612,179		602,858
Societe Generale
5.18%, 05/16/07		2,684,994		2,633,225
Thames Asset Global Securitization
No. 1 Inc. 5.25%, 03/07/07 - 03/12/07^(d)		2,725,248		2,699,001
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(d)		1,323,165		1,314,027
Three Pillars Funding Corp.
5.26%, 02/14/07^(d)		627,634		623,690

				30,598,681

MEDIUM-TERM NOTES^(c)– 0.44%
Bank of America N.A.
5.28%, 04/20/07		268,499		268,499
Cullinan Finance Corp.
5.71%, 06/28/07^(d)		805,498		805,498
K2 USA LLC
5.39%, 06/04/07^(d)		805,498		805,498
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(d)		1,256,577		1,256,577

				3,136,072

MONEY MARKET FUNDS – 0.88%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%^(a)(e)		6,251,215		6,251,215

				6,251,215

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS^(c)– 4.12%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $2,149,275 (collateralized by non-U.S. Government debt securities, value $2,214,963, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	2,147,996	$	2,147,996
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $1,611,958 (collateralized by U.S. Government obligations, value $1,644,205, 0.00% to 11.00%, 1/1/08 to 1/1/37).		1,610,997		1,610,997
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $3,761,235 (collateralized by non-U.S. Government debt securities, value $4,137,361, 1.00% to 8.84%, 8/3/14 to 12/25/46).		3,758,992		3,758,992
BNP Securities Corp., 5. 36%, due 1/2/07, maturity value $107,464 (collateralized by non-U.S. Government debt securities, value $112,899, 5.46%, 3/15/08).		107,400		107,400
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $3,761,231 (collateralized by non-U.S. Government debt securities, value $3,951,452, 3.78% to 7.41%, 11/25/19 to 10/25/45).		3,758,992		3,758,992
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $1,182,109 (collateralized by non-U.S. Government debt securities, value $1,317,774, 0.00% to 10.00%, 6/1/28 to 11/16/36).		1,181,398		1,181,398
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $644,790 (collateralized by non-U.S. Government debt securities, value $718,789, 0.00% to 10.00%, 6/1/28 to 11/16/36).		644,399		644,399
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $2,149,273 (collateralized by non-U.S. Government debt securities, value $2,235,034, 0.00% to 10.00%, 1/23/07 to 5/15/44).		2,147,996		2,147,996
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $398,765 (collateralized by non-U.S. Government debt securities, value $414,549, 0.00% to 10.00%, 1/23/07 to 5/15/44).		398,528		398,528
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $644,790 (collateralized by non-U.S. Government debt securities, value $670,519, 0.00% to 10.00%, 1/23/07 to 5/15/44).		644,399		644,399
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $537,325 (collateralized by non-U.S. Government debt securities, value $594,239, 5.58%, 1/8/36).		536,999		536,999
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $537,319 (collateralized by non-U.S. Government debt securities, value $564,547, 3.16% to 5.32%, 5/15/34 to 6/1/46).		536,999		536,999
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $268,660 (collateralized by non-U.S. Government debt securities, value $282,273, 5.75% to 8.75%, 10/1/08 to 9/15/25).		268,499		268,499
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $2,149,275 (collateralized by non-U.S. Government debt securities, value $2,214,990, 3.34% to 8.75%, 6/15/07 to 12/1/66).		2,147,996		2,147,996
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $805,985 (collateralized by non-U.S. Government debt securities, value $830,169, 5.50% to 8.88%, 4/15/11 to 12/1/66).		805,498		805,498
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $2,149,275 (collateralized by non-U.S. Government debt securities, value $2,219,292, 0.00% to 10.13%, 6/15/07 to 9/1/26).		2,147,996		2,147,996
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $1,074,647 (collateralized by non-U.S. Government debt securities, value $1,106,889, 4.37% to 7.75%, 3/3/08 to 12/1/25).		1,073,998		1,073,998
Morgan Stanley, 5.36%, due 1/2/07, maturity value $1,074,638 (collateralized by non-U.S. Government debt securities, value $1,118,805, 0.00% to 10.00%, 1/1/07 to 12/31/37).		1,073,998		1,073,998

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
Morgan Stanley, 5.51%, due 6/4/07, maturity value $769,633 (collateralized by non-U.S. Government debt securities, value $789,702, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(f)	$	751,798	$	751,798
Wachovia Capital, 5.38%, due 1/2/07, maturity value $3,438,847 (collateralized by non-U.S. Government debt securities, value $3,612,756, 3.86% to 8.17%, 8/15/13 to 10/17/44).		3,436,793		3,436,793

				29,181,671

TIME DEPOSITS^(c)– 0.01%
Bank of America N.A.
5.13%, 01/02/07		51,402		51,402

				51,402

VARIABLE & FLOATING RATE NOTES^(c) – 11.05%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(d)		2,749,434		2,749,726
American Express Bank
5.32%, 02/28/07		1,073,998		1,073,997
American Express Centurion Bank
5.44%, 07/19/07		1,181,398		1,182,145
American Express Credit Corp.
5.45%, 07/05/07		322,199		322,308
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		134,377		134,377
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(d)		805,498		805,498
ASIF Global Financing
5.41%, 05/03/07^(d)		107,400		107,419
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(d)		698,099		698,099
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(d)		1,557,297		1,557,338
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(d)		2,738,694		2,738,773
BMW US Capital LLC
5.35%, 01/15/08^(d)		1,073,998		1,073,998
BNP Paribas
5.35%, 11/19/07^(d)		1,986,896		1,986,896
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(d)		784,018		784,019
CC USA Inc.
5.37%, 07/30/07^(d)		536,999		537,042
Commodore CDO Ltd.
5.44%, 12/12/07^(d)		268,499		268,499
Credit Agricole SA
5.34%, 11/23/07		1,073,998		1,073,998
Credit Suisse First Boston NY
5.38%, 04/24/07		536,999		537,008
Cullinan Finance Corp.
5.36%, 04/25/07^(d)		268,499		268,499
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(d)		155,151		155,151
DEPFA Bank PLC
5.40%, 09/14/07		1,073,998		1,073,998
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(d)		1,235,097		1,235,138
Eli Lilly Services Inc.
5.34%, 12/31/07^(d)		716,894		716,894
Fifth Third Bancorp
5.33%, 12/21/07^(d)		2,147,996		2,147,996
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(d)		698,099		698,046
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(d)		1,127,698		1,127,859
Granite Master Issuer PLC
5.32%, 08/20/07^(d)		3,758,992		3,758,992
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(d)		1,396,197		1,396,212
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		1,610,997		1,611,149
HBOS Treasury Services PLC
5.46%, 10/24/07^(d)		1,073,998		1,073,998
Holmes Financing PLC
5.32%, 07/16/07^(d)		1,879,496		1,879,496
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(f)		2,953,494		2,953,494
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(d)		805,498		805,477
Kestrel Funding LLC
5.33%, 07/11/07^(d)		429,599		429,575
Kommunalkredit Austria AG
5.35%, 01/09/08^(d)		644,399		644,399
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(d)		1,118,707		1,118,707
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(d)		1,181,398		1,181,355
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(d)		425,308		425,308
Marshall & Ilsley Bank
5.35%, 01/15/08		590,699		590,699

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(d)	$	1,943,646	$	1,943,646
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(f)		1,181,398		1,181,398
Metropolitan Life Global Funding I
5.36%, 02/08/07^(d)		1,610,997		1,610,997
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(d)(f)		107,400		107,400
Mound Financing PLC
5.32%, 05/08/07^(d)		1,009,558		1,009,558
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(d)		3,866,392		3,866,363
National City Bank of Indiana
5.35%, 05/21/07		536,999		537,016
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(d)		3,544,193		3,544,726
Newcastle Ltd.
5.37%, 04/24/07^(d)		378,584		378,550
Northern Rock PLC
5.39%, 08/03/07^(d)		1,288,797		1,288,817
Northlake CDO I
5.42%, 09/06/07^(d)		322,199		322,199
Pricoa Global Funding I
5.34%, 11/27/07		1,449,897		1,449,897
Principal Life Global Funding I
5.80%, 02/08/07		483,299		483,527
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(d)		1,557,297		1,557,278
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(d)		1,073,998		1,073,998
Strips III LLC
5.40%, 07/24/07^(d)		232,481		232,481
SunTrust Bank
5.32%, 05/01/07		1,073,998		1,074,019
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(d)		2,620,555		2,620,423
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(d)		1,772,096		1,772,096
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(d)		1,312,273		1,312,273
Wachovia Bank N.A.
5.36%, 05/22/07		2,147,996		2,147,996
Wal-Mart Stores Inc.
5.50%, 07/16/07^(d)		805,498		805,788
Wells Fargo & Co.
5.36%, 11/15/07^(d)		536,999		537,025
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(d)		805,498		805,499
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(d)		3,221,993		3,221,584
Wind Master Trust
5.34%, 07/25/07^(d)		429,599		429,599

				78,237,735

TOTAL SHORT-TERM INVESTMENTS (Cost: $150,893,568)				150,893,568

TOTAL INVESTMENTS – 119.04%				843,086,622

Other Assets, Less Liabilities – (19.04)%				(134,819,364	)

NET ASSETS – 100.00%			$	708,267,258

^(a)	Affiliated issuer. See Note 2.

^(b)	All or a portion of this security represents a security on loan. See Note 4.

^(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(d)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

^(f)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Shares*	*Value*
COMMON STOCKS – 99.01%
AEROSPACE & DEFENSE – 1.95%
Lockheed Martin Corp.	214,902	$	19,786,027
Northrop Grumman Corp.	135,221		9,154,462
Raytheon Co.	27,130		1,432,464

			30,372,953

AGRICULTURE – 1.87%
Altria Group Inc.	84,190		7,225,186
Archer-Daniels-Midland Co.	562,182		17,967,337
Loews Corp. - Carolina Group	9,795		633,932
Reynolds American Inc.^(a)	49,964		3,271,143
UST Inc.^(a)	1,876		109,183

			29,206,781

AIRLINES – 0.06%
AMR Corp.^(b)	7,798		235,734
Continental Airlines Inc. Class B^(b)	17,666		728,722

			964,456

APPAREL – 0.04%
Jones Apparel Group Inc.	20,028		669,536

			669,536

AUTO MANUFACTURERS – 0.03%
PACCAR Inc.^(a)	6,696		434,570

			434,570

BANKS – 5.75%
Bank of America Corp.^(a)	839,275		44,808,892
U.S. Bancorp^(a)	428,329		15,501,227
UnionBanCal Corp.	13,417		821,791
Wachovia Corp.^(a)	503,425		28,670,054

			89,801,964

BEVERAGES – 2.32%
Anheuser-Busch Companies Inc.	251,730		12,385,116
Coca-Cola Enterprises Inc.^(a)	145,810		2,977,440
Hansen Natural Corp.^(b)	178,799		6,021,950
Pepsi Bottling Group Inc.	369,560		11,423,100
PepsiAmericas Inc.	27,228		571,243
PepsiCo Inc.	46,762		2,924,963

			36,303,812

BIOTECHNOLOGY – 1.23%
Amgen Inc.^(b)	281,891		19,255,974

			19,255,974

BUILDING MATERIALS – 0.74%
Eagle Materials Inc.	21,305		921,015
Florida Rock Industries Inc.^(a)	12,602		542,516
Masco Corp.^(a)	337,834		10,091,102

			11,554,633

CHEMICALS – 1.68%
Dow Chemical Co. (The)	501,959		20,048,242
Eastman Chemical Co.^(a)	29,055		1,723,252
Huntsman Corp.^(b)	9,611		182,321
Lyondell Chemical Co.	78,260		2,001,108
Sherwin-Williams Co. (The)^(a)	13,572		862,908
Westlake Chemical Corp.^(a)	43,659		1,370,019

			26,187,850

COMMERCIAL SERVICES – 2.21%
Accenture Ltd.	456,399		16,854,815
Apollo Group Inc. Class A^(a)(b)	5,086		198,201
Avis Budget Group Inc.^(a)	38,512		835,325
Block (H & R) Inc.^(a)	39,951		920,471
Career Education Corp.^(a)(b)	19,666		487,323
Deluxe Corp.	3,440		86,688
Equifax Inc.	3,849		156,269
Manpower Inc.	2,126		159,301
Moody’s Corp.^(a)	74,405		5,138,409
Robert Half International Inc.	262,248		9,734,646

			34,571,448

COMPUTERS – 3.54%
Apple Computer Inc.^(b)	95,656		8,115,455
Computer Sciences Corp.^(a)(b)	137,092		7,316,600
Hewlett-Packard Co.^(a)	718,438		29,592,461
International Business Machines Corp.	84,888		8,246,869
Western Digital Corp.^(b)	100,461		2,055,432

			55,326,817

COSMETICS & PERSONAL CARE – 0.59%
Colgate-Palmolive Co.	728		47,495
Procter & Gamble Co.	143,185		9,202,500

			9,249,995

DISTRIBUTION & WHOLESALE – 0.78%
CDW Corp.^(a)	79,569		5,595,292
Ingram Micro Inc. Class A^(a)(b)	133,282		2,720,286
Tech Data Corp.^(a)(b)	19,790		749,447
WESCO International Inc.^(b)	52,115		3,064,883

			12,129,908

DIVERSIFIED FINANCIAL SERVICES – 12.27%
AmeriCredit Corp.^(a)(b)	23,491		591,268
CIT Group Inc.^(a)	321,289		17,918,288
Citigroup Inc.^(a)	808,169		45,015,013
Countrywide Financial Corp.	464,628		19,723,459
Federal Home Loan Mortgage Corp.	61,583		4,181,486
Federal National Mortgage Association	93,502		5,553,084
Goldman Sachs Group Inc. (The)	130,347		25,984,674
IndyMac Bancorp Inc.^(a)	48,591		2,194,370
JPMorgan Chase & Co.	743,637		35,917,667
Lehman Brothers Holdings Inc.	74,340		5,807,441

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
DIVERSIFIED FINANCIAL SERVICES *(Continued)*
Merrill Lynch & Co. Inc.	23,128	$	2,153,217
Morgan Stanley	327,390		26,659,368

			191,699,335

ELECTRIC – 2.66%
Alliant Energy Corp.	58,147		2,196,212
American Electric Power Co. Inc.	28,903		1,230,690
Constellation Energy Group Inc.	58,956		4,060,300
Edison International^(a)	181,662		8,261,988
FirstEnergy Corp.	119,162		7,185,469
TXU Corp.	343,242		18,607,149

			41,541,808

ELECTRONICS – 0.01%
Jabil Circuit Inc.	3,266		80,180
Sanmina-SCI Corp.^(b)	23,125		79,781

			159,961

ENGINEERING & CONSTRUCTION – 0.15%
Granite Construction Inc.	47,144		2,372,286

			2,372,286

ENVIRONMENTAL CONTROL – 0.41%
Republic Services Inc.	16,892		686,998
Waste Management Inc.	155,339		5,711,815

			6,398,813

FOOD – 0.35%
Dean Foods Co.^(b)	51,662		2,184,269
Hormel Foods Corp.	9,133		341,026
Kroger Co.	74,269		1,713,386
Smucker (J.M.) Co. (The)	3,202		155,201
SUPERVALU Inc.	25,346		906,120
Sysco Corp.	4,994		183,579

			5,483,581

FOREST PRODUCTS & PAPER – 0.10%
Louisiana-Pacific Corp.^(a)	61,171		1,317,012
Plum Creek Timber Co. Inc.^(a)	7,092		282,616

			1,599,628

GAS – 0.92%
Sempra Energy	235,106		13,175,340
UGI Corp.	43,111		1,176,068

			14,351,408

HEALTH CARE – PRODUCTS – 4.12%
Alcon Inc.^(a)	72,637		8,118,637
Baxter International Inc.	4,905		227,543
Becton, Dickinson & Co.^(a)	246,783		17,311,827
Dade Behring Holdings Inc.	1,244		49,524
Johnson & Johnson	585,828		38,676,365

			64,383,896

HEALTH CARE – SERVICES – 1.24%
Health Management Associates Inc. Class A	28,796		607,884
Humana Inc.^(b)	143,704		7,948,268
UnitedHealth Group Inc.	164,012		8,812,365
Wellcare Health Plans Inc.^(b)	28,314		1,950,835

			19,319,352

HOME BUILDERS – 0.17%
NVR Inc.^(a)(b)	4,067		2,623,215

			2,623,215

HOUSEHOLD PRODUCTS & WARES – 0.95%
Blyth Inc.	13,888		288,176
Kimberly-Clark Corp.	212,848		14,463,022

			14,751,198

INSURANCE – 4.20%
ACE Ltd.^(a)	235,631		14,272,170
American International Group Inc.	91,379		6,548,219
Axis Capital Holdings Ltd.^(a)	115,827		3,865,147
First American Corp.	25,515		1,037,950
Hartford Financial Services Group Inc. (The)	24,160		2,254,370
MetLife Inc.	280,047		16,525,573
Nationwide Financial Services Inc.	4,156		225,255
Protective Life Corp.	563		26,743
Prudential Financial Inc.	630		54,092
Radian Group Inc.^(a)	21,310		1,148,822
Reinsurance Group of America Inc.^(a)	18,978		1,057,075
St. Paul Travelers Companies Inc.	334,406		17,954,258
StanCorp Financial Group Inc.	13,980		629,799

			65,599,473

INTERNET – 1.61%
Check Point Software Technologies Ltd.^(b)	193,186		4,234,637
Emdeon Corp.^(b)	24,371		301,957
Google Inc. Class A^(b)	44,843		20,649,305

			25,185,899

IRON & STEEL – 1.14%
Nucor Corp.	268,206		14,660,140
United States Steel Corp.^(a)	43,500		3,181,590

			17,841,730

LEISURE TIME – 1.19%
Brunswick Corp.^(a)	19,351		617,297
Carnival Corp.	53,893		2,643,452
Harley-Davidson Inc.^(a)	2,064		145,450
Royal Caribbean Cruises Ltd.^(a)	366,693		15,173,756

			18,579,955

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*	*Value*
LODGING – 0.29%
Choice Hotels International Inc.^(a)	54,855	$	2,309,396
Marriott International Inc. Class A	1,043		49,772
Wyndham Worldwide Corp.^(b)	68,283		2,186,422

			4,545,590

MACHINERY – 0.78%
Caterpillar Inc.	74,481		4,567,920
Cummins Inc.^(a)	64,242		7,592,120
Graco Inc.^(a)	1,892		74,961

			12,235,001

MANUFACTURING – 3.18%
Eaton Corp.^(a)	97,591		7,332,988
General Electric Co.	845,778		31,471,399
Ingersoll-Rand Co. Class A^(a)	275,688		10,787,671
Teleflex Inc.	1,482		95,678

			49,687,736

MEDIA – 2.91%
CBS Corp. Class B	94,515		2,946,978
Comcast Corp. Class A^(a)(b)	370,058		15,664,555
Comcast Corp. Class A Special^(a)(b)	18,359		768,875
DIRECTV Group Inc. (The)^(b)	755,251		18,835,960
EchoStar Communications Corp.^(a)(b)	74,845		2,846,355
Gannett Co. Inc.	22,839		1,380,846
Viacom Inc. Class B^(b)	72,744		2,984,686

			45,428,255

METAL FABRICATE & HARDWARE – 0.01%
Commercial Metals Co.	1,913		49,355
Timken Co. (The)	3,765		109,863

			159,218

MINING – 0.27%
Freeport-McMoRan Copper & Gold Inc.	25,375		1,414,149
Phelps Dodge Corp.	23,502		2,813,659

			4,227,808

OIL & GAS – 8.92%
Anadarko Petroleum Corp.	126,906		5,522,949
Chevron Corp.	42,178		3,101,348
ConocoPhillips	431,204		31,025,128
Devon Energy Corp.	1,873		125,641
ENSCO International Inc.^(a)	31,289		1,566,327
Exxon Mobil Corp.^(a)	512,870		39,301,228
Marathon Oil Corp.	209,917		19,417,323
Nabors Industries Ltd.^(a)(b)	113,869		3,391,019
Occidental Petroleum Corp.	415,684		20,297,850
Patterson-UTI Energy Inc.^(a)	174,964		4,064,414
TODCO^(b)	1,290		44,079
Unit Corp.^(b)	18,846		913,089
Valero Energy Corp.	205,106		10,493,223

			139,263,618

OIL & GAS SERVICES – 0.78%
BJ Services Co.^(a)	310,938		9,116,702
Halliburton Co.	37,229		1,155,960
Superior Energy Services Inc.^(b)	23,323		762,196
Tidewater Inc.^(a)	23,408		1,132,011

			12,166,869

PACKAGING & CONTAINERS – 0.35%
Pactiv Corp.^(a)(b)	146,064		5,213,024
Sonoco Products Co.	5,274		200,728

			5,413,752

PHARMACEUTICALS – 5.48%
Barr Pharmaceuticals Inc.^(b)	39,459		1,977,685
Cardinal Health Inc.	10,212		657,959
Caremark Rx Inc.	51,637		2,948,989
Endo Pharmaceuticals Holdings Inc.^(b)	37,604		1,037,118
Forest Laboratories Inc.^(a)(b)	200,873		10,164,174
Gilead Sciences Inc.^(a)(b)	165,084		10,718,904
King Pharmaceuticals Inc.^(a)(b)	162,719		2,590,486
Merck & Co. Inc.	328,652		14,329,227
Mylan Laboratories Inc.^(a)	129,455		2,583,922
Pfizer Inc.	1,491,030		38,617,677

			85,626,141

REAL ESTATE – 0.05%
Realogy Corp.^(b)	25,393		769,916

			769,916

REAL ESTATE INVESTMENT TRUSTS – 0.87%
Apartment Investment & Management Co. Class A	1,175		65,824
Hospitality Properties Trust	6,418		305,048
Host Hotels & Resorts Inc.^(a)	503,024		12,349,239
HRPT Properties Trust	10,622		131,182
iStar Financial Inc.	6,411		306,574
New Plan Excel Realty Trust Inc.^(a)	12,934		355,426

			13,513,293

RETAIL – 5.80%
American Eagle Outfitters Inc.^(a)	391,188		12,208,978
AnnTaylor Stores Corp.^(a)(b)	19,159		629,182
AutoNation Inc.^(b)	375,671		8,009,306
Brinker International Inc.	22,189		669,220
Costco Wholesale Corp.	296,312		15,666,015
Darden Restaurants Inc.	158,059		6,349,230
Family Dollar Stores Inc.	18,820		551,991
Home Depot Inc.^(a)	232,248		9,327,080
Office Depot Inc.^(b)	291,194		11,114,875
OfficeMax Inc.	38,227		1,897,971
United Auto Group Inc.	34,709		818,091
Wal-Mart Stores Inc.	505,647		23,350,778

			90,592,717

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Shares*		*Value*
SAVINGS & LOANS – 0.90%
Washington Mutual Inc.^(a)		309,300	$	14,070,057

				14,070,057

SEMICONDUCTORS – 1.90%
Lam Research Corp.^(a)(b)		50,471		2,554,842
National Semiconductor Corp.		300,058		6,811,317
NVIDIA Corp.^(b)		214,416		7,935,536
Texas Instruments Inc.		428,566		12,342,701

				29,644,396

SOFTWARE – 4.10%
Autodesk Inc.^(a)(b)		201,620		8,157,545
Fiserv Inc.^(a)(b)		51,098		2,678,557
IMS Health Inc.		3,260		89,585
Intuit Inc.^(a)(b)		204,499		6,239,264
Microsoft Corp.		1,569,186		46,855,893

				64,020,844

TELECOMMUNICATIONS – 7.18%
AT&T Inc.		469,204		16,774,043
Cisco Systems Inc.^(a)(b)		1,301,026		35,557,041
Embarq Corp.		29,480		1,549,469
Motorola Inc.^(a)		1,052,098		21,631,135
QUALCOMM Inc.		195,647		7,393,500
Verizon Communications Inc.^(a)		786,092		29,274,066

				112,179,254

TOYS, GAMES & HOBBIES – 0.12%
Mattel Inc.		85,643		1,940,670

				1,940,670

TRANSPORTATION – 0.84%
C.H. Robinson Worldwide Inc.		10,753		439,690
Con-way Inc.		1,498		65,972
CSX Corp.		18,201		626,660
Hunt (J.B.) Transport Services Inc.^(a)		71,459		1,484,203
Norfolk Southern Corp.		40,134		2,018,339
Overseas Shipholding Group Inc.^(a)		20,573		1,158,260
Ryder System Inc.^(a)		116,552		5,951,145
Union Pacific Corp.		7,974		733,767
YRC Worldwide Inc.^(b)		15,138		571,157

				13,049,193

TOTAL COMMON STOCKS (Cost: $1,341,356,908)				1,546,456,563


*Security*	*Principal*		*Value*
SHORT-TERM INVESTMENTS – 12.94%
CERTIFICATES OF DEPOSIT^(c)– 0.25%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07	$	838,849	$	838,849
Washington Mutual Bank
5.33%, 03/19/07		2,995,888		2,995,888

				3,834,737

COMMERCIAL PAPER^(c)– 2.19%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(d)		1,259,603		1,241,578
Aspen Funding Corp.
5.26%, 02/21/07^(d)		778,931		773,240
Beta Finance Inc.
5.27%, 01/25/07^(d)		239,671		238,865
BNP Paribas Finance Inc.
5.12%, 06/06/07		419,424		410,187
CAFCO LLC
5.26%, 01/30/07^(d)		599,178		596,726
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(d)		1,438,026		1,427,607
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(d)		1,414,059		1,396,705
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(d)		119,836		119,678
Curzon Funding LLC
5.24%, 02/27/07^(d)		657,298		651,940
Edison Asset Securitization LLC
5.21%, 04/11/07^(d)		496,634		489,519
Eureka Securitization
5.26%, 02/09/07^(d)		1,497,944		1,489,627
Five Finance Inc.
5.22%, 04/20/07^(d)		551,243		542,611
General Electric Capital Corp.
5.12%, 06/04/07^(d)		898,766		879,228
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(d)		1,965,302		1,946,310
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(d)		2,336,792		2,288,355
Harrier Finance Funding LLC
5.12%, 06/06/07^(d)		1,198,355		1,171,964
KKR Atlantic Funding Trust
5.32%, 01/03/07^(d)		898,766		898,633
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(d)		3,943,738		3,920,087
Lockhart Funding LLC
5.28%, 02/09/07^(d)		1,198,355		1,191,676
Nationwide Building Society
5.21%, 04/13/07^(d)		1,138,437		1,121,797
Nestle Capital Corp.
5.19%, 08/09/07^(d)		719,013		696,312
Norddeutsche Landesbank
5.27%, 02/15/07		1,138,437		1,131,111
Polonius Inc.
5.26%, 02/20/07^(d)		338,895		336,468

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	Shares or Principal		*Value*
COMMERCIAL PAPER *(Continued)*
Regency Markets No. 1 LLC
5.32%, 01/22/07^(d)	$	398,249	$	397,072
Sedna Finance Inc.
5.22%, 04/17/07^(d)		683,062		672,663
Societe Generale
5.18%, 05/16/07		2,995,888		2,938,123
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(d)		3,040,802		3,011,517
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(d)		1,476,373		1,466,178
Three Pillars Funding Corp.
5.26%, 02/14/07^(d)		700,307		695,907

				34,141,684

MEDIUM-TERM NOTES^(c)– 0.22%
Bank of America N.A.
5.28%, 04/20/07		299,589		299,589
Cullinan Finance Corp.
5.71%, 06/28/07^(d)		898,766		898,766
K2 USA LLC
5.39%, 06/04/07^(d)		898,766		898,766
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(d)		1,402,075		1,402,075

				3,499,196

MONEY MARKET FUNDS – 2.50%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30% ^(e)(f)		39,048,585		39,048,585

				39,048,585

REPURCHASE AGREEMENTS^(c)– 2.08%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $2,398,137 (collateralized by non-U.S. Government debt securities, value $2,471,432, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	2,396,710		2,396,710
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $1,798,606 (collateralized by U.S. Government obligations, value $1,834,586, 0.00% to 11.00%, 1/1/08 to 1/1/37).		1,797,532		1,797,532
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $4,196,746 (collateralized by non-U.S. Government debt securities, value $4,616,422, 1.00% to 8.84%, 8/3/14 to 12/25/46).		4,194,242		4,194,242

*Security*	*Principal*		*Value*
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $119,907 (collateralized by non-U.S. Government debt securities, value $125,971, 5.46%, 3/15/08).	$	119,836	$	119,836
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $4,196,741 (collateralized by non-U.S. Government debt securities, value $4,408,987, 3.78% to 7.41%, 11/25/19 to 10/25/45).		4,194,242		4,194,242
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $1,318,985 (collateralized by non-U.S. Government debt securities, value $1,470,358, 0.00% to 10.00%, 6/1/28 to 11/16/36).		1,318,190		1,318,190
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $719,449 (collateralized by non-U.S. Government debt securities, value $802,017, 0.00% to 10.00%, 6/1/28 to 11/16/36).		719,013		719,013
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $2,398,135 (collateralized by non-U.S. Government debt securities, value $2,493,827, 0.00% to 10.00%, 1/23/07 to 5/15/44).		2,396,710		2,396,710
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $444,939 (collateralized by non-U.S. Government debt securities, value $462,549, 0.00% to 10.00%, 1/23/07 to 5/15/44).		444,674		444,674
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $719,449 (collateralized by non-U.S. Government debt securities, value $748,157, 0.00% to 10.00%, 1/23/07 to 5/15/44).		719,013		719,013
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $599,542 (collateralized by non-U.S. Government debt securities, value $663,046, 5.58%, 1/8/36).		599,178		599,178
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $599,535 (collateralized by non-U.S. Government debt securities, value $629,915, 3.16% to 5.32%, 5/15/34 to 6/1/46).		599,178		599,178

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $299,769 (collateralized by non-U.S. Government debt securities, value $314,958, 5.75% to 8.75%, 10/1/08 to 9/15/25).	$	299,589	$	299,589
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $2,398,137 (collateralized by non-U.S. Government debt securities, value $2,471,462, 3.34% to 8.75%, 6/15/07 to 12/1/66).		2,396,710		2,396,710
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $899,309 (collateralized by non-U.S. Government debt securities, value $926,294, 5.50% to 8.88%, 4/15/11 to 12/1/66).		898,766		898,766
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $2,398,137 (collateralized by non-U.S. Government debt securities, value $2,476,262, 0.00% to 10.13%, 6/15/07 to 9/1/26).		2,396,710		2,396,710
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $1,199,079 (collateralized by non-U.S. Government debt securities, value $1,235,055, 4.37% to 7.75%, 3/3/08 to 12/1/25).		1,198,355		1,198,355
Morgan Stanley, 5.36%, due 1/2/07, maturity value $1,199,069 (collateralized by non-U.S. Government debt securities, value $1,248,350, 0.00% to 10.00%, 1/1/07 to 12/31/37).		1,198,355		1,198,355
Morgan Stanley, 5.51%, due 6/4/07, maturity value $858,750 (collateralized by non-U.S. Government debt securities, value $881,141, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(g)		838,848		838,848
Wachovia Capital, 5.38%, due 1/2/07, maturity value $3,837,028 (collateralized by non-U.S. Government debt securities, value $4,031,073, 3.86% to 8.17%, 8/15/13 to 10/17/44).		3,834,736		3,834,736

				32,560,587

TIME DEPOSITS^(c)– 0.00%
Bank of America N.A.
5.13%, 01/02/07		57,353		57,353

				57,353

U.S. TREASURY OBLIGATIONS – 0.11%
U.S. Treasury Bill
4.71%, 03/22/07^(h)(i)		1,700,000		1,682,062

				1,682,062

VARIABLE & FLOATING RATE NOTES^(c) – 5.59%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(d)		3,067,789		3,068,115
American Express Bank
5.32%, 02/28/07		1,198,355		1,198,354
American Express Centurion Bank
5.44%, 07/19/07		1,318,191		1,319,024
American Express Credit Corp.
5.45%, 07/05/07		359,507		359,628
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07		149,936		149,936
Arkle Master Issuer PLC Series
2006-1A Class 1A 5.33%, 11/19/07^(d)		898,766		898,766
ASIF Global Financing
5.41%, 05/03/07^(d)		119,836		119,857
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(d)		778,931		778,931
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(d)		1,737,615		1,737,661
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(d)		3,055,805		3,055,895
BMW US Capital LLC
5.35%, 01/15/08^(d)		1,198,355		1,198,355
BNP Paribas
5.35%, 11/19/07^(d)		2,216,957		2,216,957
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(d)		874,799		874,799
CC USA Inc.
5.37%, 07/30/07^(d)		599,178		599,225
Commodore CDO Ltd.
5.44%, 12/12/07^(d)		299,589		299,589
Credit Agricole SA
5.34%, 11/23/07		1,198,355		1,198,355
Credit Suisse First Boston NY
5.38%, 04/24/07		599,178		599,187
Cullinan Finance Corp.
5.36%, 04/25/07^(d)		299,589		299,589
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(d)		173,116		173,116
DEPFA Bank PLC
5.40%, 09/14/07		1,198,355		1,198,355
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(d)		1,378,108		1,378,153

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Eli Lilly Services Inc.
5.34%, 12/31/07^(d)	$	799,902	$	799,902
Fifth Third Bancorp
5.33%, 12/21/07^(d)		2,396,710		2,396,710
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(d)		778,931		778,873
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(d)		1,258,273		1,258,452
Granite Master Issuer PLC
5.32%, 08/20/07^(d)		4,194,243		4,194,242
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(d)		1,557,862		1,557,877
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08		1,797,533		1,797,702
HBOS Treasury Services PLC
5.46%, 10/24/07^(d)		1,198,355		1,198,355
Holmes Financing PLC
5.32%, 07/16/07^(d)		2,097,121		2,097,121
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(g)		3,295,476		3,295,476
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(d)		898,766		898,743
Kestrel Funding LLC
5.33%, 07/11/07^(d)		479,342		479,315
Kommunalkredit Austria AG
5.35%, 01/09/08^(d)		719,013		719,013
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(d)		1,248,241		1,248,241
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(d)		1,318,191		1,318,143
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(d)		474,553		474,553
Marshall & Ilsley Bank
5.35%, 01/15/08		659,095		659,095
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(d)		2,168,699		2,168,699
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(g)		1,318,191		1,318,190
Metropolitan Life Global Funding I
5.36%, 02/08/07^(d)		1,797,533		1,797,532
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(d)(g)		119,836		119,836
Mound Financing PLC
5.32%, 05/08/07^(d)		1,126,454		1,126,454
Natex is Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(d)		4,314,078		4,314,045
National City Bank of Indiana
5.35%, 05/21/07		599,178		599,197
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(d)		3,954,572		3,955,166
Newcastle Ltd.
5.37%, 04/24/07^(d)		422,420		422,382
Northern Rock PLC
5.39%, 08/03/07^(d)		1,438,026		1,438,048
Northlake CDO I
5.42%, 09/06/07^(d)		359,507		359,506
Pricoa Global Funding I
5.34%, 11/27/07		1,617,779		1,617,779
Principal Life Global Funding I
5.80%, 02/08/07		539,260		539,514
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(d)		1,737,615		1,737,594
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(d)		1,198,355		1,198,355
Strips III LLC
5.40%, 07/24/07^(d)		259,399		259,399
SunTrust Bank
5.32%, 05/01/07		1,198,355		1,198,378
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(d)		2,923,986		2,923,838
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(d)		1,977,286		1,977,286
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(d)		1,464,220		1,464,220
Wachovia Bank N.A.
5.36%, 05/22/07		2,396,710		2,396,710
Wal-Mart Stores Inc.
5.50%, 07/16/07^(d)		898,766		899,090
Wells Fargo & Co.
5.36%, 11/15/07^(d)		599,178		599,207
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(d)		898,766		898,767
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(d)		3,595,065		3,594,609
Wind Master Trust
5.34%, 07/25/07^(d)		479,342		479,342

				87,296,803

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


	*Value*
TOTAL SHORT-TERM INVESTMENTS (Cost: $202,120,242)	$	202,121,007

TOTAL INVESTMENTS IN SECURITIES – 111.95% (Cost: $1,543,477,150)		1,748,577,570

Other Assets, Less Liabilities – (11.95)%		(186,637,666	)

NET ASSETS – 100.00%	$	1,561,939,904

^(a)	All or a portion of this security represents a security on loan. See Note 4.

^(b)	Non-income earning security.

^(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(d)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(e)	Affiliated issuer. See Note 2.

^(f)	The rate quoted is the annualized seven-day yield of the fund at period end.

^(g)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

^(h)	The rate quoted is the yield to maturity.

⁽ⁱ⁾	This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of December 31, 2006, the open futures contracts held by the Master Portfolio were as follows:


Futures Contracts (Expiration Date)	Number of Contracts	Notional Contract Value		Net Unrealized Depreciation
S&P 500 Index (03/16/07)	584	$	41,709,280	$	(85,302	)

				$	(85,302	)

The accompanying notes are an integral part of these financial statements.

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Principal*		*Value*
CORPORATE BONDS & NOTES – 30.14%
AEROSPACE & DEFENSE – 0.05%
Alliant Techsystems Inc.
6.75%, 04/01/16	$	500,000	$	500,000

				500,000

APPAREL – 0.05%
Levi Strauss & Co.
9.75%, 01/15/15		500,000		538,750

				538,750

AUTO MANUFACTURERS – 0.55%
DaimlerChrysler N.A. Holding Corp.
4.13%, 03/07/07		2,000,000		1,995,356
4.75%, 01/15/08		4,000,000		3,963,524

				5,958,880

AUTO PARTS & EQUIPMENT – 0.05%
ArvinMeritor Inc.
8.75%, 03/01/12^(a)		250,000		256,875
Goodyear Tire & Rubber Co. (The)
7.86%, 08/15/11		250,000		251,250

				508,125

BANKS – 1.60%
Bank of America Corp.
5.49%, 03/15/19^(b)(c)		4,500,000		4,460,837
Bank of America N.A.
6.00%, 10/15/36		2,150,000		2,213,567
HSBC Bank USA N.A.
5.88%, 11/01/34		3,000,000		3,001,755
HSBC Holdings PLC
5.25%, 12/12/12		3,000,000		2,988,966
SunTrust Banks Inc.
6.10%, 12/01/66		2,000,000		1,945,456
Wachovia Corp.
5.30%, 10/15/11		2,750,000		2,748,900

				17,359,481

BIOTECHNOLOGY – 0.13%
Genentech Inc.
4.75%, 07/15/15		1,500,000		1,435,999

				1,435,999

BUILDING MATERIALS – 0.61%
CRH America Inc.
5.63%, 09/30/11		2,500,000		2,510,495
6.00%, 09/30/16		800,000		807,516
Lafarge SA
7.13%, 07/15/36		2,800,000		3,042,091
Nortek Inc.
8.50%, 09/01/14		250,000		245,000

				6,605,102

CHEMICALS – 0.07%
Lyondell Chemical Co.
8.25%, 09/15/16		250,000		262,500
Mosaic Co. (The)
7.63%, 12/01/16^(c)		250,000		259,062
Nova Chemicals Corp.
6.50%, 01/15/12		250,000		236,875

				758,437

COMMERCIAL SERVICES – 0.12%
Avis Budget Car Rental LLC/Avis Budget Finance Inc.
7.63%, 05/15/14^(c)		250,000		243,750
Rental Services Corp.
9.50%, 12/01/14^(c)		250,000		258,125
United Rentals North America Inc.
6.50%, 02/15/12		250,000		246,875
7.00%, 02/15/14^(a)		250,000		245,312
Williams Scotsman Inc.
8.50%, 10/01/15		250,000		260,937

				1,254,999

COMPUTERS – 0.07%
Sungard Data Systems Inc.
9.13%, 08/15/13		250,000		262,500
10.25%, 08/15/15		250,000		266,875
Unisys Corp.
8.00%, 10/15/12		250,000		247,187

				776,562

DIVERSIFIED FINANCIAL SERVICES – 4.97%
Boeing Capital Corp.
6.50%, 02/15/12		1,750,000		1,845,165
Caterpillar Financial Services Corp.
4.35%, 03/04/09		6,500,000		6,375,973
CIT Group Funding Company of Canada
4.65%, 07/01/10		2,150,000		2,103,923
CIT Group Inc.
5.45%, 02/21/08		1,250,000		1,251,366
E*Trade Financial Corp.
8.00%, 06/15/11		250,000		261,250
General Electric Capital Corp.
6.75%, 03/15/32		3,000,000		3,435,834
General Motors Acceptance Corp.
6.13%, 01/22/08		250,000		249,452
6.88%, 09/15/11		1,250,000		1,282,122
7.25%, 03/02/11		500,000		519,967
Genworth Global Funding Trusts
5.75%, 05/15/13		2,000,000		2,041,724
GMAC LLC
6.23%, 03/20/07		4,385,000		4,385,289

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
DIVERSIFIED FINANCIAL SERVICES *(Continued)*
Goldman Sachs Group Inc.
3.88%, 01/15/09	$	3,000,000	$	2,922,525
5.13%, 01/15/15		1,500,000		1,465,615
5.95%, 01/15/27		4,000,000		3,952,464
Household Finance Corp.
4.13%, 12/15/08		2,000,000		1,960,284
HSBC Finance Corp.
4.13%, 03/11/08		2,000,000		1,973,374
Idearc Inc.
8.00%, 11/15/16^(c)		750,000		761,250
Lehman Brothers Holdings Inc.
4.80%, 03/13/14		1,000,000		962,629
5.00%, 01/14/11		3,000,000		2,972,748
Residential Capital Corp.
6.00%, 02/22/11		5,000,000		4,990,540
6.38%, 06/30/10		4,700,000		4,754,699
SLM Corp.
5.63%, 04/10/07		1,000		1,001
Vanguard Health Holding Co. II LLC
9.00%, 10/01/14		250,000		253,125
Williams Companies Inc. Credit Linked Certificate Trust (The)
6.75%, 04/15/09^(c)		3,000,000		3,052,500

				53,774,819

ELECTRIC – 2.10%
CMS Energy Corp.
7.75%, 08/01/10		500,000		527,500
Commonwealth Edison Co.
4.70%, 04/15/15		1,000,000		931,650
5.88%, 02/01/33		3,500,000		3,399,879
Midwest Generation LLC
8.75%, 05/01/34		750,000		813,750
Mirant North America LLC
7.38%, 12/31/13		750,000		761,250
Northern States Power
5.25%, 07/15/35		2,500,000		2,324,052
NRG Energy Inc.
7.25%, 02/01/14		250,000		251,875
7.38%, 02/01/16		500,000		502,500
Pacific Gas & Electric Corp.
4.80%, 03/01/14		2,500,000		2,396,307
PSEG Power LLC
6.95%, 06/01/12		2,300,000		2,431,539
8.63%, 04/15/31		700,000		894,135
Reliant Energy Inc.
6.75%, 12/15/14		250,000		244,375
Southern California Edison Co.
5.00%, 01/15/16		1,300,000		1,254,388
TXU Corp.
5.55%, 11/15/14		250,000		237,335
TXU Energy Co.
6.13%, 03/15/08		5,750,000		5,786,208

				22,756,743

ELECTRONICS – 0.07%
NXP BV
9.50%, 10/15/15^(c)		250,000		256,250
Sanmina-SCI Corp.
6.75%, 03/01/13^(a)		250,000		230,000
8.13%, 03/01/16		250,000		241,875

				728,125

ENTERTAINMENT – 0.26%
AMC Entertainment Inc.
8.00%, 03/01/14		250,000		248,125
11.00%, 02/01/16		500,000		561,250
Gaylord Entertainment Co.
8.00%, 11/15/13		1,000,000		1,037,500
Marquee Holdings Inc.
0.00%, 08/15/14		250,000		209,687
Six Flags Inc.
9.75%, 04/15/13^(a)		250,000		234,687
Tropicana Entertainment
9.63%, 12/15/14^(c)		500,000		495,000

				2,786,249

ENVIRONMENTAL CONTROL – 0.47%
Aleris International Inc.
9.00%, 12/15/14^(c)		500,000		502,500
Allied Waste North America
7.25%, 03/15/15^(a)		250,000		250,312
Waste Management Inc.
6.50%, 11/15/08		2,722,000		2,773,155
7.13%, 10/01/07		1,543,000		1,557,334

				5,083,301

FOOD – 1.13%
Ahold Finance USA Inc.
8.25%, 07/15/10		500,000		541,875
Dean Foods Co.
7.00%, 06/01/16		500,000		505,000
8.15%, 08/01/07		4,500,000		4,556,250
Delhaize America Inc.
8.13%, 04/15/11		250,000		269,689
Kroger Co. (The)
6.80%, 04/01/11		3,000,000		3,139,662
Safeway Inc.
4.80%, 07/16/07		3,000,000		2,988,369
SUPERVALU Inc.
7.88%, 08/01/09		250,000		260,574

				12,261,419

FOREST PRODUCTS & PAPER – 0.24%
Bowater Canada Finance
7.95%, 11/15/11		250,000		245,000
Domtar Inc.
7.88%, 10/15/11		250,000		259,375

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
FOREST PRODUCTS & PAPER *(Continued)*
Georgia-Pacific Corp.
7.13%, 01/15/17^(c)	$	500,000	$	498,750
7.70%, 06/15/15		250,000		254,687
Weyerhaeuser Co.
7.38%, 03/15/32		1,250,000		1,304,781

				2,562,593

HEALTH CARE – PRODUCTS – 0.02%
CDRV Investors Inc.
9.63%, 01/01/15		250,000		193,750

				193,750

HEALTH CARE – SERVICES – 0.73%
HCA Inc.
6.50%, 02/15/16^(a)		250,000		210,625
HealthSouth Corp.
10.75%, 06/15/16^(c)		250,000		269,062
Res-Care Inc.
7.75%, 10/15/13		250,000		256,250
UnitedHealth Group Inc.
3.30%, 01/30/08		3,665,000		3,584,751
5.80%, 03/15/36		2,400,000		2,359,966
WellPoint Inc.
5.00%, 12/15/14		1,250,000		1,210,188

				7,890,842

HOUSEHOLD PRODUCTS & WARES – 0.48%
Clorox Co. (The)
5.49%, 12/14/07		5,250,000		5,255,660

				5,255,660

INSURANCE – 2.37%
Allstate Financial Global Funding
2.50%, 06/20/08^(c)		4,970,000		4,776,269
American International Group Inc.
2.88%, 05/15/08		2,500,000		2,418,805
ASIF Global Financing XVII
3.85%, 11/26/07^(c)		6,500,000		6,412,887
Berkshire Hathaway Finance Corp.
5.42%, 01/11/08		1,400,000		1,401,873
Hancock (John) Financial Services Inc.
5.63%, 12/01/08		4,000,000		4,019,764
Markel Corp.
7.35%, 08/15/34		1,000,000		1,079,193
MetLife Inc.
5.38%, 12/15/12		4,500,000		4,509,882
6.40%, 12/15/36		1,000,000		1,004,607

				25,623,280

LODGING – 0.70%
Caesars Entertainment Inc.
8.88%, 09/15/08		3,775,000		3,935,438
Choice Hotels International Inc.
7.13%, 05/01/08		1,000,000		1,009,002
Marriott International Inc.
4.63%, 06/15/12		750,000		710,551
MGM Mirage
8.50%, 09/15/10		750,000		802,500
Starwood Hotels & Resorts Worldwide Inc.
7.88%, 05/01/12		600,000		633,671
Trump Entertainment Resorts Inc.
8.50%, 06/01/15		500,000		497,500

				7,588,662

MACHINERY – 0.03%
Columbus McKinnon Corp.
10.00%, 08/01/10		325,000		350,188

				350,188

MEDIA – 2.30%
AMFM Inc.
8.00%, 11/01/08		2,500,000		2,599,148
CCH I LLC
11.00%, 10/01/15		1,250,000		1,282,813
CCO Holdings LLC/CCO Holdings Capital Corp.
8.75%, 11/15/13		500,000		519,375
Clear Channel Communications Inc.
4.25%, 05/15/09		3,000,000		2,905,557
CMP Susquehanna Corp.
9.88%, 05/15/14^(c)		250,000		248,750
Comcast Corp.
6.45%, 03/15/37		4,250,000		4,252,295
CSC Holdings Inc.
7.63%, 04/01/11		500,000		509,375
Echostar DBS Corp.
5.75%, 10/01/08		5,100,000		5,080,875
6.38%, 10/01/11		500,000		496,875
Liberty Media Corp.
7.75%, 07/15/09		250,000		259,451
7.88%, 07/15/09		500,000		521,412
8.25%, 02/01/30		250,000		245,057
Mediacom Broadband LLC
8.50%, 10/15/15		250,000		253,125
PRIMEDIA Inc.
8.88%, 05/15/11		250,000		255,000
Time Warner Entertainment Co.
8.38%, 03/15/23		350,000		410,606
8.38%, 07/15/33		1,300,000		1,571,167

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
MEDIA *(Continued)*
Time Warner Inc.
5.50%, 11/15/11	$	2,100,000	$	2,094,626
6.50%, 11/15/36		700,000		696,728
Tribune Co.
5.50%, 10/06/08		750,000		738,941

				24,941,176

MINING – 0.25%
Vale Overseas Ltd.
6.88%, 11/21/36		2,600,000		2,666,680

				2,666,680

OFFICE & BUSINESS EQUIPMENT – 0.50%
Xerox Corp.
6.11%, 12/18/09		2,750,000		2,791,250
6.88%, 08/15/11		250,000		262,813
9.75%, 01/15/09		2,200,000		2,376,000

				5,430,063

OIL & GAS – 1.29%
Anadarko Petroleum Corp.
6.45%, 09/15/36		800,000		808,397
Burlington Resources Finance Co.
7.20%, 08/15/31		2,300,000		2,695,457
Chesapeake Energy Corp.
6.88%, 01/15/16		500,000		504,375
Diamond Offshore Drilling Inc.
4.88%, 07/01/15		1,750,000		1,642,646
Enterprise Products Operating LP
4.63%, 10/15/09		2,000,000		1,958,168
5.75%, 03/01/35		1,500,000		1,377,003
Forest Oil Corp.
8.00%, 12/15/11		500,000		520,000
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/01/15^(c)		250,000		245,625
Parker Drilling Co.
9.63%, 10/01/13		500,000		548,125
Pemex Project Funding Master Trust
6.63%, 06/15/35		2,200,000		2,250,600
8.50%, 02/15/08		1,000,000		1,030,000
Range Resources Corp.
7.50%, 05/15/16		250,000		256,250
Tesoro Corp.
6.25%, 11/01/12		125,000		124,375

				13,961,021

OIL & GAS SERVICES – 0.03%
Grant Prideco Inc.
6.13%, 08/15/15		100,000		97,500
Weatherford International Ltd.
5.50%, 02/15/16		250,000		242,839

				340,339

PACKAGING & CONTAINERS – 0.18%
Berry Plastics Holding Corp.
8.88%, 09/15/14^(c)		250,000		253,750
Crown Americas Inc.
7.63%, 11/15/13		500,000		515,000
Graham Packaging Co. Inc.
8.50%, 10/15/12		250,000		252,500
Stone Container Corp.
9.75%, 02/01/11		859,000		885,844

				1,907,094

PHARMACEUTICALS – 0.07%
AmerisourceBergen Corp.
5.88%, 09/15/15		250,000		244,444
Bristol-Myers Squibb Co.
5.88%, 11/15/36		525,000		516,615

				761,059

PIPELINES – 0.99%
ANR Pipeline Co.
8.88%, 03/15/10		500,000		524,545
Colorado Interstate Gas Co.
6.80%, 11/15/15		250,000		259,946
Copano Energy LLC
8.13%, 03/01/16		250,000		258,750
El Paso Corp.
6.50%, 06/01/08		1,106,000		1,117,060
7.80%, 08/01/31		250,000		273,125
Kinder Morgan Energy Partners LP
6.75%, 03/15/11		5,500,000		5,722,668
Pacific Energy Partners LP
6.25%, 09/15/15		250,000		244,410
Plains All American Pipeline LP When Issued
6.70%, 05/15/36		1,000,000		1,028,626
SemGroup LP
8.75%, 11/15/15^(c)		500,000		502,500
Williams Companies Inc.
7.13%, 09/01/11		500,000		520,000
Williams Partners LP
7.25%, 02/01/17^(c)		250,000		255,000

				10,706,630

REAL ESTATE – 0.37%
Realogy Corp.
6.07%, 10/20/09^(c)		4,000,000		4,001,276

				4,001,276

REAL ESTATE INVESTMENT TRUSTS – 0.98%
Omega Healthcare Investors Inc.
7.00%, 01/15/16		250,000		250,625
Simon Property Group LP
5.00%, 03/01/12		2,000,000		1,964,792
5.75%, 05/01/12		3,000,000		3,030,753
6.38%, 11/15/07		5,341,000		5,382,142

				10,628,312

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
RETAIL – 1.06%
Asbury Automotive Group Inc.
9.00%, 06/15/12	$	250,000	$	261,250
Federated Retail Holdings Inc.
5.90%, 12/01/16		4,500,000		4,493,003
Home Depot Inc.
5.49%, 12/16/09		1,000,000		999,927
Inergy LP
6.88%, 12/15/14		750,000		736,875
8.25%, 03/01/16		250,000		262,500
NPC International Inc. When Issued
9.50%, 05/01/14		250,000		256,250
Penney (J.C.) Co. Inc.
7.65%, 08/15/16		250,000		274,794
7.95%, 04/01/17		250,000		280,548
Staples Inc.
7.38%, 10/01/12		740,000		799,698
Tricon Global Restaurants
7.65%, 05/15/08		3,000,000		3,084,009

				11,448,854

SEMICONDUCTORS – 0.15%
Advanced Micro Devices Inc.
7.75%, 11/01/12		162,000		168,075
Freescale Semiconductor Inc.
9.13%, 12/15/14^(c)		250,000		248,438
9.24%, 12/15/14^(c)		250,000		247,813
Sensata Technologies BV
8.25%, 05/01/14^(c)		1,000,000		960,000

				1,624,326

SOFTWARE – 0.32%
Oracle Corp.
5.25%, 01/15/16		1,500,000		1,468,344
5.60%, 01/13/09		2,000,000		2,002,860

				3,471,204

TELECOMMUNICATIONS – 4.56%
American Cellular Corp.
10.00%, 08/01/11		250,000		264,375
Ameritech Capital Funding Corp.
6.15%, 01/15/08		1,265,000		1,270,866
AT&T Wireless Services Inc.
8.75%, 03/01/31		1,000,000		1,299,565
BellSouth Corp.
6.55%, 06/15/34		4,000,000		4,100,492
Citizens Communications Co.
6.25%, 01/15/13		500,000		490,625
7.63%, 08/15/08		4,500,000		4,657,500
Corning Inc.
6.05%, 06/15/15		1,400,000		1,398,620
Cricket Communications Inc.
9.38%, 11/01/14^(c)		250,000		263,750
Deutsche Telekom International Finance AG
8.00%, 06/15/10		5,000,000		5,414,165
8.25%, 06/15/30		3,000,000		3,688,020
Dobson Communications Corp.
8.88%, 10/01/13^(a)		250,000		254,688
Embarq Corp.
6.74%, 06/01/13		1,750,000		1,791,139
France Telecom SA
7.75%, 03/01/11		4,000,000		4,357,092
8.50%, 03/01/31		2,000,000		2,625,456
Intelsat Ltd.
5.25%, 11/01/08		1,000,000		972,500
Koninklijke KPN NV
8.00%, 10/01/10		1,500,000		1,618,476
Level 3 Financing Inc.
9.25%, 11/01/14^(c)		1,000,000		1,020,000
Motorola Inc.
4.61%, 11/16/07		5,700,000		5,661,844
Nextel Partners Inc.
8.13%, 07/01/11^(a)		3,000,000		3,123,750
Qwest Communications International Inc.
7.25%, 02/15/11		250,000		255,625
Qwest Corp.
8.88%, 03/15/12		250,000		278,438
Telecom Italia Capital SA
4.00%, 11/15/08		1,880,000		1,830,846
5.25%, 10/01/15		2,500,000		2,335,273
Verizon New York Inc.
7.38%, 04/01/32		150,000		154,877
West Corp.
9.50%, 10/15/14^(c)		250,000		250,000

				49,377,982

TRANSPORTATION – 0.22%
CNF Inc.
6.70%, 05/01/34		2,500,000		2,403,010

				2,403,010

TOTAL CORPORATE BONDS & NOTES (Cost: $328,770,499)				326,220,992

ASSET-BACKED SECURITIES – 8.41%
Ameriquest Mortgage Securities Inc. Series 2005-R3 Class A1A
5.55%, 05/25/35		2,131,362		2,132,877
Asset Backed Funding Certificates Series 2005-AQ1 Class A2
4.30%, 06/25/35		6,863,632		6,780,786
Asset Backed Funding Corp NIM Trust Series 2005-WMC1 Class N1
5.90%, 07/26/35^(c)		281,384		281,120

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
Bear Stearns Asset Backed Securities Inc. Series 2006-EC1 Class M2
5.78%, 12/25/35	$	2,500,000	$	2,507,094
Bear Stearns Asset Backed Securities NIM Series 2005-HE9N Class A1
5.50%, 10/25/35^(c)		61,173		61,173
Countrywide Asset-Backed Certificates Series 2004-10 Class AF3
3.84%, 10/25/30		695,809		692,426
Countrywide Asset-Backed Certificates Series 2004-10 Class AF4
4.51%, 07/25/32		7,500,000		7,432,600
Countrywide Asset-Backed Certificates Series 2006-7 Class M2
5.65%, 04/25/46		6,000,000		6,007,001
Dunkin Securitization Series 2006-1 Class A2
5.78%, 06/20/31^(c)		13,000,000		13,161,668
First Franklin Mortgage Loan Asset Backed Certificates Series 2006-FF8 Class M1
5.57%, 07/25/36		6,200,000		6,203,763
First Franklin NIM Trust Series 2005-FF1N Class N2
5.50%, 12/25/34^(c)		2,101,516		2,100,469
First Franklin NIM Trust Series 2005-FF9N Class B
6.25%, 10/27/35^(b)(c)		4,960,000		4,898,987
First Franklin NIM Trust Series 2005-FFH2 Class B
6.00%, 04/27/35^(c)		3,757,030		3,749,561
GSAA Trust Series 2005-N2
5.00%, 12/25/34^(b)(c)		186,986		186,709
Home Equity Asset Trust Series 2006-2 Class M2
5.75%, 05/25/36^(c)		6,000,000		6,021,590
JP Morgan Mortgage Acquisition Corp. Series 2006-HE1 Class M2
5.75%, 01/25/36		2,558,000		2,567,391
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M1
5.61%, 06/25/36		2,200,000		2,200,705
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M2
5.64%, 06/25/36		2,450,000		2,451,835
New Century Home Equity Loan Trust Series 2005-2 Class A2MZ
5.61%, 06/25/35		6,175,224		6,184,244
Novastar Home Equity Loan Series 2006-2 Class M1
5.62%, 06/25/36		4,000,000		4,002,575
Option One Mortgage Loan Trust Series 2002-2 Class M2
7.08%, 06/25/32		665,385		665,879
Option One Mortgage Securities Corp NIM Trust Series 2005-3A Class N1
5.44%, 08/25/35^(b)(c)		692,791		689,812
Park Place Securities Inc. Series 2004-MHQ1 Class A3
5.71%, 01/25/33		419,868		420,050
Sasco Net Interest Margin Trust Series 2005-NC2A Class A
5.50%, 05/27/35^(c)		448,836		448,150
Sasco Net Interest Margin Trust Series 2005-WF2A Class B
7.00%, 05/27/35^(b)(c)		1,836,300		1,835,149
SG Mortgage Securities NIM Trust Series 2006-FRE2 Class N1
6.00%, 07/25/36^(b)(c)		3,399,217		3,392,418
Structured Asset Investment Loan Trust Series 2005-HE3 Class M3
5.88%, 09/25/35		4,000,000		4,022,990

TOTAL ASSET-BACKED SECURITIES (Cost: $90,880,596)				91,099,022


COLLATERALIZED MORTGAGE OBLIGATIONS – 20.48%
MORTGAGE-BACKED SECURITIES – 20.48%
Banc of America Funding Corp. Series 2006-H Class 2A1
6.14%, 10/20/11		5,971,655		6,046,693
Bank of America Alternative Loan Trust Series 2003-5 Class 2A1
5.00%, 07/25/18		3,390,531		3,314,244
Bear Stearns Commercial Mortgage Securities Series 2002-PBW1 Class X1
0.74%, 11/11/35^(c)		86,094,609		2,904,238
Bear Stearns Commercial Mortgage Securities Series 2006-T22 Class A3
5.47%, 04/12/38		7,000,000		7,087,957
Chase Mortgage Finance Corp. Series 2006-A1 Class 1A1
6.07%, 09/25/36		5,495,791		5,508,608
Commercial Mortgage Pass Through Certificates Series 2001-J2A Class XC
0.49%, 07/16/34^(c)		100,872,559		2,078,499
Commercial Mortgage Pass Through Certificates Series 2005-F10A Class AJ2
5.54%, 04/15/17^(c)		9,000,000		9,000,431

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
MORTGAGE-BACKED SECURITIES *(Continued)*
Countrywide Alternative Loan Trust Series 2006-4CB Class 1A1
6.00%, 04/25/36	$	4,947,488	$	4,988,216
Countrywide Alternative Loan Trust Series 2006-5T2 Class A3
6.00%, 04/25/36		8,076,402		8,128,871
Countrywide Alternative Loan Trust Series 2006-7CB Class 1A9
6.00%, 05/25/36		9,015,637		9,072,458
Countrywide Alternative Loan Trust Series 2006-9T Class 1A1
6.00%, 05/25/36		3,602,007		3,625,777
Countrywide Alternative Loan Trust Series 2006-OA6 Class 2A
7.65%, 07/25/46		7,405,962		7,659,131
Countrywide Home Loan Mortgage Pass Through Trust Series 2006-HYB4 Class 1A1
5.61%, 06/20/36		12,710,196		12,784,415
CR Series 2000-ZC2 Class A1B
6.67%, 08/10/14^(c)		3,455,231		3,519,993
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Class 5A1
5.00%, 08/25/19		4,542,856		4,426,445
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C2 Class A5
0.14%, 05/15/36^(c)		227,618,285		3,423,652
Global Signal Trust Series 2006-1 Class C
5.71%, 02/15/36^(c)		3,000,000		3,018,985
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2002-CIB5 Class X1
0.61%, 10/12/37^(c)		233,964,734		9,810,703
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 Class A3
5.21%, 12/15/44		4,000,000		3,994,382
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2006-FL1A Class H
6.07%, 02/15/20^(c)		2,000,000		2,000,482
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP6 Class A3B
5.56%, 04/15/43		10,000,000		10,088,929
JP Morgan Mortgage Trust Series 2006-A1 Class 2A2
5.38%, 02/25/36		8,150,165		8,097,523
LB-UBS Commercial Mortgage Trust Series 2003-C3 Class XCL
0.43%, 02/15/37^(c)		118,992,022		3,241,117
MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 2A1
5.70%, 11/25/34		137,123		138,048
MASTR Alternative Loans Trust Series 2006-2 Class 1A2
6.00%, 03/25/36		9,244,037		9,323,266
MASTR Asset Securitization Trust Series 2003-5 Class 4A4
5.50%, 06/25/33		2,421,070		2,364,280
Merrill Lynch Mortgage Investors Inc. Series 2005-WMC2 Class A1B
5.61%, 04/25/36		2,370,317		2,371,792
Merrill Lynch Mortgage Investors Inc. Series 2006-A1 Class 1A1
5.89%, 03/25/36		7,914,466		7,980,813
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A3
5.29%, 01/12/44		3,000,000		2,998,048
Morgan Stanley Capital I Series 2003-T11 Class X1
0.23%, 06/13/41^(c)		568,790,864		6,574,938
Residential Accredit Loans Inc. Series 2006-QS3 Class 1A10
6.00%, 03/25/36		1,789,476		1,806,410
Residential Funding Mortgage Securities I Series 2003-S15 Class A1
4.50%, 08/25/18		1,958,812		1,877,449
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 Class A3
5.29%, 12/15/44		10,000,000		10,028,476
Wachovia Bank Commercial Mortgage Trust Series 2005-WHL6
5.85%, 10/15/17^(c)		5,000,000		5,001,752
5.90%, 10/15/17^(c)		5,000,000		5,001,752
Washington Mutual Inc. Series 2006-AR10 Class 1A2
5.97%, 09/25/36		7,771,686		7,777,974
Washington Mutual Inc. Series 2006-AR14 Class 1A1
5.67%, 11/25/36		13,949,056		13,905,922
Wells Fargo Mortgage-Backed Securities Trust Series 2003-10 Class A1
4.50%, 09/25/18		2,038,642		1,955,186
Wells Fargo Mortgage-Backed Securities Trust Series 2006-AR13 Class A1
5.76%, 09/25/36		8,687,184		8,740,385

				221,668,240

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $221,524,061)				221,668,240

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
FOREIGN GOVERNMENT BONDS & NOTES^(d)– 0.37%
United Mexican States
7.50%, 04/08/33	$	1,000,000	$	1,180,000
8.38%, 01/14/11		2,500,000		2,781,250

TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $3,978,115)				3,961,250

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 39.55%
MORTGAGE-BACKED SECURITIES – 32.39%
Federal Home Loan Mortgage Corp.
4.50%, 11/01/18		6,715,389		6,487,818
5.00%, 01/01/22^(e)		4,000,000		3,928,752
5.00%, 12/15/34		2,439,170		276,187
5.50%, 03/15/20		1,939,089		70,627
5.50%, 05/15/24		8,811,091		670,190
5.50%, 03/15/25		3,401,779		283,554
5.50%, 05/15/29		7,053,641		810,793
5.50%, 10/01/32		16,202,368		16,051,554
5.50%, 05/01/34		81,495		80,680
5.50%, 10/01/34		606,098		600,034
5.55%, 04/15/28		3,464,209		3,449,668
6.00%, 01/01/37^(e)		31,000,000		31,222,828
6.50%, 09/01/21		1,975,168		2,017,798
6.50%, 01/01/37^(e)		24,000,000		24,442,512
Federal National Mortgage Association
4.50%, 05/01/18		4,724,228		4,568,563
4.50%, 07/01/18		6,626,278		6,407,939
4.50%, 11/01/18		4,806,899		4,648,510
4.56%, 06/01/35		7,642,738		7,526,829
5.00%, 07/01/35		3,159,682		3,138,031
5.00%, 01/01/18		1,455,328		1,435,232
5.00%, 09/01/18		9,335,125		9,197,757
5.00%, 12/01/18		751,840		740,776
5.00%, 01/01/19		645,164		635,670
5.00%, 06/01/19		1,466,569		1,444,148
5.00%, 08/01/19		789,119		776,622
5.00%, 09/01/19		684,115		673,280
5.00%, 11/01/19		1,520,692		1,496,609
5.00%, 01/01/20		757,903		745,097
5.00%, 05/01/20		7,707,527		7,577,294
5.00%, 06/01/20		706,998		695,052
5.00%, 11/01/33		54,030,193		52,264,979
5.00%, 12/01/33		17,202,295		16,640,281
5.00%, 03/01/34		8,625,002		8,343,216
5.00%, 09/01/35		429,096		414,396
5.23%, 05/01/35		2,509,264		2,503,257
5.50%, 09/01/19		4,873,671		4,877,179
5.50%, 10/01/19		4,096,097		4,099,045
5.50%, 01/01/22^(e)		5,000,000		4,998,440
5.50%, 07/01/33		32,785,828		32,451,620
5.50%, 01/01/34		7,158,289		7,085,320
5.50%, 07/01/34		12,601,060		12,465,967
5.50%, 03/01/35		1,256,439		1,242,089
6.00%, 03/01/33		682,860		688,617
6.00%, 08/01/34		544,939		549,023
6.00%, 01/01/37^(e)		5,400,000		5,435,435
6.50%, 01/01/37^(e)		30,900,000		31,479,375
7.00%, 07/01/35		784,030		804,859
7.00%, 01/01/36		1,439,901		1,477,998
7.00%, 02/01/36		1,694,862		1,739,705
Government National Mortgage Association
5.50%, 06/15/34		1,896,753		1,888,812
5.50%, 01/01/37^(e)		7,000,000		6,965,000
6.50%, 09/20/36		9,872,298		10,092,065

				350,607,082

U.S. GOVERNMENT SECURITIES – 7.16%
U.S. Treasury Bonds
5.38%, 02/15/31^(a)		34,050,000		36,473,407
6.13%, 08/15/29^(a)		7,800,000		9,116,250
U.S. Treasury Inflation Indexed Bond
1.88%, 07/15/15		22,840,620		21,884,828
U.S. Treasury Notes
2.63%, 05/15/08^(j)		398,000		386,122
3.13%, 04/15/09^(j)		605,000		583,588
4.00%, 02/15/14^(a)(j)		9,500,000		9,093,657

				77,537,852

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $434,083,362)				428,144,934

SHORT-TERM INVESTMENTS – 15.44%
CERTIFICATES OF DEPOSIT^(f) – 0.13%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07		313,282		313,283
Washington Mutual Bank
5.33%, 03/19/07		1,118,866		1,118,866

				1,432,149

COMMERCIAL PAPER^(f)– 1.18%
Amstel Funding Corp.
5.22% - 5.25%, 02/13/07 - 04/17/07^(c)		470,421		463,685
Aspen Funding Corp.
5.26%, 02/21/07^(c)		290,905		288,780
Beta Finance Inc.
5.27%, 01/25/07^(c)		89,509		89,208
BNP Paribas Finance Inc.
5.12%, 06/06/07		156,641		153,192
CAFCO LLC
5.26%, 01/30/07^(c)		223,773		222,858

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
COMMERCIAL PAPER *(Continued)*
Cantabric Finance LLC
5.25% - 5.26%, 01/25/07 - 03/06/07^(c)	$	537,056	$	533,165
Cheyne Finance LLC
5.24% - 5.26%, 02/15/07 - 04/23/07^(c)		528,105		521,624
Concord Minutemen Capital Co. LLC
5.27%, 01/11/07^(c)		44,755		44,696
Curzon Funding LLC
5.24%, 02/27/07^(c)		245,479		243,478
Edison Asset Securitization LLC
5.21%, 04/11/07^(c)		185,477		182,819
Eureka Securitization
5.26%, 02/09/07^(c)		559,433		556,327
Five Finance Inc.
5.22%, 04/20/07^(c)		205,871		202,647
General Electric Capital Corp.
5.12%, 06/04/07^(c)		335,660		328,363
Giro Funding Corp.
5.25%, 03/05/07 - 03/12/07^(c)		733,976		726,883
Grampian Funding LLC
5.14% - 5.23%, 04/23/07 - 06/06/07^(c)		872,716		854,625
Harrier Finance Funding LLC
5.12%, 06/06/07^(c)		447,546		437,690
KKR Atlantic Funding Trust
5.32%, 01/03/07^(c)		335,660		335,610
Lexington Parker Capital Co. LLC
5.18% - 5.32%, 01/10/07 - 05/17/07^(c)		1,472,857		1,464,024
Lockhart Funding LLC
5.28%, 02/09/07^(c)		447,546		445,052
Nationwide Building Society
5.21%, 04/13/07^(c)		425,169		418,954
Nestle Capital Corp.
5.19%, 08/09/07^(c)		268,528		260,050
Norddeutsche Landesbank
5.27%, 02/15/07		425,169		422,433
Polonius Inc.
5.26%, 02/20/07^(c)		126,566		125,660
Regency Markets No. 1 LLC
5.32%, 01/22/07^(c)		148,733		148,294
Sedna Finance Inc.
5.22%, 04/17/07^(c)		255,101		251,218
Societe Generale
5.18%, 05/16/07		1,118,866		1,097,293
Thames Asset Global Securitization No. 1 Inc.
5.25%, 03/07/07 - 03/12/07^(c)		1,135,640		1,124,703
Thornburg Mortgage Capital Resources
5.28%, 01/17/07 - 03/12/07^(c)		551,377		547,570
Three Pillars Funding Corp.
5.26%, 02/14/07^(c)		261,542		259,898

				12,750,799


*Security*	*Shares or* *Principal*		*Value*
MEDIUM-TERM NOTES^(f)– 0.12%
Bank of America N.A.
5.28%, 04/20/07	$	111,887	$	111,887
Cullinan Finance Corp.
5.71%, 06/28/07^(c)		335,660		335,660
K2 USA LLC
5.39%, 06/04/07^(c)		335,660		335,660
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07^(c)		523,629		523,629

				1,306,836

MONEY MARKET FUNDS – 9.39%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%^(g)(h)		101,631,907		101,631,907

				101,631,907

REPURCHASE AGREEMENTS^(f)– 1.12%
Banc of America Securities LLC, 5.36%, due 1/2/07, maturity value $895,626 (collateralized by non-U.S. Government debt securities, value $922,999, 4.25% to 8.00%, 3/1/08 to 7/15/17).	$	895,093		895,093
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $1,567,348 (collateralized by non-U.S. Government debt securities, value $1,724,083, 1.00% to 8.84%, 8/3/14 to 12/25/46).		1,566,413		1,566,413
Bear Stearns Companies Inc. (The), 5.37%, due 1/2/07, maturity value $671,721 (collateralized by U.S. Government obligations, value $685,158, 0.00% to 11.00%, 1/1/08 to 1/1/37).		671,320		671,320
BNP Securities Corp., 5.36%, due 1/2/07, maturity value $44,782 (collateralized by non-U.S. Government debt securities, value $47,046, 5.46%, 3/15/08).		44,755		44,755
Citigroup Global Markets Holdings Inc., 5.36%, due 1/2/07, maturity value $1,567,346 (collateralized by non-U.S. Government debt securities, value $1,646,612, 3.78% to 7.41%, 11/25/19 to 10/25/45).		1,566,413		1,566,413
Citigroup Global Markets Holdings Inc., 5.42%, due 1/2/07, maturity value $492,597 (collateralized by non-U.S. Government debt securities, value $549,131, 0.00% to 10.00%, 6/1/28 to 11/16/36).		492,301		492,301

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
REPURCHASE AGREEMENTS *(Continued)*
Citigroup Global Markets Holdings Inc., 5.46%, due 1/2/07, maturity value $268,691 (collateralized by non-U.S. Government debt securities, value $299,527, 0.00% to 10.00%, 6/1/28 to 11/16/36).	$	268,528	$	268,528
Goldman Sachs & Co. Inc., 5.35%, due 1/2/07, maturity value $895,625 (collateralized by non-U.S. Government debt securities, value $931,363, 0.00% to 10.00%, 1/23/07 to 5/15/44).		895,093		895,093
Goldman Sachs Group Inc., 5.36%, due 1/2/07, maturity value $166,170 (collateralized by non-U.S. Government debt securities, value $172,747, 0.00% to 10.00%, 1/23/07 to 5/15/44).		166,071		166,071
Goldman Sachs Group Inc., 5.46%, due 1/2/07, maturity value $268,691 (collateralized by non-U.S. Government debt securities, value $279,412, 0.00% to 10.00%, 1/23/07 to 5/15/44).		268,528		268,528
Greenwich Capital Markets Inc., 5.46%, due 1/2/07, maturity value $223,909 (collateralized by non-U.S. Government debt securities, value $247,626, 5.58%, 1/8/36).		223,773		223,773
HSBC Securities Inc., 5.36%, due 1/2/07, maturity value $223,906 (collateralized by non-U.S. Government debt securities, value $235,253, 3.16% to 5.32%, 5/15/34 to 6/1/46).		223,773		223,773
JP Morgan Securities Inc., 5.41%, due 1/2/07, maturity value $111,954 (collateralized by non-U.S. Government debt securities, value $117,626, 5.75% to 8.75%, 10/1/08 to 9/15/25).		111,887		111,887
Lehman Brothers Holdings Inc., 5.36%, due 1/2/07, maturity value $895,626 (collateralized by non-U.S. Government debt securities, value $923,010, 3.34% to 8.75%, 6/15/07 to 12/1/66).		895,093		895,093
Lehman Brothers Holdings Inc., 5.44%, due 1/2/07, maturity value $335,863 (collateralized by non-U.S. Government debt securities, value $345,940, 5.50% to 8.88%, 4/15/11 to 12/1/66).		335,660		335,660
Merrill Lynch & Co. Inc., 5.36%, due 1/2/07, maturity value $895,626 (collateralized by non-U.S. Government debt securities, value $924,803, 0.00% to 10.13%, 6/15/07 to 9/1/26).		895,093		895,093
Merrill Lynch & Co. Inc., 5.44%, due 1/2/07, maturity value $447,817 (collateralized by non-U.S. Government debt securities, value $461,253, 4.37% to 7.75%, 3/3/08 to 12/1/25).		447,546		447,546
Morgan Stanley, 5.36%, due 1/2/07, maturity value $447,813 (collateralized by non-U.S. Government debt securities, value $466,218, 0.00% to 10.00%, 1/1/07 to 12/31/37).		447,546		447,546
Morgan Stanley, 5.51%, due 6/4/07, maturity value $320,715 (collateralized by non-U.S. Government debt securities, value $329,077, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(I)		313,283		313,283
Wachovia Capital, 5.38%, due 1/2/07, maturity value $1,433,005 (collateralized by non-U.S. Government debt securities, value $1,505,474, 3.86% to 8.17%, 8/15/13 to 10/17/44).		1,432,149		1,432,149

				12,160,318

TIME DEPOSITS^(f)– 0.00%
Bank of America N.A.
5.13%, 01/02/07		21,420		21,420

				21,420

VARIABLE & FLOATING RATE NOTES – 3.50%
Allstate Life Global Funding II
5.33% - 5.43%, 11/02/07 - 01/25/08^(c)(f)		1,145,719		1,145,842
American Express Bank
5.32%, 02/28/07^(f)		447,546		447,546
American Express Centurion Bank
5.44%, 07/19/07^(f)		492,301		492,613
American Express Credit Corp.
5.45%, 07/05/07^(f)		134,264		134,309
AmeriCredit Automobile Receivables Trust
5.35%, 02/06/07^(f)		55,996		55,996
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(c)(f)		335,660		335,660

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*		*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
ASIF Global Financing
5.41%, 05/03/07^(c)(f)	$	44,755	$	44,763
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(c)(f)		290,905		290,905
Bank of Ireland
5.33% - 5.35%, 08/14/07 - 12/20/07^(c)(f)		648,942		648,959
Beta Finance Inc.
5.32% - 5.41%, 04/25/07 - 07/25/07^(c)(f)		1,141,243		1,141,276
BMW US Capital LLC
5.35%, 01/15/08^(c)(f)		447,546		447,546
BNP Paribas
5.35%, 11/19/07^(c)(f)		827,961		827,961
Carlyle Loan Investment Ltd.
5.40%, 04/13/07 - 07/15/07^(c)(f)		326,709		326,710
CC USA Inc.
5.37%, 07/30/07^(c)(f)		223,773		223,791
Commodore CDO Ltd.
5.44%, 12/12/07^(c)(f)		111,887		111,887
Credit Agricole SA
5.34%, 11/23/07^(f)		447,546		447,546
Credit Suisse First Boston NY
5.38%, 04/24/07^(f)		223,773		223,777
Cullinan Finance Corp.
5.36%, 04/25/07^(c)(f)		111,887		111,887
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(c)(f)		64,653		64,653
DEPFA Bank PLC
5.40%, 09/14/07^(f)		447,546		447,546
Dorada Finance Inc.
5.34% - 5.41%, 06/27/07 - 07/17/07^(c)(f)		514,678		514,696
Eli Lilly Services Inc.
5.34%, 12/31/07^(c)(f)		298,737		298,737
FedEx Corp.
5.46%, 08/08/07		5,000,000		5,000,000
Fifth Third Bancorp
5.33%, 12/21/07^(c)(f)		895,093		895,093
Five Finance Inc.
5.31% - 5.37%, 06/29/07 - 07/13/07^(c)(f)		290,905		290,883
General Electric Capital Corp.
5.31% - 5.48%, 07/09/07 - 01/24/08^(c)(f)		469,924		469,991
Goldman Sachs International
5.17%, 04/01/10^(k)		270,000		270,000
Granite Master Issuer PLC
5.32%, 08/20/07^(c)(f)		1,566,413		1,566,412
Harrier Finance Funding LLC
5.32% - 5.37%, 07/25/07 - 08/15/07^(c)(f)		581,810		581,815
Hartford Life Global Funding Trust
5.37% - 5.41%, 07/13/07 - 01/15/08^(f)		671,320		671,383
HBOS Treasury Services PLC
5.46%, 10/24/07^(c)(f)		447,546		447,546
Holmes Financing PLC
5.32%, 07/16/07^(c)(f)		783,206		783,206
JPMorgan Chase & Co.
5.32% - 5.45%, 07/27/07 - 08/02/07^(f)(i)		1,230,753		1,230,753
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07^(c)(f)		335,660		335,651
Kestrel Funding LLC
5.33%, 07/11/07^(c)(f)		179,019		179,009
Kommunalkredit Austria AG
5.35%, 01/09/08^(c)(f)		268,528		268,528
Leafs LLC
5.35%, 01/22/07 - 02/20/07^(c)(f)		466,177		466,177
Links Finance LLC
5.31% - 5.35%, 05/10/07 - 05/16/07^(c)(f)		492,301		492,283
Lothian Mortgages Master Issuer PLC
5.32%, 04/24/07^(c)(f)		177,230		177,230
Marshall & Ilsley Bank
5.35%, 01/15/08^(f)		246,151		246,151
Master Funding LLC
5.38%, 04/25/07 - 05/25/07^(c)(f)		809,938		809,938
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(f)(i)		492,301		492,301
Metropolitan Life Global Funding I
5.36%, 02/08/07^(c)(f)		671,320		671,320
Metropolitan Life Insurance Funding Agreement
5.45%, 08/01/07^(c)(f)(i)		44,755		44,755
Mound Financing PLC
5.32%, 05/08/07^(c)(f)		420,694		420,694
Natexis Banques Populaires
5.35% - 5.37%, 02/05/07 - 01/15/08^(c)(f)		1,611,167		1,611,155
National City Bank of Indiana
5.35%, 05/21/07^(f)		223,773		223,780
Nationwide Building Society
5.38% - 5.49%, 02/08/07 - 10/26/07^(c)(f)		1,476,903		1,477,124
Newcastle Ltd.
5.37%, 04/24/07^(c)(f)		157,760		157,746
Northern Rock PLC
5.39%, 08/03/07^(c)(f)		537,056		537,064
Northlake CDO I
5.42%, 09/06/07^(c)(f)		134,264		134,264
Pricoa Global Funding I
5.34%, 11/27/07^(f)		604,188		604,188
Principal Life Global Funding I
5.80%, 02/08/07^(f)		201,396		201,491
Sedna Finance Inc.
5.33% - 5.36%, 05/25/07 - 08/21/07^(c)(f)		648,942		648,934

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Principal*			*Value*
VARIABLE & FLOATING RATE NOTES *(Continued)*
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(c)(f)	$	447,546		$	447,546
Strips III LLC
5.40%, 07/24/07^(c)(f)		96,877			96,877
SunTrust Bank
5.32%, 05/01/07^(f)		447,546			447,555
Tango Finance Corp.
5.30% - 5.35%, 04/25/07 - 07/16/07^(c)(f)		1,092,013			1,091,958
Union Hamilton Special Funding LLC
5.36% - 5.37%, 03/28/07 - 06/21/07^(c)(f)		738,452			738,452
Wachovia Asset Securitization Inc.
5.34%, 01/25/07^(c)(f)		546,838			546,838
Wachovia Bank N.A.
5.36%, 05/22/07^(f)		895,093			895,093
Wal-Mart Stores Inc.
5.50%, 07/16/07^(c)(f)		335,660			335,781
Wells Fargo & Co.
5.36%, 11/15/07^(c)(f)		223,773			223,784
WhistleJacket Capital Ltd.
5.31% - 5.35%, 04/18/07 - 06/13/07^(c)(f)		335,660			335,660
White Pine Finance LLC
5.31% - 5.32%, 05/22/07 - 08/20/07^(c)(f)		1,342,639			1,342,469
Wind Master Trust
5.34%, 07/25/07^(c)(f)		179,019			179,019

					37,872,503

TOTAL SHORT-TERM INVESTMENTS (Cost: $167,175,932)					167,175,932

TOTAL INVESTMENTS IN SECURITIES – 114.39% (Cost: $1,246,412,565)					1,238,270,370

SECURITIES SOLD SHORT – (5.74)%
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – (5.74)%
Federal National Mortgage Association
5.00%, 01/01/37^(e)		(6,800,000	)		(6,564,122	)
5.50%, 01/01/37^(e)		(56,200,000	)		(55,532,625	)

					(62,096,747	)

TOTAL SECURITIES SOLD SHORT (Proceeds: $62,663,668)					(62,096,747	)

Other Assets, Less Liabilities – (8.65)%					(93,705,596	)

NET ASSETS – 100.00%				$	1,082,468,027

^(a)	All or a portion of this security represents a security on loan. See Note 4.

^(b)	Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1.

^(c)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(d)	Investments are denominated in U.S. dollars.

^(e)	To-be-announced (TBA). See Note 1.

^(f)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

^(g)	Affiliated issuer. See Note 2.

^(h)	The rate quoted is the annualized seven-day yield of the fund at period end.

⁽ⁱ⁾	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

^(j)	All or a portion of this U.S. Treasury Note is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

^(k)	All or a portion of this security is held as collateral for open swaps contracts. See Note 1.

As of December 31, 2006, the open futures contracts held by the Master Portfolio were as follows:


*Futures Contracts* *(Expiration Date)*	Number of Contracts		Notional Contract Value			Net Unrealized Appreciation (Depreciation)
2 Year U.S Treasury Notes (04/04/07)	764		$	155,879,875		$	(751,796	)
5 Year U.S. Treasury Note (04/04/07)	492			51,690,750			(358,312	)
10 Year U.S. Treasury Note (03/30/07)	698			75,013,188			(960,057	)
30 Year U.S. Treasury Bonds (03/30/07)	(116	)		(12,926,750	)		293,436

						$	(1,776,729	)

As of December 31, 2006, the Master Portfolio held the following open swap contracts:


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps
Agreement with JPMorgan Chase & Co. dated 10/16/06 to pay 0.71% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Con-Way Inc. 6.70% due 5/1/34. Expiring 12/20/13.	$	3,000,000	$	17,325

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps *(Continued)*
Agreement with JPMorgan Chase & Co. dated 10/3/06 to receive 0.52% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Safeway Inc. 5.80% due 8/15/12. Expiring 12/20/11.	$	2,000,000	$	14,973
Agreement with JPMorgan Chase & Co. dated 12/6/06 to receive 0.35% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Telefonica SA 4.38% due 2/2/16. Expiring 12/20/11.		2,750,000		(756	)
Agreement with JPMorgan Chase & Co. dated 12/7/06 to receive 0.18% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Hess Corp. 6.65% due 8/15/11. Expiring 6/20/07.		3,000,000		44
Agreement with JPMorgan Chase & Co. dated 12/8/06 to pay 0.71% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Diamond Offshore Drilling Inc. 0.00% due 6/6/20. Expiring 12/20/16.		1,750,000		4,832
Agreement with JPMorgan Chase & Co. dated 3/15/04 to receive 0.22% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Deere & Co. 6.95% due 4/25/14. Expiring 3/20/07.		2,000,000		822
Agreement with JPMorgan Chase & Co. dated 8/10/06 to pay 0.65% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Con-Way Inc. 8.88% due 5/1/10. Expiring 9/20/13.		2,500,000		19,719
Agreement with JPMorgan Chase & Co. dated 9/1/04 to receive 1.19% per year times the notional amount. The Master Portfolio makes payment only upon a default event of iStar Financial Inc. 6.00% due 12/15/10. Expiring 12/20/09.		2,000,000		53,191
Agreement with Lehman Brothers Inc. dated 3/20/06 to receive 0.36% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Petroleos Mexicanos 9.50% due 9/15/27. Expiring 4/20/08.		5,250,000		8,152
Agreement with Lehman Brothers Inc. dated 4/5/06 to receive 0.39% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Petroleos Mexicanos 9.50% due 9/15/27. Expiring 4/20/08.		2,000,000		3,866

			$	122,168

Interest-Rate Swaps
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 4.98%. Expiring 12/5/10.	$	9,000,000	$	(37,270	)
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.10%. Expiring 12/5/15.		5,000,000		(25,210	)
Agreement with Deutsche Bank AG dated 3/24/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.16%. Expiring 3/28/13.		10,000,000		(21,050	)
Agreement with Deutsche Bank AG dated 5/16/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.46%. Expiring 5/18/11.		5,000,000		(71,726	)

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Interest-Rate Swaps *(Continued)*
Agreement with Deutsche Bank AG dated 8/17/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.28%. Expiring 8/21/09.	$	900,000	$	(3,644	)
Agreement with Deutsche Bank AG dated 8/22/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.22%. Expiring 8/24/09.		2,500,000		(6,198	)
Agreement with Goldman Sachs Group Inc. dated 10/13/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.28%. Expiring 10/17/08.		7,100,000		(9,388	)
Agreement with Goldman Sachs Group Inc. dated 10/13/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.26%. Expiring 10/17/11.		1,250,000		(9,197	)
Agreement with Goldman Sachs Group Inc. dated 5/17/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.53%. Expiring 5/19/11.		2,400,000		(40,270	)
Agreement with Goldman Sachs Group Inc. dated 5/22/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.43%. Expiring 5/24/11.		10,500,000		(138,958	)
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.30%. Expiring 4/20/08.		3,400,000		(1,122	)
Agreement with JPMorgan Chase & Co. dated 1/5/06 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 4.90%. Expiring 1/9/16.		6,250,000		(121,608	)
Agreement with JPMorgan Chase & Co. dated 11/4/05 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.19%. Expiring 11/8/15.		40,000,000		67,532
Agreement with JPMorgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.28%. Expiring 3/10/16.		4,000,000		31,954
Agreement with JPMorgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.32%. Expiring 3/10/26.		2,000,000		4,264
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.31%. Expiring 4/20/09.		2,900,000		(11,978	)
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.38%. Expiring 4/20/11.		1,700,000		(18,760	)
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.45%. Expiring 4/20/13.		900,000		(15,562	)
Agreement with JPMorgan Chase & Co. dated 8/2/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.40%. Expiring 8/4/08.		13,000,000		(35,528	)
Agreement with JPMorgan Chase & Co. dated 8/2/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.41%. Expiring 8/4/11.		1,600,000		(19,961	)

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Interest-Rate Swaps *(Continued)*
Agreement with JPMorgan Chase & Co. dated 8/24/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.27%. Expiring 8/29/11.	$	1,000,000	$	(7,202	)
Agreement with JPMorgan Chase & Co. dated 8/24/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.31%. Expiring 8/29/08.		5,600,000		(9,170	)

			$	(500,052	)

Swaptions
Agreement with JPMorgan Chase & Co. dated 6/23/04. Option to enter into a ten-year interest-rate swap, receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 6.46%. Expiring 6/23/09.	$	18,200,000	$	141,151

The accompanying notes are an integral part of the financial statements.

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2006


LifePath Retirement Master Portfolio
*Security Type*	*Value*			% of Net Assets
Domestic Fixed Income	$	159,917,195		61.44	%
Domestic Equity		73,031,712		28.06
Foreign Equity		25,107,138		9.65
Short-Term and Other Net Assets		2,222,639		0.85

TOTAL	$	260,278,684		100.00	%


LifePath 2010 Master Portfolio

*Security Type*	*Value*			% of Net Assets
Domestic Fixed Income	$	415,638,223		52.81	%
Domestic Equity		270,328,677		34.35
Foreign Equity		90,346,963		11.48
Short-Term and Other Net Assets		10,666,685		1.36

TOTAL	$	786,980,548		100.00	%


LifePath 2020 Master Portfolio

*Security Type*	*Value*			*% of* *Net Assets*
Domestic Equity	$	681,435,561		48.98	%
Domestic Fixed Income		464,911,177		33.42
Foreign Equity		221,247,263		15.90
Short-Term and Other Net Assets		23,559,294		1.70

TOTAL	$	1,391,153,295		100.00	%


LifePath 2030 Master Portfolio

*Security Type*	*Value*			*% of* *Net Assets*
Domestic Equity	$	589,860,198		59.66	%
Foreign Equity		190,063,744		19.23
Domestic Fixed Income		187,913,168		19.01
Short-Term and Other Net Assets		20,803,139		2.10

TOTAL	$	988,640,249		100.00	%


LifePath 2040 Master Portfolio

*Security Type*	*Value*			*% of* *Net Assets*
Domestic Equity	$	486,038,437		68.62	%
Foreign Equity		155,734,254		21.99
Domestic Fixed Income		50,420,363		7.12
Short-Term and Other Net Assets		16,074,204		2.27

TOTAL	$	708,267,258		100.00	%


Active Stock Master Portfolio

*Sector/Investment Type*	*Value*			*% of* *Net Assets*
Financial	$	375,454,038		24.04	%
Consumer Non-Cyclical		318,152,178		20.37
Communications		182,793,408		11.70
Energy		151,430,487		9.70
Technology		148,992,057		9.54
Consumer Cyclical		132,480,617		8.48
Industrial		131,403,546		8.41
Utilities		55,893,216		3.58
Basic Materials		49,857,016		3.19
Futures Contracts		(85,302	)	(0.01	)
Short-Term and Other Net Assets		15,568,643		1.00

TOTAL	$	1,561,939,904		100.00	%


CoreAlpha Bond Master Portfolio

*Sector/Investment Type*	*Value*			*% of* *Net Assets*
Mortgage-Backed Securities	$	572,275,322		52.87	%
Financial		111,387,168		10.29
Asset-Backed Securities		91,099,022		8.41
Government		81,499,102		7.53
Communications		74,319,158		6.86
Consumer Non-Cyclical		29,053,728		2.68
Consumer Cyclical		28,829,520		2.67
Energy		25,007,990		2.31
Utilities		22,756,743		2.10
Industrial		17,576,820		1.63
Technology		11,302,155		1.04
Basic Materials		5,987,710		0.56
Futures Contracts		(1,776,729	)	(0.16	)
Swap Agreements		(236,733	)	(0.02	)
Securities sold short		(62,096,747	)	(5.74	)
Short-Term and Other Net Assets		75,483,798		6.97

TOTAL	$	1,082,468,027		100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	LifePath Retirement Master Portfolio		LifePath 2010 Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	19,190,595	$	108,802,706	$	278,080,376	$	195,951,829	$	144,642,353

Affiliated issuers (Note 2)	$	65,086,117	$	199,975,758	$	390,813,844	$	301,243,703	$	229,834,301

Investments, at value (including securities on loan^(a)) (Note 1):
Unaffiliated issuers	$	19,190,595	$	108,802,706	$	278,080,376	$	195,951,829	$	144,642,353
Affiliated issuers (Note 2)		74,264,616		236,984,726		480,092,996		372,625,192		282,139,077
Affiliated Master Portfolios		185,310,714		543,628,461		896,495,707		602,667,857		416,305,192
Receivables:
Investment securities sold		3,063,234		11,563,839		23,613,351		19,421,540		14,897,472
Dividends and interest		13,941		43,646		100,456		64,907		59,169
Contributions		1,500,000		9,200,000		21,000,000		19,000,000		14,600,000

Total Assets		283,343,100		910,223,378		1,699,382,886		1,209,731,325		872,643,263

LIABILITIES
Payables:
Investment securities purchased		2,400,442		10,949,784		25,717,962		22,383,457		17,355,019
Collateral for securities on loan (Note 4)		19,190,595		108,802,706		278,080,376		195,951,829		144,642,353
Investment advisory fees (Note 2)		2,464		11,463		18,428		10,212		4,433
Withdrawals		1,447,575		3,455,349		4,389,046		2,722,002		2,350,738
Accrued expenses (Note 2):
Professional fees		23,318		23,450		23,579		23,437		23,340
Independent trustees’ fees		22		78		200		139		122

Total Liabilities		23,064,416		123,242,830		308,229,591		221,091,076		164,376,005

NET ASSETS	$	260,278,684	$	786,980,548	$	1,391,153,295	$	988,640,249	$	708,267,258

^(a)	Securities on loan with market values of $18,746,590, $106,273,783, $271,543,976, $190,791,137 and $141,071,943, respectively. See Note 4.


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	1,504,428,565	$	1,144,780,658

Affiliated issuers (Note 2)	$	39,048,585	$	101,631,907

Investments in securities, at value (including securities on loan^(a)) (Note 1):
Unaffiliated issuers	$	1,709,528,985	$	1,136,638,463
Affiliated issuers (Note 2)		39,048,585		101,631,907
Deposits with brokers for securities sold short^(b)		—		62,467,978
Receivables:
Investment securities sold		20,825		74,413,217
Dividends and interest		2,446,687		9,476,260

Total Assets		1,751,045,082		1,384,627,825

LIABILITIES
Payables:
Investment securities purchased		27,065,475		178,702,448
Due to broker - variation margin		152,324		166,813
Collateral for securities on loan (Note 4)		161,390,360		60,274,025
Open swap contracts (Note 1)		—		555,811
Securities sold short, at value (Proceeds: $– and $62,663,668) (Note 1)		—		62,096,747
Investment advisory fees (Note 2)		336,829		237,345
Administration fees (Note 2)		129,090		88,955
Accrued expenses (Note 2):
Professional fees		30,965		37,546
Independent trustees’ fees		135		108

Total Liabilities		189,105,178		302,159,798

NET ASSETS	$	1,561,939,904	$	1,082,468,027

^(a)	Securities on loan with market values of $156,229,626 and $57,419,574, respectively. See Note 4.

^(b)	Net of cash and interest receivable collateral of $195,690.

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	LifePath Retirement Master Portfolio			*LifePath 2010* *Master Portfolio*			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio
NET INVESTMENT INCOME
Dividends from affiliated issuers (Note 2)	$	1,987,356		$	5,962,662		$	10,499,465		$	7,438,759		$	5,165,061
Dividends allocated from Master Portfolios		984,334			3,758,033			9,121,754			7,504,986			5,842,868
Interest from affiliated issuers (Note 2)		61,714			165,240			307,464			239,151			187,928
Interest allocated from Master Portfolios		7,187,518			18,159,757			19,895,676			7,878,479			2,399,994
Securities lending income		33,774			114,231			250,635			164,384			135,347
Expenses allocated from Master Portfolios		(638,004	)		(1,838,863	)		(2,907,647	)		(1,845,617	)		(1,196,233	)

Total investment income		9,616,692			26,321,060			37,167,347			21,380,142			12,534,965

EXPENSES (Note 2)
Investment advisory fees		879,574			2,620,886			4,432,472			2,977,759			2,007,490
Professional fees		23,948			25,324			26,731			25,538			24,743
Independent trustees’ fees		1,054			3,100			5,249			3,460			2,315

Total expenses		904,576			2,649,310			4,464,452			3,006,757			2,034,548
Less expense reductions (Note 2)		(846,707	)		(2,482,699	)		(4,204,116	)		(2,838,594	)		(1,930,192	)

Net expenses		57,869			166,611			260,336			168,163			104,356

Net investment income		9,558,823			26,154,449			36,907,011			21,211,979			12,430,609

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		8,407			37,198			94,401			44,165			53,542
Net realized gain from sale of investments in affiliated issuers (Note 2)		4,078,385			12,897,554			22,231,219			15,232,518			9,954,454
Net realized gain allocated from Master Portfolios		1,782,254			8,455,773			22,625,028			18,574,986			14,505,878
Net change in unrealized appreciation (depreciation) of investments		3,453,569			15,633,636			45,379,697			40,398,784			33,060,834
Net change in unrealized appreciation (depreciation) of investments allocated from Master Portfolios		3,992,568			15,724,104			38,264,347			32,541,864			25,707,007
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies		218			626			1,789			647			526

Net realized and unrealized gain		13,315,401			52,748,891			128,596,481			106,792,964			83,282,241

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	22,874,224		$	78,903,340		$	165,503,492		$	128,004,943		$	95,712,850

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

For the Year Ended December 31, 2006


	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers^(a)	$	27,211,975		$	—
Interest from unaffiliated issuers		26,923			49,574,883
Interest from affiliated issuers (Note 2)		433,739			5,253,994
Securities lending income		126,320			105,595

Total investment income		27,798,957			54,934,472

EXPENSES
Investment advisory fees (Note 2)		3,495,374			2,515,984
Administration fees (Note 2)		1,398,149			1,006,394
Professional fees (Note 2)		34,448			40,054
Independent trustees’ fees (Note 2)		5,776			4,147
Interest expense on short sales		—			10,461

Total expenses		4,933,747			3,577,040
Less expense reductions (Note 2)		(40,224	)		(44,201	)

Net expenses		4,893,523			3,532,839

Net investment income		22,905,434			51,401,633

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from sale of investments in unaffiliated issuers		72,575,884			(10,034,767	)
Net realized gain on futures contracts		829,891			2,946,890
Net realized loss on swap contracts		—			(374,574	)
Net change in unrealized appreciation (depreciation) of investments		113,974,163			5,451,620
Net change in unrealized appreciation (depreciation) of futures contracts		24,392			(2,563,569	)
Net change in unrealized appreciation (depreciation) of securities sold short		—			912,901
Net change in unrealized appreciation (depreciation) of swap contracts		—			(1,569,104	)

Net realized and unrealized gain (loss)		187,404,330			(5,230,603	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	210,309,764		$	46,171,030

^(a)	Net of foreign withholding tax of $9,476 and $—, respectively.

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	*LifePath Retirement Master Portfolio*						*LifePath 2010 Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	9,558,823		$	6,705,422		$	26,154,449		$	17,099,696
Net realized gain		5,869,046			2,065,260			21,390,525			7,302,171
Net change in unrealized appreciation (depreciation)		7,446,355			1,512,499			31,358,366			9,847,546

Net increase in net assets resulting from operations		22,874,224			10,283,181			78,903,340			34,249,413

Interestholder transactions:
Contributions		109,551,839			92,431,167			285,815,972			241,472,922
Withdrawals		(102,812,365	)		(52,923,002	)		(243,730,526	)		(102,507,218	)

Net increase in net assets resulting from interestholder transactions		6,739,474			39,508,165			42,085,446			138,965,704

Increase in net assets		29,613,698			49,791,346			120,988,786			173,215,117
NET ASSETS:
Beginning of year		230,664,986			180,873,640			665,991,762			492,776,645

End of year	$	260,278,684		$	230,664,986		$	786,980,548		$	665,991,762


	*LifePath 2020 Master Portfolio*						*LifePath 2030 Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	36,907,011		$	22,872,338		$	21,211,979		$	12,176,059
Net realized gain		44,950,648			17,582,125			33,851,669			12,886,484
Net change in unrealized appreciation (depreciation)		83,645,833			27,196,604			72,941,295			22,735,523

Net increase in net assets resulting from operations		165,503,492			67,651,067			128,004,943			47,798,066

Interestholder transactions:
Contributions		517,707,844			396,332,869			406,831,899			281,688,243
Withdrawals		(357,147,662	)		(124,842,737	)		(222,941,128	)		(85,036,609	)

Net increase in net assets resulting from interestholder transactions		160,560,182			271,490,132			183,890,771			196,651,634

Increase in net assets		326,063,674			339,141,199			311,895,714			244,449,700
NET ASSETS:
Beginning of year		1,065,089,621			725,948,422			676,744,535			432,294,835

End of year	$	1,391,153,295		$	1,065,089,621		$	988,640,249		$	676,744,535

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*LifePath 2040 Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	12,430,609		$	6,526,179
Net realized gain		24,513,874			9,471,814
Net change in unrealized appreciation (depreciation)		58,768,367			16,755,738

Net increase in net assets resulting from operations		95,712,850			32,753,731

Interestholder transactions:
Contributions		356,970,096			245,110,300
Withdrawals		(180,345,261	)		(76,545,321	)

Net increase in net assets resulting from interestholder transactions		176,624,835			168,564,979

Increase in net assets		272,337,685			201,318,710
NET ASSETS:
Beginning of year		435,929,573			234,610,863

End of year	$	708,267,258		$	435,929,573


	*Active Stock Master Portfolio*						*CoreAlpha Bond Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	22,905,434		$	15,754,431		$	51,401,633		$	37,852,251
Net realized gain (loss)		73,405,775			49,417,857			(7,462,451	)		(6,683,492	)
Net change in unrealized appreciation (depreciation)		113,998,555			29,848,334			2,231,848			(13,290,033	)

Net increase in net assets resulting from operations		210,309,764			95,020,622			46,171,030			17,878,726

Interestholder transactions:
Contributions		359,796,839			275,385,000			330,412,726			363,341,556
Withdrawals		(196,379,196	)		(36,000,000	)		(379,698,060	)		(19,545,000	)

Net increase (decrease) in net assets resulting from interestholder transactions		163,417,643			239,385,000			(49,285,334	)		343,796,556

Increase (decrease) in net assets		373,727,407			334,405,622			(3,114,304	)		361,675,282
NET ASSETS:
Beginning of year		1,188,212,497			853,806,875			1,085,582,331			723,907,049

End of year	$	1,561,939,904		$	1,188,212,497		$	1,082,468,027		$	1,085,582,331

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Active Stock and CoreAlpha Bond Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”).

Each of the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a “LifePath Master Portfolio,” collectively, the “LifePath Master Portfolios”) seeks to achieve its investment objective by investing in a combination of stock, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by Barclays Global Fund Advisors (“BGFA”), and include the Active Stock and CoreAlpha Bond Master Portfolios, the Barclays Global Investors Funds Institutional Money Market Fund and exchange-traded funds in the iShares^® family of funds.

1.	SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

The securities and other assets of each Master Portfolio are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. In the event that current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the “Board”).

The value of each LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of December 31, 2006, the interests of the Active Stock and CoreAlpha Bond Master Portfolios held by each LifePath Master Portfolio were as follows:


*Master Portfolio*	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
LifePath Retirement	3.30	%	12.35	%
LifePath 2010	12.58		32.07
LifePath 2020	32.38		36.10
LifePath 2030	28.31		14.82
LifePath 2040	23.43		4.66

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each LifePath Master Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of the Active Stock and CoreAlpha Bond Master Portfolios. In addition, each LifePath Master Portfolio accrues its own expenses.

FOREIGN CURRENCY TRANSLATION

The accounting records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.

Each Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuation in the market prices of securities. Such fluctuations are reflected by the Master Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

FEDERAL INCOME TAXES

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2006, the gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:


*Master Portfolio*	*Tax* *Cost*		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
LifePath Retirement^(a)	$	84,336,585	$	9,118,626	$	—		$	9,118,626
LifePath 2010^(a)		308,897,012		36,890,420		—			36,890,420
LifePath 2020^(a)		669,054,938		89,118,434		—			89,118,434
LifePath 2030^(a)		497,290,477		71,286,544		—			71,286,544
LifePath 2040^(a)		374,513,407		52,268,023		—			52,268,023
Active Stock		1,558,564,063		200,900,818		(10,887,311	)		190,013,507
CoreAlpha Bond		1,247,555,236		3,974,559		(13,259,425	)		(9,284,866	)

^(a)	Tax cost information does not include investments in the underlying Master Portfolios.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

FUTURES CONTRACTS

The Active Stock and CoreAlpha Bond Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, a Master Portfolio is required to pledge to the broker and hold in a segregated account, an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, 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. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

As of December 31, 2006, the Active Stock and CoreAlpha Bond Master Portfolios have pledged to brokers U.S. Treasury Bills and U.S. Treasury Notes with face amounts of $1,700,000 and $1,103,000, respectively, for initial margin requirements on outstanding futures contracts.

WHEN ISSUED/TBA TRANSACTIONS

The CoreAlpha Bond Master Portfolio may purchase mortgage pass-through securities on a when-issued or to-be-announced (“TBA”) basis, with payment and delivery scheduled for a future date. The Master Portfolio may enter into a TBA agreement, sell the obligation to purchase the pools stipulated in the TBA agreement prior to the stipulated settlement date and enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities (a “TBA roll”). The Master Portfolio could be exposed to possible risk if there is adverse market action, expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover, higher transaction costs and to allocate larger short-term capital gains to interestholders.

REPURCHASE AGREEMENTS

SWAP TRANSACTIONS

The CoreAlpha Bond Master Portfolio may enter into swaps, including, but not limited to, interest-rate, index and credit default swaps. Swap transactions generally do not involve the delivery of securities or other underlying assets or principal. If the Master Portfolio enters into a swap transaction, cash or securities may be posted by or to the Master Portfolio as collateral in accordance with the terms of the swap agreement. If there is a default by the other party to such a transaction, the Master Portfolio will have contractual remedies pursuant to the agreements related to the transaction. Upon early termination of a swap agreement due to an event of default or termination event with respect to the Master Portfolio or other party, the risk of loss to the Master Portfolio would generally be limited to the net amount of payments that the Master Portfolio is contractually obligated to make if, after exercising in accordance with the swap agreement the rights with respect to early close-out of the swap transaction(s), it is determined that the Master Portfolio would be obligated to make a net payment with respect to the swap transaction(s). In the event the other party to the swap transaction(s) were to owe a net amount to the Master Portfolio upon an early termination of the swap agreement as described above, the Master Portfolio could be exposed to the risk of loss in the event that any collateral held by the Master Portfolio would be insufficient. The use of swaps is a highly specialized activity that involves investment

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

techniques and risks different from those associated with conventional securities transactions. The Master Portfolio segregates liquid assets in connection with transactions in swaps.

Interest-rate swaps involve the exchange by the Master Portfolio with another party of their respective commitments to pay or receive interest (for example, an exchange of floating-rate payments or fixed-rate payments). Index swaps (sometimes referred to as total return swaps) involve the exchange by the Master Portfolio with another party of cash flows based upon the performance of an index of securities or a portion of an index of securities that usually include, but are not limited to, dividends or income. In each case, the exchange of commitments can involve payments to be made in the same currency or in different currencies. Details of interest-rate swaps held by the Maser Portfolio as of December 31, 2006 are included in its Schedule of Investments.

A credit default swap is a contract between two parties which transfers the credit risk of an entity (the “reference entity”) for a defined period whereby if there is a Credit Event then the seller of protection pays a predetermined amount to the buyer of protection. A “Credit Event” is commonly defined as the reference entity’s (a) failing to pay principal or interest on time, (b) restructuring its debt, (c) accelerating its debt, or (d) entering bankruptcy. The buyer of credit protection pays a premium to the seller of credit protection until the earlier of a Credit Event or the scheduled termination date of the credit default swap. Credit default swaps can be used to implement BGFA’s view that a particular credit, or group of credits, will experience credit improvement. In the case of expected credit improvement, the Master Portfolio may sell credit default protection in which it receives a premium to take on the risk. In such an instance, the obligation of the Master Portfolio to make payments upon the occurrence of a Credit Event creates leveraged exposure to the credit risk of the referenced entity. The Master Portfolio may also buy credit default protection with respect to a reference entity if, in the judgment of BGFA, there is a high likelihood of credit deterioration. In such instance, the Master Portfolio will pay a premium regardless of whether there is a Credit Event. The credit default swap market in high yield securities is comparatively new and rapidly evolving compared to the credit default swap market for more seasoned and liquid investment grade securities creating the risk that the newer markets will be less liquid and it may be difficult to exit or enter into a particular transaction. In the event of counterparty default, The Master Portfolio would have rights solely against the counterparty and will have no recourse against the reference entity as a result of the counterparty default. Details of credit default swaps held by the Master Portfolio as of December 31, 2006 are included in its Schedule of Investments.

In a cash-settled credit default swap where the Master Portfolio is buying protection, the Master Portfolio makes a stream of fixed payments to the counterparty in exchange for the right to receive compensation for the loss in market value of the designated obligation that is being hedged, in the event the reference entity experiences a Credit Event. In a cash-settled credit default swap where the Master Portfolio is selling protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving the fixed premium over the life of the transaction. Alternatively, if the transaction were to be physically settled, the counterparty, as seller of protection, would agree that if a specified Credit Event occurs, it would take delivery of an obligation specified by the Master Portfolio and pay to the Master Portfolio an amount equal to the notional amount of the transaction. In exchange for this risk protection, the Master Portfolio would pay the counterparty a fixed premium over the specified life of the credit default swap. In instances where the Master Portfolio sells protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving a fixed premium over the life of the credit default swap. The Master Portfolio would be required to compensate the counterparty for the loss in market value of the designated obligation if the reference entity suffered a Credit Event and the credit default swap were to be cash settled. In the event that the transaction were to be physically settled on the occurrence of a specified Credit Event with respect to the reference entity, the Master Portfolio would be required to take physical delivery of an obligation specified at the time of the occurrence of the relevant Credit Event and would pay to the counterparty an amount equal to the notional amount of the transaction. As of December 31, 2006, the Master Portfolio did not hold any cash-settled credit default swap contracts.

The Master Portfolio may also write (sell) and purchase put and call options on swaps. An option on a swap (commonly referred to as a “swaption”) is a contract that gives a counterparty the right (but not the obligation) in return for payment of a premium, to enter into a new swap transaction at some designated future time on specified terms as described in the swaption. Depending on the terms of the particular swaption, the Master Portfolio may incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Master Portfolio purchases a swaption, it risks losing only the amount of the premium it has paid if it decides to let the swaption expire unexercised. When the Master Portfolio writes a swaption, upon exercise of the swaption, the Master Portfolio becomes obligated

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

according to the terms of the underlying agreement. Details of swaptions held by the Master Portfolio as of December 31, 2006 are included in its Schedule of Investments.

SHORT SALES

The CoreAlpha Bond Master Portfolio may make short sales of securities as part of its overall portfolio management strategies or to offset potential declines in long positions in similar securities. A short sale involves the sale of securities, with the ultimate obligation to deliver these securities. To make delivery to the buyer of the securities, the seller purchases or borrows the securities to offset the short obligation. When making a short sale, the Master Portfolio must cover its position. Short sales expose the Master Portfolio to the risk that it will be required to acquire, convert or exchange securities to replace the securities sold short at a time when the securities sold short have appreciated in value, thus resulting in a loss to the Master Portfolio. The successful use of short selling may be adversely affected by an imperfect correlation between movements in the price of the security sold short and the securities being hedged. The amount at risk for short sales may exceed the amount reflected in the financial statements. Details of short sales held by the Master Portfolio as of December 31, 2006 are included in its Schedule of Investments.

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with each Master Portfolio, BGFA provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC.

For its investment advisory services to the following Master Portfolios, BGFA is entitled to receive an annual investment advisory fee based on the average daily net assets for each Master Portfolio as follows:


*Master Portfolio*	*Investment* *Advisory Fee*
LifePath Retirement	0.35	%
LifePath 2010	0.35
LifePath 2020	0.35
LifePath 2030	0.35
LifePath 2040	0.35
Active Stock	0.25
CoreAlpha Bond	0.25

Beginning May 1, 2006, BGFA has contractually agreed to waive investment advisory fees charged to the LifePath Master Portfolios in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds through April 30, 2007. Prior to May 1, 2006, such waiver was voluntary.

The fees and expenses of the Master Portfolios’ trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Master Portfolios. For those Master Portfolios that do not pay an administration fee to Barclays Global Investors, N.A. (“BGI”), BGFA has voluntarily agreed to cap the expenses of the Master Portfolios at the rate at which those Master Portfolios pay an advisory fee to BGFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolios in an amount equal to the independent expenses.

For the year ended December 31, 2006, BGFA waived and/or credited investment advisory fees as follows:


*Master Portfolio*	Investment Advisory Fees Waived/Credited
LifePath Retirement	$	846,707
LifePath 2010		2,482,699
LifePath 2020		4,204,116
LifePath 2030		2,838,594
LifePath 2040		1,930,192

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators.

BGI is not entitled to compensation for providing administration services to the LifePath Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the LifePath Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from the LifePath Master Portfolios.

BGI is entitled to receive a monthly fee for administration services from each of the Active Stock and CoreAlpha Bond Master Portfolios at an annual rate of 0.10% of their respective average daily net assets. BGI has agreed to bear all costs of each of these Master Portfolios, excluding, generally, investment advisory fees, administration fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by each Master Portfolio. With respect to the independent expenses discussed above, BGI has voluntarily agreed to provide an offsetting credit against the administration fees paid by these Master Portfolios in an amount equal to the independent expenses. For the year ended December 31, 2006, BGI credited administration fees of $40,224 and $44,201 for the Active Stock and CoreAlpha Bond Master Portfolios, respectively.

Investors Bank & Trust Company (“IBT”) serves as the custodian and sub-administrator of the Master Portfolios. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from BGI for its services as sub-administrator of the Master Portfolios.

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

Pursuant to an exemptive order issued by the Securities and Exchange Commission (“SEC”), BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the year ended December 31, 2006, BGI earned securities lending agent fees as follows:


*Master Portfolio*	Securities Lending Agent Fees
LifePath Retirement	$	33,774
LifePath 2010		114,231
LifePath 2020		250,635
LifePath 2030		164,384
LifePath 2040		135,347
Active Stock		126,320
CoreAlpha Bond		105,595

The Master Portfolios may invest in the shares of exchange-traded funds (“ETFs”), including shares of ETFs of which BGI is an affiliate, to obtain exposure to the bond and stock markets while maintaining flexibility to meet the liquidity needs of the Master Portfolios.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

recorded as interest from affiliated issuers in the accompanying Statements of Operations. Income distributions earned by the Master Portfolios from the investment of securities lending collateral are included in securities lending income in the accompanying Statements of Operations.

The following table provides information about the direct investment by each Master Portfolio (exclusive of investments of securities lending collateral) in issuers of which BGFA is an affiliate, other than the Active Stock and CoreAlpha Bond Master Portfolios, for the year ended December 31, 2006, including income earned from these affiliated issuers and net realized capital gains (losses) from sales of these affiliated issuers.


Master Portfolio and Name of Affiliated Issuer	Number of Shares Held Beginning of Year (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Year (in 000s)	*Value at End* *of Year*		Dividend and Interest Income		*Net* Realized Gain (Loss)
LifePath Retirement
IMMF	1,923	312,871	313,275	1,519	$	1,519,285	$	61,714	$	—
iShares Cohen & Steers Realty Majors Index Fund	—	81	11	70		6,986,219		157,963		185,663
iShares Lehman TIPS Bond Fund	—	286	21	265		26,182,395		1,102,080		(73,310	)
iShares MSCI EAFE Index Fund	348	149	155	342		25,107,138		580,279		2,861,917
iShares S&P MidCap 400 Index Fund	126	46	53	119		9,551,740		104,364		732,162
iShares S&P SmallCap 600 Index Fund	84	29	38	75		4,917,839		33,945		296,010
iShares S&P 500 Index Fund	—	44	44	—		—		8,725		75,943
LifePath 2010
IMMF	4,736	831,082	831,519	4,299		4,299,324		165,240		—
iShares Cohen & Steers Realty Majors Index Fund	—	315	72	243		24,434,294		574,419		1,029,448
iShares Lehman TIPS Bond Fund	—	727	34	693		68,503,474		2,714,326		(118,548	)
iShares MSCI EAFE Index Fund	1,309	395	470	1,234		90,346,963		2,152,848		8,643,085
iShares S&P MidCap 400 Index Fund	420	131	143	408		32,709,490		368,478		2,117,972
iShares S&P SmallCap 600 Index Fund	267	90	104	253		16,691,181		121,837		844,531
iShares S&P 500 Index Fund	—	209	209	—		—		30,754		381,066
LifePath 2020
IMMF	7,669	1,563,672	1,562,346	8,995		8,994,702		307,464		—
iShares Cohen & Steers Realty Majors Index Fund	—	715	140	575		57,710,270		1,304,681		1,574,411
iShares Lehman TIPS Bond Fund	—	789	38	751		74,178,941		2,796,126		(153,072	)
iShares MSCI EAFE Index Fund	2,882	1,022	882	3,022		221,247,263		5,199,920		14,947,080
iShares S&P MidCap 400 Index Fund	815	422	269	968		77,612,828		827,583		3,755,114
iShares S&P SmallCap 600 Index Fund	525	274	188	611		40,348,992		272,682		1,333,829
iShares S&P 500 Index Fund	—	670	670	—		—		98,473		773,857

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)


Master Portfolio and Name of Affiliated Issuer	Number of Shares Held Beginning of Year (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of *Year (in 000s)*	Value at End of Year		*Dividend* and Interest Income		*Net* Realized Gain (Loss)
LifePath 2030
IMMF	6,725	1,239,096	1,238,365	7,456	$	7,455,939	$	239,151	$	—
iShares Cohen & Steers Realty Majors Index Fund	—	580	95	485		48,694,260		1,053,512		812,812
iShares Lehman TIPS Bond Fund	—	301	23	278		27,467,289		980,517		(94,801	)
iShares MSCI EAFE Index Fund	2,206	1,025	635	2,596		190,063,744		4,398,837		10,333,559
iShares S&P MidCap 400 Index Fund	596	397	182	811		65,064,496		664,023		2,507,374
iShares S&P SmallCap 600 Index Fund	379	277	143	513		33,879,464		217,025		884,318
iShares S&P 500 Index Fund	—	848	848	—		—		124,845		789,256
LifePath 2040
IMMF	4,479	984,002	982,230	6,251		6,251,215		187,928		—
iShares Cohen & Steers Realty Majors Index Fund	—	502	109	393		39,420,976		821,430		271,614
iShares Lehman Aggregate Bond Fund	—	9	9	—		—		3,292		(10,120	)
iShares MSCI EAFE Index Fund	1,469	1,067	409	2,127		155,734,254		3,548,623		6,505,113
iShares S&P MidCap 400 Index Fund	438	365	146	657		52,661,806		513,251		2,123,614
iShares S&P SmallCap 600 Index Fund	277	255	107	425		28,070,826		169,955		499,221
iShares S&P 500 Index Fund	—	818	818	—		—		108,510		565,012
Active Stock
IMMF	5,678	2,139,261	2,105,890	39,049		39,048,585		433,739		—
CoreAlpha Bond
IMMF	79,553	25,908,995	25,886,916	101,632		101,631,907		5,253,994		—

3.	INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the year ended December 31, 2006 were as follows:


	*U.S. Government Obligations*				*Other Securities*
*Master Portfolio*	*Purchases*		*Sales*		*Purchases*		*Sales*
LifePath Retirement	$	—	$	—	$	56,584,376	$	26,194,736
LifePath 2010		—		—		167,569,452		87,399,591
LifePath 2020		—		—		341,059,807		198,901,011
LifePath 2030		—		—		302,923,390		190,042,218
LifePath 2040		—		—		262,477,284		164,968,100
Active Stock		—		—		1,050,327,283		902,368,684
CoreAlpha Bond		2,523,923,263		2,683,603,106		538,680,430		407,055,755

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

4.	PORTFOLIO SECURITIES LOANED

As of December 31, 2006, the Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities or non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of December 31, 2006 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

5.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. The Securities and Exchange Commission staff has stated that it would not object if a fund does not implement FIN 48 in its NAV calculation until the date of the fund’s last NAV calculation in the first required financial statement reporting period for its fiscal year beginning after December 15, 2006. MIP is currently evaluating the impact of applying the various provisions of FIN 48.

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolios’ financial statement disclosures.

6.	FINANCIAL HIGHLIGHTS

Financial highlights for each of the Master Portfolios were as follows:


*Master Portfolio*	Year Ended December 31, 2006		Year Ended December 31, 2005		Year Ended December 31, 2004 ^(a)		Year Ended December 31, 2003		Period Ended December 31, 2002 ^(b)		*Year Ended* February 28, 2002
LifePath Retirement
Ratio of expenses to average net assets^(c)(d)	0.28	%	0.31	%	0.31	%	0.35	%	0.35	%	0.46	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.61	%	0.65	%	0.60	%	n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	3.80	%	3.24	%	2.46	%	2.27	%	2.98	%	3.73	%
Portfolio turnover rate^(f)	10	%	11	%	138	%^(g)	29	%	56	%	116	%
Total return	9.30	%	4.82	%	6.85	%	12.45	%	(1.36	)%^(h⁾	2.68	%

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)


Master Portfolio	Year Ended December 31, 2006		Year Ended December 31, 2005		Year Ended December 31, 2004 ^(a)		Year Ended December 31, 2003		Period Ended December 31, 2002^(b)		Year Ended February 28, 2002
LifePath 2010
Ratio of expenses to average net assets^(c)(d)	0.27	%	0.30	%	0.30	%	0.35	%	0.35	%	0.46	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.60	%	0.64	%	0.59	%	n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	3.49	%	2.96	%	2.32	%	2.12	%	2.49	%	3.11	%
Portfolio turnover rate^(f)	12	%	12	%	130	%^(g)	23	%	72	%	86	%
Total return	10.65	%	5.70	%	7.88	%	16.16	%	(6.43	)%^(h)	(0.70	)%
LifePath 2020
Ratio of expenses to average net assets^(c)(d)	0.25	%	0.28	%	0.29	%	0.35	%	0.35	%	0.44	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.58	%	0.62	%	0.57	%	n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	2.91	%	2.53	%	2.05	%	2.04	%	2.14	%	2.23	%
Portfolio turnover rate^(f)	16	%	17	%	140	%^(g)	23	%	67	%	86	%
Total return	13.51	%	7.04	%	9.77	%	21.11	%	(10.18	)%^(h)	(4.99	)%
LifePath 2030
Ratio of expenses to average net assets^(c)(d)	0.24	%	0.26	%	0.28	%	0.35	%	0.35	%	0.46	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.57	%	0.60	%	0.56	%	n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	2.49	%	2.22	%	1.93	%	1.98	%	1.81	%	1.74	%
Portfolio turnover rate^(f)	22	%	24	%	138	%^(g)	32	%	68	%	53	%
Total return	15.62	%	8.13	%	11.28	%	24.36	%	(13.05	)%^(h)	(7.82	)%
LifePath 2040
Ratio of expenses to average net assets^(c)(d)	0.23	%	0.26	%	0.28	%	0.35	%	0.35	%	0.49	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.56	%	0.59	%	0.56	%	n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	2.17	%	1.96	%	1.74	%	1.86	%	1.57	%	1.13	%
Portfolio turnover rate^(f)	29	%	38	%	147	%^(g)	29	%	62	%	15	%
Total return	17.47	%	8.74	%	11.93	%	28.14	%	(15.63	)%^(h)	(10.48	)%
Active Stock
Ratio of expenses to average net assets^(c)	0.35	%	0.35	%	0.35	%	n/a		n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(c)	0.35	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)	1.64	%	1.50	%	1.57	%	n/a		n/a		n/a
Portfolio turnover rate^(f)	65	%	54	%	70	%	n/a		n/a		n/a
Total return	15.65	%	8.79	%	10.40	%^(h)	n/a		n/a		n/a
CoreAlpha Bond
Ratio of expenses to average net assets^(c)	0.35	%	0.35	%	0.35	%	n/a		n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(c)	0.36	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)	5.11	%	4.19	%	3.08	%	n/a		n/a		n/a
Portfolio turnover rate^(f)	301	%	270	%	313	%	n/a		n/a		n/a
Total return	4.36	%	1.98	%	1.30	%^(h)	n/a		n/a		n/a

^(a)	For the period from March 15, 2004 (commencement of operations) to December 31, 2004 for the Active Stock and CoreAlpha Bond Master Portfolios.

^(b)	For the ten months ended December 31, 2002. The LifePath Master Portfolios changed their fiscal year-end from February 28 to December 31.

^(c)	Annualized for periods of less than one year.

^(d)

After March 15, 2004, the date the LifePath Master Portfolio converted to a fund-of-funds structure, the expense ratio includes the LifePath Master Portfolio’s pro rata portion of the advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios. The ratio also reflects BGFA’s waiver of these pro rata advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios and the waiver of the advisory and administration fees of the other Underlying Funds. (See Note 2 above)

^(e)	After March 15, 2004, the date the LifePath Master Portfolio converted to a fund-of-funds structure, the expense ratio includes the LifePath Master Portfolio’s pro rata portion of the advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios.

^(f)	Portfolio turnover rates include in-kind transactions, if any.

^(g)	Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure.

^(h)	Not annualized.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the LifePath Retirement Master Portfolio, LifePath 2010 Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2006, and the results of each of their operations for the year then ended, the changes in each of their net assets and their financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

MASTER INVESTMENT PORTFOLIO

TRUSTEE AND OFFICER INFORMATION (Unaudited)

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as the Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustee and Officer Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Notes:

LOGO

Table of Contents


Shareholder Expenses (Unaudited)		1

Barclays Global Investors Funds

Financial Statements		2

Financial Highlights		6

Notes to the Financial Statements		10

Report of Independent Registered Public Accounting Firm		14

Tax Information (Unaudited)		15

Trustee and Officer Information (Unaudited)		16

Master Investment Portfolio

Schedules of Investments		19

Government Money Market Master Portfolio		19

Money Market Master Portfolio		20

Prime Money Market Master Portfolio		24

Treasury Money Market Master Portfolio		27

Portfolio Allocations (Unaudited)		28

Financial Statements		29

Notes to the Financial Statements		31

Report of Independent Registered Public Accounting Firm		34

Trustee and Officer Information (Unaudited)		35

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited)

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 to December 31, 2006.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES


*Fund*	*Beginning* *Account Value* *(7/1/06)*		*Ending* Account Value (12/31/06)		Annualized Expense Ratio^(a)		*Expenses Paid* *During Period ^(b)* *(7/1/06 to 12/31/06)*
Government Money Market
Institutional Shares
Actual	$	1,000.00	$	1,026.60	0.12	%	$	0.61
Hypothetical (5% return before expenses)		1,000.00		1,024.60	0.12			0.61
Institutional Money Market
Institutional Shares
Actual		1,000.00		1,026.90	0.10			0.51
Hypothetical (5% return before expenses)		1,000.00		1,024.70	0.10			0.51
Prime Money Market
Institutional Shares
Actual		1,000.00		1,026.70	0.12			0.61
Hypothetical (5% return before expenses)		1,000.00		1,024.60	0.12			0.61
Treasury Money Market
Institutional Shares
Actual		1,000.00		1,026.70	0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,025.21	0.00			0.00

^(a)	This ratio includes net expenses charged to the corresponding Master Portfolio and includes expense reductions during the period.

^(b)	Expenses are calculated using each Fund’s annualized expense ratio of the Institutional Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	*Government* *Money Market Fund*		*Institutional* *Money Market Fund*			*Prime* *Money Market Fund*		*Treasury* *Money Market Fund*
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	167,285,009	$	5,814,334,517		$	7,521,905,359	$	185,484,268

Total Assets		167,285,009		5,814,334,517			7,521,905,359		185,484,268

LIABILITIES
Payables:
Distribution to shareholders		541,710		26,471,006			32,274,992		808,516
Administration fees (Note 2)		9,407		270,568			376,504		3,913
Distribution fees – Aon Captives Shares (Note 2)		—		17,696			—		—
Accrued expenses (Note 2):
Professional fees		15,954		16,904			18,573		15,940
Independent trustees’ fees		—		—			—		46

Total Liabilities		567,071		26,776,174			32,670,069		828,415

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Net assets consist of:
Paid-in capital	$	166,717,938	$	5,787,527,843		$	7,489,172,421	$	184,655,853
Undistributed net investment income		—		31,320			5,563		—
Undistributed net realized gain (accumulated net realized loss)		—		(820	)		57,306		—

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Aon Captives Shares
Net Assets	$	—	$	69,082,724		$	—	$	—

Shares outstanding		—		69,082,172			—		—

Net asset value and offering price per share	$	—	$	1.00		$	—	$	—

Institutional Shares
Net Assets	$	395,262	$	4,198,724,323		$	5,915,836,373	$	126,517,575

Shares outstanding		395,262		4,198,709,058			5,915,789,555		126,517,575

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Premium Shares
Net Assets	$	123,532,104	$	1,321,042,198		$	1,551,648,412	$	2,111,547

Shares outstanding		123,532,104		1,321,031,259			1,551,631,945		2,111,547

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Select Shares
Net Assets	$	42,682,680	$	1,228,948		$	21,642,357	$	55,918,956

Shares outstanding		42,682,680		1,228,941			21,642,773		55,918,956

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Trust Shares
Net Assets	$	107,892	$	197,480,150		$	108,148	$	107,775

Shares outstanding		107,892		197,480,202			108,148		107,775

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	*Government* *Money Market Fund*			*Institutional* *Money Market Fund*			*Prime* *Money Market Fund*			*Treasury* *Money Market Fund*
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	8,739,812		$	279,166,390		$	441,029,206		$	4,303,455
Expenses^(a)		(144,105	)		(4,242,262	)		(7,058,243	)		—

Net investment income allocated from corresponding Master Portfolio		8,595,707			274,924,128			433,970,963			4,303,455

FUND EXPENSES (Note 2)
Administration fees		147,743			3,219,246			4,832,189			45,857
Distribution fees – Aon Captives Shares		—			76,420			—			—
Professional fees		16,432			31,129			41,730			16,130
Independent trustees’ fees		827			22,919			38,951			302

Total fund expenses		165,002			3,349,714			4,912,870			62,289
Less expense reductions (Note 2)		(20,104	)		(1,237,001	)		(543,539	)		(55,460	)

Net fund expenses		144,898			2,112,713			4,369,331			6,829

Net investment income		8,450,809			272,811,415			429,601,632			4,296,626

REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			1,322			57,306			—

Net realized gain		—			1,322			57,306			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,450,809		$	272,812,737		$	429,658,938		$	4,296,626

^(a)	Net of investment advisory fee reductions in the amounts of $55,520, $1,330,207, $1,790,931 and $108,850, respectively.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Fund*						*Institutional Money Market Fund*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,450,809		$	29,123,137		$	272,811,415		$	213,360,485
Net realized gain		—			—			1,322			32,325

Net increase in net assets resulting from operations		8,450,809			29,123,137			272,812,737			213,392,810

Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(3,715,877	)		(2,943,319	)
Institutional Shares		(2,592,685	)		(22,103,787	)		(186,931,038	)		(129,993,058	)
Premium Shares		(3,831,192	)		(6,585,019	)		(78,290,437	)		(79,980,794	)
Select Shares		(2,022,076	)		(431,372	)		(291,403	)		(440,285	)
Trust Shares		(4,856	)		(2,959	)		(3,586,798	)		(2,975	)

Total distributions to shareholders		(8,450,809	)		(29,123,137	)		(272,815,553	)		(213,360,431	)

Capital share transactions (Note 3):
Aon Captives Shares		—			—			(8,815,803	)		(28,534,415	)
Institutional Shares		(168,804,945	)		(278,900,244	)		712,850,474			(138,646,363	)
Premium Shares		(59,710,662	)		183,142,328			(482,128,328	)		585,770,940
Select Shares		1,970,382			40,611,873			(23,711,270	)		18,227,811
Trust Shares		4,739			2,785			197,376,819			2,796

Net increase (decrease) in net assets resulting from capital share transactions		(226,540,486	)		(55,143,258	)		395,571,892			436,820,769

Increase (decrease) in net assets		(226,540,486	)		(55,143,258	)		395,569,076			436,853,148
NET ASSETS:
Beginning of year		393,258,424			448,401,682			5,391,989,267			4,955,136,119

End of year	$	166,717,938		$	393,258,424		$	5,787,558,343		$	5,391,989,267

Undistributed net investment income included in net assets at end of year	$	—		$	—		$	31,320		$	3,747

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*Prime Money Market Fund*						*Treasury Money Market Fund*
	*For the* *year ended* *December 31, 2006*			*For the* year ended December 31, 2005			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	429,601,632		$	400,061,034		$	4,296,626		$	683,583
Net realized gain		57,306			8,607			—			—

Net increase in net assets resulting from operations		429,658,938			400,069,641			4,296,626			683,583

Distributions to shareholders:
From net investment income:
Institutional Shares		(296,267,556	)		(231,155,121	)		(3,943,200	)		(590,271	)
Premium Shares		(131,802,661	)		(166,418,165	)		(33,439	)		(87,324	)
Select Shares		(1,540,469	)		(2,484,802	)		(315,134	)		(3,114	)
Trust Shares		(4,899	)		(2,946	)		(4,853	)		(2,874	)

Total distributions to shareholders		(429,615,585	)		(400,061,034	)		(4,296,626	)		(683,583	)

Capital share transactions (Note 3):
Institutional Shares		(606,011,616	)		520,868,715			26,175,036			100,242,105
Premium Shares		(1,682,103,111	)		(2,013,369,862	)		(434,856	)		2,445,981
Select Shares		(59,716,384	)		(88,977,243	)		55,815,617			2,930
Trust Shares		4,782			2,775			4,733			2,691

Net increase (decrease) in net assets resulting from capital share transactions		(2,347,826,329	)		(1,581,475,615	)		81,560,530			102,693,707

Increase (decrease) in net assets		(2,347,782,976	)		(1,581,467,008	)		81,560,530			102,693,707
NET ASSETS:
Beginning of year		9,837,018,266			11,418,485,274			103,095,323			401,616

End of year	$	7,489,235,290		$	9,837,018,266		$	184,655,853		$	103,095,323

Undistributed net investment income included in net assets at end of year	$	5,563		$	13,322		$	—		$	—

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	*Government Money Market Fund — Institutional Shares*
	*Year ended* *Dec. 31, 2006*			*Year ended* *Dec. 31, 2005*			*Period from* *Sep. 1, 2004^(a)* *to Dec. 31, 2004*
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		5.04	%		3.28	%		0.64	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	395		$	169,200		$	448,100
Ratio of expenses to average net assets^(c)		0.12	%		0.03	%		0.00	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.16	%		0.12	%		0.12	%
Ratio of net investment income to average net assets^(c)		4.75	%		3.04	%		1.93	%

^(a)	Commencement of operations.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Institutional Money Market Fund — Institutional Shares*
	*Year ended* *Dec. 31, 2006*			*Year ended* *Dec. 31, 2005*			*Year ended* *Dec. 31, 2004*			*Year ended* *Dec. 31, 2003*			*Year ended* *Dec. 31, 2002*
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01			0.01			0.02
Net realized gain (loss)		0.00	^(a)		(0.00	)^(a)		(0.00	)^(a)		0.00	^(a)		—

Total from investment operations		0.05			0.03			0.01			0.01			0.02

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)		(0.01	)		(0.02	)
Net realized gain		—			—			—			(0.00	)^(a)		(0.00	)^(a)

Total distributions		(0.05	)		(0.03	)		(0.01	)		(0.01	)		(0.02	)

Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Total return		5.11	%		3.29	%		1.39	%		1.14	%		1.83	%

Ratios/Supplemental data:
Net assets, end of year (000s)	$	4,198,724		$	3,485,876		$	3,624,503		$	3,998,225		$	3,327,652
Ratio of expenses to average net assets^(b)		0.10	%		0.05	%		0.06	%		0.12	%		0.12	%
Ratio of expenses to average net assets prior to expense reductions^(b)		0.14	%		0.12	%		0.12	%		n/a			n/a
Ratio of net investment income to average net assets^(b)		4.97	%		3.26	%		1.37	%		1.13	%		1.77	%

⁽^a⁾	Rounds to less than $0.01.

^(b)	These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Prime Money Market Fund — Institutional Shares*
	*Year ended* *Dec. 31, 2006*			*Year ended* *Dec. 31, 2005*			*Year ended* *Dec. 31, 2004*			*Period from* *Apr. 16, 2003^(a)* *to Dec. 31, 2003*
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00
Income from investment operations:
Net investment income		0.05			0.03			0.01			0.01
Net realized gain (loss)		0.00	^(b)		0.00	^(b)		0.00	^(b)		(0.00	)^(b)

Total from investment operations		0.05			0.03			0.01			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)		(0.01	)
Net realized gain		—			—			(0.00	)^(b)		(0.00	)^(b)

Total distributions		(0.05	)		(0.03	)		(0.01	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00

Total return		5.07	%		3.26	%		1.40	%		0.80	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	5,915,836		$	6,521,818		$	6,000,944		$	2,967,075
Ratio of expenses to average net assets^(d)		0.11	%		0.08	%		0.04	%		0.03	%
Ratio of expenses to average net assets prior to expense reductions^(d)		0.14	%		0.12	%		0.12	%		n/a
Ratio of net investment income to average net assets^(d)		4.93	%		3.28	%		1.45	%		1.10	%

^(a)	Commencement of operations.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Treasury Money Market Fund — Institutional Shares*
	*Year ended* *Dec. 31, 2006*			*Year ended* *Dec. 31, 2005*			*Period from* *Sep. 1, 2004^(a)* *to Dec. 31, 2004*
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		5.04	%		3.20	%		0.61	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	126,518		$	100,343		$	100
Ratio of expenses to average net assets^(c)		0.00	%		0.00	%		0.00	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.19	%		0.12	%		0.12	%
Ratio of net investment income to average net assets^(c)		5.03	%		4.03	%		1.82	%

^(a)	Commencement of operations.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the Institutional Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Premium Shares, Select Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Premium Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

1.	SIGNIFICANT ACCOUNTING POLICIES

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 83.96%, 90.92% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2006). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each Fund accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of each Fund based on the relative net assets of each class.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Funds are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

As of December 31, 2006, the tax year-end of the Funds, the components of net distributable earnings on a tax basis were as follows:


*Fund*	*Undistributed* *Ordinary Income*		*Capital and* *Other Losses*			*Net Distributable* *Earnings*
Institutional Money Market	$	31,320	$	(820	)	$	30,500
Prime Money Market		62,869		—			62,869

The tax character of distributions paid for the years ended December 31, 2006 and December 31, 2005 were as follows:


Fund	*2006*		2005
Government Money Market
Distributions paid from:
Ordinary Income	$	8,450,809	$	29,123,137

Total Distributions	$	8,450,809	$	29,123,137

Institutional Money Market
Distributions paid from:
Ordinary Income	$	272,815,553	$	213,360,431

Total Distributions	$	272,815,553	$	213,360,431

Prime Money Market
Distributions paid from:
Ordinary Income	$	429,615,585	$	400,061,034

Total Distributions	$	429,615,585	$	400,061,034

Treasury Money Market
Distributions paid from:
Ordinary Income	$	4,296,626	$	683,583

Total Distributions	$	4,296,626	$	683,583

FEDERAL INCOME TAXES

From November 1, 2006 to December 31, 2006, the Institutional Money Market Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2 and treat it as arising in the year ending December 31, 2007.

As of December 31, 2006, the tax year-end of the Funds, the Institutional Money Market Fund had tax basis net capital loss carryforward of $818 expiring in 2014. Such losses may be applied against any net realized taxable gains in the succeeding year or until the respective expiration date, whichever occurs first.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

SEI Investments Distribution Company (“SEI”) is the Funds’ distributor. SEI does not receive a fee from the Institutional Shares of the Funds for its distribution services.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne directly by the Funds. Beginning May 1, 2006, BGI is entitled to receive for these administration services an annual fee of 0.05% of the average daily net assets of each Fund’s Institutional Shares. Prior to May 1, 2006, BGI was entitled to receive an annual fee of 0.02%. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BGI may delegate certain of its administration duties to sub-administrators.

For the year ended December 31, 2006, BGI waived and/or credited administration fees of $5,384, $845,244, $370,136 and $50,824 for the Institutional Shares of the GMMF, IMMF, PMMF and TMMF, respectively.

Each master portfolio of MIP and other investment companies managed by Barclays Global Fund Advisors (“BGFA”), the Master Portfolios’ investment adviser, may invest in the Institutional Shares of the Funds.

Certain officers and trustees of the Trust are also officers of BGI and/or BGFA. As of December 31, 2006, these officers of BGI and/or BGFA collectively owned less than 1% of the outstanding shares of the Trust.

3.	CAPITAL SHARE TRANSACTIONS

As of December 31, 2006, there was an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Institutional Shares of the Funds were as follows:


	*Government Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	231,521,447		$	231,521,447		3,496,987,064		$	3,496,987,064
Shares issued in reinvestment of dividends and distributions	2,575,110			2,575,110		11,575,759			11,575,759
Shares redeemed	(402,901,502	)		(402,901,502	)	(3,787,463,067	)		(3,787,463,067	)

Net decrease	(168,804,945	)	$	(168,804,945	)	(278,900,244	)	$	(278,900,244	)

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)


	*Institutional Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	36,154,309,000		$	36,154,309,000		50,465,914,687		$	50,465,914,687
Shares issued in reinvestment of dividends and distributions	51,047,284			51,047,284		25,494,250			25,494,250
Shares redeemed	(35,492,505,810	)		(35,492,505,810	)	(50,630,055,300	)		(50,630,055,300	)

Net increase (decrease)	712,850,474		$	712,850,474		(138,646,363	)	$	(138,646,363	)


	*Prime Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	42,090,233,316		$	42,090,233,316		49,352,419,789		$	49,352,419,789
Shares issued in reinvestment of dividends and distributions	137,659,445			137,659,445		83,685,767			83,685,767
Shares redeemed	(42,833,904,377	)		(42,833,904,377	)	(48,915,236,841	)		(48,915,236,841	)

Net increase (decrease)	(606,011,616	)	$	(606,011,616	)	520,868,715		$	520,868,715


	*Treasury Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	615,320,000		$	615,320,000		100,000,000		$	100,000,000
Shares issued in reinvestment of dividends and distributions	353,087			353,087		242,105			242,105
Shares redeemed	(589,498,051	)		(589,498,051	)	—			—

Net increase	26,175,036		$	26,175,036		100,242,105		$	100,242,105

4.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. The Securities and Exchange Commission staff has stated that it would not object if a fund does not implement FIN 48 in its NAV calculation until the date of the fund’s last NAV calculation in the first required financial statement reporting period for its fiscal year beginning after December 15, 2006. The Trust is currently evaluating the impact of applying the various provisions of FIN 48.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Government Money Market Fund, Institutional Money Market Fund, Prime Money Market Fund and Treasury Money Market Fund, each a series of Barclays Global Investors Funds, (the “Funds”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented, and the financial highlights for the Institutional Share Class for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION (Unaudited)

Pursuant to Section 871(k)(1)(C) of the Internal Revenue Code, the Funds hereby designate the following maximum amounts allowable as interest-related dividends for the tax year ended December 31, 2006:


*Fund*	*Interest-Related* *Dividends*
Government Money Market	$	8,450,809
Institutional Money Market		227,229,125
Prime Money Market		386,343,807
Treasury Money Market		4,296,626

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Interested Trustees and Officers


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2005) of Global Index and Markets Group of BGI; Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director (since 2005) of Barclays Global Fund Advisors; Director, President and Chief Executive Officer (since 2005) of Barclays Global Investors International, Inc.; Director, Chairman and Chief Executive Officer (since 2005) of Barclays Global Investors Services; Chief Executive Officer (1999-2003) of the Individual Investor Business of BGI.	Director (since 2003) of BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director and Chief Financial Officer (since 2005) of Barclays Global Investors International, Inc.; Director (2000-2003) of Mutual Fund Delivery in the U.S. Individual Investor Business of BGI.	None.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii; Director (since 2002) and Chairman of the Board (since 2005) of PBS (Public Broadcasting Service); Advisory Committee Member (since 1999) of Stanford Institute for Economic Policy Research; Director (since 1998) of Commonwealth Club of California; Advisory Committee Member (since 1992) of Pacific Forum/CSIS.

A. John Gambs, 1945	Trustee (since 2006).	Retired.	Trustee (since 2006) of MIP; Governor (since 2001) and Vice President (since 2002) of San Francisco Symphony; Trustee (1995-2005) of Marin Country Day School; Trustee (2000-2004) of Marin Academy; President and Director (since 1997) of the Gambs Family Foundation.

Wendy Paskin-Jordan, 1956	Trustee (since 2006).	Managing Partner (since 1999) of Paskin & Kahr Capital Management; Registered Representative (since 2005) of ThinkEquity Partners (broker-dealer); Registered Representative (1999-2005) of ePlanning Securities, Inc. (broker-dealer).	Trustee (since 2006) of MIP; Director (since 2001) of California State Automobile Association; Director (since 2001) of Maier Siebel Baber; Trustee (since 2005) of World Affairs Council of Northern California.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees (Continued)

Name, Year of Birth

Position(s),

Length of Service

Principal Occupation(s) During Past Five Years

Other Directorships Held

Leo Soong,

1946

Trustee (since 2000) and Lead Trustee (since 2006).

President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder (President through 1999) of Crystal Geyser Water Co.

Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association; Director (since 2001) of Flash Electronics.

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $35,580,341 (collateralized by U.S. Government obligations, value $36,270,589, 5.71%, 12/1/36).	$	35,559,400	$	35,559,400
Credit Suisse First Boston Tri-Party, 5.32%, due 1/2/07, maturity value $35,580,420 (collateralized by U.S. Government obligations, value $36,275,356, 4.50% to 6.05%, 3/1/34 to 9/1/36).		35,559,400		35,559,400
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $35,580,499 (collateralized by U.S. Government obligations, value $36,271,158, 4.63%, 10/15/13).		35,559,400		35,559,400
Lehman Brothers Holdings Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $35,580,341 (collateralized by U.S. Government obligations, value $36,271,742, 3.50% to 8.68%, 2/1/16 to 10/1/44).		35,559,400		35,559,400
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $25,014,806 (collateralized by U.S. Government obligations, value $25,752,858, 0.00% to 5.80%, 5/16/31 to 10/15/36).		25,000,000		25,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $167,237,600)				167,237,600

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $167,237,600)				167,237,600

Other Assets, Less Liabilities – 0.03%				47,409

NET ASSETS – 100.00%			$	167,285,009

The accompanying notes are an integral part of these financial statements.

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 1.81%
Calyon
5.18%, 03/30/07	$	50,000,000	$	50,000,000
Wells Fargo Bank N.A.
4.80%, 01/29/07		75,000,000		74,997,616

TOTAL CERTIFICATES OF DEPOSIT (Cost: $124,997,616)				124,997,616

COMMERCIAL PAPER – 26.52%
Amstel Funding Corp.
5.12%, 06/01/07^(a)		41,621,000		40,715,327
5.22%, 04/16/07^(a)		50,000,000		49,224,250
5.25%, 02/13/07^(a)		20,000,000		19,868,750
Beta Finance Inc.
5.23%, 03/29/07^(a)		67,000,000		66,133,708
Cantabric Finance LLC
5.24%, 03/07/07^(a)		50,000,000		49,512,389
5.25%, 03/06/07^(a)		100,000,000		99,037,500
5.26%, 01/30/07^(a)		20,000,000		19,909,411
Cheyne Finance LLC
5.27%, 02/09/07^(a)		31,000,000		30,813,940
Cobbler Funding Ltd.
5.38%, 01/25/07^(a)		56,000,000		55,782,409
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		25,000,000		24,952,469
Curzon Funding LLC
5.24%, 02/27/07^(a)		50,000,000		49,570,611
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		84,360,000		84,023,403
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
Harrier Finance Funding LLC
5.12%, 06/06/07^(a)		80,000,000		78,204,066
Kestrel Funding LLC
5.25%, 01/10/07^(a)		25,000,000		24,959,896
KKR Pacific Funding Trust
5.38%, 01/23/07^(a)		100,000,000		99,641,334
Lexington Parker Capital Co. LLC
5.19%, 05/17/07^(a)		75,000,000		73,509,312
5.20%, 04/12/07^(a)		5,000,000		4,925,611
5.21%, 04/11/07^(a)		51,364,000		50,605,782
5.26%, 02/14/07^(a)		129,261,000		128,392,222
Nelnet Student Asset Funding LLC
5.35%, 01/16/07^(a)		30,249,000		30,172,579
5.35%, 01/23/07^(a)		18,958,000		18,890,383
Nestle Capital Corp.
5.19%, 08/09/07^(a)		15,000,000		14,519,925
Polonius Inc.
5.26%, 02/20/07^(a)		39,150,000		38,852,547
Prudential Funding LLC
5.26%, 01/25/07^(a)		20,000,000		19,924,022
Sedna Finance Inc.
5.22%, 04/17/07^(a)		50,000,000		49,217,000
5.26%, 01/31/07^(a)		100,000,000		99,532,445
Sigma Finance Inc.
5.21%, 05/03/07^(a)		75,000,000		73,654,084
5.26%, 02/21/07^(a)		30,000,000		29,767,683
Simba Funding Corp.
5.26%, 01/26/07^(a)		26,630,000		26,524,945
Societe Generale North America Inc.
5.10%, 08/13/07		140,000,000		135,522,061
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		65,000,000		63,507,889
Thames Asset Global Securitization No. 1 Inc.
5.26%, 01/22/07^(a)		35,013,000		34,895,337
5.33%, 01/22/07^(a)		50,000,000		49,829,736

TOTAL COMMERCIAL PAPER (Cost: $1,836,715,896)				1,836,715,896

MEDIUM-TERM NOTES – 2.31%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		70,000,000		70,000,000
5.18%, 03/15/07^(a)		20,000,000		20,000,000
Kimberly-Clark Corp.
5.26%, 12/19/07^(a)		35,000,000		35,000,000
Sigma Finance Inc.
5.35%, 04/27/07^(a)		35,000,000		34,998,867

TOTAL MEDIUM-TERM NOTES (Cost: $159,998,867)				159,998,867

REPURCHASE AGREEMENTS – 30.33%
Bank of America N.A. Tri-Party, 5.30%, due 1/2/07, maturity value $40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50% to 8.19%, 8/1/35 to 10/1/36).		40,000,000		40,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.37%, due 1/2/07, maturity value $150,089,500 (collateralized by U.S. Government obligations, value $153,003,074, 4.00% to 11.00%, 1/1/08 to 1/1/37).		150,000,000		150,000,000
BNP Securities Corp. Tri-Party, 5.36%, due 1/2/07, maturity value $10,005,956 (collateralized by non-U.S. Government debt securities, value $10,500,001, 5.46%, 3/15/08).		10,000,000		10,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Citigroup Global Markets Holdings Inc. Tri-Party, 5.42%, due 1/2/07, maturity value $50,030,111 (collateralized by non-U.S. Government debt securities, value $56,422,383, 0.00% to 10.00%, 5/27/33 to 12/21/36).	$	50,000,000	$	50,000,000
Citigroup Global Markets Holdings Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $250,151,667 (collateralized by non- U.S. Government debt securities, value $275,473,985, 0.00% to 10.00%, 5/27/33 to 12/21/36).		250,000,000		250,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $40,023,644 (collateralized by U.S. Government obligations, value $40,802,485, 5.47% to 5.99%, 2/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.31%, due 1/2/07, maturity value $400,236,000 (collateralized by U.S. Government obligations, value $408,000,000, 5.00% to 6.50%, 3/1/26 to 12/1/36).		400,000,000		400,000,000
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by U.S. Government obligations, value $51,500,000, 5.58% to 6.32%, 7/15/23 to 8/15/35).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.35%, due 1/2/07, maturity value $100,059,444 (collateralized by non-U.S. Government debt securities, value $105,000,000, 5.94% to 6.00%, 6/25/36 to 10/25/36).		100,000,000		100,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $210,000,000, 0.00% to 6.50%, 3/20/10 to 5/25/46).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $25,015,167 (collateralized by non- U.S. Government debt securities, value $26,250,000, 0.00% to 10.00%, 1/1/10).		25,000,000		25,000,000
Greenwich Capital Markets Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by non-U.S. Government debt securities, value $57,037,399, 0.41% to 7.50%, 4/1/36 to 8/15/36).		50,000,000		50,000,000
HSBC Securities Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $50,029,778 (collateralized by non-U.S. Government debt securities, value $52,500,031, 5.28% to 5.35%, 7/1/24 to 6/1/46).		50,000,000		50,000,000
JP Morgan Securities Inc. Tri-Party, 5.41%, due 1/2/07, maturity value $15,009,017 (collateralized by non-U.S. Government debt securities, value $15,750,749, 7.19%, 4/1/11).		15,000,000		15,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $250,151,111 (collateralized by non-U.S. Government debt securities, value $261,626,384, 0.00% to 11.19%, 1/16/07 to 12/15/36).		250,000,000		250,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,004,002, 4.19% to 7.28%, 10/1/30 to 7/1/36).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,349, 5.62% to 5.65%, 2/20/34 to 7/15/36).		40,000,000		40,000,000
Morgan Stanley Tri-Party, 5.51%, due 1/4/08, maturity value $264,195,903 (collateralized by non-U.S. Government debt securities, value $271,084,771, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(b)		250,000,000		250,000,000
Wachovia Capital Tri-Party, 5.38%, due 1/2/07, maturity value $80,047,822 (collateralized by non-U.S. Government debt securities, value $84,000,001, 4.35% to 6.23%, 1/20/22 to 11/15/48).		80,000,000		80,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,100,000,000)				2,100,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
TIME DEPOSITS – 1.01%
Rabobank Nederland NV
5.25%, 01/02/07	$	70,189,000	$	70,189,000

TOTAL TIME DEPOSITS (Cost: $70,189,000)				70,189,000

VARIABLE & FLOATING RATE NOTES – 37.68%
Allstate Life Global Funding II
5.33%, 11/02/07		30,000,000		30,000,000
5.36%, 01/25/08^(a)		50,000,000		50,000,000
5.39%, 01/15/08^(a)		35,000,000		35,010,440
5.40%, 01/08/08^(a)		11,000,000		11,003,070
5.43%, 01/15/08^(a)		25,000,000		25,007,536
American Immigration Lawyers Association Inc.
5.40%, 01/02/07^(a)		3,600,000		3,600,000
AmeriCredit Automobile Receivables Trust Series 2006-BG Class A1
5.35%, 10/09/07		9,877,748		9,877,748
ANZ National International Ltd.
5.35%, 12/07/07^(a)		75,000,000		75,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(a)		35,000,000		35,000,000
Bank of America N.A.
5.28%, 04/20/07		30,000,000		30,000,000
Bank of Ireland
5.35%, 08/20/07^(a)		70,000,000		70,000,000
Capital Auto Receivables Asset Trust Series 2006-2 Class A1
5.34%, 12/15/07		64,000,000		64,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		33,000,000		33,000,000
Commodore CDO Ltd. 2003-2A Class A1MM
5.44%, 12/12/07^(a)		25,000,000		25,000,000
Credit Suisse First Boston NY
5.38%, 04/24/07		25,000,000		25,000,409
5.43%, 08/21/07		15,000,000		15,000,000
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(a)		14,446,125		14,446,125
DEPFA Bank PLC
5.40%, 09/14/07^(a)		100,000,000		100,000,000
Great America Leasing Receivables Series 2006-1 Class A1
5.40%, 11/15/07^(a)		29,390,632		29,390,632
Harrier Finance Funding LLC
5.32%, 08/07/07^(a)		50,000,000		49,993,934
5.36%, 07/20/07^(a)		25,000,000		25,002,678
5.36%, 07/25/07^(a)		15,000,000		15,001,746
5.36%, 08/13/07^(a)		30,000,000		30,003,662
HBOS Treasury Services PLC
5.44%, 01/24/08^(a)		50,000,000		50,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		82,000,000		82,000,000
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)		30,000,000		30,000,000
Jordan Brick Co. Inc.
5.35%, 01/02/07^(a)		46,000,000		46,000,000
JPMorgan Chase & Co.
5.32%, 08/02/07		75,000,000		75,000,000
5.40%, 07/27/07		100,000,000		100,000,000
K2 USA LLC
5.39%, 06/04/07^(a)		60,000,000		60,000,000
Kestrel Funding LLC
5.33%, 07/11/07^(a)		25,000,000		24,998,589
Kommunalkredit Austria AG
5.35%, 01/09/08^(a)		40,000,000		40,000,000
Lakeline Austin Development Ltd.
5.35%, 01/02/07^(a)		9,800,000		9,800,000
Leafs LLC
5.35%, 02/20/07^(a)		19,807,569		19,807,574
Marshall & Ilsley Bank
5.35%, 01/15/08		60,000,000		60,000,000
Master Funding LLC
5.38%, 04/25/07^(a)		60,000,000		60,000,000
5.38%, 05/25/07^(a)		50,000,000		50,000,000
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		60,000,000		60,000,000
MetLife Insurance Co. of Connecticut
5.45%, 02/02/07^(a)(b)		50,000,000		50,000,000
5.45%, 07/18/07^(a)(b)		25,000,000		25,000,000
5.46%, 08/17/07^(a)(b)		50,000,000		50,000,000
Natexis Banques Populaires
5.36%, 09/14/07^(a)		50,000,000		50,000,000
5.37%, 12/07/07^(a)		40,000,000		40,000,000
Nationwide Building Society
5.44%, 10/26/07^(a)		100,000,000		100,000,000
Nordea Bank AB
5.36%, 09/11/07^(a)		75,000,000		75,000,000
Northern Rock PLC
5.39%, 08/03/07^(a)		70,000,000		70,000,000
Northlake CDO I Series 1A Class IMM-1A
5.42%, 03/06/07^(a)		15,000,000		15,000,000
Permanent Financing PLC Series 9A Class 1A
5.32%, 03/10/07^(a)		60,000,000		60,000,000
Pricoa Global Funding I
5.34%, 11/27/07		65,000,000		65,000,000
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(a)		50,000,000		50,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Societe Generale
5.34%, 07/02/07^(a)	$	30,000,000	$	30,000,000
Strips III LLC
5.40%, 08/24/07^(a)		15,772,835		15,772,835
Trap Rock Industry Inc.
5.35%, 01/02/07^(a)		19,370,000		19,370,000
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		50,000,000		50,000,000
5.36%, 06/15/07^(a)		25,000,000		25,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		37,650,695		37,650,695
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		43,806,528		43,806,528
Westpac Banking Corp.
5.39%, 07/11/07		70,000,000		70,000,000
Wind Master Trust
5.34%, 07/25/07^(a)		25,000,000		25,000,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $2,609,541,630)				2,609,541,630

TOTAL INVESTMENTS IN SECURITIES – 99.66% (Cost: $6,901,443,009)				6,901,443,009

Other Assets, Less Liabilities – 0.34%				23,521,880

NET ASSETS – 100.00%			$	6,924,964,889

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 2.66%
Calyon
4.84%, 01/30/07	$	50,000,000	$	50,000,204
5.18%, 03/30/07		70,000,000		70,000,000
Credit Suisse First Boston NY
5.40%, 06/04/07		100,000,000		100,000,000

TOTAL CERTIFICATES OF DEPOSIT (Cost: $220,000,204)				220,000,204

COMMERCIAL PAPER – 15.50%
Amstel Funding Corp.
5.25%, 02/13/07^(a)		10,000,000		9,934,375
Atlantis One Funding
5.20%, 02/28/07^(a)		100,000,000		99,133,333
Beta Finance Inc.
5.24%, 03/15/07^(a)		100,000,000		98,908,334
Cheyne Finance LLC
5.38%, 10/31/07^(a)		30,000,000		29,994,986
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		20,000,000		19,961,975
Five Finance Inc.
5.21%, 04/16/07^(a)		34,000,000		33,473,500
5.22%, 04/23/07^(a)		30,000,000		29,504,100
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
5.07%, 09/07/07		40,000,000		38,586,033
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		100,000,000		99,601,000
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
K2 USA LLC
5.21%, 04/12/07^(a)		47,900,000		47,185,984
Lexington Parker Capital Co. LLC
5.26%, 02/14/07^(a)		116,374,000		115,591,837
5.27%, 01/12/07^(a)		30,000,000		29,942,963
Nestle Capital Corp.
5.19%, 08/09/07^(a)		25,000,000		24,199,875
Park Sienna LLC
5.35%, 01/02/07^(a)		17,371,000		17,363,256
Sedna Finance Inc.
5.22%, 04/20/07^(a)		56,000,000		55,098,680
Sigma Finance Inc.
5.26%, 02/21/07^(a)		50,000,000		49,612,805
Societe Generale North America Inc.
5.10%, 08/13/07		125,000,000		121,001,840
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		100,000,000		97,704,445
Sydney Capital Corp.
5.26%, 02/14/07^(a)		85,400,000		84,826,017
Unicredito Italiano Bank Ireland
5.21%, 05/07/07^(a)		80,000,000		78,518,045

TOTAL COMMERCIAL PAPER (Cost: $1,282,266,253)				1,282,266,253

MEDIUM-TERM NOTES – 4.06%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		110,000,000		110,000,000
5.18%, 03/15/07^(a)		30,000,000		30,000,000
5.36%, 04/25/07^(a⁾		31,000,000		31,000,000
5.44%, 08/23/07^(a)		25,000,000		25,000,000
Sigma Finance Inc.
4.78%, 01/26/07^(a)		75,000,000		75,000,000
5.35%, 04/27/07^(a)		65,000,000		64,997,894

TOTAL MEDIUM-TERM NOTES (Cost: $335,997,894)				335,997,894

REPURCHASE AGREEMENTS – 25.62%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50%, 10/1/36).		40,000,000		40,000,000
Banc of America Securities LLC Tri-Party, 5.36%, due 1/2/07, maturity value $300,178,667 (collateralized by non-U.S. Government debt securities, value $330,000,001, 5.30% to 7.08%, 9/15/09 to 5/1/19).		300,000,000		300,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.32%, due 1/2/07, maturity value $300,177,333 (collateralized by U.S. Government obligations, value $306,002,447, 4.50% to 9.00%, 3/1/08 to 12/1/36).		300,000,000		300,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $40,023,644 (collateralized by U.S. Government obligations, value $40,802,553, 5.33% to 5.99%, 6/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by non-U.S. Government debt securities, value $52,500,001, 2.28% to 5.65%, 8/15/07 to 6/12/41).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.31%, due 1/2/07, maturity value $500,295,000 (collateralized by U.S. Government obligations, value $510,000,000, 4.00% to 6.00%, 3/1/19 to 12/1/36).		500,000,000		500,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $150,089,333 (collateralized by non-U.S. Government debt securities, value $183,750,001, 0.00% to 10.00%, 1/1/07 to 12/31/36).	$	150,000,000	$	150,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $204,000,001, 5.31% to 5.42%, 1/12/07 to 3/26/07).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by U.S. Government obligations, value $51,000,348, 4.50%, 11/15/12 to 7/15/13).		50,000,000		50,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $210,002,614, 1.34% to 9.48%, 1/18/11 to 10/15/49).		200,000,000		200,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,000,067, 3.94% to 7.09%, 1/1/13 to 4/1/40).		50,000,000		50,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $150,090,667 (collateralized by non-U.S. Government debt securities, value $154,501,620, 3.95% to 8.88%, 10/24/08 to 12/1/66).		150,000,000		150,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $50,030,222 (collateralized by non-U.S. Government debt securities, value $51,503,498, 3.34% to 8.75%, 6/15/07 to 12/1/66).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,437, 5.62%, 7/15/36).		40,000,000		40,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,120,000,000)				2,120,000,000

TIME DEPOSITS – 2.35%
Rabobank Nederland NV
5.25%, 01/02/07		194,283,000		194,283,000

TOTAL TIME DEPOSITS (Cost: $194,283,000)				194,283,000

VARIABLE & FLOATING RATE NOTES – 49.32%
Allstate Life Global Funding II
5.33%, 11/02/07		45,000,000		45,000,000
5.36%, 01/25/08^(a)		160,000,000		160,005,461
5.39%, 01/15/08^(a)		85,000,000		85,026,161
5.40%, 01/08/08^(a)		58,000,000		58,007,669
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(a)		50,000,000		50,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
5.41%, 05/03/07^(a)		30,400,000		30,405,277
Bank of America N.A.
5.28%, 04/20/07		50,000,000		50,000,000
Beta Finance Inc.
5.41%, 06/27/07^(a)		55,000,000		55,010,569
Carlyle Loan Investment Ltd. Series 2006-1A Class 1
5.40%, 04/13/07^(a)		12,000,000		12,000,000
Carlyle Loan Investment Ltd. Series 2006-2A Class 1
5.40%, 05/15/07^(a)		15,000,000		15,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		62,000,000		62,000,000
Citigroup Global Markets Holdings Inc.
5.35%, 04/30/07		400,000,000		400,000,000
DEPFA Bank PLC
5.40%, 09/14/07^(a)		50,000,000		50,000,000
Dorada Finance Inc.
5.41%, 06/27/07^(a)		70,000,000		70,013,452
Five Finance Inc.
5.31%, 06/29/07^(a)		60,000,000		59,994,050
General Electric Capital Corp.
5.31%, 01/24/08		65,000,000		65,000,000
Harrier Finance Funding LLC
5.36%, 08/13/07^(a)		45,000,000		45,005,493
Hartford Life Global Funding Trust
5.37%, 01/15/08		100,000,000		100,000,000
Holmes Financing PLC Series 10A Class 1A
5.32%, 07/15/07^(a)		150,000,000		150,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		93,000,000		93,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)	$	45,000,000	$	45,000,000
K2 USA LLC
5.33%, 06/28/07^(a)		60,000,000		59,997,041
Kestrel Funding LLC
5.33%, 07/11/07^(a)		35,000,000		34,998,024
Leafs LLC
5.35%, 01/22/07^(a)		74,563,334		74,563,334
5.35%, 12/20/07^(a)		49,632,000		49,632,000
Links Finance LLC
5.31%, 05/10/07^(a)		85,000,000		84,996,888
5.35%, 05/16/07^(a)		55,000,000		54,997,936
Lothian Mortgages Master Issuer PLC Series 2006-1A Class A1
5.32%, 04/24/07^(a)		54,106,191		54,106,191
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		65,000,000		65,000,000
Metropolitan Life Global Funding I
5.36%, 08/06/07^(a)		139,680,000		139,686,160
MetLife Insurance Co. of Connecticut
5.45%, 08/01/07^(a)(b)		15,000,000		15,000,000
5.48%, 07/25/07^(a)(b)		50,000,000		50,000,000
Morgan Stanley
5.37%, 10/03/07		100,000,000		100,000,000
Mound Financing PLC Series 5A Class 1A
5.32%, 05/08/07^(a)		81,000,000		81,000,000
Nationwide Building Society
5.38%, 01/07/08^(a)		100,000,000		100,000,000
5.44%, 10/26/07^(a)		50,000,000		50,000,000
Newcastle CDO Ltd. Series 2005-6A Class IM1
5.37%, 04/24/07^(a)		45,000,000		44,995,763
Permanent Financing PLC Series 9A Class 1A
5.32%, 03/10/07^(a)		100,000,000		100,000,000
Principal Life Global Funding I
5.80%, 02/08/07^(a)		55,000,000		55,026,671
Rabobank Nederland NV
5.33%, 11/15/07^(a)		140,000,000		140,000,000
Royal Bank of Scotland
4.81%, 01/29/07		50,000,000		49,998,412
Sedna Finance Inc.
5.33%, 05/25/07^(a)		55,000,000		54,997,800
Strips III LLC
5.40%, 07/24/07^(a)		20,579,555		20,579,555
Tango Finance Corp.
5.30%, 07/11/07^(a)		55,000,000		54,994,299
5.32%, 06/15/07^(a)		50,000,000		49,999,017
5.33%, 06/21/07^(a)		40,000,000		39,998,090
5.35%, 07/16/07^(a)		53,000,000		52,996,941
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		100,000,000		100,000,000
5.37%, 06/21/07^(a)		50,000,000		50,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		18,825,348		18,825,348
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		65,709,792		65,709,792
Wal-Mart Stores Inc.
5.50%, 07/15/07^(a)		10,000,000		10,003,652
WhistleJacket Capital Ltd.
5.31%, 04/18/07^(a)		60,000,000		59,996,417
5.35%, 06/13/07^(a)		45,000,000		45,003,110
5.37%, 03/01/07^(a)		25,000,000		25,000,625
White Pine Finance LLC
5.31%, 07/16/07^(a)		70,000,000		69,992,384
5.32%, 05/22/07^(a)		70,000,000		69,993,145
5.32%, 08/20/07^(a)		80,000,000		79,985,476
Wind Master Trust
5.34%, 07/25/07^(a)		32,870,000		32,870,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,080,409,632)				4,080,409,632

TOTAL INVESTMENTS IN SECURITIES – 99.51% (Cost: $8,232,956,983)				8,232,956,983

Other Assets, Less Liabilities – 0.49%				40,125,642

NET ASSETS – 100.00%			$	8,273,082,625

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 4.60%, due 1/2/07, maturity value $41,378,938 (collateralized by U.S. Government obligations, value $42,185,443, 3.25%, 8/15/07).	$	41,357,800	$	41,357,800
Credit Suisse First Boston Tri-Party, 4.90%, due 1/2/07, maturity value $41,380,317 (collateralized by U.S. Government obligations, value $42,189,207, 3.25% to 13.25%, 8/15/07 to 8/15/28).		41,357,800		41,357,800
Goldman Sachs Group Inc. Tri-Party, 4.70%, due 1/2/07, maturity value $41,379,398 (collateralized by U.S. Government obligations, value $42,185,317, 6.13%, 8/15/07).		41,357,800		41,357,800
Lehman Brothers Holdings Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $41,379,168 (collateralized by U.S. Government obligations, value $42,186,482, 3.13% to 7.50%, 5/15/07 to 11/15/27).		41,357,800		41,357,800
Merrill Lynch & Co. Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $20,010,333 (collateralized by U.S. Government obligations, value $20,403,435, 4.50% to 5.25%, 1/15/14 to 4/18/16).		20,000,000		20,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $185,431,200)				185,431,200

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $185,431,200)				185,431,200

Other Assets, Less Liabilities – 0.03%				53,068
NET ASSETS – 100.00%			$	185,484,268

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2006


Government Money Market Master Portfolio
*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	167,237,600	99.97	%
Other Net Assets		47,409	0.03

TOTAL	$	167,285,009	100.00	%

Money Market Master Portfolio
*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	2,609,541,630	37.68	%
Repurchase Agreements		2,100,000,000	30.33
Commercial Paper		1,836,715,896	26.52
Medium-Term Notes		159,998,867	2.31
Certificates of Deposit		124,997,616	1.81
Time Deposits		70,189,000	1.01
Other Net Assets		23,521,880	0.34

TOTAL	$	6,924,964,889	100.00	%

Prime Money Market Master Portfolio
*Asset Type*	*Value*		% of Net Assets
Variable & Floating Rate Notes	$	4,080,409,632	49.32	%
Repurchase Agreements		2,120,000,000	25.62
Commercial Paper		1,282,266,253	15.50
Medium-Term Notes		335,997,894	4.06
Certificates of Deposit		220,000,204	2.66
Time Deposits		194,283,000	2.35
Other Net Assets		40,125,642	0.49

TOTAL	$	8,273,082,625	100.00	%

Treasury Money Market Master Portfolio
*Asset Type*	*Value*		% of Net Assets
Repurchase Agreements	$	185,431,200	99.97	%
Other Net Assets		53,068	0.03

TOTAL	$	185,484,268	100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	*Government* *Money Market* *Master Portfolio*		*Money Market* *Master Portfolio*		*Prime* *Money Market* *Master Portfolio*		*Treasury* *Money Market* *Master Portfolio*
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—	$	4,801,443,009	$	6,112,956,983	$	—
Repurchase agreements, at value and cost (Note 1)		167,237,600		2,100,000,000		2,120,000,000		185,431,200
Cash		386		291		830		203
Receivables:
Interest		74,103		23,984,641		40,602,651		72,717
Due from investment adviser		—		—		—		3,007

Total Assets		167,312,089		6,925,427,941		8,273,560,464		185,507,127

LIABILITIES
Payables:
Investment advisory fees (Note 2)		4,251		438,446		451,456		—
Accrued expenses (Note 2):
Professional fees		22,829		24,606		26,383		22,809
Independent trustees’ fees		—		—		—		50

Total Liabilities		27,080		463,052		477,839		22,859

NET ASSETS	$	167,285,009	$	6,924,964,889	$	8,273,082,625	$	185,484,268

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	*Government* *Money Market* *Master Portfolio*			*Money Market* *Master Portfolio*			*Prime* *Money Market* *Master Portfolio*			*Treasury* *Money Market* *Master Portfolio*
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	8,739,812		$	331,165,036		$	513,690,122		$	4,303,455

Total investment income		8,739,812			331,165,036			513,690,122			4,303,455

EXPENSES (Note 2)
Investment advisory fees		175,487			6,536,796			10,219,789			85,545
Professional fees		23,305			41,107			53,649			22,999
Independent trustees’ fees		833			27,466			46,243			306

Total expenses		199,625			6,605,369			10,319,681			108,850
Less expense reductions (Note 2)		(55,520	)		(1,585,927	)		(2,055,676	)		(108,850	)

Net expenses		144,105			5,019,442			8,264,005			—

Net investment income		8,595,707			326,145,594			505,426,117			4,303,455

REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			1,615			65,629			—

Net realized gain		—			1,615			65,629			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,595,707		$	326,147,209		$	505,491,746		$	4,303,455

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Master Portfolio*						*Money Market Master Portfolio*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,595,707		$	29,247,583		$	326,145,594		$	237,180,094
Net realized gain		—			—			1,615			35,169

Net increase in net assets resulting from operations		8,595,707			29,247,583			326,147,209			237,215,263

Interestholder transactions:
Contributions		797,609,141			7,564,992,045			38,273,990,665			58,641,619,347
Withdrawals		(1,033,386,805	)		(7,648,995,142	)		(37,977,755,985	)		(58,107,077,434	)

Net increase (decrease) in net assets resulting from interestholder transactions		(235,777,664	)		(84,003,097	)		296,234,680			534,541,913

Increase (decrease) in net assets		(227,181,957	)		(54,755,514	)		622,381,889			771,757,176
NET ASSETS:
Beginning of year		394,466,966			449,222,480			6,302,583,000			5,530,825,824

End of year	$	167,285,009		$	394,466,966		$	6,924,964,889		$	6,302,583,000


	*Prime Money Market Master Portfolio*						*Treasury Money Market Master Portfolio*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	505,426,117		$	452,846,366		$	4,303,455		$	685,155
Net realized gain		65,629			9,750			—			—

Net increase in net assets resulting from operations		505,491,746			452,856,116			4,303,455			685,155

Interestholder transactions:
Contributions		64,798,575,033			79,992,322,542			778,069,880			219,416,585
Withdrawals		(68,524,371,054	)		(81,445,952,186	)		(700,382,564	)		(117,010,598	)

Net increase (decrease) in net assets resulting from interestholder transactions		(3,725,796,021	)		(1,453,629,644	)		77,687,316			102,405,987

Increase (decrease) in net assets		(3,220,304,275	)		(1,000,773,528	)		81,990,771			103,091,142
NET ASSETS:
Beginning of year		11,493,386,900			12,494,160,428			103,493,497			402,355

End of year	$	8,273,082,625		$	11,493,386,900		$	185,484,268		$	103,493,497

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”).

1.	SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

The Master Portfolios use the amortized cost method of valuation to determine the value of their portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premium and accrete discount using a constant yield to maturity method.

FEDERAL INCOME TAXES

In the case of Master Portfolios with only one interestholder, such as the Government Money Market and Treasury Money Market Master Portfolios, MIP believes that such Master Portfolios will not be treated as a separate entity for federal income tax purposes, and, therefore, will not be subject to any federal income tax on their income and gains (if any). Rather, such Master Portfolios’ assets and interest, dividends and gains or losses will be treated as assets and interest, dividends and gains or losses of the interestholders.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2006, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial reporting purposes.

REPURCHASE AGREEMENTS

The Master Portfolios may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by the Master Portfolio, collateralized by securities, which are delivered to the Master Portfolio’s custodian or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest.

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for investment advisory services. Beginning May 1, 2006, BGFA has contractually agreed to waive a portion of its advisory fees through April 30, 2007. After giving effect to such contractual waiver, the advisory fees will be 0.07%. From time to time, BGFA may waive an additional portion of its advisory fees. Any such waivers will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.

For the year ended December 31, 2006, BGFA waived and/or credited investment advisory fees of $55,520, $1,585,927, $2,055,676 and $108,850 for the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios, respectively.

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

3.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. The Securities and Exchange Commission staff has stated that it would not object if a fund does not implement FIN 48 in its NAV calculation until the date of the fund’s last NAV calculation in the first required financial statement reporting period for its fiscal year beginning after December 15, 2006. MIP is currently evaluating the impact of applying the various provisions of FIN 48.

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolios’ financial statement disclosures.

4.	FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:


*Master Portfolio*	*Year Ended* *December 31,* *2006*		*Year Ended* *December 31,* *2005*		*Year Ended* *December 31,* *2004*		*Year Ended* December 31, 2003		*Year Ended* *December 31,* *2002*
Government Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.03	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets to expense reductions^(a)	0.11	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	4.90	%	3.16	%	1.93	%^(b)	n/a		n/a
Total return	5.08	%	3.28	%	0.64	%^(b)(c)	n/a		n/a
Money Market
Ratio of expenses to average net assets	0.08	%	0.05	%	0.05	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to expense reductions	0.10	%	0.10	%	0.10	%	n/a		n/a
Ratio of net investment income to average net assets	4.99	%	3.27	%	1.40	%	1.15	%	1.80	%
Total return	5.13	%	3.28	%	1.39	%	1.16	%	1.84	%
Prime Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.08	%	0.03	%	0.03	%^(d)	n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.10	%	0.10	%	0.10	%	0.10	%^(d)	n/a
Ratio of net investment income to average net assets^(a)	4.95	%	3.22	%	1.52	%	1.12	%^(d)	n/a
Total return	5.11	%	3.26	%	1.40	%	0.80	%^(c)(d)	n/a
Treasury Money Market
Ratio of expenses to average net assets^(a)	0.00	%	0.00	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.13	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	5.03	%	3.99	%	1.82	%^(b)	n/a		n/a
Total return	5.04	%	3.20	%	0.61	%^(b)(c)	n/a		n/a

^(a)	Annualized for periods of less than one year.

^(b)	For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c)	Not annualized.

^(d)	For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

MASTER INVESTMENT PORTFOLIO

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Notes:

LOGO

Table of Contents


Shareholder Expenses (Unaudited)		1

Barclays Global Investors Funds

Financial Statements		2

Financial Highlights		5

Notes to the Financial Statements		6

Report of Independent Registered Public Accounting Firm		9

Tax Information (Unaudited)		10

Trustee and Officer Information (Unaudited)		11

Master Investment Portfolio

Schedule of Investments		14

Money Market Master Portfolio		14

Portfolio Allocation (Unaudited)		18

Financial Statements		19

Notes to the Financial Statements		20

Report of Independent Registered Public Accounting Firm		23

Trustee and Officer Information (Unaudited)		24

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited)

As a shareholder of the Fund, you incur ongoing costs, including management fees and other fund expenses. The following Example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 to December 31, 2006.

ACTUAL EXPENSES

The first line under the Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line under the Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line under the Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.


*Fund*	Beginning Account Value (7/1/06)		Ending Account Value (12/31/06)		Annualized Expense Ratio^(a)		Expenses Paid During Period^(b)(7/1/06 to 12/31/06)
Institutional Money Market
Aon Captives Shares
Actual	$	1,000.00	$	1,026.40	0.20	%	$	1.02
Hypothetical (5% return before expenses)		1,000.00		1,024.20	0.20			1.02

^(a)	This ratio includes net expenses charged to the Money Market Master Portfolio and includes expense reductions during the period.

^(b)	Expenses are calculated using the Fund’s annualized expense ratio of the Aon Captives Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

INSTITUTIONAL MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investment in Money Market Master Portfolio (“Master Portfolio”), at value (Note 1)	$	5,814,334,517

Total Assets		5,814,334,517

LIABILITIES
Payables:
Distribution to shareholders		26,471,006
Administration fees (Note 2)		270,568
Distribution fees – Aon Captives Shares (Note 2)		17,696
Accrued expenses		16,904

Total Liabilities		26,776,174

NET ASSETS	$	5,787,558,343

Net assets consist of:
Paid-in capital	$	5,787,527,843
Undistributed net investment income		31,320
Accumulated net realized loss		(820	)

NET ASSETS	$	5,787,558,343

Aon Captives Shares
Net Assets	$	69,082,724

Shares outstanding		69,082,172

Net asset value and offering price per share	$	1.00

Institutional Shares
Net Assets	$	4,198,724,323

Shares outstanding		4,198,709,058

Net asset value and offering price per share	$	1.00

Premium Shares
Net Assets	$	1,321,042,198

Shares outstanding		1,321,031,259

Net asset value and offering price per share	$	1.00

Select Shares
Net Assets	$	1,228,948

Shares outstanding		1,228,941

Net asset value and offering price per share	$	1.00

Trust Shares
Net Assets	$	197,480,150

Shares outstanding		197,480,202

Net asset value and offering price per share	$	1.00

The accompanying notes are an integral part of these financial statements.

INSTITUTIONAL MONEY MARKET FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2006


NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO
Interest	$	279,166,390
Expenses^(a)		(4,242,262	)

Net investment income allocated from Master Portfolio		274,924,128

FUND EXPENSES (Note 2)
Administration fees		3,219,246
Distribution fees – Aon Captives Shares		76,420
Professional fees		31,129
Independent trustees’ fees		22,919

Total fund expenses		3,349,714
Less expense reductions (Note 2)		(1,237,001	)

Net fund expenses		2,112,713

Net investment income		272,811,415

REALIZED GAIN (LOSS) ALLOCATED FROM MASTER PORTFOLIO
Net realized gain		1,322

Net realized gain		1,322

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	272,812,737

^(a)	Net of investment advisory fee reductions in the amount of $1,330,207.

The accompanying notes are an integral part of these financial statements.

INSTITUTIONAL MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS


	For the year ended December 31, 2006			For the year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	272,811,415		$	213,360,485
Net realized gain		1,322			32,325

Net increase in net assets resulting from operations		272,812,737			213,392,810

Distributions to shareholders:
From net investment income:
Aon Captives Shares		(3,715,877	)		(2,943,319	)
Institutional Shares		(186,931,038	)		(129,993,058	)
Premium Shares		(78,290,437	)		(79,980,794	)
Select Shares		(291,403	)		(440,285	)
Trust Shares		(3,586,798	)		(2,975	)

Total distributions to shareholders		(272,815,553	)		(213,360,431	)

Capital share transactions (Note 3):
Aon Captives Shares		(8,815,803	)		(28,534,415	)
Institutional Shares		712,850,474			(138,646,363	)
Premium Shares		(482,128,328	)		585,770,940
Select Shares		(23,711,270	)		18,227,811
Trust Shares		197,376,819			2,796

Net increase in net assets resulting from capital share transactions		395,571,892			436,820,769

Increase in net assets		395,569,076			436,853,148
NET ASSETS:
Beginning of year		5,391,989,267			4,955,136,119

End of year	$	5,787,558,343		$	5,391,989,267

Undistributed net investment income included in net assets at end of year	$	31,320		$	3,747

The accompanying notes are an integral part of these financial statements.

INSTITUTIONAL MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Aon Captives Shares
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01			0.01			0.02
Net realized gain		0.00	^(a)		0.00	^(a)		0.00	^(a)		0.00	^(a)		—

Total from investment operations		0.05			0.03			0.01			0.01			0.02

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)		(0.01	)		(0.02	)
Net realized gain		—			—			—			(0.00	)^(a)		—

Total distributions		(0.05	)		(0.03	)		(0.01	)		(0.01	)		(0.02	)

Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Total return		5.00	%		3.19	%		1.29	%		1.04	%		1.70	%

Ratios/Supplemental data:
Net assets, end of year (000s)	$	69,083		$	77,899		$	106,433		$	55,399		$	8,211
Ratio of expenses to average net assets^(b)		0.19	%		0.15	%		0.15	%		0.22	%		0.22	%
Ratio of expenses to average net assets prior to expense reductions^(b)		0.23	%		0.22	%		0.22	%		n/a			n/a
Ratio of net investment income to average net assets^(b)		4.86	%		3.07	%		1.35	%		0.97	%		1.42	%

^(a)	Rounds to less than $0.01.

^(b)	These ratios include net expenses charged to the Money Market Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the Aon Captives Shares of the Institutional Money Market Fund (the “Fund”). In addition, the Fund offers Institutional Shares, Premium Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

Under the Trust’s organizational documents, the Fund’s officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.

1.	SIGNIFICANT ACCOUNTING POLICIES

INVESTMENT POLICY AND SECURITY VALUATION

The Fund invests all of its assets in the Money Market Master Portfolio (the “Master Portfolio”) of Master Investment Portfolio (“MIP”). The Master Portfolio has the same or substantially similar investment objective as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s interest in the net assets of the Master Portfolio (83.96%, as of December 31, 2006). The method by which MIP values its securities is discussed in Note 1 of the Master Portfolio’s Notes to the Financial Statements, which are included elsewhere in this report.

The performance of the Fund is directly affected by the performance of the Master Portfolio. The financial statements of the Master Portfolio, including the Schedule of Investments, accompanied by an unaudited summarized, tabular presentation, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

The Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Fund will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

The Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of the Master Portfolio. In addition, the Fund accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Fund are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

As of December 31, 2006, the tax year-end of the Fund, the components of net distributable earnings on a tax basis consisted of undistributed ordinary income of $31,320 and capital and other losses of $820, for net distributable earnings of $30,500.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

The tax character of distributions paid for the years ended December 31, 2006 and December 31, 2005, consisted of ordinary income of $272,815,553 and $213,360,431, respectively.

FEDERAL INCOME TAXES

The Fund is treated as a separate entity for federal income tax purposes. It is the policy of the Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to annually distribute substantially all of its net income and any net gains (taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2006.

From November 1, 2006 to December 31, 2006, the Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2 and treat it as arising in the year ending December 31, 2007.

As of December 31, 2006, the tax year-end of the Fund, the Fund had tax basis net capital loss carryforward of $818 expiring in 2014. Such losses may be applied against any net realized taxable gains in the succeeding year or until the respective expiration date, whichever occurs first.

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Investors Bank & Trust Company (“IBT”) serves as the custodian, sub-administrator, transfer agent and dividend disbursement agent of the Fund. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Fund. IBT is entitled to receive fees for its transfer agent and dividend disbursing agent services, which BGI has agreed to pay out of the fees it receives for administration services to the Fund.

SEI Investments Distribution Company (“SEI”) is the Fund’s distributor. The Fund has adopted a plan pursuant to Rule 12b-1 under the 1940 Act, which allows the Fund to pay expenses relating to the distribution of its Aon Captives Shares. Under the plan, SEI is entitled to receive an annual fee for these services of 0.10% of the average daily net assets of the Aon Captives Shares. This fee is an expense of the Aon Captives Shares only and is not borne by the Institutional Shares, Premium Shares, Select Shares or Trust Shares.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Fund’s transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Fund for which BGI receives a fee paid by the Fund. BGI, in consideration thereof, has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne directly by the Fund. Beginning May 1, 2006, BGI is entitled to receive for these administration services an annual fee of 0.05% of the average daily net assets of the Fund’s Aon Captives Shares. Prior to May 1, 2006, BGI was entitled to receive an annual fee of 0.02%. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BGI may delegate certain of its administration duties to sub-administrators.

The fees and expenses of the Fund’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Fund. BGI has voluntarily agreed to provide an offsetting credit against the administration fees paid by the Fund in an amount equal to the independent expenses.

For the year ended December 31, 2006, BGI waived and/or credited administration fees of $17,357 for the Aon Captives Shares of the Fund.

Certain officers and trustees of the Trust are also officers of BGI and/or Barclays Global Fund Advisors (“BGFA”), the Master Portfolio’s investment adviser. As of December 31, 2006, these officers of BGI and/or BGFA collectively owned less than 1% of the outstanding shares of the Trust.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3.	CAPITAL SHARE TRANSACTIONS

As of December 31, 2006, there was an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Aon Captives Shares of the Fund were as follows:


	*Institutional Money Market Fund*
	Year Ended December 31, 2006					Year Ended December 31, 2005
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	57,891,500		$	57,891,500		52,604,460		$	52,604,460
Shares issued in reinvestment of dividends and distributions	794,047			794,047		1,167,489			1,167,489
Shares redeemed	(67,501,350	)		(67,501,350	)	(82,306,364	)		(82,306,364	)

Net decrease	(8,815,803	)	$	(8,815,803	)	(28,534,415	)	$	(28,534,415	)

4.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Institutional Money Market Fund, a series of Barclays Global Investors Funds, (the “Fund”), at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the Aon Captives Share Class for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. The financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of the financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION (Unaudited)

Pursuant to Section 871 (k)(1)(C) of the Internal Revenue Code, the Institutional Money Market Fund hereby designates the maximum allowable amount of $227,229,125 as interest-related dividends for the tax year ended December 31, 2006.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited)

The Board of Trustees has responsibility for the overall management and operations of the Fund. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. Each Officer serves until he or she resigns, is removed, dies, retires or becomes disqualified.

Interested Trustees and Officers


*Name, Year of Birth*	Position(s), Length of Service	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2005) of Global Index and Markets Group of BGI; Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director (since 2005) of Barclays Global Fund Advisors; Director, President and Chief Executive Officer (since 2005) of Barclays Global Investors International, Inc.; Director, Chairman and Chief Executive Officer (since 2005) of Barclays Global Investors Services; Chief Executive Officer (1999-2003) of the Individual Investor Business of BGI.	Director (since 2003) of BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director and Chief Financial Officer (since 2005) of Barclays Global Investors International, Inc.; Director (2000-2003) of Mutual Fund Delivery in the U.S. Individual Investor Business of BGI.	None.

Lee T. Kranefuss is deemed to be an “interested person” (as defined in the 1940 Act) of BGIF due to his affiliations with BGFA, the investment adviser of the Master Portfolio, BGI, the parent company of BGFA and the administrator of the Fund and the Master Portfolio, and Barclays Global Investors Services, an affiliate of BGFA and BGI.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees


*Name, Year of Birth*	Position(s), Length of Service	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii; Director (since 2002) and Chairman of the Board (since 2005) of PBS (Public Broadcasting Service); Advisory Committee Member (since 1999) of Stanford Institute for Economic Policy Research; Director (since 1998) of Commonwealth Club of California; Advisory Committee Member (since 1992) of Pacific Forum/CSIS.

A. John Gambs, 1945	Trustee (since 2006).	Retired.	Trustee (since 2006) of MIP; Governor (since 2001) and Vice President (since 2002) of San Francisco Symphony; Trustee (1995-2005) of Marin Country Day School; Trustee (2000-2004) of Marin Academy; President and Director (since 1997) of the Gambs Family Foundation.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees (Continued)

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 1.81%
Calyon
5.18%, 03/30/07	$	50,000,000	$	50,000,000
Wells Fargo Bank N.A.
4.80%, 01/29/07		75,000,000		74,997,616

TOTAL CERTIFICATES OF DEPOSIT (Cost: $124,997,616)				124,997,616

COMMERCIAL PAPER – 26.52%
Amstel Funding Corp.
5.12%, 06/01/07^(a)		41,621,000		40,715,327
5.22%, 04/16/07^(a)		50,000,000		49,224,250
5.25%, 02/13/07^(a)		20,000,000		19,868,750
Beta Finance Inc.
5.23%, 03/29/07^(a)		67,000,000		66,133,708
Cantabric Finance LLC
5.24%, 03/07/07^(a)		50,000,000		49,512,389
5.25%, 03/06/07^(a)		100,000,000		99,037,500
5.26%, 01/30/07^(a)		20,000,000		19,909,411
Cheyne Finance LLC
5.27%, 02/09/07^(a)		31,000,000		30,813,940
Cobbler Funding Ltd.
5.38%, 01/25/07^(a)		56,000,000		55,782,409
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		25,000,000		24,952,469
Curzon Funding LLC
5.24%, 02/27/07^(a)		50,000,000		49,570,611
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		84,360,000		84,023,403
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
Harrier Finance Funding LLC
5.12%, 06/06/07^(a)		80,000,000		78,204,066
Kestrel Funding LLC
5.25%, 01/10/07^(a)		25,000,000		24,959,896
KKR Pacific Funding Trust
5.38%, 01/23/07^(a)		100,000,000		99,641,334
Lexington Parker Capital Co. LLC
5.19%, 05/17/07^(a)		75,000,000		73,509,312
5.20%, 04/12/07^(a)		5,000,000		4,925,611
5.21%, 04/11/07^(a)		51,364,000		50,605,782
5.26%, 02/14/07^(a)		129,261,000		128,392,222
Nelnet Student Asset Funding LLC
5.35%, 01/16/07^(a)		30,249,000		30,172,579
5.35%, 01/23/07^(a)		18,958,000		18,890,383
Nestle Capital Corp.
5.19%, 08/09/07^(a)		15,000,000		14,519,925
Polonius Inc.
5.26%, 02/20/07^(a)		39,150,000		38,852,547
Prudential Funding LLC
5.26%, 01/25/07^(a)		20,000,000		19,924,022
Sedna Finance Inc.
5.22%, 04/17/07^(a)		50,000,000		49,217,000
5.26%, 01/31/07^(a)		100,000,000		99,532,445
Sigma Finance Inc.
5.21%, 05/03/07^(a)		75,000,000		73,654,084
5.26%, 02/21/07^(a)		30,000,000		29,767,683
Simba Funding Corp.
5.26%, 01/26/07^(a)		26,630,000		26,524,945
Societe Generale North America Inc.
5.10%, 08/13/07		140,000,000		135,522,061
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		65,000,000		63,507,889
Thames Asset Global Securitization No. 1 Inc.
5.26%, 01/22/07^(a)		35,013,000		34,895,337
5.33%, 01/22/07^(a)		50,000,000		49,829,736

TOTAL COMMERCIAL PAPER (Cost: $1,836,715,896)				1,836,715,896

MEDIUM-TERM NOTES – 2.31%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		70,000,000		70,000,000
5.18%, 03/15/07^(a)		20,000,000		20,000,000
Kimberly-Clark Corp.
5.26%, 12/19/07^(a)		35,000,000		35,000,000
Sigma Finance Inc.
5.35%, 04/27/07^(a)		35,000,000		34,998,867

TOTAL MEDIUM-TERM NOTES (Cost: $159,998,867)				159,998,867

REPURCHASE AGREEMENTS – 30.33%
Bank of America N.A. Tri-Party, 5.30%, due 1/2/07, maturity value $40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50% to 8.19%, 8/1/35 to 10/1/36).		40,000,000		40,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.37%, due 1/2/07, maturity value $150,089,500 (collateralized by U.S. Government obligations, value $153,003,074, 4.00% to 11.00%, 1/1/08 to 1/1/37).		150,000,000		150,000,000
BNP Securities Corp. Tri-Party, 5.36%, due 1/2/07, maturity value $10,005,956 (collateralized by non-U.S. Government debt securities, value $10,500,001, 5.46%, 3/15/08).		10,000,000		10,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Citigroup Global Markets Holdings Inc. Tri-Party, 5.42%, due 1/2/07, maturity value $50,030,111 (collateralized by non-U.S. Government debt securities, value $56,422,383, 0.00% to 10.00%, 5/27/33 to 12/21/36).	$	50,000,000	$	50,000,000
Citigroup Global Markets Holdings Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $250,151,667 (collateralized by non-U.S. Government debt securities, value $275,473,985, 0.00% to 10.00%, 5/27/33 to 12/21/36).		250,000,000		250,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $40,023,644 (collateralized by U.S. Government obligations, value $40,802,485, 5.47% to 5.99%, 2/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.31%, due 1/2/07, maturity value $400,236,000 (collateralized by U.S. Government obligations, value $408,000,000, 5.00% to 6.50%, 3/1/26 to 12/1/36).		400,000,000		400,000,000
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by U.S. Government obligations, value $51,500,000, 5.58% to 6.32%, 7/15/23 to 8/15/35).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.35%, due 1/2/07, maturity value $100,059,444 (collateralized by non-U.S. Government debt securities, value $105,000,000, 5.94% to 6.00%, 6/25/36 to 10/25/36).		100,000,000		100,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $210,000,000, 0.00% to 6.50%, 3/20/10 to 5/25/46).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $25,015,167 (collateralized by non-U.S. Government debt securities, value $26,250,000, 0.00% to 10.00%,1/1/10).		25,000,000		25,000,000
Greenwich Capital Markets Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by non-U.S. Government debt securities, value $57,037,399, 0.41% to 7.50%, 4/1/36 to 8/15/36).		50,000,000		50,000,000
HSBC Securities Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $50,029,778 (collateralized by non-U.S. Government debt securities, value $52,500,031, 5.28% to 5.35%, 7/1/24 to 6/1/46).		50,000,000		50,000,000
JP Morgan Securities Inc. Tri-Party, 5.41%, due 1/2/07, maturity value $15,009,017 (collateralized by non-U.S. Government debt securities, value $15,750,749, 7.19%, 4/1/11).		15,000,000		15,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $250,151,111 (collateralized by non-U.S. Government debt securities, value $261,626,384, 0.00% to 11.19%, 1/16/07 to 12/15/36).		250,000,000		250,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,004,002, 4.19% to 7.28%, 10/1/30 to 7/1/36).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,349, 5.62% to 5.65%, 2/20/34 to 7/15/36).		40,000,000		40,000,000
Morgan Stanley Tri-Party, 5.51%, due 1/4/08, maturity value $264,195,903 (collateralized by non-U.S. Government debt securities, value $271,084,771, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(b)		250,000,000		250,000,000
Wachovia Capital Tri-Party, 5.38%, due 1/2/07, maturity value $80,047,822 (collateralized by non-U.S. Government debt securities, value $84,000,001, 4.35% to 6.23%, 1/20/22 to 11/15/48).		80,000,000		80,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,100,000,000)				2,100,000,000

TIME DEPOSITS – 1.01%
Rabobank Nederland NV
5.25%, 01/02/07		70,189,000		70,189,000

TOTAL TIME DEPOSITS (Cost: $70,189,000)				70,189,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
VARIABLE & FLOATING RATE NOTES – 37.68%
Allstate Life Global Funding II
5.33%, 11/02/07	$	30,000,000	$	30,000,000
5.36%, 01/25/08^(a)		50,000,000		50,000,000
5.39%, 01/15/08^(a)		35,000,000		35,010,440
5.40%, 01/08/08^(a)		11,000,000		11,003,070
5.43%, 01/15/08^(a)		25,000,000		25,007,536
American Immigration Lawyers Association Inc.
5.40%, 01/02/07^(a)		3,600,000		3,600,000
AmeriCredit Automobile Receivables Trust Series 2006-BG Class A1
5.35%, 10/09/07		9,877,748		9,877,748
ANZ National International Ltd.
5.35%, 12/07/07^(a)		75,000,000		75,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(a)		35,000,000		35,000,000
Bank of America N.A.
5.28%, 04/20/07		30,000,000		30,000,000
Bank of Ireland
5.35%, 08/20/07^(a)		70,000,000		70,000,000
Capital Auto Receivables Asset Trust Series 2006-2 Class A1
5.34%, 12/15/07		64,000,000		64,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		33,000,000		33,000,000
Commodore CDO Ltd. 2003-2A Class A1MM
5.44%, 12/12/07^(a)		25,000,000		25,000,000
Credit Suisse First Boston NY
5.38%, 04/24/07		25,000,000		25,000,409
5.43%, 08/21/07		15,000,000		15,000,000
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(a)		14,446,125		14,446,125
DEPFA Bank PLC
5.40%, 09/14/07^(a)		100,000,000		100,000,000
Great America Leasing Receivables Series 2006-1 Class A1
5.40%, 11/15/07^(a)		29,390,632		29,390,632
Harrier Finance Funding LLC
5.32%, 08/07/07^(a)		50,000,000		49,993,934
5.36%, 07/20/07^(a)		25,000,000		25,002,678
5.36%, 07/25/07^(a)		15,000,000		15,001,746
5.36%, 08/13/07^(a)		30,000,000		30,003,662
HBOS Treasury Services PLC
5.44%, 01/24/08^(a)		50,000,000		50,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		82,000,000		82,000,000
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)		30,000,000		30,000,000
Jordan Brick Co. Inc.
5.35%, 01/02/07^(a)		46,000,000		46,000,000
JPMorgan Chase & Co.
5.32%, 08/02/07		75,000,000		75,000,000
5.40%, 07/27/07		100,000,000		100,000,000
K2 USA LLC
5.39%, 06/04/07^(a)		60,000,000		60,000,000
Kestrel Funding LLC
5.33%, 07/11/07^(a)		25,000,000		24,998,589
Kommunalkredit Austria AG
5.35%, 01/09/08^(a)		40,000,000		40,000,000
Lakeline Austin Development Ltd.
5.35%, 01/02/07^(a)		9,800,000		9,800,000
Leafs LLC
5.35%, 02/20/07^(a)		19,807,569		19,807,574
Marshall & Ilsley Bank
5.35%, 01/15/08		60,000,000		60,000,000
Master Funding LLC
5.38%, 04/25/07^(a)		60,000,000		60,000,000
5.38%, 05/25/07^(a)		50,000,000		50,000,000
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		60,000,000		60,000,000
MetLife Insurance Co. of Connecticut
5.45%, 02/02/07^(a)(b)		50,000,000		50,000,000
5.45%, 07/18/07^(a)(b)		25,000,000		25,000,000
5.46%, 08/17/07^(a)(b)		50,000,000		50,000,000
Natexis Banques Populaires
5.36%, 09/14/07^(a)		50,000,000		50,000,000
5.37%, 12/07/07^(a)		40,000,000		40,000,000
Nationwide Building Society
5.44%, 10/26/07^(a)		100,000,000		100,000,000
Nordea Bank AB
5.36%, 09/11/07^(a)		75,000,000		75,000,000
Northern Rock PLC
5.39%, 08/03/07^(a)		70,000,000		70,000,000
Northlake CDO I Series 1A Class IMM-1A
5.42%, 03/06/07^(a)		15,000,000		15,000,000
Permanent Financing PLC Series 9A Class 1A
5.32%, 03/10/07^(a)		60,000,000		60,000,000
Pricoa Global Funding I
5.34%, 11/27/07		65,000,000		65,000,000
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(a)		50,000,000		50,000,000
Societe Generale
5.34%, 07/02/07^(a)		30,000,000		30,000,000
Strips III LLC
5.40%, 08/24/07^(a)		15,772,835		15,772,835

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Trap Rock Industry Inc.
5.35%, 01/02/07^(a)	$	19,370,000	$	19,370,000
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		50,000,000		50,000,000
5.36%, 06/15/07^(a)		25,000,000		25,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		37,650,695		37,650,695
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		43,806,528		43,806,528
Westpac Banking Corp.
5.39%, 07/11/07		70,000,000		70,000,000
Wind Master Trust
5.34%, 07/25/07^(a)		25,000,000		25,000,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $2,609,541,630)				2,609,541,630

TOTAL INVESTMENTS IN SECURITIES – 99.66% (Cost: $6,901,443,009)				6,901,443,009

Other Assets, Less Liabilities – 0.34%				23,521,880

NET ASSETS – 100.00%			$	6,924,964,889

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

MONEY MARKET MASTER PORTFOLIO

Portfolio Allocation (Unaudited)

December 31, 2006


*Asset Type*	*Value*		% of Net Assets
Variable & Floating Rate Notes	$	2,609,541,630	37.68	%
Repurchase Agreements		2,100,000,000	30.33
Commercial Paper		1,836,715,896	26.52
Medium-Term Notes		159,998,867	2.31
Certificates of Deposit		124,997,616	1.81
Time Deposits		70,189,000	1.01
Other Net Assets		23,521,880	0.34

TOTAL	$	6,924,964,889	100.00	%

This table is not part of the financial statements.

MONEY MARKET MASTER PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	4,801,443,009
Repurchase agreements, at value and cost (Note 1)		2,100,000,000
Cash		291
Receivables:
Interest		23,984,641

Total Assets		6,925,427,941

LIABILITIES
Payables:
Investment advisory fees (Note 2)		438,446
Accrued expenses		24,606

Total Liabilities		463,052

NET ASSETS	$	6,924,964,889


STATEMENT OF OPERATIONS
For the Year Ended December 31, 2006

NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	331,165,036

Total investment income		331,165,036

EXPENSES (Note 2)
Investment advisory fees		6,536,796
Professional fees		41,107
Independent trustees’ fees		27,466

Total expenses		6,605,369
Less expense reductions (Note 2)		(1,585,927	)

Net expenses		5,019,442

Net investment income		326,145,594

REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		1,615

Net realized gain		1,615

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	326,147,209

STATEMENTS OF CHANGES IN NET ASSETS


	For the year ended December 31, 2006			For the year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	326,145,594		$	237,180,094
Net realized gain		1,615			35,169

Net increase in net assets resulting from operations		326,147,209			237,215,263

Interestholder transactions:
Contributions		38,273,990,665			58,641,619,347
Withdrawals		(37,977,755,985	)		(58,107,077,434	)

Net increase in net assets resulting from interestholder transactions		296,234,680			534,541,913

Increase in net assets		622,381,889			771,757,176
NET ASSETS:
Beginning of year		6,302,583,000			5,530,825,824

End of year	$	6,924,964,889		$	6,302,583,000

The accompanying notes are an integral part of these financial statements.

MONEY MARKET MASTER PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the Money Market Master Portfolio (the “Master Portfolio”).

Under MIP’s organizational documents, the Master Portfolio’s officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Master Portfolio. Additionally, in the normal course of business, the Master Portfolio enters into contracts with service providers that contain general indemnification clauses. The Master Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Portfolio that have not yet occurred.

1.	SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

The Master Portfolio uses the amortized cost method of valuation to determine the value of its portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolio amortizes premiums and accretes discounts using a constant yield to maturity method.

FEDERAL INCOME TAXES

In general, MIP believes that the Master Portfolio has and will continue to be operated in a manner so as to qualify it as a non-publicly traded partnership for federal income tax purposes. Provided that the Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gains (if any). However, each interestholder in the Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership for federal income tax purposes, the Master Portfolio will be deemed to have “passed through” to its interestholders any interest, dividends, gains or losses of the Master Portfolio for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the “Code”), and regulations promulgated thereunder.

It is intended that the Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2006, the Master Portfolio’s cost of investments for federal income tax purposes was the same as for financial reporting purposes.

REPURCHASE AGREEMENTS

The Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by the Master Portfolio,

MONEY MARKET MASTER PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

collateralized by securities, which are delivered to the Master Portfolio’s custodian or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest.

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to the Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of the Master Portfolio, as compensation for investment advisory services. Beginning May 1, 2006, BGFA has contractually agreed to waive a portion of its advisory fees through April 30, 2007. After giving effect to such contractual waiver, the advisory fees will be 0.07%. From time to time, BGFA may waive an additional portion of its advisory fees. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.

The fees and expenses of the Master Portfolio’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Master Portfolio. BGFA has voluntarily agreed to cap the expenses of the Master Portfolio at the rate at which the Master Portfolio pays an advisory fee to BGFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to the independent expenses.

For the year ended December 31, 2006, BGFA waived and/or credited investment advisory fees in the amount of $1,585,927 for the Master Portfolio.

Investors Bank & Trust Company (“IBT”) serves as the custodian and sub-administrator of the Master Portfolio. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Master Portfolio.

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolio. SEI does not receive any fee from the Master Portfolio for acting as placement agent.

MIP has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolio’s custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolio. BGI is not entitled to compensation for providing administration services to the Master Portfolio, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BGI (or an affiliate) receives investment advisory fees from the Master Portfolio. BGI may delegate certain of its administration duties to sub-administrators.

3.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. The Securities and Exchange Commission staff has stated that it would not object if a fund does not implement FIN 48 in its NAV calculation until the date of the fund’s last NAV calculation in the first required financial statement reporting period for its fiscal year beginning after December 15, 2006. MIP is currently evaluating the impact of applying the various provisions of FIN 48.

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolio’s financial statement disclosures.

MONEY MARKET MASTER PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

4.	FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolio were as follows:


	Year Ended December 31, 2006		Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002
Ratio of expenses to average net assets	0.08	%	0.05	%	0.05	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to expense reductions	0.10	%	0.10	%	0.10	%	n/a		n/a
Ratio of net investment income to average net assets	4.99	%	3.27	%	1.40	%	1.15	%	1.80	%
Total return	5.13	%	3.28	%	1.39	%	1.16	%	1.84	%

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Money Market Master Portfolio, a portfolio of Master Investment Portfolio (the “Master Portfolio”), at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

MONEY MARKET MASTER PORTFOLIO

TRUSTEE AND OFFICER INFORMATION (Unaudited)

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolio. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustee and Officer Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees and Officers may be found in Part B of the Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

Notes:

LOGO

Table of Contents


Shareholder Expenses (Unaudited)		1

Barclays Global Investors Funds

Financial Statements		2

Financial Highlights		6

Notes to the Financial Statements		10

Report of Independent Registered Public Accounting Firm		14

Tax Information (Unaudited)		15

Trustee and Officer Information (Unaudited)		16

Master Investment Portfolio

Schedules of Investments		19

Government Money Market Master Portfolio		19

Money Market Master Portfolio		20

Prime Money Market Master Portfolio		24

Treasury Money Market Master Portfolio		27

Portfolio Allocations (Unaudited)		28

Financial Statements		29

Notes to the Financial Statements		31

Report of Independent Registered Public Accounting Firm		34

Trustee and Officer Information (Unaudited)		35

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited)

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 to December 31, 2006.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line under each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.


*Fund*	Beginning Account Value (7/1/06)		Ending Account Value (12/31/06)		Annualized Expense Ratio^(a)		Expenses Paid During Period^(b)(7/1/06 to 12/31/06)
Government Money Market
Premium Shares
Actual	$	1,000.00	$	1,026.40	0.17	%	$	0.87
Hypothetical (5% return before expenses)		1,000.00		1,024.35	0.17			0.87
Institutional Money Market
Premium Shares
Actual		1,000.00		1,026.70	0.15			0.77
Hypothetical (5% return before expenses)		1,000.00		1,024.45	0.15			0.77
Prime Money Market
Premium Shares
Actual		1,000.00		1,026.50	0.17			0.87
Hypothetical (5% return before expenses)		1,000.00		1,024.35	0.17			0.87
Treasury Money Market
Premium Shares
Actual		1,000.00		1,026.50	0.05			0.26
Hypothetical (5% return before expenses)		1,000.00		1,024.95	0.05			0.26

^(a)	This ratio includes net expenses charged to the corresponding Master Portfolio and includes expense reductions during the period.

^(b)	Expenses are calculated using each Fund’s annualized expense ratio of the Premium Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	Government Money Market Fund		Institutional Money Market Fund			Prime Money Market Fund		Treasury Money Market Fund
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	167,285,009	$	5,814,334,517		$	7,521,905,359	$	185,484,268

Total Assets		167,285,009		5,814,334,517			7,521,905,359		185,484,268

LIABILITIES
Payables:
Distribution to shareholders		541,710		26,471,006			32,274,992		808,516
Administration fees (Note 2)		9,407		270,568			376,504		3,913
Distribution fees – Aon Captives Shares (Note 2)		—		17,696			—		—
Accrued expenses (Note 2):
Professional fees		15,954		16,904			18,573		15,940
Independent trustees’ fees		—		—			—		46

Total Liabilities		567,071		26,776,174			32,670,069		828,415

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Net assets consist of:
Paid-in capital	$	166,717,938	$	5,787,527,843		$	7,489,172,421	$	184,655,853
Undistributed net investment income		—		31,320			5,563		—
Undistributed net realized gain (accumulated net realized loss)		—		(820	)		57,306		—

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Aon Captives Shares
Net Assets	$	—	$	69,082,724		$	—	$	—

Shares outstanding		—		69,082,172			—		—

Net asset value and offering price per share	$	—	$	1.00		$	—	$	—

Institutional Shares
Net Assets	$	395,262	$	4,198,724,323		$	5,915,836,373	$	126,517,575

Shares outstanding		395,262		4,198,709,058			5,915,789,555		126,517,575

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Premium Shares
Net Assets	$	123,532,104	$	1,321,042,198		$	1,551,648,412	$	2,111,547

Shares outstanding		123,532,104		1,321,031,259			1,551,631,945		2,111,547

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Select Shares
Net Assets	$	42,682,680	$	1,228,948		$	21,642,357	$	55,918,956

Shares outstanding		42,682,680		1,228,941			21,642,773		55,918,956

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Trust Shares
Net Assets	$	107,892	$	197,480,150		$	108,148	$	107,775

Shares outstanding		107,892		197,480,202			108,148		107,775

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	Government Money Market Fund			Institutional Money Market Fund			*Prime* *Money Market Fund*			Treasury Money Market Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	8,739,812		$	279,166,390		$	441,029,206		$	4,303,455
Expenses^(a)		(144,105	)		(4,242,262	)		(7,058,243	)		—

Net investment income allocated from corresponding Master Portfolio		8,595,707			274,924,128			433,970,963			4,303,455

FUND EXPENSES (Note 2)
Administration fees		147,743			3,219,246			4,832,189			45,857
Distribution fees – Aon Captives Shares		—			76,420			—			—
Professional fees		16,432			31,129			41,730			16,130
Independent trustees’ fees		827			22,919			38,951			302

Total fund expenses		165,002			3,349,714			4,912,870			62,289
Less expense reductions (Note 2)		(20,104	)		(1,237,001	)		(543,539	)		(55,460	)

Net fund expenses		144,898			2,112,713			4,369,331			6,829

Net investment income		8,450,809			272,811,415			429,601,632			4,296,626

REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			1,322			57,306			—

Net realized gain		—			1,322			57,306			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,450,809		$	272,812,737		$	429,658,938		$	4,296,626

^(a)	Net of investment advisory fee reductions in the amounts of $55,520, $1,330,207, $1,790,931 and $108,850, respectively.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Fund*						*Institutional Money Market Fund*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,450,809		$	29,123,137		$	272,811,415		$	213,360,485
Net realized gain		—			—			1,322			32,325

Net increase in net assets resulting from operations		8,450,809			29,123,137			272,812,737			213,392,810

Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(3,715,877	)		(2,943,319	)
Institutional Shares		(2,592,685	)		(22,103,787	)		(186,931,038	)		(129,993,058	)
Premium Shares		(3,831,192	)		(6,585,019	)		(78,290,437	)		(79,980,794	)
Select Shares		(2,022,076	)		(431,372	)		(291,403	)		(440,285	)
Trust Shares		(4,856	)		(2,959	)		(3,586,798	)		(2,975	)

Total distributions to shareholders		(8,450,809	)		(29,123,137	)		(272,815,553	)		(213,360,431	)

Capital share transactions (Note 3):
Aon Captives Shares		—			—			(8,815,803	)		(28,534,415	)
Institutional Shares		(168,804,945	)		(278,900,244	)		712,850,474			(138,646,363	)
Premium Shares		(59,710,662	)		183,142,328			(482,128,328	)		585,770,940
Select Shares		1,970,382			40,611,873			(23,711,270	)		18,227,811
Trust Shares		4,739			2,785			197,376,819			2,796

Net increase (decrease) in net assets resulting from capital share transactions		(226,540,486	)		(55,143,258	)		395,571,892			436,820,769

Increase (decrease) in net assets		(226,540,486	)		(55,143,258	)		395,569,076			436,853,148
NET ASSETS:
Beginning of year		393,258,424			448,401,682			5,391,989,267			4,955,136,119

End of year	$	166,717,938		$	393,258,424		$	5,787,558,343		$	5,391,989,267

Undistributed net investment income included in net assets at end of year	$	—		$	—		$	31,320		$	3,747

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*Prime Money Market Fund*						*Treasury Money Market Fund*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	429,601,632		$	400,061,034		$	4,296,626		$	683,583
Net realized gain		57,306			8,607			—			—

Net increase in net assets resulting from operations		429,658,938			400,069,641			4,296,626			683,583

Distributions to shareholders:
From net investment income:
Institutional Shares		(296,267,556	)		(231,155,121	)		(3,943,200	)		(590,271	)
Premium Shares		(131,802,661	)		(166,418,165	)		(33,439	)		(87,324	)
Select Shares		(1,540,469	)		(2,484,802	)		(315,134	)		(3,114	)
Trust Shares		(4,899	)		(2,946	)		(4,853	)		(2,874	)

Total distributions to shareholders		(429,615,585	)		(400,061,034	)		(4,296,626	)		(683,583	)

Capital share transactions (Note 3):
Institutional Shares		(606,011,616	)		520,868,715			26,175,036			100,242,105
Premium Shares		(1,682,103,111	)		(2,013,369,862	)		(434,856	)		2,445,981
Select Shares		(59,716,384	)		(88,977,243	)		55,815,617			2,930
Trust Shares		4,782			2,775			4,733			2,691

Net increase (decrease) in net assets resulting from capital share transactions		(2,347,826,329	)		(1,581,475,615	)		81,560,530			102,693,707

Increase (decrease) in net assets		(2,347,782,976	)		(1,581,467,008	)		81,560,530			102,693,707
NET ASSETS:
Beginning of year		9,837,018,266			11,418,485,274			103,095,323			401,616

End of year	$	7,489,235,290		$	9,837,018,266		$	184,655,853		$	103,095,323

Undistributed net investment income included in net assets at end of year	$	5,563		$	13,322		$	—		$	—

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	*Government Money Market Fund – Premium Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Period from Sep. 1, 2004^(a)to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.99	%		3.23	%		0.62	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	123,532		$	183,243		$	100
Ratio of expenses to average net assets^(c)		0.17	%		0.08	%		0.05	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.21	%		0.17	%		0.17	%
Ratio of net investment income to average net assets^(c)		4.88	%		3.54	%		1.86	%

^(a)	Commencement of operations.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Institutional Money Market Fund – Premium Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period from Dec. 2, 2002 ^(a)to Dec. 31, 2002
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01			0.01			0.00	^(b)
Net realized gain (loss)		0.00	^(b)		0.00	^(b)		(0.00	)^(b)		0.00	^(b)		—

Total from investment operations		0.05			0.03			0.01			0.01			0.00	^(b)

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)		(0.01	)		(0.00	)^(b)
Net realized gain		—			—			—			(0.00	)^(b)		—

Total distributions		(0.05	)		(0.03	)		(0.01	)		(0.01	)		(0.00	)^(b)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Total return		5.05	%		3.24	%		1.34	%		1.10	%		0.11	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	1,321,042		$	1,803,171		$	1,217,388		$	290,099		$	5
Ratio of expenses to average net assets^(d)		0.15	%		0.10	%		0.10	%		0.17	%		0.25	%
Ratio of expenses to average net assets prior to expense reductions^(d)		0.19	%		0.17	%		0.17	%		n/a			n/a
Ratio of net investment income to average net assets^(d)		4.93	%		3.24	%		1.45	%		0.98	%		1.51	%

^(a)	Commencement of operations.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Prime Money Market Fund – Premium Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 16, 2003^(a)to Dec. 31, 2003
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01			0.01
Net realized gain (loss)		0.00	^(b)		0.00	^(b)		0.00	^(b)		(0.00	)^(b)

Total from investment operations		0.05			0.03			0.01			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)		(0.01	)
Net realized gain		—			—			(0.00	)^(b)		(0.00	)^(b)

Total distributions		(0.05	)		(0.03	)		(0.01	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00

Total return		5.02	%		3.21	%		1.35	%		0.75	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	1,551,648		$	3,233,738		$	5,247,105		$	964,243
Ratio of expenses to average net assets^(d)		0.16	%		0.13	%		0.07	%		0.09	%
Ratio of expenses to average net assets prior to expense reductions^(d)		0.19	%		0.17	%		0.17	%		n/a
Ratio of net investment income to average net assets^(d)		4.88	%		3.08	%		1.62	%		1.02	%

^(a)

Commencement of operations.

^(b)

Rounds to less than $0.01.

^(c)

Not annualized.

^(d)

Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Treasury Money Market Fund – Premium Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Period from Sep. 1, 2004 ^(a)to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.99	%		3.15	%		0.59	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	2,112		$	2,546		$	100
Ratio of expenses to average net assets^(c)		0.05	%		0.05	%		0.05	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.23	%		0.17	%		0.17	%
Ratio of net investment income to average net assets^(c)		4.61	%		3.83	%		1.77	%

^(a)

Commencement of operations.

^(b)

Not annualized.

^(c)

Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the Premium Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Institutional Shares, Select Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Institutional Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

1.	SIGNIFICANT ACCOUNTING POLICIES

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 83.96%, 90.92% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2006). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

DISTRIBUTIONS TO SHAREHOLDERS

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the tax year-end of the Funds, the components of net distributable earnings on a tax basis were as follows:


*Fund*	*Undistributed* *Ordinary Income*		Capital and Other Losses			Net Distributable Earnings
Institutional Money Market	$	31,320	$	(820	)	$	30,500
Prime Money Market		62,869		—			62,869

The tax character of distributions paid for the years ended December 31, 2006 and December 31, 2005 were as follows:


*Fund*	*2006*		*2005*
Government Money Market
Distributions paid from:
Ordinary Income	$	8,450,809	$	29,123,137

Total Distributions	$	8,450,809	$	29,123,137

Institutional Money Market
Distributions paid from:
Ordinary Income	$	272,815,553	$	213,360,431

Total Distributions	$	272,815,553	$	213,360,431

Prime Money Market
Distributions paid from:
Ordinary Income	$	429,615,585	$	400,061,034

Total Distributions	$	429,615,585	$	400,061,034

Treasury Money Market
Distributions paid from:
Ordinary Income	$	4,296,626	$	683,583

Total Distributions	$	4,296,626	$	683,583

FEDERAL INCOME TAXES

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

IBT is entitled to receive fees for its transfer agent and dividend disbursing agent services, which BGI has agreed to pay out of the fees it receives for administration services to the Funds.

SEI Investments Distribution Company (“SEI”) is the Funds’ distributor. SEI does not receive a fee from the Premium Shares of the Funds for its distribution services.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne directly by the Funds. Beginning May 1, 2006, BGI is entitled to receive for these administration services an annual fee of 0.10% of the average daily net assets of each Fund’s Premium Shares. Prior to May 1, 2006, BGI was entitled to receive an annual fee of 0.07%. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BGI may delegate certain of its administration duties to sub-administrators.

For the year ended December 31, 2006, BGI waived and/or credited administration fees of $7,743, $357,826, $169,399 and $1,557 for the Premium Shares of the GMMF, IMMF, PMMF and TMMF, respectively.

3.	CAPITAL SHARE TRANSACTIONS

As of December 31, 2006, there was an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Premium Shares of the Funds were as follows:


	*Government Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	565,169,010		$	565,169,010		4,027,681,994		$	4,027,681,994
Shares issued in reinvestment of dividends and distributions	2,880,744			2,880,744		4,744,687			4,744,687
Shares redeemed	(627,760,416	)		(627,760,416	)	(3,849,284,353	)		(3,849,284,353	)

Net increase (decrease)	(59,710,662	)	$	(59,710,662	)	183,142,328		$	183,142,328


	*Institutional Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	7,528,346,842		$	7,528,346,842		12,409,149,344		$	12,409,149,344
Shares issued in reinvestment of dividends and distributions	73,667,121			73,667,121		53,195,056			53,195,056
Shares redeemed	(8,084,142,291	)		(8,084,142,291	)	(11,876,573,460	)		(11,876,573,460	)

Net increase (decrease)	(482,128,328	)	$	(482,128,328	)	585,770,940		$	585,770,940

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)


	*Prime Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	14,180,801,372		$	14,180,801,372		27,815,810,863		$	27,815,810,863
Shares issued in reinvestment of dividends and distributions	90,425,802			90,425,802		110,788,469			110,788,469
Shares redeemed	(15,953,330,285	)		(15,953,330,285	)	(29,939,969,194	)		(29,939,969,194	)

Net decrease	(1,682,103,111	)	$	(1,682,103,111	)	(2,013,369,862	)	$	(2,013,369,862	)


	*Treasury Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	17,849,839		$	17,849,839		119,416,584		$	119,416,584
Shares issued in reinvestment of dividends and distributions	66,473			66,473		20,230			20,230
Shares redeemed	(18,351,168	)		(18,351,168	)	(116,990,833	)		(116,990,833	)

Net increase (decrease)	(434,856	)	$	(434,856	)	2,445,981		$	2,445,981

4.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Government Money Market Fund, Institutional Money Market Fund, Prime Money Market Fund and Treasury Money Market Fund, each a series of Barclays Global Investors Funds, (the “Funds”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented, and the financial highlights for the Premium Share Class for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION (Unaudited)


*Fund*	*Interest-* *Related* *Dividends*
Government Money Market	$	8,450,809
Institutional Money Market		227,229,125
Prime Money Market		386,343,807
Treasury Money Market		4,296,626

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Interested Trustees and Officers


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2005) of Global Index and Markets Group of BGI; Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director (since 2005) of Barclays Global Fund Advisors; Director, President and Chief Executive Officer (since 2005) of Barclays Global Investors International, Inc.; Director, Chairman and Chief Executive Officer (since 2005) of Barclays Global Investors Services; Chief Executive Officer (1999-2003) of the Individual Investor Business of BGI.	Director (since 2003) of BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director and Chief Financial Officer (since 2005) of Barclays Global Investors International, Inc.; Director (2000-2003) of Mutual Fund Delivery in the U.S. Individual Investor Business of BGI.	None.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii; Director (since 2002) and Chairman of the Board (since 2005) of PBS (Public Broadcasting Service); Advisory Committee Member (since 1999) of Stanford Institute for Economic Policy Research; Director (since 1998) of Commonwealth Club of California; Advisory Committee Member (since 1992) of Pacific Forum/CSIS.

A. John Gambs, 1945	Trustee (since 2006).	Retired.	Trustee (since 2006) of MIP; Governor (since 2001) and Vice President (since 2002) of San Francisco Symphony; Trustee (1995-2005) of Marin Country Day School; Trustee (2000-2004) of Marin Academy; President and Director (since 1997) of the Gambs Family Foundation.

Wendy Paskin-Jordan, 1956	Trustee (since 2006).	Managing Partner (since 1999) of Paskin & Kahr Capital Management; Registered Representative (since 2005) of ThinkEquity Partners (broker-dealer); Registered Representative (1999-2005) of ePlanning Securities, Inc. (broker-dealer).	Trustee (since 2006) of MIP; Director (since 2001) of California State Automobile Association; Director (since 2001) of Maier Siebel Baber; Trustee (since 2005) of World Affairs Council of Northern California.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees (Continued)

Name, Year of Birth

Position(s)

Length of Service

Principal Occupation(s) During Past Five Years

Other Directorships Held

Leo Soong, 1946

Trustee (since 2000) and Lead Trustee (since 2006).

President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder (President through 1999) of Crystal Geyser Water Co.

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $ 35,580,341 (collateralized by U.S. Government obligations, value $36,270,589, 5.71%, 12/1/36).	$	35,559,400	$	35,559,400
Credit Suisse First Boston Tri-Party, 5.32%, due 1/2/07, maturity value $ 35,580,420 (collateralized by U.S. Government obligations, value $36,275,356, 4.50% to 6.05%, 3/1/34 to 9/1/36).		35,559,400		35,559,400
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $ 35,580,499 (collateralized by U.S. Government obligations, value $36,271,158, 4.63%, 10/15/13).		35,559,400		35,559,400
Lehman Brothers Holdings Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $ 35,580,341 (collateralized by U.S. Government obligations, value $36,271,742, 3.50% to 8.68%, 2/1/16 to 10/1/44).		35,559,400		35,559,400
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $ 25,014,806 (collateralized by U.S. Government obligations, value $25,752,858, 0.00% to 5.80%, 5/16/31 to 10/15/36).		25,000,000		25,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $167,237,600)				167,237,600

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $167,237,600)				167,237,600

Other Assets, Less Liabilities – 0.03%				47,409

NET ASSETS – 100.00%			$	167,285,009

The accompanying notes are an integral part of these financial statements.

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 1.81%
Calyon
5.18%, 03/30/07	$	50,000,000	$	50,000,000
Wells Fargo Bank N.A.
4.80%, 01/29/07		75,000,000		74,997,616

TOTAL CERTIFICATES OF DEPOSIT (Cost: $124,997,616)				124,997,616

COMMERCIAL PAPER – 26.52%
Amstel Funding Corp.
5.12%, 06/01/07^(a)		41,621,000		40,715,327
5.22%, 04/16/07^(a)		50,000,000		49,224,250
5.25%, 02/13/07^(a)		20,000,000		19,868,750
Beta Finance Inc.
5.23%, 03/29/07^(a)		67,000,000		66,133,708
Cantabric Finance LLC
5.24%, 03/07/07^(a)		50,000,000		49,512,389
5.25%, 03/06/07^(a)		100,000,000		99,037,500
5.26%, 01/30/07^(a)		20,000,000		19,909,411
Cheyne Finance LLC
5.27%, 02/09/07^(a)		31,000,000		30,813,940
Cobbler Funding Ltd.
5.38%, 01/25/07^(a)		56,000,000		55,782,409
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		25,000,000		24,952,469
Curzon Funding LLC
5.24%, 02/27/07^(a)		50,000,000		49,570,611
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		84,360,000		84,023,403
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
Harrier Finance Funding LLC
5.12%, 06/06/07^(a)		80,000,000		78,204,066
Kestrel Funding LLC
5.25%, 01/10/07^(a)		25,000,000		24,959,896
KKR Pacific Funding Trust
5.38%, 01/23/07^(a)		100,000,000		99,641,334
Lexington Parker Capital Co. LLC
5.19%, 05/17/07^(a)		75,000,000		73,509,312
5.20%, 04/12/07^(a)		5,000,000		4,925,611
5.21%, 04/11/07^(a)		51,364,000		50,605,782
5.26%, 02/14/07^(a)		129,261,000		128,392,222
Nelnet Student Asset Funding LLC
5.35%, 01/16/07^(a)		30,249,000		30,172,579
5.35%, 01/23/07^(a)		18,958,000		18,890,383
Nestle Capital Corp.
5.19%, 08/09/07^(a)		15,000,000		14,519,925
Polonius Inc.
5.26%, 02/20/07^(a)		39,150,000		38,852,547
Prudential Funding LLC
5.26%, 01/25/07^(a)		20,000,000		19,924,022
Sedna Finance Inc.
5.22%, 04/17/07^(a)		50,000,000		49,217,000
5.26%, 01/31/07^(a)		100,000,000		99,532,445
Sigma Finance Inc.
5.21%, 05/03/07^(a)		75,000,000		73,654,084
5.26%, 02/21/07^(a)		30,000,000		29,767,683
Simba Funding Corp.
5.26%, 01/26/07^(a)		26,630,000		26,524,945
Societe Generale North America Inc.
5.10%, 08/13/07		140,000,000		135,522,061
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		65,000,000		63,507,889
Thames Asset Global Securitization No. 1 Inc.
5.26%, 01/22/07^(a)		35,013,000		34,895,337
5.33%, 01/22/07^(a)		50,000,000		49,829,736

TOTAL COMMERCIAL PAPER (Cost: $1,836,715,896)				1,836,715,896

MEDIUM-TERM NOTES – 2.31%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		70,000,000		70,000,000
5.18%, 03/15/07^(a)		20,000,000		20,000,000
Kimberly-Clark Corp.
5.26%, 12/19/07^(a)		35,000,000		35,000,000
Sigma Finance Inc.
5.35%, 04/27/07^(a)		35,000,000		34,998,867

TOTAL MEDIUM-TERM NOTES (Cost: $159,998,867)				159,998,867

REPURCHASE AGREEMENTS – 30.33%
Bank of America N.A. Tri-Party, 5.30%, due 1/2/07, maturity value $ 40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50% to 8.19%, 8/1/35 to 10/1/36).		40,000,000		40,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.37%, due 1/2/07, maturity value $ 150,089,500 (collateralized by U.S. Government to bligations, value $153,003,074, 4.00% to 11.00%, 1/1/08 to 1/1/37).		150,000,000		150,000,000
BNP Securities Corp. Tri-Party, 5.36%, due 1/2/07, maturity value $10,005,956 (collateralized by non-U.S. Government debt securities, value $10,500,001, 5.46%, 3/15/08).		10,000,000		10,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Citigroup Global Markets Holdings Inc. Tri-Party, 5.42%, due 1/2/07, maturity value $50,030, 111 (collateralized by non-U.S. Government debt securities, value $56,422,383, 0.00% to 10.00%, 5/27/33 to 12/21/36).	$	50,000,000	$	50,000,000
Citigroup Global Markets Holdings Inc. Tri-Party, 5. 46%, due 1/2/07, maturity value $250,151,667 (collateralized by non-U.S. Government debt securities, value $275,473,985, 0.00% to 10.00%, 5/27/33 to 12/21/36).		250,000,000		250,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $40,023,644 (collateralized by U.S. Government obligations, value $40,802,485, 5.47% to 5.99%, 2/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.31%, due 1/2/07, maturity value $400,236,000 (collateralized by U.S. Government obligations, value $408,000,000, 5.00% to 6.50%, 3/1/26 to 12/1/36).		400,000,000		400,000,000
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by U.S. Government obligations, value $51,500,000, 5.58% to 6.32%, 7/15/23 to 8/15/35).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.35%, due 1/2/07, maturity value $100,059,444 (collateralized by non-U.S. Government debt securities, value $105,000,000, 5.94% to 6.00%, 6/25/36 to 10/25/36).		100,000,000		100,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $210,000,000, 0.00% to 6.50%, 3/20/10 to 5/25/46).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $25,015,167 (collateralized by non-U.S. Government debt securities, value $26,250,000, 0.00% to 10.00%, 1/1/10).		25,000,000		25,000,000
Greenwich Capital Markets Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by non-U.S. Government debt securities, value $57,037,399, 0.41% to 7.50%, 4/1/36 to 8/15/36).		50,000,000		50,000,000
HSBC Securities Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $50,029,778 (collateralized by non-U.S. Government debt securities, value $52,500,031, 5.28% to 5.35%, 7/1/24 to 6/1/46).		50,000,000		50,000,000
JP Morgan Securities Inc. Tri-Party, 5.41%, due 1/2/07, maturity value $15,009,017 (collateralized by non-U.S. Government debt securities, value $15,750,749, 7.19%, 4/1/11).		15,000,000		15,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $250,151,111 (collateralized by non-U.S. Government debt securities, value $261,626,384, 0.00% to 11.19%, 1/16/07 to 12/15/36).		250,000,000		250,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,004,002, 4.19% to 7.28%, 10/1/30 to 7/1/36).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,349, 5.62% to 5.65%, 2/20/34 to 7/15/36).		40,000,000		40,000,000
Morgan Stanley Tri-Party, 5.51%, due 1/4/08, maturity value $264,195,903 (collateralized by non-U.S. Government debt securities, value $271,084,771, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(b)		250,000,000		250,000,000
Wachovia Capital Tri-Party, 5.38%, due 1/2/07, maturity value $80,047,822 (collateralized by non-U.S. Government debt securities, value $84,000,001, 4.35% to 6.23%, 1/20/22 to 11/15/48).		80,000,000		80,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,100,000,000)				2,100,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
TIME DEPOSITS – 1.01%
Rabobank Nederland NV
5.25%, 01/02/07	$	70,189,000	$	70,189,000

TOTAL TIME DEPOSITS (Cost: $70,189,000)				70,189,000

VARIABLE & FLOATING RATE NOTES – 37.68%
Allstate Life Global Funding II
5.33%, 11/02/07		30,000,000		30,000,000
5.36%, 01/25/08^(a)		50,000,000		50,000,000
5.39%, 01/15/08^(a)		35,000,000		35,010,440
5.40%, 01/08/08^(a)		11,000,000		11,003,070
5.43%, 01/15/08^(a)		25,000,000		25,007,536
American Immigration Lawyers
Association Inc.
5.40%, 01/02/07^(a)		3,600,000		3,600,000
AmeriCredit Automobile Receivables
Trust Series 2006-BG Class A1
5.35%, 10/09/07		9,877,748		9,877,748
ANZ National International Ltd.
5.35%, 12/07/07^(a)		75,000,000		75,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
Australia & New Zealand
Banking Group Ltd.
5.35%, 01/23/08^(a)		35,000,000		35,000,000
Bank of America N.A.
5.28%, 04/20/07		30,000,000		30,000,000
Bank of Ireland
5.35%, 08/20/07^(a)		70,000,000		70,000,000
Capital Auto Receivables Asset
Trust Series 2006-2 Class A1
5.34%, 12/15/07		64,000,000		64,000,000
Carlyle Loan Investment Ltd.
Series 2006-3A Class 1
5.40%, 07/15/07^(a)		33,000,000		33,000,000
Commodore CDO Ltd. 2003-2A
Class A1MM
5.44%, 12/12/07^(a)		25,000,000		25,000,000
Credit Suisse First Boston NY
5.38%, 04/24/07		25,000,000		25,000,409
5.43%, 08/21/07		15,000,000		15,000,000
DaimlerChrysler Auto Trust
Series 2006-C Class A1
5.33%, 10/08/07^(a)		14,446,125		14,446,125
DEPFA Bank PLC
5.40%, 09/14/07^(a)		100,000,000		100,000,000
Great America Leasing Receivables
Series 2006-1 Class A1
5.40%, 11/15/07^(a)		29,390,632		29,390,632
Harrier Finance Funding LLC
5.32%, 08/07/07^(a)		50,000,000		49,993,934
5.36%, 07/20/07^(a)		25,000,000		25,002,678
5.36%, 07/25/07^(a)		15,000,000		15,001,746
5.36%, 08/13/07^(a)		30,000,000		30,003,662
HBOS Treasury Services PLC
5.44%, 01/24/08^(a)		50,000,000		50,000,000
Holmes Master Issuer PLC
Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		82,000,000		82,000,000
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)		30,000,000		30,000,000
Jordan Brick Co. Inc.
5.35%, 01/02/07^(a)		46,000,000		46,000,000
JPMorgan Chase & Co.
5.32%, 08/02/07		75,000,000		75,000,000
5.40%, 07/27/07		100,000,000		100,000,000
K2 USA LLC
5.39%, 06/04/07^(a)		60,000,000		60,000,000
Kestrel Funding LLC
5.33%, 07/11/07^(a)		25,000,000		24,998,589
Kommunalkredit Austria AG
5.35%, 01/09/08^(a)		40,000,000		40,000,000
Lakeline Austin Development Ltd.
5.35%, 01/02/07^(a)		9,800,000		9,800,000
Leafs LLC
5.35%, 02/20/07^(a)		19,807,569		19,807,574
Marshall & Ilsley Bank
5.35%, 01/15/08		60,000,000		60,000,000
Master Funding LLC
5.38%, 04/25/07^(a)		60,000,000		60,000,000
5.38%, 05/25/07^(a)		50,000,000		50,000,000
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		60,000,000		60,000,000
MetLife Insurance Co. of Connecticut
5.45%, 02/02/07^(a)(b)		50,000,000		50,000,000
5.45%, 07/18/07^(a)(b)		25,000,000		25,000,000
5.46%, 08/17/07^(a)(b)		50,000,000		50,000,000
Natexis Banques Populaires
5.36%, 09/14/07^(a)		50,000,000		50,000,000
5.37%, 12/07/07^(a)		40,000,000		40,000,000
Nationwide Building Society
5.44%, 10/26/07^(a)		100,000,000		100,000,000
Nordea Bank AB
5.36%, 09/11/07^(a)		75,000,000		75,000,000
Northern Rock PLC
5.39%, 08/03/07^(a)		70,000,000		70,000,000
Northlake CDO I Series 1A
Class IMM-1A
5.42%, 03/06/07^(a)		15,000,000		15,000,000
Permanent Financing PLC
Series 9A Class 1A
5.32%, 03/10/07^(a)		60,000,000		60,000,000
Pricoa Global Funding I
5.34%, 11/27/07		65,000,000		65,000,000
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(a)		50,000,000		50,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Societe Generale
5.34%, 07/02/07^(a)	$	30,000,000	$	30,000,000
Strips III LLC
5.40%, 08/24/07^(a)		15,772,835		15,772,835
Trap Rock Industry Inc.
5.35%, 01/02/07^(a)		19,370,000		19,370,000
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		50,000,000		50,000,000
5.36%, 06/15/07^(a)		25,000,000		25,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		37,650,695		37,650,695
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		43,806,528		43,806,528
Westpac Banking Corp.
5.39%, 07/11/07		70,000,000		70,000,000
Wind Master Trust
5.34%, 07/25/07^(a)		25,000,000		25,000,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $2,609,541,630)				2,609,541,630

TOTAL INVESTMENTS IN SECURITIES – 99.66% (Cost: $6,901,443,009)				6,901,443,009

Other Assets, Less Liabilities – 0.34%				23,521,880

NET ASSETS – 100.00%			$	6,924,964,889

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 2.66%
Calyon
4.84%, 01/30/07	$	50,000,000	$	50,000,204
5.18%, 03/30/07		70,000,000		70,000,000
Credit Suisse First Boston NY
5.40%, 06/04/07		100,000,000		100,000,000

TOTAL CERTIFICATES OF DEPOSIT (Cost: $220,000,204)				220,000,204

COMMERCIAL PAPER – 15.50%
Amstel Funding Corp.
5.25%, 02/13/07^(a)		10,000,000		9,934,375
Atlantis One Funding
5.20%, 02/28/07^(a)		100,000,000		99,133,333
Beta Finance Inc.
5.24%, 03/15/07^(a)		100,000,000		98,908,334
Cheyne Finance LLC
5.38%, 10/31/07^(a)		30,000,000		29,994,986
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		20,000,000		19,961,975
Five Finance Inc.
5.21%, 04/16/07^(a)		34,000,000		33,473,500
5.22%, 04/23/07^(a)		30,000,000		29,504,100
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
5.07%, 09/07/07		40,000,000		38,586,033
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		100,000,000		99,601,000
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
K2 USA LLC
5.21%, 04/12/07^(a)		47,900,000		47,185,984
Lexington Parker Capital Co. LLC
5.26%, 02/14/07^(a)		116,374,000		115,591,837
5.27%, 01/12/07^(a)		30,000,000		29,942,963
Nestle Capital Corp.
5.19%, 08/09/07^(a)		25,000,000		24,199,875
Park Sienna LLC
5.35%, 01/02/07^(a)		17,371,000		17,363,256
Sedna Finance Inc.
5.22%, 04/20/07^(a)		56,000,000		55,098,680
Sigma Finance Inc.
5.26%, 02/21/07^(a)		50,000,000		49,612,805
Societe Generale North America Inc.
5.10%, 08/13/07		125,000,000		121,001,840
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		100,000,000		97,704,445
Sydney Capital Corp.
5.26%, 02/14/07^(a)		85,400,000		84,826,017
Unicredi to Italiano Bank Ireland
5.21%, 05/07/07^(a)		80,000,000		78,518,045

TOTAL COMMERCIAL PAPER (Cost: $1,282,266,253)				1,282,266,253

MEDIUM-TERM NOTES – 4.06%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		110,000,000		110,000,000
5.18%, 03/15/07^(a)		30,000,000		30,000,000
5.36%, 04/25/07^(a)		31,000,000		31,000,000
5.44%, 08/23/07^(a)		25,000,000		25,000,000
Sigma Finance Inc.
4.78%, 01/26/07^(a)		75,000,000		75,000,000
5.35%, 04/27/07^(a)		65,000,000		64,997,894

TOTAL MEDIUM-TERM NOTES (Cost: $335,997,894)				335,997,894

REPURCHASE AGREEMENTS – 25.62%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $40,023,556 (collateralized by U.S. Government to obligations, value $40,800,000, 6.50%, 10/1/36).		40,000,000		40,000,000
Banc of America Securities LLC Tri-Party, 5.36%, due 1/2/07, maturity value $300,178,667 (collateralized by non-U.S. Government debt securities, value $330,000,001, 5.30% to 7.08%, 9/15/09 to 5/1/19).		300,000,000		300,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.32%, due 1/2/07, maturity value $300,177,333 (collateralized by U.S. Government to obligations, value $306,002,447, 4.50% to 9.00%, 3/1/08 to 12/1/36).		300,000,000		300,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $40,023,644 (collateralized by U.S. Government to obligations, value $40,802,553, 5.33% to 5.99%, 6/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by non-U.S. Government debt securities, value $52,500,001, 2.28% to 5.65%, 8/15/07 to 6/12/41).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.31%, due 1/2/07, maturity value $500,295,000 (collateralized by U.S. Government obligations, value $510,000,000, 4.00% to 6.00%, 3/1/19 to 12/1/36).		500,000,000		500,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $150,089,333 (collateralized by non-U.S. Government debt securities, value $183,750,001, 0.00% to 10.00%, 1/1/07 to 12/31/36).	$	150,000,000	$	150,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $204,000,001, 5.31% to 5.42%, 1/12/07 to 3/26/07).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by U.S. Government obligations, value $51,000,348, 4.50%, 11/15/12 to 7/15/13).		50,000,000		50,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $210,002,614, 1.34% to 9.48%, 1/18/11 to 10/15/49).		200,000,000		200,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,000,067, 3.94% to 7.09%, 1/1/13 to 4/1/40).		50,000,000		50,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $150,090,667 (collateralized by non-U.S. Government debt securities, value $154,501,620, 3.95% to 8.88%, 10/24/08 to 12/1/66).		150,000,000		150,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $50,030,222 (collateralized by non-U.S. Government debt securities, value $51,503,498, 3.34% to 8.75%, 6/15/07 to 12/1/66).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,437, 5.62%, 7/15/36).		40,000,000		40,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,120,000,000)				2,120,000,000

TIME DEPOSITS – 2.35%
Rabobank Nederland NV
5.25%, 01/02/07		194,283,000		194,283,000

TOTAL TIME DEPOSITS (Cost: $194,283,000)				194,283,000

VARIABLE & FLOATING RATE NOTES – 49.32%
Allstate Life Global Funding II
5.33%, 11/02/07		45,000,000		45,000,000
5.36%, 01/25/08^(a)		160,000,000		160,005,461
5.39%, 01/15/08^(a)		85,000,000		85,026,161
5.40%, 01/08/08^(a)		58,000,000		58,007,669
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(a)		50,000,000		50,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
5.41%, 05/03/07^(a)		30,400,000		30,405,277
Bank of America N.A.
5.28%, 04/20/07		50,000,000		50,000,000
Beta Finance Inc.
5.41%, 06/27/07^(a)		55,000,000		55,010,569
Carlyle Loan Investment Ltd. Series 2006-1A Class 1
5.40%, 04/13/07^(a)		12,000,000		12,000,000
Carlyle Loan Investment Ltd. Series 2006-2A Class 1
5.40%, 05/15/07^(a)		15,000,000		15,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		62,000,000		62,000,000
Citigroup Global Markets Holdings Inc.
5.35%, 04/30/07		400,000,000		400,000,000
DEPFA Bank PLC
5.40%, 09/14/07^(a)		50,000,000		50,000,000
Dorada Finance Inc.
5.41%, 06/27/07^(a)		70,000,000		70,013,452
Five Finance Inc.
5.31%, 06/29/07^(a)		60,000,000		59,994,050
General Electric Capital Corp.
5.31%, 01/24/08		65,000,000		65,000,000
Harrier Finance Funding LLC
5.36%, 08/13/07^(a)		45,000,000		45,005,493
Hartford Life Global Funding Trust
5.37%, 01/15/08		100,000,000		100,000,000
Holmes Financing PLC Series 10A Class 1A
5.32%, 07/15/07^(a)		150,000,000		150,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		93,000,000		93,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)	$	45,000,000	$	45,000,000
K2 USA LLC
5.33%, 06/28/07^(a)		60,000,000		59,997,041
Kestrel Funding LLC
5.33%, 07/11/07^(a)		35,000,000		34,998,024
Leafs LLC
5.35%, 01/22/07^(a)		74,563,334		74,563,334
5.35%, 12/20/07^(a)		49,632,000		49,632,000
Links Finance LLC
5.31%, 05/10/07^(a)		85,000,000		84,996,888
5.35%, 05/16/07^(a)		55,000,000		54,997,936
Lothian Mortgages Master Issuer PLC
Series 2006-1A Class A1
5.32%, 04/24/07^(a)		54,106,191		54,106,191
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		65,000,000		65,000,000
Metropolitan Life Global Funding I
5.36%, 08/06/07^(a)		139,680,000		139,686,160
MetLife Insurance Co.of Connecticut
5.45%, 08/01/07^(a)(b)		15,000,000		15,000,000
5.48%, 07/25/07^(a)(b)		50,000,000		50,000,000
Morgan Stanley
5.37%, 10/03/07		100,000,000		100,000,000
Mound Financing PLC
Series 5A Class 1A
5.32%, 05/08/07^(a)		81,000,000		81,000,000
Nationwide Building Society
5.38%, 01/07/08^(a)		100,000,000		100,000,000
5.44%, 10/26/07^(a)		50,000,000		50,000,000
Newcastle CDO Ltd.
Series 2005-6A Class IM1
5.37%, 04/24/07^(a)		45,000,000		44,995,763
Permanent Financing PLC
Series 9A Class 1A
5.32%, 03/10/07^(a)		100,000,000		100,000,000
Principal Life Global Funding I
5.80%, 02/08/07^(a)		55,000,000		55,026,671
Rabobank Nederland NV
5.33%, 11/15/07^(a)		140,000,000		140,000,000
Royal Bank of Scotland
4.81%, 01/29/07		50,000,000		49,998,412
Sedna Finance Inc.
5.33%, 05/25/07^(a)		55,000,000		54,997,800
Strips III LLC
5.40%, 07/24/07^(a)		20,579,555		20,579,555
Tango Finance Corp.
5.30%, 07/11/07^(a)		55,000,000		54,994,299
5.32%, 06/15/07^(a)		50,000,000		49,999,017
5.33%, 06/21/07^(a)		40,000,000		39,998,090
5.35%, 07/16/07^(a)		53,000,000		52,996,941
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		100,000,000		100,000,000
5.37%, 06/21/07^(a)		50,000,000		50,000,000
Wachovia Asset Securitization Inc.
Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		18,825,348		18,825,348
Wachovia Asset Securitization Inc.
Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		65,709,792		65,709,792
Wal-Mart Stores Inc.
5.50%, 07/15/07^(a)		10,000,000		10,003,652
Whistle Jacket Capital Ltd.
5.31%, 04/18/07^(a)		60,000,000		59,996,417
5.35%, 06/13/07^(a)		45,000,000		45,003,110
5.37%, 03/01/07^(a)		25,000,000		25,000,625
White Pine Finance LLC
5.31%, 07/16/07^(a)		70,000,000		69,992,384
5.32%, 05/22/07^(a)		70,000,000		69,993,145
5.32%, 08/20/07^(a)		80,000,000		79,985,476
Wind Master Trust
5.34%, 07/25/07^(a)		32,870,000		32,870,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,080,409,632)				4,080,409,632

TOTAL INVESTMENTS IN SECURITIES – 99.51% (Cost: $8,232,956,983)				8,232,956,983

Other Assets, Less Liabilities – 0.49%				40,125,642

NET ASSETS – 100.00%			$	8,273,082,625

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 4.60%, due 1/2/07, maturity value $41,378,938 (collateralized by U.S. Government obligations, value $42,185,443, 3.25%, 8/15/07).	$	41,357,800	$	41,357,800
Credit Suisse First Boston Tri-Party, 4.90%, due 1/2/07, maturity value $41,380,317 (collateralized by U.S. Government obligations, value $42,189,207, 3.25% to 13.25%, 8/15/07 to 8/15/28).		41,357,800		41,357,800
Goldman Sachs Group Inc. Tri-Party, 4.70%, due 1/2/07, maturity value $41,379,398 (collateralized by U.S. Government obligations, value $42,185,317, 6.13%, 8/15/07).		41,357,800		41,357,800
Lehman Brothers Holdings Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $41,379,168 (collateralized by U.S. Government obligations, value $42,186,482, 3.13% to 7.50%, 5/15/07 to 11/15/27).		41,357,800		41,357,800
Merrill Lynch & Co. Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $20,010,333 (collateralized by U.S. Government obligations, value $20,403,435, 4.50% to 5.25%, 1/15/14 to 4/18/16).		20,000,000		20,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $185,431,200)				185,431,200

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $185,431,200)				185,431,200

Other Assets, Less Liabilities – 0.03%				53,068

NET ASSETS – 100.00%			$	185,484,268

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2006

Government Money Market Master Portfolio


*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	167,237,600	99.97	%
Other Net Assets		47,409	0.03

TOTAL	$	167,285,009	100.00	%


Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	2,609,541,630	37.68	%
Repurchase Agreements		2,100,000,000	30.33
Commercial Paper		1,836,715,896	26.52
Medium-Term Notes		159,998,867	2.31
Certificates of Deposit		124,997,616	1.81
Time Deposits		70,189,000	1.01
Other Net Assets		23,521,880	0.34

TOTAL	$	6,924,964,889	100.00	%


Prime Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	4,080,409,632	49.32	%
Repurchase Agreements		2,120,000,000	25.62
Commercial Paper		1,282,266,253	15.50
Medium-Term Notes		335,997,894	4.06
Certificates of Deposit		220,000,204	2.66
Time Deposits		194,283,000	2.35
Other Net Assets		40,125,642	0.49

TOTAL	$	8,273,082,625	100.00	%


Treasury Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	185,431,200	99.97	%
Other Net Assets		53,068	0.03

TOTAL	$	185,484,268	100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	Government Money Market Master Portfolio		Money Market Master Portfolio		*Prime* Money Market Master Portfolio		*Treasury* Money Market Master Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—	$	4,801,443,009	$	6,112,956,983	$	—
Repurchase agreements, at value and cost (Note 1)		167,237,600		2,100,000,000		2,120,000,000		185,431,200
Cash		386		291		830		203
Receivables:
Interest		74,103		23,984,641		40,602,651		72,717
Due from investment adviser		—		—		—		3,007

Total Assets		167,312,089		6,925,427,941		8,273,560,464		185,507,127

LIABILITIES
Payables:
Investment advisory fees (Note 2)		4,251		438,446		451,456		—
Accrued expenses (Note 2):
Professional fees		22,829		24,606		26,383		22,809
Independent trustees’ fees		—		—		—		50

Total Liabilities		27,080		463,052		477,839		22,859

NET ASSETS	$	167,285,009	$	6,924,964,889	$	8,273,082,625	$	185,484,268

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	Government Money Market Master Portfolio			Money Market Master Portfolio			*Prime* Money Market Master Portfolio			Treasury Money Market Master Portfolio
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	8,739,812		$	331,165,036		$	513,690,122		$	4,303,455

Total investment income		8,739,812			331,165,036			513,690,122			4,303,455

EXPENSES (Note 2)
Investment advisory fees		175,487			6,536,796			10,219,789			85,545
Professional fees		23,305			41,107			53,649			22,999
Independent trustees’ fees		833			27,466			46,243			306

Total expenses		199,625			6,605,369			10,319,681			108,850
Less expense reductions (Note 2)		(55,520	)		(1,585,927	)		(2,055,676	)		(108,850	)

Net expenses		144,105			5,019,442			8,264,005			—

Net investment income		8,595,707			326,145,594			505,426,117			4,303,455

REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			1,615			65,629			—

Net realized gain		—			1,615			65,629			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,595,707		$	326,147,209		$	505,491,746		$	4,303,455

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Master Portfolio*						*Money Market Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,595,707		$	29,247,583		$	326,145,594		$	237,180,094
Net realized gain		—			—			1,615			35,169

Net increase in net assets resulting from operations		8,595,707			29,247,583			326,147,209			237,215,263

Interestholder transactions:
Contributions		797,609,141			7,564,992,045			38,273,990,665			58,641,619,347
Withdrawals		(1,033,386,805	)		(7,648,995,142	)		(37,977,755,985	)		(58,107,077,434	)

Net increase (decrease) in net assets resulting from interestholder transactions		(235,777,664	)		(84,003,097	)		296,234,680			534,541,913

Increase (decrease) in net assets		(227,181,957	)		(54,755,514	)		622,381,889			771,757,176
NET ASSETS:
Beginning of year		394,466,966			449,222,480			6,302,583,000			5,530,825,824

End of year	$	167,285,009		$	394,466,966		$	6,924,964,889		$	6,302,583,000


	*Prime Money Market Master Portfolio*						*Treasury Money Market Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	505,426,117		$	452,846,366		$	4,303,455		$	685,155
Net realized gain		65,629			9,750			—			—

Net increase in net assets resulting from operations		505,491,746			452,856,116			4,303,455			685,155

Interestholder transactions:
Contributions		64,798,575,033			79,992,322,542			778,069,880			219,416,585
Withdrawals		(68,524,371,054	)		(81,445,952,186	)		(700,382,564	)		(117,010,598	)

Net increase (decrease) in net assets resulting from interestholder transactions		(3,725,796,021	)		(1,453,629,644	)		77,687,316			102,405,987

Increase (decrease) in net assets		(3,220,304,275	)		(1,000,773,528	)		81,990,771			103,091,142
NET ASSETS:
Beginning of year		11,493,386,900			12,494,160,428			103,493,497			402,355

End of year	$	8,273,082,625		$	11,493,386,900		$	185,484,268		$	103,493,497

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1.	SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

SECURITY TRANSACTIONS AND INCOME RECOGNITION

FEDERAL INCOME TAXES

In general, MIP believes that each Master Portfolio has and will continue to be operated in a manner so as to qualify it as a non-publicly traded partnership for federal income tax purposes. Provided that each such Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gains (if any). However, each interest holder in such a Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership for federal income tax purposes, each such Master Portfolio will be deemed to have “passed through” to its interest holders any interest, dividends, gains or losses of the Master Portfolio for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the “Code”), and regulations promulgated thereunder.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial reporting purposes.

REPURCHASE AGREEMENTS

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

3.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolios’ financial statement disclosures.

4.	FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:


*Master Portfolio*	Year Ended December 31, 2006		Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002
Government Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.03	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.11	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	4.90	%	3.16	%	1.93	%^(b)	n/a		n/a
Total return	5.08	%	3.28	%	0.64	%^(b)(c)	n/a		n/a
Money Market
Ratio of expenses to average net assets	0.08	%	0.05	%	0.05	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to expense reductions	0.10	%	0.10	%	0.10	%	n/a		n/a
Ratio of net investment income to average net assets	4.99	%	3.27	%	1.40	%	1.15	%	1.80	%
Total return	5.13	%	3.28	%	1.39	%	1.16	%	1.84	%
Prime Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.08	%	0.03	%	0.03	%^(d)	n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.10	%	0.10	%	0.10	%	0.10	%^(d)	n/a
Ratio of net investment income to average net assets^(a)	4.95	%	3.22	%	1.52	%	1.12	%^(d)	n/a
Total return	5.11	%	3.26	%	1.40	%	0.80	%^(c)(d)	n/a
Treasury Money Market
Ratio of expenses to average net assets^(a)	0.00	%	0.00	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.13	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	5.03	%	3.99	%	1.82	%^(b)	n/a		n/a
Total return	5.04	%	3.20	%	0.61	%^(b)(c)	n/a		n/a

^(a)	Annualized for periods of less than one year.

^(b)	For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c)	Not annualized.

^(d)	For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interest holders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

MASTER INVESTMENT PORTFOLIO

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Notes:

LOGO

Table of Contents


Shareholder Expenses (Unaudited)		1

Barclays Global Investors Funds

Financial Statements		2

Financial Highlights		6

Notes to the Financial Statements		10

Report of Independent Registered Public Accounting Firm		14

Tax Information (Unaudited)		15

Trustee and Officer Information (Unaudited)		16

Master Investment Portfolio

Schedules of Investments		19

Government Money Market Master Portfolio		19

Money Market Master Portfolio		20

Prime Money Market Master Portfolio		24

Treasury Money Market Master Portfolio		27

Portfolio Allocations (Unaudited)		28

Financial Statements		29

Notes to the Financial Statements		31

Report of Independent Registered Public Accounting Firm		34

Trustee and Officer Information (Unaudited)		35

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited)

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 to December 31, 2006.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES


*Fund*	Beginning Account Value (7/1/06)		Ending Account Value (12/31/06)		Annualized Expense Ratio^(a)		Expenses Paid During Period ^(b)(7/1/06 to 12/31/06)
Government Money Market
Select Shares
Actual	$	1,000.00	$	1,026.20	0.21	%	$	1.07
Hypothetical (5% return before expenses)		1,000.00		1,024.16	0.21			1.07
Institutional Money Market
Select Shares
Actual		1,000.00		1,026.40	0.20			1.02
Hypothetical (5% return before expenses)		1,000.00		1,024.20	0.20			1.02
Prime Money Market
Select Shares
Actual		1,000.00		1,026.30	0.21			1.07
Hypothetical (5% return before expenses)		1,000.00		1,024.16	0.21			1.07
Treasury Money Market
Select Shares
Actual		1,000.00		1,026.20	0.10			0.51
Hypothetical (5% return before expenses)		1,000.00		1,024.70	0.10			0.51

^(a)	This ratio includes net expenses charged to the corresponding Master Portfolio and includes expense reductions during the period.

^(b)	Expenses are calculated using each Fund’s annualized expense ratio of the Select Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	Government Money Market Fund		Institutional Money Market Fund			*Prime* *Money Market Fund*		Treasury Money Market Fund
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	167,285,009	$	5,814,334,517		$	7,521,905,359	$	185,484,268

Total Assets		167,285,009		5,814,334,517			7,521,905,359		185,484,268

LIABILITIES
Payables:
Distribution to shareholders		541,710		26,471,006			32,274,992		808,516
Administration fees (Note 2)		9,407		270,568			376,504		3,913
Distribution fees – Aon Captives Shares (Note 2)		—		17,696			—		—
Accrued expenses (Note 2):
Professional fees		15,954		16,904			18,573		15,940
Independent trustees’ fees		—		—			—		46

Total Liabilities		567,071		26,776,174			32,670,069		828,415

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Net assets consist of:
Paid-in capital	$	166,717,938	$	5,787,527,843		$	7,489,172,421	$	184,655,853
Undistributed net investment income		—		31,320			5,563		—
Undistributed net realized gain (accumulated net realized loss)		—		(820	)		57,306		—

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Aon Captives Shares
Net Assets	$	—	$	69,082,724		$	—	$	—

Shares outstanding		—		69,082,172			—		—

Net asset value and offering price per share	$	—	$	1.00		$	—	$	—

Institutional Shares
Net Assets	$	395,262	$	4,198,724,323		$	5,915,836,373	$	126,517,575

Shares outstanding		395,262		4,198,709,058			5,915,789,555		126,517,575

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Premium Shares
Net Assets	$	123,532,104	$	1,321,042,198		$	1,551,648,412	$	2,111,547

Shares outstanding		123,532,104		1,321,031,259			1,551,631,945		2,111,547

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Select Shares
Net Assets	$	42,682,680	$	1,228,948		$	21,642,357	$	55,918,956

Shares outstanding		42,682,680		1,228,941			21,642,773		55,918,956

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Trust Shares
Net Assets	$	107,892	$	197,480,150		$	108,148	$	107,775

Shares outstanding		107,892		197,480,202			108,148		107,775

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	Government Money Market Fund			Institutional Money Market Fund			*Prime* *Money Market Fund*			Treasury Money Market Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	8,739,812		$	279,166,390		$	441,029,206		$	4,303,455
Expenses^(a)		(144,105	)		(4,242,262	)		(7,058,243	)		—

Net investment income allocated from corresponding Master Portfolio		8,595,707			274,924,128			433,970,963			4,303,455

FUND EXPENSES (Note 2)
Administration fees		147,743			3,219,246			4,832,189			45,857
Distribution fees – Aon Captives Shares		—			76,420			—			—
Professional fees		16,432			31,129			41,730			16,130
Independent trustees’ fees		827			22,919			38,951			302

Total fund expenses		165,002			3,349,714			4,912,870			62,289
Less expense reductions (Note 2)		(20,104	)		(1,237,001	)		(543,539	)		(55,460	)

Net fund expenses		144,898			2,112,713			4,369,331			6,829

Net investment income		8,450,809			272,811,415			429,601,632			4,296,626

REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			1,322			57,306			—

Net realized gain		—			1,322			57,306			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,450,809		$	272,812,737		$	429,658,938		$	4,296,626

^(a)	Net of investment advisory fee reductions in the amounts of $55,520, $1,330,207, $1,790,931 and $108,850, respectively.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Fund*						*Institutional Money Market Fund*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,450,809		$	29,123,137		$	272,811,415		$	213,360,485
Net realized gain		—			—			1,322			32,325

Net increase in net assets resulting from operations		8,450,809			29,123,137			272,812,737			213,392,810

Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(3,715,877	)		(2,943,319	)
Institutional Shares		(2,592,685	)		(22,103,787	)		(186,931,038	)		(129,993,058	)
Premium Shares		(3,831,192	)		(6,585,019	)		(78,290,437	)		(79,980,794	)
Select Shares		(2,022,076	)		(431,372	)		(291,403	)		(440,285	)
Trust Shares		(4,856	)		(2,959	)		(3,586,798	)		(2,975	)

Total distributions to shareholders		(8,450,809	)		(29,123,137	)		(272,815,553	)		(213,360,431	)

Capital share transactions (Note 3):
Aon Captives Shares		—			—			(8,815,803	)		(28,534,415	)
Institutional Shares		(168,804,945	)		(278,900,244	)		712,850,474			(138,646,363	)
Premium Shares		(59,710,662	)		183,142,328			(482,128,328	)		585,770,940
Select Shares		1,970,382			40,611,873			(23,711,270	)		18,227,811
Trust Shares		4,739			2,785			197,376,819			2,796

Net increase (decrease) in net assets resulting from capital share transactions		(226,540,486	)		(55,143,258	)		395,571,892			436,820,769

Increase (decrease) in net assets		(226,540,486	)		(55,143,258	)		395,569,076			436,853,148
NET ASSETS:
Beginning of year		393,258,424			448,401,682			5,391,989,267			4,955,136,119

End of year	$	166,717,938		$	393,258,424		$	5,787,558,343		$	5,391,989,267

Undistributed net investment income included in net assets at end of year	$	—		$	—		$	31,320		$	3,747

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*Prime Money Market Fund*						*Treasury Money Market Fund*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	429,601,632		$	400,061,034		$	4,296,626		$	683,583
Net realized gain		57,306			8,607			—			—

Net increase in net assets resulting from operations		429,658,938			400,069,641			4,296,626			683,583

Distributions to shareholders:
From net investment income:
Institutional Shares		(296,267,556	)		(231,155,121	)		(3,943,200	)		(590,271	)
Premium Shares		(131,802,661	)		(166,418,165	)		(33,439	)		(87,324	)
Select Shares		(1,540,469	)		(2,484,802	)		(315,134	)		(3,114	)
Trust Shares		(4,899	)		(2,946	)		(4,853	)		(2,874	)

Total distributions to shareholders		(429,615,585	)		(400,061,034	)		(4,296,626	)		(683,583	)

Capital share transactions (Note 3):
Institutional Shares		(606,011,616	)		520,868,715			26,175,036			100,242,105
Premium Shares		(1,682,103,111	)		(2,013,369,862	)		(434,856	)		2,445,981
Select Shares		(59,716,384	)		(88,977,243	)		55,815,617			2,930
Trust Shares		4,782			2,775			4,733			2,691

Net increase (decrease) in net assets resulting from capital share transactions		(2,347,826,329	)		(1,581,475,615	)		81,560,530			102,693,707

Increase (decrease) in net assets		(2,347,782,976	)		(1,581,467,008	)		81,560,530			102,693,707
NET ASSETS:
Beginning of year		9,837,018,266			11,418,485,274			103,095,323			401,616

End of year	$	7,489,235,290		$	9,837,018,266		$	184,655,853		$	103,095,323

Undistributed net investment income included in net assets at end of year	$	5,563		$	13,322		$	—		$	—

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	*Government Money Market Fund — Select Shares*
	*Year ended* *Dec. 31, 2006*			*Year ended* *Dec. 31, 2005*			*Period from* *Sep. 1, 2004 ^(a)* *to Dec. 31, 2004*
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.94	%		3.18	%		0.60	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	42,683		$	40,712		$	100
Ratio of expenses to average net assets^(c)		0.21	%		0.13	%		0.10	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.26	%		0.22	%		0.22	%
Ratio of net investment income to average net assets^(c)		4.84	%		3.90	%		1.81	%

^(a)	Commencement of operations.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Institutional Money Market Fund — Select Shares*
	*Year ended* *Dec. 31, 2006*			*Year ended* *Dec. 31, 2005*			*Period from* *Jan. 26, 2004 ^(a)* *to Dec. 31, 2004*
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01
Net realized gain		—			0.00	^(b)		—

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		5.00	%		3.19	%		1.22	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	1,229		$	24,940		$	6,712
Ratio of expenses to average net assets^(d)		0.19	%		0.15	%		0.10	%
Ratio of expenses to average net assets prior to expense reductions^(d)		0.23	%		0.22	%		0.22	%
Ratio of net investment income to average net assets^(d)		4.55	%		3.50	%		1.93	%

^(a)	Commencement of operations.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Prime Money Market Fund — Select Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Period from Jan. 26, 2004 ^(a)to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01
Net realized gain		0.00	^(b)		0.00	^(b)		—

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.97	%		3.16	%		1.23	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	21,642		$	81,359		$	170,336
Ratio of expenses to average net assets^(d)		0.21	%		0.18	%		0.10	%
Ratio of expenses to average net assets prior to expense reductions^(d)		0.24	%		0.22	%		0.22	%
Ratio of net investment income to average net assets^(d)		4.67	%		3.05	%		2.11	%

^(a)	Commencement of operations.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Treasury Money Market Fund — Select Shares*
	*Year ended* *Dec. 31, 2006*			*Year ended* *Dec. 31, 2005*			*Period from* *Sep. 1, 2004 ^(a)* *to Dec. 31, 2004*
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.94	%		3.10	%		0.58	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	55,919		$	103		$	100
Ratio of expenses to average net assets^(c)		0.10	%		0.10	%		0.10	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.30	%		0.22	%		0.22	%
Ratio of net investment income to average net assets^(c)		5.15	%		3.06	%		1.70	%

^(a)	Commencement of operations.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the Select Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Institutional Shares, Premium Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Institutional Shares, Premium Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

Under the Trust’s organizational documents, the Funds’officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred.

1.	SIGNIFICANT ACCOUNTING POLICIES

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 83.96%, 90.92% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2006). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

DISTRIBUTIONS TO SHAREHOLDERS

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the tax year-end of the Funds, the components of net distributable earnings on a tax basis were as follows:


*Fund*	*Undistributed* *Ordinary Income*		*Capital and* *Other Losses*			*Net Distributable* *Earnings*
Institutional Money Market	$	31,320	$	(820	)	$	30,500
Prime Money Market		62,869		—			62,869

The tax character of distributions paid for the years ended December 31, 2006 and December 31, 2005 were as follows:


*Fund*	*2006*		*2005*
Government Money Market
Distributions paid from:
Ordinary Income	$	8,450,809	$	29,123,137

Total Distributions	$	8,450,809	$	29,123,137

Institutional Money Market
Distributions paid from:
Ordinary Income	$	272,815,553	$	213,360,431

Total Distributions	$	272,815,553	$	213,360,431

Prime Money Market
Distributions paid from:
Ordinary Income	$	429,615,585	$	400,061,034

Total Distributions	$	429,615,585	$	400,061,034

Treasury Money Market
Distributions paid from:
Ordinary Income	$	4,296,626	$	683,583

Total Distributions	$	4,296,626	$	683,583

FEDERAL INCOME TAXES

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

IBT is entitled to receive fees for its transfer agent and dividend disbursing agent services, which BGI has agreed to pay out of the fees it receives for administration services to the Funds.

SEI Investments Distribution Company (“SEI”) is the Funds’ distributor. SEI does not receive a fee from the Select Shares of the Funds for its distribution services.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne directly by the Funds. Beginning May 1, 2006, BGI is entitled to receive for these administration services an annual fee of 0.15% of the average daily net assets of each Fund’s Select Shares. Prior to May 1, 2006, BGI was entitled to receive an annual fee of 0.12%. Beginning September 1, 2006, BGI has contractually agreed to waive a portion of its administration fees through April 30, 2008. After giving effect to such contractual waiver, the administration fees will be 0.13%. From time to time, BGI may waive an additional portion of its administration fees. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BGI may delegate certain of its administration duties to sub-administrators.

For the year ended December 31, 2006, BGI waived and/or credited administration fees of $6,967, $1,382, $3,998 and $3,017 for the Select Shares of the GMMF, IMMF, PMMF and TMMF, respectively.

3.	CAPITAL SHARE TRANSACTIONS

As of December 31, 2006, there was an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Select Shares of the Funds were as follows:


	*Government Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	918,684		$	918,684		40,320,037		$	40,320,037
Shares issued in reinvestment of dividends and distributions	1,971,361			1,971,361		291,836			291,836
Shares redeemed	(919,663	)		(919,663	)	—			—

Net increase	1,970,382		$	1,970,382		40,611,873		$	40,611,873


	*Institutional Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	19,989,636		$	19,989,636		117,722,158		$	117,722,158
Shares issued in reinvestment of dividends and distributions	328,230			328,230		341,549			341,549
Shares redeemed	(44,029,136	)		(44,029,136	)	(99,835,896	)		(99,835,896	)

Net increase (decrease)	(23,711,270	)	$	(23,711,270	)	18,227,811		$	18,227,811

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)


	*Prime Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	49,767,285		$	49,767,285		139,708,446		$	139,708,446
Shares issued in reinvestment of dividends and distributions	1,645,286			1,645,286		2,482,170			2,482,170
Shares redeemed	(111,128,955	)		(111,128,955	)	(231,167,859	)		(231,167,859	)

Net decrease	(59,716,384	)	$	(59,716,384	)	(88,977,243	)	$	(88,977,243	)


	*Treasury Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	144,900,000		$	144,900,000		—		$	—
Shares issued in reinvestment of dividends and distributions	15,617			15,617		2,930			2,930
Shares redeemed	(89,100,000	)		(89,100,000	)	—			—

Net increase	55,815,617		$	55,815,617		2,930		$	2,930

4.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Government Money Market Fund, Institutional Money Market Fund, Prime Money Market Fund and Treasury Money Market Fund, each a series of Barclays Global Investors Funds, (the “Funds”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented, and the financial highlights for the Select Share Class for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION (Unaudited)


*Fund*	*Interest- Related* *Dividends*
Government Money Market	$	8,450,809
Institutional Money Market		227,229,125
Prime Money Market		386,343,807
Treasury Money Market		4,296,626

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Interested Trustees and Officers


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2005) of Global Index and Markets Group of BGI; Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director (since 2005) of Barclays Global Fund Advisors; Director, President and Chief Executive Officer (since 2005) of Barclays Global Investors International, Inc.; Director, Chairman and Chief Executive Officer (since 2005) of Barclays Global Investors Services; Chief Executive Officer (1999-2003) of the Individual Investor Business of BGI.	Director (since 2003) of BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director and Chief Financial Officer (since 2005) of Barclays Global Investors International, Inc.; Director (2000-2003) of Mutual Fund Delivery in the U.S. Individual Investor Business of BGI.	None.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii; Director (since 2002) and Chairman of the Board (since 2005) of PBS (Public Broadcasting Service); Advisory Committee Member (since 1999) of Stanford Institute for Economic Policy Research; Director (since 1998) of Commonwealth Club of California; Advisory Committee Member (since 1992) of Pacific Forum/CSIS.

A. John Gambs, 1945	Trustee (since 2006).	Retired.	Trustee (since 2006) of MIP; Governor (since 2001) and Vice President (since 2002) of San Francisco Symphony; Trustee (1995-2005) of Marin Country Day School; Trustee (2000-2004) of Marin Academy; President and Director (since 1997) of the Gambs Family Foundation.

Wendy Paskin-Jordan, 1956	Trustee (since 2006).	Managing Partner (since 1999) of Paskin & Kahr Capital Management; Registered Representative (since 2005) of ThinkEquity Partners (broker-dealer); Registered Representative (1999-2005) of ePlanning Securities, Inc. (broker-dealer).	Trustee (since 2006) of MIP; Director (since 2001) of California State Automobile Association; Director (since 2001) of Maier Siebel Baber; Trustee (since 2005) of World Affairs Council of Northern California.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees (Continued)

Name, Year of Birth

Position(s),

Length of Service

Principal Occupation(s) During Past Five Years

Other Directorships Held

Leo Soong,
1946

Trustee (since 2000) and Lead Trustee (since 2006).

President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder (President through 1999) of Crystal Geyser Water Co.

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $35,580,341 (collateralized by U.S. Government obligations, value $36,270,589, 5.71%, 12/1/36).	$	35,559,400	$	35,559,400
Credit Suisse First Boston Tri-Party, 5.32%, due 1/2/07, maturity value $35,580,420 (collateralized by U.S. Government obligations, value $36,275,356, 4.50% to 6.05%, 3/1/34 to 9/1/36).		35,559,400		35,559,400
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $35,580,499 (collateralized by U.S. Government obligations, value $36,271,158, 4.63%, 10/15/13).		35,559,400		35,559,400
Lehman Brothers Holdings Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $35,580,341 (collateralized by U.S. Government obligations, value $36,271,742, 3.50% to 8.68%, 2/1/16 to 10/1/44).		35,559,400		35,559,400
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $25,014,806 (collateralized by U.S. Government obligations, value $25,752,858, 0.00% to 5.80%, 5/16/31 to 10/15/36).		25,000,000		25,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $167,237,600)				167,237,600

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $167,237,600)				167,237,600

Other Assets, Less Liabilities – 0.03%				47,409

NET ASSETS – 100.00%			$	167,285,009

The accompanying notes are an integral part of these financial statements.

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 1.81%
Calyon
5.18%, 03/30/07	$	50,000,000	$	50,000,000
Wells Fargo Bank N.A.
4.80%, 01/29/07		75,000,000		74,997,616

TOTAL CERTIFICATES OF DEPOSIT (Cost: $124,997,616)				124,997,616

COMMERCIAL PAPER – 26.52%
Amstel Funding Corp.
5.12%, 06/01/07^(a)		41,621,000		40,715,327
5.22%, 04/16/07^(a)		50,000,000		49,224,250
5.25%, 02/13/07^(a)		20,000,000		19,868,750
Beta Finance Inc.
5.23%, 03/29/07^(a)		67,000,000		66,133,708
Cantabric Finance LLC
5.24%, 03/07/07^(a)		50,000,000		49,512,389
5.25%, 03/06/07^(a)		100,000,000		99,037,500
5.26%, 01/30/07^(a)		20,000,000		19,909,411
Cheyne Finance LLC
5.27%, 02/09/07^(a)		31,000,000		30,813,940
Cobbler Funding Ltd.
5.38%, 01/25/07^(a)		56,000,000		55,782,409
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		25,000,000		24,952,469
Curzon Funding LLC
5.24%, 02/27/07^(a)		50,000,000		49,570,611
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		84,360,000		84,023,403
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
Harrier Finance Funding LLC
5.12%, 06/06/07^(a)		80,000,000		78,204,066
Kestrel Funding LLC
5.25%, 01/10/07^(a)		25,000,000		24,959,896
KKR Pacific Funding Trust
5.38%, 01/23/07^(a)		100,000,000		99,641,334
Lexington Parker Capital Co. LLC
5.19%, 05/17/07^(a)		75,000,000		73,509,312
5.20%, 04/12/07^(a)		5,000,000		4,925,611
5.21%, 04/11/07^(a)		51,364,000		50,605,782
5.26%, 02/14/07^(a)		129,261,000		128,392,222
Nelnet Student Asset Funding LLC
5.35%, 01/16/07^(a)		30,249,000		30,172,579
5.35%, 01/23/07^(a)		18,958,000		18,890,383
Nestle Capital Corp.
5.19%, 08/09/07^(a)		15,000,000		14,519,925
Polonius Inc.
5.26%, 02/20/07^(a)		39,150,000		38,852,547
Prudential Funding LLC
5.26%, 01/25/07^(a)		20,000,000		19,924,022
Sedna Finance Inc.
5.22%, 04/17/07^(a)		50,000,000		49,217,000
5.26%, 01/31/07^(a)		100,000,000		99,532,445
Sigma Finance Inc.
5.21%, 05/03/07^(a)		75,000,000		73,654,084
5.26%, 02/21/07^(a)		30,000,000		29,767,683
Simba Funding Corp.
5.26%, 01/26/07^(a)		26,630,000		26,524,945
Societe Generale North America Inc.
5.10%, 08/13/07		140,000,000		135,522,061
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		65,000,000		63,507,889
Thames Asset Global Securitization No. 1 Inc.
5.26%, 01/22/07^(a)		35,013,000		34,895,337
5.33%, 01/22/07^(a)		50,000,000		49,829,736

TOTAL COMMERCIAL PAPER (Cost: $1,836,715,896)				1,836,715,896

MEDIUM-TERM NOTES – 2.31%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		70,000,000		70,000,000
5.18%, 03/15/07^(a)		20,000,000		20,000,000
Kimberly-Clark Corp.
5.26%, 12/19/07^(a)		35,000,000		35,000,000
Sigma Finance Inc.
5.35%, 04/27/07^(a)		35,000,000		34,998,867

TOTAL MEDIUM-TERM NOTES (Cost: $159,998,867)				159,998,867

REPURCHASE AGREEMENTS – 30.33%
Bank of America N.A. Tri-Party, 5.30%, due 1/2/07, maturity value $40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50% to 8.19%, 8/1/35 to 10/1/36).		40,000,000		40,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.37%, due 1/2/07, maturity value $150,089,500 (collateralized by U.S. Government obligations, value $153,003,074, 4.00% to 11.00%, 1/1/08 to 1/1/37).		150,000,000		150,000,000
BNP Securities Corp. Tri-Party, 5.36%, due 1/2/07, maturity value $10,005,956 (collateralized by non-U.S. Government debt securities, value $10,500,001, 5.46%, 3/15/08).		10,000,000		10,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Citigroup Global Markets Holdings Inc. Tri-Party, 5.42%, due 1/2/07, maturity value $50,030,111 (collateralized by non-U.S. Government debt securities, value $56,422,383, 0.00% to 10.00%, 5/27/33 to 12/21/36).	$	50,000,000	$	50,000,000
Citigroup Global Markets Holdings Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $250,151,667 (collateralized by non- U.S. Government debt securities, value $275,473,985, 0.00% to 10.00%, 5/27/33 to 12/21/36).		250,000,000		250,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $40,023,644 (collateralized by U.S. Government obligations, value $40,802,485, 5.47% to 5.99%, 2/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.31%, due 1/2/07, maturity value $400,236,000 (collateralized by U.S. Government obligations, value $408,000,000, 5.00% to 6.50%, 3/1/26 to 12/1/36).		400,000,000		400,000,000
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by U.S. Government obligations, value $51,500,000, 5.58% to 6.32%, 7/15/23 to 8/15/35).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.35%, due 1/2/07, maturity value $100,059,444 (collateralized by non-U.S. Government debt securities, value $105,000,000, 5.94% to 6.00%, 6/25/36 to 10/25/36).		100,000,000		100,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $210,000,000, 0.00% to 6.50%, 3/20/10 to 5/25/46).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $25,015,167 (collateralized by non- U.S. Government debt securities, value $26,250,000, 0.00% to 10.00%, 1/1/10).		25,000,000		25,000,000
Greenwich Capital Markets Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by non-U.S. Government debt securities, value $57,037,399, 0.41% to 7.50%, 4/1/36 to 8/15/36).		50,000,000		50,000,000
HSBC Securities Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $50,029,778 (collateralized by non-U.S. Government debt securities, value $52,500,031, 5.28% to 5.35%, 7/1/24 to 6/1/46).		50,000,000		50,000,000
JP Morgan Securities Inc. Tri-Party, 5.41%, due 1/2/07, maturity value $15,009,017 (collateralized by non-U.S. Government debt securities, value $15,750,749, 7.19%, 4/1/11).		15,000,000		15,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $250,151,111 (collateralized by non-U.S. Government debt securities, value $261,626,384, 0.00% to 11.19%, 1/16/07 to 12/15/36).		250,000,000		250,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,004,002, 4.19% to 7.28%, 10/1/30 to 7/1/36).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,349, 5.62% to 5.65%, 2/20/34 to 7/15/36).		40,000,000		40,000,000
Morgan Stanley Tri-Party, 5.51%, due 1/4/08, maturity value $264,195,903 (collateralized by non-U.S. Government debt securities, value $271,084,771, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(b)		250,000,000		250,000,000
Wachovia Capital Tri-Party, 5.38%, due 1/2/07, maturity value $80,047,822 (collateralized by non-U.S. Government debt securities, value $84,000,001, 4.35% to 6.23%, 1/20/22 to 11/15/48).		80,000,000		80,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,100,000,000)				2,100,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
TIME DEPOSITS – 1.01%
Rabobank Nederland NV
5.25%, 01/02/07	$	70,189,000	$	70,189,000

TOTAL TIME DEPOSITS (Cost: $70,189,000)				70,189,000

VARIABLE & FLOATING RATE NOTES – 37.68%
Allstate Life Global Funding II
5.33%, 11/02/07		30,000,000		30,000,000
5.36%, 01/25/08^(a)		50,000,000		50,000,000
5.39%, 01/15/08^(a)		35,000,000		35,010,440
5.40%, 01/08/08^(a)		11,000,000		11,003,070
5.43%, 01/15/08^(a)		25,000,000		25,007,536
American Immigration Lawyers Association Inc.
5.40%, 01/02/07^(a)		3,600,000		3,600,000
AmeriCredit Automobile Receivables Trust Series 2006-BG Class A1
5.35%, 10/09/07		9,877,748		9,877,748
ANZ National International Ltd.
5.35%, 12/07/07^(a)		75,000,000		75,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(a)		35,000,000		35,000,000
Bank of America N.A.
5.28%, 04/20/07		30,000,000		30,000,000
Bank of Ireland
5.35%, 08/20/07^(a)		70,000,000		70,000,000
Capital Auto Receivables Asset Trust Series 2006-2 Class A1
5.34%, 12/15/07		64,000,000		64,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		33,000,000		33,000,000
Commodore CDO Ltd. 2003-2A Class A1MM
5.44%, 12/12/07^(a)		25,000,000		25,000,000
Credit Suisse First Boston NY
5.38%, 04/24/07		25,000,000		25,000,409
5.43%, 08/21/07		15,000,000		15,000,000
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(a)		14,446,125		14,446,125
DEPFA Bank PLC
5.40%, 09/14/07^(a)		100,000,000		100,000,000
Great America Leasing Receivables Series 2006-1 Class A1
5.40%, 11/15/07^(a)		29,390,632		29,390,632
Harrier Finance Funding LLC
5.32%, 08/07/07^(a)		50,000,000		49,993,934
5.36%, 07/20/07^(a)		25,000,000		25,002,678
5.36%, 07/25/07^(a)		15,000,000		15,001,746
5.36%, 08/13/07^(a)		30,000,000		30,003,662
HBOS Treasury Services PLC
5.44%, 01/24/08^(a)		50,000,000		50,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		82,000,000		82,000,000
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)		30,000,000		30,000,000
Jordan Brick Co. Inc.
5.35%, 01/02/07^(a)		46,000,000		46,000,000
JPMorgan Chase & Co.
5.32%, 08/02/07		75,000,000		75,000,000
5.40%, 07/27/07		100,000,000		100,000,000
K2 USA LLC
5.39%, 06/04/07^(a)		60,000,000		60,000,000
Kestrel Funding LLC
5.33%, 07/11/07^(a)		25,000,000		24,998,589
Kommunalkredit Austria AG
5.35%, 01/09/08^(a)		40,000,000		40,000,000
Lakeline Austin Development Ltd.
5.35%, 01/02/07^(a)		9,800,000		9,800,000
Leafs LLC
5.35%, 02/20/07^(a)		19,807,569		19,807,574
Marshall & Ilsley Bank
5.35%, 01/15/08		60,000,000		60,000,000
Master Funding LLC
5.38%, 04/25/07^(a)		60,000,000		60,000,000
5.38%, 05/25/07^(a)		50,000,000		50,000,000
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		60,000,000		60,000,000
MetLife Insurance Co. of Connecticut
5.45%, 02/02/07^(a)(b)		50,000,000		50,000,000
5.45%, 07/18/07^(a)(b)		25,000,000		25,000,000
5.46%, 08/17/07^(a)(b)		50,000,000		50,000,000
Natexis Banques Populaires
5.36%, 09/14/07^(a)		50,000,000		50,000,000
5.37%, 12/07/07^(a)		40,000,000		40,000,000
Nationwide Building Society
5.44%, 10/26/07^(a)		100,000,000		100,000,000
Nordea Bank AB
5.36%, 09/11/07^(a)		75,000,000		75,000,000
Northern Rock PLC
5.39%, 08/03/07^(a)		70,000,000		70,000,000
Northlake CDO I Series 1A Class IMM-1A
5.42%, 03/06/07^(a)		15,000,000		15,000,000
Permanent Financing PLC Series 9A Class 1A
5.32%, 03/10/07^(a)		60,000,000		60,000,000
Pricoa Global Funding I
5.34%, 11/27/07		65,000,000		65,000,000
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(a)		50,000,000		50,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Societe Generale
5.34%, 07/02/07^(a)	$	30,000,000	$	30,000,000
Strips III LLC
5.40%, 08/24/07^(a)		15,772,835		15,772,835
Trap Rock Industry Inc.
5.35%, 01/02/07^(a)		19,370,000		19,370,000
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		50,000,000		50,000,000
5.36%, 06/15/07^(a)		25,000,000		25,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		37,650,695		37,650,695
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		43,806,528		43,806,528
Westpac Banking Corp.
5.39%, 07/11/07		70,000,000		70,000,000
Wind Master Trust
5.34%, 07/25/07^(a)		25,000,000		25,000,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $2,609,541,630)				2,609,541,630

TOTAL INVESTMENTS IN SECURITIES – 99.66% (Cost: $6,901,443,009)				6,901,443,009

Other Assets, Less Liabilities – 0.34%				23,521,880

NET ASSETS – 100.00%			$	6,924,964,889

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 2.66%
Calyon
4.84%, 01/30/07	$	50,000,000	$	50,000,204
5.18%, 03/30/07		70,000,000		70,000,000
Credit Suisse First Boston NY

5.40%, 06/04/07		100,000,000		100,000,000

TOTAL CERTIFICATES OF DEPOSIT (Cost: $220,000,204)				220,000,204
COMMERCIAL PAPER – 15.50%
Amstel Funding Corp.
5.25%, 02/13/07^(a)		10,000,000		9,934,375
Atlantis One Funding
5.20%, 02/28/07^(a)		100,000,000		99,133,333
Beta Finance Inc.
5.24%, 03/15/07^(a)		100,000,000		98,908,334
Cheyne Finance LLC
5.38%, 10/31/07^(a)		30,000,000		29,994,986
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		20,000,000		19,961,975
Five Finance Inc.
5.21%, 04/16/07^(a)		34,000,000		33,473,500
5.22%, 04/23/07^(a)		30,000,000		29,504,100
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
5.07%, 09/07/07		40,000,000		38,586,033
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		100,000,000		99,601,000
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
K2 USA LLC
5.21%, 04/12/07^(a)		47,900,000		47,185,984
Lexington Parker Capital Co. LLC
5.26%, 02/14/07^(a)		116,374,000		115,591,837
5.27%, 01/12/07^(a)		30,000,000		29,942,963
Nestle Capital Corp.
5.19%, 08/09/07^(a)		25,000,000		24,199,875
Park Sienna LLC
5.35%, 01/02/07^(a)		17,371,000		17,363,256
Sedna Finance Inc.
5.22%, 04/20/07^(a)		56,000,000		55,098,680
Sigma Finance Inc.
5.26%, 02/21/07^(a)		50,000,000		49,612,805
Societe Generale North America Inc.
5.10%, 08/13/07		125,000,000		121,001,840
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		100,000,000		97,704,445
Sydney Capital Corp.
5.26%, 02/14/07^(a)		85,400,000		84,826,017
Unicredito Italiano Bank Ireland
5.21%, 05/07/07^(a)		80,000,000		78,518,045

TOTAL COMMERCIAL PAPER (Cost: $1,282,266,253)				1,282,266,253

MEDIUM-TERM NOTES – 4.06%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		110,000,000		110,000,000
5.18%, 03/15/07^(a)		30,000,000		30,000,000
5.36%, 04/25/07^(a)		31,000,000		31,000,000
5.44%, 08/23/07^(a)		25,000,000		25,000,000
Sigma Finance Inc.
4.78%, 01/26/07^(a)		75,000,000		75,000,000
5.35%, 04/27/07^(a)		65,000,000		64,997,894

TOTAL MEDIUM-TERM NOTES (Cost: $335,997,894)				335,997,894

REPURCHASE AGREEMENTS – 25.62%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50%, 10/1/36).		40,000,000		40,000,000
Banc of America Securities LLC Tri-Party, 5.36%, due 1/2/07, maturity value $300,178,667 (collateralized by non-U.S. Government debt securities, value $330,000,001, 5.30% to 7.08%, 9/15/09 to 5/1/19).		300,000,000		300,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.32%, due 1/2/07, maturity value $300,177,333 (collateralized by U.S. Government obligations, value $306,002,447, 4.50% to 9.00%, 3/1/08 to 12/1/36).		300,000,000		300,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $40,023,644 (collateralized by U.S. Government obligations, value $40,802,553, 5.33% to 5.99%, 6/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by non-U.S. Government debt securities, value $52,500,001, 2.28% to 5.65%, 8/15/07 to 6/12/41).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.31%, due 1/2/07, maturity value $500,295,000 (collateralized by U.S. Government obligations, value $510,000,000, 4.00% to 6.00%, 3/1/19 to 12/1/36).		500,000,000		500,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $150,089,333 (collateralized by non-U.S. Government debt securities, value $183,750,001, 0.00% to 10.00%, 1/1/07 to 12/31/36).	$	150,000,000	$	150,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $204,000,001, 5.31% to 5.42%, 1/12/07 to 3/26/07).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by U.S. Government obligations, value $51,000,348, 4.50%, 11/15/12 to 7/15/13).		50,000,000		50,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $210,002,614, 1.34% to 9.48%, 1/18/11 to 10/15/49).		200,000,000		200,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,000,067, 3.94% to 7.09%, 1/1/13 to 4/1/40).		50,000,000		50,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $150,090,667 (collateralized by non-U.S. Government debt securities, value $154,501,620, 3.95% to 8.88%, 10/24/08 to 12/1/66).		150,000,000		150,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $50,030,222 (collateralized by non-U.S. Government debt securities, value $51,503,498, 3.34% to 8.75%, 6/15/07 to 12/1/66).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,437, 5.62%, 7/15/36).		40,000,000		40,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,120,000,000)				2,120,000,000

TIME DEPOSITS – 2.35%
Rabobank Nederland NV
5.25%, 01/02/07		194,283,000		194,283,000

TOTAL TIME DEPOSITS (Cost: $194,283,000)				194,283,000

VARIABLE & FLOATING RATE NOTES – 49.32%
Allstate Life Global Funding II
5.33%, 11/02/07		45,000,000		45,000,000
5.36%, 01/25/08^(a)		160,000,000		160,005,461
5.39%, 01/15/08^(a)		85,000,000		85,026,161
5.40%, 01/08/08^(a)		58,000,000		58,007,669
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(a)		50,000,000		50,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
5.41%, 05/03/07^(a)		30,400,000		30,405,277
Bank of America N.A.
5.28%, 04/20/07		50,000,000		50,000,000
Beta Finance Inc.
5.41%, 06/27/07^(a)		55,000,000		55,010,569
Carlyle Loan Investment Ltd. Series 2006-1A Class 1
5.40%, 04/13/07^(a)		12,000,000		12,000,000
Carlyle Loan Investment Ltd. Series 2006-2A Class 1
5.40%, 05/15/07^(a)		15,000,000		15,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		62,000,000		62,000,000
Citigroup Global Markets Holdings Inc.
5.35%, 04/30/07		400,000,000		400,000,000
DEPFA Bank PLC
5.40%, 09/14/07^(a)		50,000,000		50,000,000
Dorada Finance Inc.
5.41%, 06/27/07^(a)		70,000,000		70,013,452
Five Finance Inc.
5.31%, 06/29/07^(a)		60,000,000		59,994,050
General Electric Capital Corp.
5.31%, 01/24/08		65,000,000		65,000,000
Harrier Finance Funding LLC
5.36%, 08/13/07^(a)		45,000,000		45,005,493
Hartford Life Global Funding Trust
5.37%, 01/15/08		100,000,000		100,000,000
Holmes Financing PLC Series 10A Class 1A
5.32%, 07/15/07^(a)		150,000,000		150,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		93,000,000		93,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)	$	45,000,000	$	45,000,000
K2 USA LLC
5.33%, 06/28/07^(a)		60,000,000		59,997,041
Kestrel Funding LLC
5.33%, 07/11/07^(a)		35,000,000		34,998,024
Leafs LLC
5.35%, 01/22/07^(a)		74,563,334		74,563,334
5.35%, 12/20/07^(a)		49,632,000		49,632,000
Links Finance LLC
5.31%, 05/10/07^(a)		85,000,000		84,996,888
5.35%, 05/16/07^(a)		55,000,000		54,997,936
Lothian Mortgages Master Issuer PLC Series 2006-1A Class A1
5.32%, 04/24/07^(a)		54,106,191		54,106,191
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		65,000,000		65,000,000
Metropolitan Life Global Funding I
5.36%, 08/06/07^(a)		139,680,000		139,686,160
MetLife Insurance Co. of Connecticut
5.45%, 08/01/07^(a)(b)		15,000,000		15,000,000
5.48%, 07/25/07^(a)(b)		50,000,000		50,000,000
Morgan Stanley
5.37%, 10/03/07		100,000,000		100,000,000
Mound Financing PLC Series 5A Class 1A
5.32%, 05/08/07^(a)		81,000,000		81,000,000
Nationwide Building Society
5.38%, 01/07/08^(a)		100,000,000		100,000,000
5.44%, 10/26/07^(a)		50,000,000		50,000,000
Newcastle CDO Ltd. Series 2005-6A Class IM1
5.37%, 04/24/07^(a)		45,000,000		44,995,763
Permanent Financing PLC Series 9A Class 1A
5.32%, 03/10/07^(a)		100,000,000		100,000,000
Principal Life Global Funding I
5.80%, 02/08/07^(a)		55,000,000		55,026,671
Rabobank Nederland NV
5.33%, 11/15/07^(a)		140,000,000		140,000,000
Royal Bank of Scotland
4.81%, 01/29/07		50,000,000		49,998,412
Sedna Finance Inc.
5.33%, 05/25/07^(a)		55,000,000		54,997,800
Strips III LLC
5.40%, 07/24/07^(a)		20,579,555		20,579,555
Tango Finance Corp.
5.30%, 07/11/07^(a)		55,000,000		54,994,299
5.32%, 06/15/07^(a)		50,000,000		49,999,017
5.33%, 06/21/07^(a)		40,000,000		39,998,090
5.35%, 07/16/07^(a)		53,000,000		52,996,941
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		100,000,000		100,000,000
5.37%, 06/21/07^(a)		50,000,000		50,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		18,825,348		18,825,348
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		65,709,792		65,709,792
Wal-Mart Stores Inc.
5.50%, 07/15/07^(a)		10,000,000		10,003,652
WhistleJacket Capital Ltd.
5.31%, 04/18/07^(a)		60,000,000		59,996,417
5.35%, 06/13/07^(a)		45,000,000		45,003,110
5.37%, 03/01/07^(a)		25,000,000		25,000,625
White Pine Finance LLC
5.31%, 07/16/07^(a)		70,000,000		69,992,384
5.32%, 05/22/07^(a)		70,000,000		69,993,145
5.32%, 08/20/07^(a)		80,000,000		79,985,476
Wind Master Trust
5.34%, 07/25/07^(a)		32,870,000		32,870,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,080,409,632)				4,080,409,632

TOTAL INVESTMENTS IN SECURITIES – 99.51% (Cost: $8,232,956,983)				8,232,956,983

Other Assets, Less Liabilities – 0.49%				40,125,642

NET ASSETS – 100.00%			$	8,273,082,625

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 4.60%, due 1/2/07, maturity value $41,378,938 (collateralized by U.S. Government obligations, value $42,185,443, 3.25%, 8/15/07).	$	41,357,800	$	41,357,800
Credit Suisse First Boston Tri-Party, 4.90%, due 1/2/07, maturity value $41,380,317 (collateralized by U.S. Government obligations, value $42,189,207, 3.25% to 13.25%, 8/15/07 to 8/15/28).		41,357,800		41,357,800
Goldman Sachs Group Inc. Tri-Party, 4.70%, due 1/2/07, maturity value $41,379,398 (collateralized by U.S. Government obligations, value $42,185,317, 6.13%, 8/15/07).		41,357,800		41,357,800
Lehman Brothers Holdings Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $41,379,168 (collateralized by U.S. Government obligations, value $42,186,482, 3.13% to 7.50%, 5/15/07 to 11/15/27).		41,357,800		41,357,800
Merrill Lynch & Co. Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $20,010,333 (collateralized by U.S. Government obligations, value $20,403,435, 4.50% to 5.25%, 1/15/14 to 4/18/16).		20,000,000		20,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $185,431,200)				185,431,200

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $185,431,200)				185,431,200

Other Assets, Less Liabilities – 0.03%				53,068

NET ASSETS – 100.00%			$	185,484,268

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2006

Government Money Market Master Portfolio


*Asset Type*	*Value*		% of Net Assets
Repurchase Agreements	$	167,237,600	99.97	%
Other Net Assets		47,409	0.03

TOTAL	$	167,285,009	100.00	%


Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	2,609,541,630	37.68	%
Repurchase Agreements		2,100,000,000	30.33
Commercial Paper		1,836,715,896	26.52
Medium-Term Notes		159,998,867	2.31
Certificates of Deposit		124,997,616	1.81
Time Deposits		70,189,000	1.01
Other Net Assets		23,521,880	0.34

TOTAL	$	6,924,964,889	100.00	%


Prime Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	4,080,409,632	49.32	%
Repurchase Agreements		2,120,000,000	25.62
Commercial Paper		1,282,266,253	15.50
Medium-Term Notes		335,997,894	4.06
Certificates of Deposit		220,000,204	2.66
Time Deposits		194,283,000	2.35
Other Net Assets		40,125,642	0.49

TOTAL	$	8,273,082,625	100.00	%


Treasury Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	185,431,200	99.97	%
Other Net Assets		53,068	0.03

TOTAL	$	185,484,268	100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	Government Money Market Master Portfolio			Money Market Master Portfolio			*Prime* Money Market Master Portfolio			*Treasury* Money Market Master Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—		$	4,801,443,009		$	6,112,956,983		$	—
Repurchase agreements, at value and cost (Note 1)		167,237,600			2,100,000,000			2,120,000,000			185,431,200
Cash		386			291			830			203
Receivables:
Interest		74,103			23,984,641			40,602,651			72,717
Due from investment adviser		—			—			—			3,007

Total Assets		167,312,089			6,925,427,941			8,273,560,464			185,507,127

LIABILITIES
Payables:
Investment advisory fees (Note 2)		4,251			438,446			451,456			—
Accrued expenses (Note 2):
Professional fees		22,829			24,606			26,383			22,809
Independent trustees’ fees		—			—			—			50

Total Liabilities		27,080			463,052			477,839			22,859

NET ASSETS	$	167,285,009		$	6,924,964,889		$	8,273,082,625		$	185,484,268


STATEMENTS OF OPERATIONS For the Year Ended December 31, 2006

	Government Money Market Master Portfolio			Money Market Master Portfolio			*Prime* Money Market Master Portfolio			*Treasury* Money Market Master Portfolio
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	8,739,812		$	331,165,036		$	513,690,122		$	4,303,455

Total investment income		8,739,812			331,165,036			513,690,122			4,303,455

EXPENSES (Note 2)
Investment advisory fees		175,487			6,536,796			10,219,789			85,545
Professional fees		23,305			41,107			53,649			22,999
Independent trustees’ fees		833			27,466			46,243			306

Total expenses		199,625			6,605,369			10,319,681			108,850
Less expense reductions (Note 2)		(55,520	)		(1,585,927	)		(2,055,676	)		(108,850	)

Net expenses		144,105			5,019,442			8,264,005			—

Net investment income		8,595,707			326,145,594			505,426,117			4,303,455

REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			1,615			65,629			—

Net realized gain		—			1,615			65,629			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,595,707		$	326,147,209		$	505,491,746		$	4,303,455

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Master Portfolio*						*Money Market Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,595,707		$	29,247,583		$	326,145,594		$	237,180,094
Net realized gain		—			—			1,615			35,169

Net increase in net assets resulting from operations		8,595,707			29,247,583			326,147,209			237,215,263

Interestholder transactions:
Contributions		797,609,141			7,564,992,045			38,273,990,665			58,641,619,347
Withdrawals		(1,033,386,805	)		(7,648,995,142	)		(37,977,755,985	)		(58,107,077,434	)

Net increase (decrease) in net assets resulting from interestholder transactions		(235,777,664	)		(84,003,097	)		296,234,680			534,541,913

Increase (decrease) in net assets		(227,181,957	)		(54,755,514	)		622,381,889			771,757,176
NET ASSETS:
Beginning of year		394,466,966			449,222,480			6,302,583,000			5,530,825,824

End of year	$	167,285,009		$	394,466,966		$	6,924,964,889		$	6,302,583,000


	*Prime Money Market Master Portfolio*						*Treasury Money Market Master Portfolio*
	*For the* year ended December 31, 2006			*For the* year ended December 31, 2005			*For the* year ended December 31, 2006			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	505,426,117		$	452,846,366		$	4,303,455		$	685,155
Net realized gain		65,629			9,750			—			—

Net increase in net assets resulting from operations		505,491,746			452,856,116			4,303,455			685,155

Interestholder transactions:
Contributions		64,798,575,033			79,992,322,542			778,069,880			219,416,585
Withdrawals		(68,524,371,054	)		(81,445,952,186	)		(700,382,564	)		(117,010,598	)

Net increase (decrease) in net assets resulting from interestholder transactions		(3,725,796,021	)		(1,453,629,644	)		77,687,316			102,405,987

Increase (decrease) in net assets		(3,220,304,275	)		(1,000,773,528	)		81,990,771			103,091,142
NET ASSETS:
Beginning of year		11,493,386,900			12,494,160,428			103,493,497			402,355

End of year	$	8,273,082,625		$	11,493,386,900		$	185,484,268		$	103,493,497

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1.	SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

SECURITY TRANSACTIONS AND INCOME RECOGNITION

FEDERAL INCOME TAXES

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial reporting purposes.

REPURCHASE AGREEMENTS

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

3.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolios’ financial statement disclosures.

4.	FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:


*Master Portfolio*	*Year Ended* *December 31,* *2006*		*Year Ended* *December 31,* *2005*		*Year Ended* *December 31,* *2004*		*Year Ended* *December 31,* *2003*		*Year Ended* *December 31,* *2002*
Government Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.03	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.11	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	4.90	%	3.16	%	1.93	%^(b)	n/a		n/a
Total return	5.08	%	3.28	%	0.64	%^(b)(c)	n/a		n/a
Money Market
Ratio of expenses to average net assets	0.08	%	0.05	%	0.05	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to expense reductions	0.10	%	0.10	%	0.10	%	n/a		n/a
Ratio of net investment income to average net assets	4.99	%	3.27	%	1.40	%	1.15	%	1.80	%
Total return	5.13	%	3.28	%	1.39	%	1.16	%	1.84	%
Prime Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.08	%	0.03	%	0.03	%^(d)	n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.10	%	0.10	%	0.10	%	0.10	%^(d)	n/a
Ratio of net investment income to average net assets^(a)	4.95	%	3.22	%	1.52	%	1.12	%^(d)	n/a
Total return	5.11	%	3.26	%	1.40	%	0.80	%^(c)(d)	n/a
Treasury Money Market
Ratio of expenses to average net assets^(a)	0.00	%	0.00	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.13	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	5.03	%	3.99	%	1.82	%^(b)	n/a		n/a
Total return	5.04	%	3.20	%	0.61	%^(b)(c)	n/a		n/a

^(a)	Annualized for periods of less than one year.

^(b)	For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c)	Not annualized.

^(d)	For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

MASTER INVESTMENT PORTFOLIO

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Notes:

LOGO

Table of Contents


Shareholder Expenses (Unaudited)		1

Barclays Global Investors Funds

Financial Statements		2

Financial Highlights		6

Notes to the Financial Statements		10

Report of Independent Registered Public Accounting Firm		14

Tax Information (Unaudited)		15

Trustee and Officer Information (Unaudited)		16

Master Investment Portfolio

Schedules of Investments		19

Government Money Market Master Portfolio		19

Money Market Master Portfolio		20

Prime Money Market Master Portfolio		24

Treasury Money Market Master Portfolio		27

Portfolio Allocations (Unaudited)		28

Financial Statements		29

Notes to the Financial Statements		31

Report of Independent Registered Public Accounting Firm		34

Trustee and Officer Information (Unaudited)		35

BARCLAYS GLOBAL INVESTORS FUNDS

SHAREHOLDER EXPENSES (Unaudited)

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 to December 31, 2006.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES


*Fund*	Beginning Account Value (7/1/06)		Ending Account Value (12/31/06)		Annualized Expense Ratio^(a)		Expenses Paid During Period ^(b)(7/1/06 to 12/31/06)
Government Money Market
Trust Shares
Actual	$	1,000.00	$	1,024.90	0.45	%	$	2.30
Hypothetical (5% return before expenses)		1,000.00		1,022.94	0.45			2.29
Institutional Money Market
Trust Shares
Actual		1,000.00		1,025.20	0.43			2.19
Hypothetical (5% return before expenses)		1,000.00		1,023.04	0.43			2.19
Prime Money Market
Trust Shares
Actual		1,000.00		1,025.00	0.45			2.30
Hypothetical (5% return before expenses)		1,000.00		1,022.94	0.45			2.29
Treasury Money Market
Trust Shares
Actual		1,000.00		1,025.00	0.33			1.68
Hypothetical (5% return before expenses)		1,000.00		1,023.54	0.33			1.68

^(a)	This ratio includes net expenses charged to the corresponding Master Portfolio and includes expense reductions during the period.

^(b)	Expenses are calculated using each Fund’s annualized expense ratio of the Trust Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	Government Money Market Fund		Institutional Money Market Fund			*Prime* *Money Market Fund*		*Treasury* *Money Market Fund*
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	167,285,009	$	5,814,334,517		$	7,521,905,359	$	185,484,268

Total Assets		167,285,009		5,814,334,517			7,521,905,359		185,484,268

LIABILITIES
Payables:
Distribution to shareholders		541,710		26,471,006			32,274,992		808,516
Administration fees (Note 2)		9,407		270,568			376,504		3,913
Distribution fees – Aon Captives Shares (Note 2)		—		17,696			—		—
Accrued expenses (Note 2):
Professional fees		15,954		16,904			18,573		15,940
Independent trustees’ fees		—		—			—		46

Total Liabilities		567,071		26,776,174			32,670,069		828,415

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Net assets consist of:
Paid-in capital	$	166,717,938	$	5,787,527,843		$	7,489,172,421	$	184,655,853
Undistributed net investment income		—		31,320			5,563		—
Undistributed net realized gain (accumulated net realized loss)		—		(820	)		57,306		—

NET ASSETS	$	166,717,938	$	5,787,558,343		$	7,489,235,290	$	184,655,853

Aon Captives Shares
Net Assets	$	—	$	69,082,724		$	—	$	—

Shares outstanding		—		69,082,172			—		—

Net asset value and offering price per share	$	—	$	1.00		$	—	$	—

Institutional Shares
Net Assets	$	395,262	$	4,198,724,323		$	5,915,836,373	$	126,517,575

Shares outstanding		395,262		4,198,709,058			5,915,789,555		126,517,575

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Premium Shares
Net Assets	$	123,532,104	$	1,321,042,198		$	1,551,648,412	$	2,111,547

Shares outstanding		123,532,104		1,321,031,259			1,551,631,945		2,111,547

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Select Shares
Net Assets	$	42,682,680	$	1,228,948		$	21,642,357	$	55,918,956

Shares outstanding		42,682,680		1,228,941			21,642,773		55,918,956

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

Trust Shares
Net Assets	$	107,892	$	197,480,150		$	108,148	$	107,775

Shares outstanding		107,892		197,480,202			108,148		107,775

Net asset value and offering price per share	$	1.00	$	1.00		$	1.00	$	1.00

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2006


	*Government* *Money Market Fund*			*Institutional* *Money Market Fund*			*Prime* *Money Market Fund*			*Treasury* *Money Market Fund*
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	8,739,812		$	279,166,390		$	441,029,206		$	4,303,455
Expenses^(a)		(144,105	)		(4,242,262	)		(7,058,243	)		—

Net investment income allocated from corresponding Master Portfolio		8,595,707			274,924,128			433,970,963			4,303,455

FUND EXPENSES (Note 2)
Administration fees		147,743			3,219,246			4,832,189			45,857
Distribution fees – Aon Captives Shares		—			76,420			—			—
Professional fees		16,432			31,129			41,730			16,130
Independent trustees’ fees		827			22,919			38,951			302

Total fund expenses		165,002			3,349,714			4,912,870			62,289
Less expense reductions (Note 2)		(20,104	)		(1,237,001	)		(543,539	)		(55,460	)

Net fund expenses		144,898			2,112,713			4,369,331			6,829

Net investment income		8,450,809			272,811,415			429,601,632			4,296,626

REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			1,322			57,306			—

Net realized gain		—			1,322			57,306			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,450,809		$	272,812,737		$	429,658,938		$	4,296,626

^(a)	Net of investment advisory fee reductions in the amounts of $55,520, $1,330,207, $1,790,931 and $108,850, respectively.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Fund*						*Institutional Money Market Fund*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,450,809		$	29,123,137		$	272,811,415		$	213,360,485
Net realized gain		—			—			1,322			32,325

Net increase in net assets resulting from operations		8,450,809			29,123,137			272,812,737			213,392,810

Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(3,715,877	)		(2,943,319	)
Institutional Shares		(2,592,685	)		(22,103,787	)		(186,931,038	)		(129,993,058	)
Premium Shares		(3,831,192	)		(6,585,019	)		(78,290,437	)		(79,980,794	)
Select Shares		(2,022,076	)		(431,372	)		(291,403	)		(440,285	)
Trust Shares		(4,856	)		(2,959	)		(3,586,798	)		(2,975	)

Total distributions to shareholders		(8,450,809	)		(29,123,137	)		(272,815,553	)		(213,360,431	)

Capital share transactions (Note 3):
Aon Captives Shares		—			—			(8,815,803	)		(28,534,415	)
Institutional Shares		(168,804,945	)		(278,900,244	)		712,850,474			(138,646,363	)
Premium Shares		(59,710,662	)		183,142,328			(482,128,328	)		585,770,940
Select Shares		1,970,382			40,611,873			(23,711,270	)		18,227,811
Trust Shares		4,739			2,785			197,376,819			2,796

Net increase (decrease) in net assets resulting from capital share transactions		(226,540,486	)		(55,143,258	)		395,571,892			436,820,769

Increase (decrease) in net assets		(226,540,486	)		(55,143,258	)		395,569,076			436,853,148
NET ASSETS:
Beginning of year		393,258,424			448,401,682			5,391,989,267			4,955,136,119

End of year	$	166,717,938		$	393,258,424		$	5,787,558,343		$	5,391,989,267

Undistributed net investment income included in net assets at end of year	$	—		$	—		$	31,320		$	3,747

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*Prime Money Market Fund*						*Treasury Money Market Fund*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	429,601,632		$	400,061,034		$	4,296,626		$	683,583
Net realized gain		57,306			8,607			—			—

Net increase in net assets resulting from operations		429,658,938			400,069,641			4,296,626			683,583

Distributions to shareholders:
From net investment income:
Institutional Shares		(296,267,556	)		(231,155,121	)		(3,943,200	)		(590,271	)
Premium Shares		(131,802,661	)		(166,418,165	)		(33,439	)		(87,324	)
Select Shares		(1,540,469	)		(2,484,802	)		(315,134	)		(3,114	)
Trust Shares		(4,899	)		(2,946	)		(4,853	)		(2,874	)

Total distributions to shareholders		(429,615,585	)		(400,061,034	)		(4,296,626	)		(683,583	)

Capital share transactions (Note 3):
Institutional Shares		(606,011,616	)		520,868,715			26,175,036			100,242,105
Premium Shares		(1,682,103,111	)		(2,013,369,862	)		(434,856	)		2,445,981
Select Shares		(59,716,384	)		(88,977,243	)		55,815,617			2,930
Trust Shares		4,782			2,775			4,733			2,691

Net increase (decrease) in net assets resulting from capital share transactions		(2,347,826,329	)		(1,581,475,615	)		81,560,530			102,693,707

Increase (decrease) in net assets		(2,347,782,976	)		(1,581,467,008	)		81,560,530			102,693,707
NET ASSETS:
Beginning of year		9,837,018,266			11,418,485,274			103,095,323			401,616

End of year	$	7,489,235,290		$	9,837,018,266		$	184,655,853		$	103,095,323

Undistributed net investment income included in net assets at end of year	$	5,563		$	13,322		$	—		$	—

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	*Government Money Market Fund -Trust Shares*
	*Year ended* *Dec. 31, 2006*			Year ended Dec. 31, 2005			Period from Sep. 1, 2004 ^(a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.69	%		2.94	%		0.53	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	108		$	103		$	100
Ratio of expenses to average net assets^(c)		0.45	%		0.36	%		0.33	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.49	%		0.45	%		0.45	%
Ratio of net investment income to average net assets^(c)		4.60	%		2.91	%		1.58	%

^(a)	Commencement of operations.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Institutional Money Market Fund -Trust Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Period from Jun. 10, 2004 ^(a)to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01
Net realized gain		0.00	^(b)		—			—

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.76	%		2.96	%		0.74	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	197,480		$	103		$	101
Ratio of expenses to average net assets^(d)		0.43	%		0.38	%		0.35	%
Ratio of expenses to average net assets prior to expense reductions^(d)		0.47	%		0.45	%		0.45	%
Ratio of net investment income to average net assets^(d)		4.95	%		2.92	%		1.33	%

^(a)	Commencement of operations.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Prime Money Market Fund -Trust Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Period from Jun. 10, 2004 ^(a)to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01
Net realized gain		0.00	^(b)		0.00	^(b)		—

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.72	%		2.93	%		0.75	%^(c)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	108		$	103		$	101
Ratio of expenses to average net assets^(d)		0.45	%		0.41	%		0.34	%
Ratio of expenses to average net assets prior to expense reductions^(d)		0.47	%		0.45	%		0.45	%
Ratio of net investment income to average net assets^(d)		4.63	%		2.89	%		1.34	%

^(a)	Commencement of operations.

^(b)	Rounds to less than $0.01.

^(c)	Not annualized.

^(d)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)


	*Treasury Money Market Fund -Trust Shares*
	Year ended Dec. 31, 2006			Year ended Dec. 31, 2005			Period from Sep. 1, 2004 ^(a)to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income		0.05			0.03			0.01

Total from investment operations		0.05			0.03			0.01

Less distributions from:
Net investment income		(0.05	)		(0.03	)		(0.01	)

Total distributions		(0.05	)		(0.03	)		(0.01	)

Net asset value, end of period	$	1.00		$	1.00		$	1.00

Total return		4.70	%		2.86	%		0.50	%^(b)

Ratios/Supplemental data:
Net assets, end of period (000s)	$	108		$	103		$	100
Ratio of expenses to average net assets^(c)		0.33	%		0.33	%		0.33	%
Ratio of expenses to average net assets prior to expense reductions^(c)		0.52	%		0.45	%		0.45	%
Ratio of net investment income to average net assets^(c)		4.60	%		2.83	%		1.49	%

^(a)	Commencement of operations.

^(b)	Not annualized.

^(c)	Annualized for periods of less than one year. These ratios include net expenses charged to the corresponding Master Portfolio.

The accompanying notes are an integral part of these financial statements.

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

These financial statements relate only to the Trust Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Institutional Shares, Premium Shares and Select Shares. The IMMF also offers Aon Captives Shares, Institutional Shares, Premium Shares and Select Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

Under the Trust’s organizational documents, the Funds’officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred.

1.	SIGNIFICANT ACCOUNTING POLICIES

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 83.96%, 90.92% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2006). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

DISTRIBUTIONS TO SHAREHOLDERS

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the tax year-end of the Funds, the components of net distributable earnings on a tax basis were as follows:


*Fund*	Undistributed Ordinary Income		Capital and Other Losses			Net Distributable Earnings
Institutional Money Market	$	31,320	$	(820	)	$	30,500
Prime Money Market		62,869		—			62,869

The tax character of distributions paid for the years ended December 31, 2006 and December 31, 2005 were as follows:


*Fund*	*2006*		*2005*
Government Money Market
Distributions paid from:
Ordinary Income	$	8,450,809	$	29,123,137

Total Distributions	$	8,450,809	$	29,123,137

Institutional Money Market
Distributions paid from:
Ordinary Income	$	272,815,553	$	213,360,431

Total Distributions	$	272,815,553	$	213,360,431

Prime Money Market
Distributions paid from:
Ordinary Income	$	429,615,585	$	400,061,034

Total Distributions	$	429,615,585	$	400,061,034

Treasury Money Market
Distributions paid from:
Ordinary Income	$	4,296,626	$	683,583

Total Distributions	$	4,296,626	$	683,583

FEDERAL INCOME TAXES

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

IBT is entitled to receive fees for its transfer agent and dividend disbursing agent services, which BGI has agreed to pay out of the fees it receives for administration services to the Funds.

SEI Investments Distribution Company (“SEI”) is the Funds’ distributor. SEI does not receive a fee from the Trust Shares of the Funds for its distribution services.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne directly by the Funds. Beginning May 1, 2006, BGI is entitled to receive for these administration services an annual fee of 0.38% of the average daily net assets of each Fund’s Trust Shares. Prior to May 1, 2006, BGI was entitled to receive an annual fee of 0.35%. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. BGI may delegate certain of its administration duties to sub-administrators.

For the year ended December 31, 2006, BGI waived and/or credited administration fees of $10, $15,192, $6 and $62 for the Trust Shares of the GMMF, IMMF, PMMF and TMMF, respectively.

3.	CAPITAL SHARE TRANSACTIONS

As of December 31, 2006, there was an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Trust Shares of the Funds were as follows:


	*Government Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	—		$	—		2,950		$	2,950
Shares issued in reinvestment of dividends and distributions	4,739			4,739		2,785			2,785
Shares redeemed	—			—		(2,950	)		(2,950	)

Net increase	4,739		$	4,739		2,785		$	2,785


	*Institutional Money Market Fund*
	*Year Ended* *December 31, 2006*					*Year Ended* *December 31, 2005*
	*Shares*		*Amount*			*Shares*		*Amount*
Shares sold	393,277,000		$	393,277,000		—		$	—
Shares issued in reinvestment of dividends and distributions	4,819			4,819		2,796			2,796
Shares redeemed	(195,905,000	)		(195,905,000	)	—			—

Net increase	197,376,819		$	197,376,819		2,796		$	2,796

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)


	*Prime Money Market Fund*
	*Year Ended December 31, 2006*			*Year Ended December 31, 2005*
	*Shares*	*Amount*		*Shares*	*Amount*
Shares issued in reinvestment of dividends and distributions	4,782	$	4,782	2,775	$	2,775

Net increase	4,782	$	4,782	2,775	$	2,775


	*Treasury Money Market Fund*
	*Year Ended December 31, 2006*			*Year Ended December 31, 2005*
	*Shares*	*Amount*		*Shares*	*Amount*
Shares issued in reinvestment of dividends and distributions	4,733	$	4,733	2,691	$	2,691

Net increase	4,733	$	4,733	2,691	$	2,691

4.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Government Money Market Fund, Institutional Money Market Fund, Prime Money Market Fund and Treasury Money Market Fund, each a series of Barclays Global Investors Funds, (the “Funds”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented, and the financial highlights for the Trust Share Class for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION (Unaudited)


*Fund*	*Interest- Related Dividends*
Government Money Market	$	8,450,809
Institutional Money Market		227,229,125
Prime Money Market		386,343,807
Treasury Money Market		4,296,626

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Interested Trustees and Officers


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2005) of Global Index and Markets Group of BGI; Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director (since 2005) of Barclays Global Fund Advisors; Director, President and Chief Executive Officer (since 2005) of Barclays Global Investors International, Inc.; Director, Chairman and Chief Executive Officer (since 2005) of Barclays Global Investors Services; Chief Executive Officer (1999-2003) of the Individual Investor Business of BGI.	Director (since 2003) of BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Director and Chief Financial Officer (since 2005) of Barclays Global Investors International, Inc.; Director (2000-2003) of Mutual Fund Delivery in the U.S. Individual Investor Business of BGI.	None.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees


*Name, Year of Birth*	*Position(s),* *Length of Service*	*Principal Occupation(s) During Past Five Years*	*Other Directorships Held*
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii; Director (since 2002) and Chairman of the Board (since 2005) of PBS (Public Broadcasting Service); Advisory Committee Member (since 1999) of Stanford Institute for Economic Policy Research; Director (since 1998) of Commonwealth Club of California; Advisory Committee Member (since 1992) of Pacific Forum/CSIS.

A. John Gambs, 1945	Trustee (since 2006).	Retired.	Trustee (since 2006) of MIP; Governor (since 2001) and Vice President (since 2002) of San Francisco Symphony; Trustee (1995-2005) of Marin Country Day School; Trustee (2000-2004) of Marin Academy; President and Director (since 1997) of the Gambs Family Foundation.

Wendy Paskin-Jordan, 1956	Trustee (since 2006).	Managing Partner (since 1999) of Paskin & Kahr Capital Management; Registered Representative (since 2005) of ThinkEquity Partners (broker-dealer); Registered Representative (1999-2005) of ePlanning Securities, Inc. (broker-dealer).	Trustee (since 2006) of MIP; Director (since 2001) of California State Automobile Association; Director (since 2001) of Maier Siebel Baber; Trustee (since 2005) of World Affairs Council of Northern California.

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE AND OFFICER INFORMATION (Unaudited) (Continued)

Independent Trustees (Continued)

Name, Year of Birth

Position(s),

Length of Service

Principal Occupation(s) During Past Five Years

Other Directorships Held

Leo Soong,

1946

Trustee (since 2000)

and Lead Trustee (since 2006).

President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder (President through 1999) of Crystal Geyser Water Co.

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $ 35,580,341 (collateralized by U.S. Government obligations, value $36,270,589, 5.71%, 12/1/36).	$	35,559,400	$	35,559,400
Credit Suisse First Boston Tri-Party, 5.32%, due 1/2/07, maturity value $ 35,580,420 (collateralized by U.S. Government obligations, value $36,275,356, 4.50% to 6.05%, 3/1/34 to 9/1/36).		35,559,400		35,559,400
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $ 35,580,499 (collateralized by U.S. Government obligations, value $36,271,158, 4.63%, 10/15/13).		35,559,400		35,559,400
Lehman Brothers Holdings Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $ 35,580,341 (collateralized by U.S. Government obligations, value $36,271,742, 3.50% to 8.68%, 2/1/16 to 10/1/44).		35,559,400		35,559,400
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $ 25,014,806 (collateralized by U.S. Government obligations, value $25,752,858, 0.00% to 5.80%, 5/16/31 to 10/15/36).		25,000,000		25,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $167,237,600)				167,237,600

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $167,237,600)				167,237,600

Other Assets, Less Liabilities – 0.03%				47,409

NET ASSETS – 100.00%			$	167,285,009

The accompanying notes are an integral part of these financial statements.

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 1.81%
Calyon
5.18%, 03/30/07	$	50,000,000	$	50,000,000
Wells Fargo Bank N.A.
4.80%, 01/29/07		75,000,000		74,997,616

TOTAL CERTIFICATES OF DEPOSIT (Cost: $124,997,616)				124,997,616

COMMERCIAL PAPER – 26.52%
Amstel Funding Corp.
5.12%, 06/01/07^(a)		41,621,000		40,715,327
5.22%, 04/16/07^(a)		50,000,000		49,224,250
5.25%, 02/13/07^(a)		20,000,000		19,868,750
Beta Finance Inc.
5.23%, 03/29/07^(a)		67,000,000		66,133,708
Cantabric Finance LLC
5.24%, 03/07/07^(a)		50,000,000		49,512,389
5.25%, 03/06/07^(a)		100,000,000		99,037,500
5.26%, 01/30/07^(a)		20,000,000		19,909,411
Cheyne Finance LLC
5.27%, 02/09/07^(a)		31,000,000		30,813,940
Cobbler Funding Ltd.
5.38%, 01/25/07^(a)		56,000,000		55,782,409
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		25,000,000		24,952,469
Curzon Funding LLC
5.24%, 02/27/07^(a)		50,000,000		49,570,611
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		84,360,000		84,023,403
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
Harrier Finance Funding LLC
5.12%, 06/06/07^(a)		80,000,000		78,204,066
Kestrel Funding LLC
5.25%, 01/10/07^(a)		25,000,000		24,959,896
KKR Pacific Funding Trust
5.38%, 01/23/07^(a)		100,000,000		99,641,334
Lexington Parker Capital Co. LLC
5.19%, 05/17/07^(a)		75,000,000		73,509,312
5.20%, 04/12/07^(a)		5,000,000		4,925,611
5.21%, 04/11/07^(a)		51,364,000		50,605,782
5.26%, 02/14/07^(a)		129,261,000		128,392,222
Nelnet Student Asset Funding LLC
5.35%, 01/16/07^(a)		30,249,000		30,172,579
5.35%, 01/23/07^(a)		18,958,000		18,890,383
Nestle Capital Corp.
5.19%, 08/09/07^(a)		15,000,000		14,519,925
Polonius Inc.
5.26%, 02/20/07^(a)		39,150,000		38,852,547
Prudential Funding LLC
5.26%, 01/25/07^(a)		20,000,000		19,924,022
Sedna Finance Inc.
5.22%, 04/17/07^(a)		50,000,000		49,217,000
5.26%, 01/31/07^(a)		100,000,000		99,532,445
Sigma Finance Inc.
5.21%, 05/03/07^(a)		75,000,000		73,654,084
5.26%, 02/21/07^(a)		30,000,000		29,767,683
Simba Funding Corp.
5.26%, 01/26/07^(a)		26,630,000		26,524,945
Societe Generale North America Inc.
5.10%, 08/13/07		140,000,000		135,522,061
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		65,000,000		63,507,889
Thames Asset Global Securitization No. 1 Inc.
5.26%, 01/22/07^(a)		35,013,000		34,895,337
5.33%, 01/22/07^(a)		50,000,000		49,829,736

TOTAL COMMERCIAL PAPER (Cost: $1,836,715,896)				1,836,715,896

MEDIUM-TERM NOTES – 2.31%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		70,000,000		70,000,000
5.18%, 03/15/07^(a)		20,000,000		20,000,000
Kimberly-Clark Corp.
5.26%, 12/19/07^(a)		35,000,000		35,000,000
Sigma Finance Inc.
5.35%, 04/27/07^(a)		35,000,000		34,998,867

TOTAL MEDIUM-TERM NOTES (Cost: $159,998,867)				159,998,867

REPURCHASE AGREEMENTS – 30.33%
Bank of America N.A. Tri-Party, 5.30%, due 1/2/07, maturity value $ 40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50% to 8.19%, 8/1/35 to 10/1/36).		40,000,000		40,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.37%, due 1/2/07, maturity value $ 150,089,500 (collateralized by U.S. Government obligations, value $153,003,074, 4.00% to 11.00%, 1/1/08 to 1/1/37).		150,000,000		150,000,000
BNP Securities Corp. Tri-Party, 5.36%, due 1/2/07, maturity value $10,005,956 (collateralized by non-U.S. Government debt securities, value $10,500,001, 5.46%, 3/15/08).		10,000,000		10,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Citigroup Global Markets Holdings Inc. Tri-Party, 5.42%, due 1/2/07, maturity value $ 50,030,111 (collateralized by non-U.S. Government debt securities, value $56,422,383, 0.00% to 10.00%, 5/27/33 to 12/21/36).	$	50,000,000	$	50,000,000
Citigroup Global Markets Holdings Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $250,151,667 (collateralized by non- U.S. Government debt securities, value $275,473,985, 0.00% to 10.00%, 5/27/33 to 12/21/36).		250,000,000		250,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $ 40,023,644 (collateralized by U.S. Government obligations, value $40,802,485, 5.47% to 5.99%, 2/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.31%, due 1/2/07, maturity value $400,236,000 (collateralized by U.S. Government obligations, value $408,000,000, 5.00% to 6.50%, 3/1/26 to 12/1/36).		400,000,000		400,000,000
Goldman Sachs Group Inc. Tri-Party, 5.34%, due 1/2/07, maturity value $ 50,029,667 (collateralized by U.S. Government obligations, value $51,500,000, 5.58% to 6.32%, 7/15/23 to 8/15/35).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.35%, due 1/2/07, maturity value $ 100,059,444 (collateralized by non-U.S. Government debt securities, value $105,000,000, 5.94% to 6.00%, 6/25/36 to 10/25/36).		100,000,000		100,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $ 200,119,111 (collateralized by non-U.S. Government debt securities, value $210,000,000, 0.00% to 6.50%, 3/20/10 to 5/25/46).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $25,015,167 (collateralized by non- U.S. Government debt securities, value $26,250,000, 0.00% to 10.00%, 1/1/10).		25,000,000		25,000,000
Greenwich Capital Markets Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $ 50,030,333 (collateralized by non-U.S. Government debt securities, value $57,037,399, 0.41% to 7.50%, 4/1/36 to 8/15/36).		50,000,000		50,000,000
HSBC Securities Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $50,029,778 (collateralized by non-U.S. Government debt securities, value $52,500,031, 5.28% to 5.35%, 7/1/24 to 6/1/46).		50,000,000		50,000,000
JP Morgan Securities Inc. Tri-Party, 5.41%, due 1/2/07, maturity value $15,009,017 (collateralized by non-U.S. Government debt securities, value $15,750,749, 7.19%, 4/1/11).		15,000,000		15,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $ 250,151,111 (collateralized by non-U.S. Government debt securities, value $261,626,384, 0.00% to 11.19%, 1/16/07 to 12/15/36).		250,000,000		250,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,004,002, 4.19% to 7.28%, 10/1/30 to 7/1/36).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,349, 5.62% to 5.65%, 2/20/34 to 7/15/36).		40,000,000		40,000,000
Morgan Stanley Tri-Party, 5.51%, due 1/4/08, maturity value $264,195,903 (collateralized by non-U.S. Government debt securities, value $271,084,771, 0.00% to 10.00%, 1/1/07 to 12/31/37).^(b)		250,000,000		250,000,000
Wachovia Capital Tri-Party, 5.38%, due 1/2/07, maturity value $80,047,822 (collateralized by non-U.S. Government debt securities, value $84,000,001, 4.35% to 6.23%, 1/20/22 to 11/15/48).		80,000,000		80,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,100,000,000)				2,100,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
TIME DEPOSITS – 1.01%
Rabobank Nederland NV
5.25%, 01/02/07	$	70,189,000	$	70,189,000

TOTAL TIME DEPOSITS (Cost: $70,189,000)				70,189,000

VARIABLE & FLOATING RATE NOTES – 37.68%
Allstate Life Global Funding II
5.33%, 11/02/07		30,000,000		30,000,000
5.36%, 01/25/08^(a)		50,000,000		50,000,000
5.39%, 01/15/08^(a)		35,000,000		35,010,440
5.40%, 01/08/08^(a)		11,000,000		11,003,070
5.43%, 01/15/08^(a)		25,000,000		25,007,536
American Immigration Lawyers Association Inc.
5.40%, 01/02/07^(a)		3,600,000		3,600,000
AmeriCredit Automobile Receivables Trust Series 2006-BG Class A1
5.35%, 10/09/07		9,877,748		9,877,748
ANZ National International Ltd.
5.35%, 12/07/07^(a)		75,000,000		75,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
Australia & New Zealand Banking Group Ltd.
5.35%, 01/23/08^(a)		35,000,000		35,000,000
Bank of America N.A.
5.28%, 04/20/07		30,000,000		30,000,000
Bank of Ireland
5.35%, 08/20/07^(a)		70,000,000		70,000,000
Capital Auto Receivables Asset Trust Series 2006-2 Class A1
5.34%, 12/15/07		64,000,000		64,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		33,000,000		33,000,000
Commodore CDO Ltd. 2003-2A Class A1MM
5.44%, 12/12/07^(a)		25,000,000		25,000,000
Credit Suisse First Boston NY
5.38%, 04/24/07		25,000,000		25,000,409
5.43%, 08/21/07		15,000,000		15,000,000
DaimlerChrysler Auto Trust Series 2006-C Class A1
5.33%, 10/08/07^(a)		14,446,125		14,446,125
DEPFA Bank PLC
5.40%, 09/14/07^(a)		100,000,000		100,000,000
Great America Leasing Receivables Series 2006-1 Class A1
5.40%, 11/15/07^(a)		29,390,632		29,390,632
Harrier Finance Funding LLC
5.32%, 08/07/07^(a)		50,000,000		49,993,934
5.36%, 07/20/07^(a)		25,000,000		25,002,678
5.36%, 07/25/07^(a)		15,000,000		15,001,746
5.36%, 08/13/07^(a)		30,000,000		30,003,662
HBOS Treasury Services PLC
5.44%, 01/24/08^(a)		50,000,000		50,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		82,000,000		82,000,000
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)		30,000,000		30,000,000
Jordan Brick Co. Inc.
5.35%, 01/02/07^(a)		46,000,000		46,000,000
JPMorgan Chase & Co.
5.32%, 08/02/07		75,000,000		75,000,000
5.40%, 07/27/07		100,000,000		100,000,000
K2 USA LLC
5.39%, 06/04/07^(a)		60,000,000		60,000,000
Kestrel Funding LLC
5.33%, 07/11/07^(a)		25,000,000		24,998,589
Kommunalkredit Austria AG
5.35%, 01/09/08^(a)		40,000,000		40,000,000
Lakeline Austin Development Ltd.
5.35%, 01/02/07^(a)		9,800,000		9,800,000
Leafs LLC
5.35%, 02/20/07^(a)		19,807,569		19,807,574
Marshall & Ilsley Bank
5.35%, 01/15/08		60,000,000		60,000,000
Master Funding LLC
5.38%, 04/25/07^(a)		60,000,000		60,000,000
5.38%, 05/25/07^(a)		50,000,000		50,000,000
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		60,000,000		60,000,000
MetLife Insurance Co. of Connecticut
5.45%, 02/02/07^(a)(b)		50,000,000		50,000,000
5.45%, 07/18/07^(a)(b)		25,000,000		25,000,000
5.46%, 08/17/07^(a)(b)		50,000,000		50,000,000
Natexis Banques Populaires
5.36%, 09/14/07^(a)		50,000,000		50,000,000
5.37%, 12/07/07^(a)		40,000,000		40,000,000
Nationwide Building Society
5.44%, 10/26/07^(a)		100,000,000		100,000,000
Nordea Bank AB
5.36%, 09/11/07^(a)		75,000,000		75,000,000
Northern Rock PLC
5.39%, 08/03/07^(a)		70,000,000		70,000,000
Northlake CDO I Series 1A Class IMM-1A
5.42%, 03/06/07^(a)		15,000,000		15,000,000
Permanent Financing PLC Series 9A Class 1A
5.32%, 03/10/07^(a)		60,000,000		60,000,000
Pricoa Global Funding I
5.34%, 11/27/07		65,000,000		65,000,000
Skandinaviska Enskilda Bank NY
5.35%, 01/18/08^(a)		50,000,000		50,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Societe Generale
5.34%, 07/02/07^(a)	$	30,000,000	$	30,000,000
Strips III LLC
5.40%, 08/24/07^(a)		15,772,835		15,772,835
Trap Rock Industry Inc.
5.35%, 01/02/07^(a)		19,370,000		19,370,000
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		50,000,000		50,000,000
5.36%, 06/15/07^(a)		25,000,000		25,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		37,650,695		37,650,695
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		43,806,528		43,806,528
Westpac Banking Corp.
5.39%, 07/11/07		70,000,000		70,000,000
Wind Master Trust
5.34%, 07/25/07^(a)		25,000,000		25,000,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $2,609,541,630)				2,609,541,630

TOTAL INVESTMENTS IN SECURITIES – 99.66% (Cost: $6,901,443,009)				6,901,443,009

Other Assets, Less Liabilities – 0.34%				23,521,880

NET ASSETS – 100.00%			$	6,924,964,889

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
CERTIFICATES OF DEPOSIT – 2.66%
Calyon
4.84%, 01/30/07	$	50,000,000	$	50,000,204
5.18%, 03/30/07		70,000,000		70,000,000
Credit Suisse First Boston NY
5.40%, 06/04/07		100,000,000		100,000,000

TOTAL CERTIFICATES OF DEPOSIT (Cost: $220,000,204)				220,000,204

COMMERCIAL PAPER – 15.50%
Amstel Funding Corp.
5.25%, 02/13/07^(a)		10,000,000		9,934,375
Atlantis One Funding
5.20%, 02/28/07^(a)		100,000,000		99,133,333
Beta Finance Inc.
5.24%, 03/15/07^(a)		100,000,000		98,908,334
Cheyne Finance LLC
5.38%, 10/31/07^(a)		30,000,000		29,994,986
Concord Minutemen Capital Co. LLC
5.27%, 01/12/07^(a)		20,000,000		19,961,975
Five Finance Inc.
5.21%, 04/16/07^(a)		34,000,000		33,473,500
5.22%, 04/23/07^(a)		30,000,000		29,504,100
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		38,591,611
5.07%, 09/07/07		40,000,000		38,586,033
Giro Multi-Funding Corp.
5.32%, 01/26/07^(a)		100,000,000		99,601,000
Grampian Funding LLC
5.16%, 06/06/07^(a)		35,000,000		34,207,367
K2 USA LLC
5.21%, 04/12/07^(a)		47,900,000		47,185,984
Lexington Parker Capital Co. LLC
5.26%, 02/14/07^(a)		116,374,000		115,591,837
5.27%, 01/12/07^(a)		30,000,000		29,942,963
Nestle Capital Corp.
5.19%, 08/09/07^(a)		25,000,000		24,199,875
Park Sienna LLC
5.35%, 01/02/07^(a)		17,371,000		17,363,256
Sedna Finance Inc.
5.22%, 04/20/07^(a)		56,000,000		55,098,680
Sigma Finance Inc.
5.26%, 02/21/07^(a)		50,000,000		49,612,805
Societe Generale North America Inc.
5.10%, 08/13/07		125,000,000		121,001,840
5.14%, 06/06/07		30,000,000		29,323,892
5.17%, 06/08/07		100,000,000		97,704,445
Sydney Capital Corp.
5.26%, 02/14/07^(a)		85,400,000		84,826,017
Unicredito Italiano Bank Ireland
5.21%, 05/07/07^(a)		80,000,000		78,518,045

TOTAL COMMERCIAL PAPER (Cost: $1,282,266,253)				1,282,266,253

MEDIUM-TERM NOTES – 4.06%
Cullinan Finance Corp.
5.07%, 02/26/07^(a)		110,000,000		110,000,000
5.18%, 03/15/07^(a)		30,000,000		30,000,000
5.36%, 04/25/07^(a)		31,000,000		31,000,000
5.44%, 08/23/07^(a)		25,000,000		25,000,000
Sigma Finance Inc.
4.78%, 01/26/07^(a)		75,000,000		75,000,000
5.35%, 04/27/07^(a)		65,000,000		64,997,894

TOTAL MEDIUM-TERM NOTES (Cost: $335,997,894)				335,997,894

REPURCHASE AGREEMENTS – 25.62%
Banc of America Securities LLC Tri-Party, 5.30%, due 1/2/07, maturity value $ 40,023,556 (collateralized by U.S. Government obligations, value $40,800,000, 6.50%, 10/1/36).		40,000,000		40,000,000
Banc of America Securities LLC Tri-Party, 5.36%, due 1/2/07, maturity value $ 300,178,667 (collateralized by non-U.S. Government debt securities, value $330,000,001, 5.30% to 7.08%, 9/15/09 to 5/1/19).		300,000,000		300,000,000
Bear Stearns Companies Inc. (The) Tri-Party, 5.32%, due 1/2/07, maturity value $ 300,177,333 (collateralized by U.S. Government obligations, value $306,002,447, 4.50% to 9.00%, 3/1/08 to 12/1/36).		300,000,000		300,000,000
Credit Suisse First Boston Inc. Tri-Party, 5.32%, due 1/2/07, maturity value $ 40,023,644 (collateralized by U.S. Government obligations, value $40,802,553, 5.33% to 5.99%, 6/1/36 to 12/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party, 5.34%, due 1/2/07, maturity value $50,029,667 (collateralized by non-U.S. Government debt securities, value $52,500,001, 2.28% to 5.65%, 8/15/07 to 6/12/41).		50,000,000		50,000,000
Goldman Sachs Group Inc. Tri-Party, 5.31%, due 1/2/07, maturity value $500,295,000 (collateralized by U.S. Government obligations, value $510,000,000, 4.00% to 6.00%, 3/1/19 to 12/1/36).		500,000,000		500,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $150,089,333 (collateralized by non-U.S. Government debt securities, value $183,750,001, 0.00% to 10.00%, 1/1/07 to 12/31/36).	$	150,000,000	$	150,000,000
Goldman Sachs Group Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $200,119,111 (collateralized by non-U.S. Government debt securities, value $204,000,001, 5.31% to 5.42%, 1/12/07 to 3/26/07).		200,000,000		200,000,000
Goldman Sachs Group Inc. Tri-Party, 5.46%, due 1/2/07, maturity value $50,030,333 (collateralized by U.S. Government obligations, value $51,000,348, 4.50%, 11/15/12 to 7/15/13).		50,000,000		50,000,000
Lehman Brothers Holdings Inc. Tri-Party, 5.36%, due 1/2/07, maturity value $ 200,119,111 (collateralized by non-U.S. Government debt securities, value $210,002,614, 1.34% to 9.48%, 1/18/11 to 10/15/49).		200,000,000		200,000,000
Lehman Brothers Inc. Tri-Party, 5.30%, due 1/2/07, maturity value $50,029,444 (collateralized by U.S. Government obligations, value $51,000,067, 3.94% to 7.09%, 1/1/13 to 4/1/40).		50,000,000		50,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $150,090,667 (collateralized by non-U.S. Government debt securities, value $154,501,620, 3.95% to 8.88%, 10/24/08 to 12/1/66).		150,000,000		150,000,000
Lehman Brothers Inc. Tri-Party, 5.44%, due 1/2/07, maturity value $50,030,222 (collateralized by non-U.S. Government debt securities, value $51,503,498, 3.34% to 8.75%, 6/15/07 to 12/1/66).		50,000,000		50,000,000
Merrill Lynch & Co. Inc. Tri-Party, 5.33%, due 1/2/07, maturity value $40,023,689 (collateralized by U.S. Government obligations, value $41,203,437, 5.62%, 7/15/36).		40,000,000		40,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $2,120,000,000)				2,120,000,000

TIME DEPOSITS – 2.35%
Rabobank Nederland NV
5.25%, 01/02/07		194,283,000		194,283,000

TOTAL TIME DEPOSITS (Cost: $194,283,000)				194,283,000

VARIABLE & FLOATING RATE NOTES – 49.32%
Allstate Life Global Funding II
5.33%, 11/02/07		45,000,000		45,000,000
5.36%, 01/25/08^(a)		160,000,000		160,005,461
5.39%, 01/15/08^(a)		85,000,000		85,026,161
5.40%, 01/08/08^(a)		58,000,000		58,007,669
Arkle Master Issuer PLC Series 2006-1A Class 1A
5.33%, 11/19/07^(a)		50,000,000		50,000,000
ASIF Global Financing
5.37%, 01/23/08^(a)		75,000,000		74,997,429
5.41%, 05/03/07^(a)		30,400,000		30,405,277
Bank of America N.A.
5.28%, 04/20/07		50,000,000		50,000,000
Beta Finance Inc.
5.41%, 06/27/07^(a)		55,000,000		55,010,569
Carlyle Loan Investment Ltd. Series 2006-1A Class 1
5.40%, 04/13/07^(a)		12,000,000		12,000,000
Carlyle Loan Investment Ltd. Series 2006-2A Class 1
5.40%, 05/15/07^(a)		15,000,000		15,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.40%, 07/15/07^(a)		62,000,000		62,000,000
Citigroup Global Markets Holdings Inc.
5.35%, 04/30/07		400,000,000		400,000,000
DEPFA Bank PLC
5.40%, 09/14/07^(a)		50,000,000		50,000,000
Dorada Finance Inc.
5.41%, 06/27/07^(a)		70,000,000		70,013,452
Five Finance Inc.
5.31%, 06/29/07^(a)		60,000,000		59,994,050
General Electric Capital Corp.
5.31%, 01/24/08		65,000,000		65,000,000
Harrier Finance Funding LLC
5.36%, 08/13/07^(a)		45,000,000		45,005,493
Hartford Life Global Funding Trust
5.37%, 01/15/08		100,000,000		100,000,000
Holmes Financing PLC Series 10A Class 1A
5.32%, 07/15/07^(a)		150,000,000		150,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.32%, 02/15/07^(a)		93,000,000		93,000,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2006


*Security*	*Face Amount*		*Value*
ING USA Annuity & Life Insurance Co.
5.45%, 01/10/08^(a)(b)	$	45,000,000	$	45,000,000
K2 USA LLC
5.33%, 06/28/07^(a)		60,000,000		59,997,041
Kestrel Funding LLC
5.33%, 07/11/07^(a)		35,000,000		34,998,024
Leafs LLC
5.35%, 01/22/07^(a)		74,563,334		74,563,334
5.35%, 12/20/07^(a)		49,632,000		49,632,000
Links Finance LLC
5.31%, 05/10/07^(a)		85,000,000		84,996,888
5.35%, 05/16/07^(a)		55,000,000		54,997,936
Lothian Mortgages Master Issuer PLC Series 2006-1A Class A1
5.32%, 04/24/07^(a)		54,106,191		54,106,191
Merrill Lynch & Co. Inc.
5.46%, 05/30/07^(b)		65,000,000		65,000,000
Metropolitan Life Global Funding I
5.36%, 08/06/07^(a)		139,680,000		139,686,160
MetLife Insurance Co. of Connecticut
5.45%, 08/01/07^(a)(b)		15,000,000		15,000,000
5.48%, 07/25/07^(a)(b)		50,000,000		50,000,000
Morgan Stanley
5.37%, 10/03/07		100,000,000		100,000,000
Mound Financing PLC Series 5A Class 1A
5.32%, 05/08/07^(a)		81,000,000		81,000,000
Nationwide Building Society
5.38%, 01/07/08^(a)		100,000,000		100,000,000
5.44%, 10/26/07^(a)		50,000,000		50,000,000
Newcastle CDO Ltd. Series 2005-6A Class IM1
5.37%, 04/24/07^(a)		45,000,000		44,995,763
Permanent Financing PLC Series 9A Class 1A
5.32%, 03/10/07^(a)		100,000,000		100,000,000
Principal Life Global Funding I
5.80%, 02/08/07^(a)		55,000,000		55,026,671
Rabobank Nederland NV
5.33%, 11/15/07^(a)		140,000,000		140,000,000
Royal Bank of Scotland
4.81%, 01/29/07		50,000,000		49,998,412
Sedna Finance Inc.
5.33%, 05/25/07^(a)		55,000,000		54,997,800
Strips III LLC
5.40%, 07/24/07^(a)		20,579,555		20,579,555
Tango Finance Corp.
5.30%, 07/11/07^(a)		55,000,000		54,994,299
5.32%, 06/15/07^(a)		50,000,000		49,999,017
5.33%, 06/21/07^(a)		40,000,000		39,998,090
5.35%, 07/16/07^(a)		53,000,000		52,996,941
Union Hamilton Special Funding LLC
5.36%, 03/28/07^(a)		100,000,000		100,000,000
5.37%, 06/21/07^(a)		50,000,000		50,000,000
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.34%, 01/25/07^(a)		18,825,348		18,825,348
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.34%, 01/25/07^(a)		65,709,792		65,709,792
Wal-Mart Stores Inc.
5.50%, 07/15/07^(a)		10,000,000		10,003,652
WhistleJacket Capital Ltd.
5.31%, 04/18/07^(a)		60,000,000		59,996,417
5.35%, 06/13/07^(a)		45,000,000		45,003,110
5.37%, 03/01/07^(a)		25,000,000		25,000,625
White Pine Finance LLC
5.31%, 07/16/07^(a)		70,000,000		69,992,384
5.32%, 05/22/07^(a)		70,000,000		69,993,145
5.32%, 08/20/07^(a)		80,000,000		79,985,476
Wind Master Trust
5.34%, 07/25/07^(a)		32,870,000		32,870,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,080,409,632)				4,080,409,632

TOTAL INVESTMENTS IN SECURITIES – 99.51% (Cost: $8,232,956,983)				8,232,956,983

Other Assets, Less Liabilities – 0.49%				40,125,642

NET ASSETS – 100.00%			$	8,273,082,625

^(a)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

^(b)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2006


*Security*	*Face Amount*		*Value*
REPURCHASE AGREEMENTS – 99.97%
Banc of America Securities LLC Tri-Party, 4.60%, due 1/2/07, maturity value $41,378,938 (collateralized by U.S. Government obligations, value $42,185,443, 3.25%, 8/15/07).	$	41,357,800	$	41,357,800
Credit Suisse First Boston Tri-Party, 4.90%, due 1/2/07, maturity value $41,380,317 (collateralized by U.S. Government obligations, value $42,189,207, 3.25% to 13.25%, 8/15/07 to 8/15/28).		41,357,800		41,357,800
Goldman Sachs Group Inc. Tri-Party, 4.70%, due 1/2/07, maturity value $41,379,398 (collateralized by U.S. Government obligations, value $42,185,317, 6.13%, 8/15/07).		41,357,800		41,357,800
Lehman Brothers Holdings Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $ 41,379,168 (collateralized by U.S. Government obligations, value $42,186,482, 3.13% to 7.50%, 5/15/07 to 11/15/27).		41,357,800		41,357,800
Merrill Lynch & Co. Inc. Tri-Party, 4.65%, due 1/2/07, maturity value $20,010,333 (collateralized by U.S. Government obligations, value $20,403,435, 4.50% to 5.25%, 1/15/14 to 4/18/16).		20,000,000		20,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $185,431,200)				185,431,200

TOTAL INVESTMENTS IN SECURITIES – 99.97% (Cost: $185,431,200)				185,431,200

Other Assets, Less Liabilities – 0.03%				53,068

NET ASSETS – 100.00%			$	185,484,268

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2006


Government Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	167,237,600	99.97	%
Other Net Assets		47,409	0.03

TOTAL	$	167,285,009	100.00	%


Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	2,609,541,630	37.68	%
Repurchase Agreements		2,100,000,000	30.33
Commercial Paper		1,836,715,896	26.52
Medium-Term Notes		159,998,867	2.31
Certificates of Deposit		124,997,616	1.81
Time Deposits		70,189,000	1.01
Other Net Assets		23,521,880	0.34

TOTAL	$	6,924,964,889	100.00	%


Prime Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	4,080,409,632	49.32	%
Repurchase Agreements		2,120,000,000	25.62
Commercial Paper		1,282,266,253	15.50
Medium-Term Notes		335,997,894	4.06
Certificates of Deposit		220,000,204	2.66
Time Deposits		194,283,000	2.35
Other Net Assets		40,125,642	0.49

TOTAL	$	8,273,082,625	100.00	%


Treasury Money Market Master Portfolio

*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	185,431,200	99.97	%
Other Net Assets		53,068	0.03

TOTAL	$	185,484,268	100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2006


	*Government* *Money Market* *Master Portfolio*			*Money Market* *Master Portfolio*			*Prime* *Money Market* *Master Portfolio*			*Treasury* *Money Market* *Master Portfolio*
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—		$	4,801,443,009		$	6,112,956,983		$	—
Repurchase agreements, at value and cost (Note 1)		167,237,600			2,100,000,000			2,120,000,000			185,431,200
Cash		386			291			830			203
Receivables:
Interest		74,103			23,984,641			40,602,651			72,717
Due from investment adviser		—			—			—			3,007

Total Assets		167,312,089			6,925,427,941			8,273,560,464			185,507,127

LIABILITIES
Payables:
Investment advisory fees (Note 2)		4,251			438,446			451,456			—
Accrued expenses (Note 2):
Professional fees		22,829			24,606			26,383			22,809
Independent trustees’ fees		—			—			—			50

Total Liabilities		27,080			463,052			477,839			22,859

NET ASSETS	$	167,285,009		$	6,924,964,889		$	8,273,082,625		$	185,484,268


STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2006

	*Government* *Money Market* *Master Portfolio*			*Money Market* *Master Portfolio*			*Prime* *Money Market* *Master Portfolio*			*Treasury* *Money Market* *Master Portfolio*
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	8,739,812		$	331,165,036		$	513,690,122		$	4,303,455

Total investment income		8,739,812			331,165,036			513,690,122			4,303,455

EXPENSES (Note 2)
Investment advisory fees		175,487			6,536,796			10,219,789			85,545
Professional fees		23,305			41,107			53,649			22,999
Independent trustees’ fees		833			27,466			46,243			306

Total expenses		199,625			6,605,369			10,319,681			108,850
Less expense reductions (Note 2)		(55,520	)		(1,585,927	)		(2,055,676	)		(108,850	)

Net expenses		144,105			5,019,442			8,264,005			—

Net investment income		8,595,707			326,145,594			505,426,117			4,303,455

REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			1,615			65,629			—

Net realized gain		—			1,615			65,629			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,595,707		$	326,147,209		$	505,491,746		$	4,303,455

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market Master Portfolio*						*Money Market Master Portfolio*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	8,595,707		$	29,247,583		$	326,145,594		$	237,180,094
Net realized gain		—			—			1,615			35,169

Net increase in net assets resulting from operations		8,595,707			29,247,583			326,147,209			237,215,263

Interestholder transactions:
Contributions		797,609,141			7,564,992,045			38,273,990,665			58,641,619,347
Withdrawals		(1,033,386,805	)		(7,648,995,142	)		(37,977,755,985	)		(58,107,077,434	)

Net increase (decrease) in net assets resulting from interestholder transactions		(235,777,664	)		(84,003,097	)		296,234,680			534,541,913

Increase (decrease) in net assets		(227,181,957	)		(54,755,514	)		622,381,889			771,757,176
NET ASSETS:
Beginning of year		394,466,966			449,222,480			6,302,583,000			5,530,825,824

End of year	$	167,285,009		$	394,466,966		$	6,924,964,889		$	6,302,583,000


	*Prime Money Market Master Portfolio*						*Treasury Money Market Master Portfolio*
	*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*			*For the* *year ended* *December 31, 2006*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	505,426,117		$	452,846,366		$	4,303,455		$	685,155
Net realized gain		65,629			9,750			—			—

Net increase in net assets resulting from operations		505,491,746			452,856,116			4,303,455			685,155

Interestholder transactions:
Contributions		64,798,575,033			79,992,322,542			778,069,880			219,416,585
Withdrawals		(68,524,371,054	)		(81,445,952,186	)		(700,382,564	)		(117,010,598	)

Net increase (decrease) in net assets resulting from interestholder transactions		(3,725,796,021	)		(1,453,629,644	)		77,687,316			102,405,987

Increase (decrease) in net assets		(3,220,304,275	)		(1,000,773,528	)		81,990,771			103,091,142
NET ASSETS:
Beginning of year		11,493,386,900			12,494,160,428			103,493,497			402,355

End of year	$	8,273,082,625		$	11,493,386,900		$	185,484,268		$	103,493,497

The accompanying notes are an integral part of these financial statements.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1.	SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

SECURITY TRANSACTIONS AND INCOME RECOGNITION

FEDERAL INCOME TAXES

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2006, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial reporting purposes.

REPURCHASE AGREEMENTS

2.	AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

3.	RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolios’ financial statement disclosures.

4.	FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:


*Master Portfolio*	*Year Ended* *December 31,* *2006*		*Year Ended* *December 31,* *2005*		*Year Ended* *December 31,* *2004*		*Year Ended* *December 31,* *2003*		*Year Ended* *December 31,* *2002*
Government Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.03	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.11	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	4.90	%	3.16	%	1.93	%^(b)	n/a		n/a
Total return	5.08	%	3.28	%	0.64	%^(b)(c)	n/a		n/a
Money Market
Ratio of expenses to average net assets	0.08	%	0.05	%	0.05	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to expense reductions	0.10	%	0.10	%	0.10	%	n/a		n/a
Ratio of net investment income to average net assets	4.99	%	3.27	%	1.40	%	1.15	%	1.80	%
Total return	5.13	%	3.28	%	1.39	%	1.16	%	1.84	%
Prime Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.08	%	0.03	%	0.03	%^(d)	n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.10	%	0.10	%	0.10	%	0.10	%^(d)	n/a
Ratio of net investment income to average net assets^(a)	4.95	%	3.22	%	1.52	%	1.12	%^(d)	n/a
Total return	5.11	%	3.26	%	1.40	%	0.80	%^(c)(d)	n/a
Treasury Money Market
Ratio of expenses to average net assets^(a)	0.00	%	0.00	%	0.00	%^(b)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.13	%	0.10	%	0.10	%^(b)	n/a		n/a
Ratio of net investment income to average net assets^(a)	5.03	%	3.99	%	1.82	%^(b)	n/a		n/a
Total return	5.04	%	3.20	%	0.61	%^(b)(c)	n/a		n/a

^(a)	Annualized for periods of less than one year.

^(b)	For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c)	Not annualized.

^(d)	For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 22, 2007

MASTER INVESTMENT PORTFOLIO

TRUSTEE AND OFFICER INFORMATION (Unaudited)

Notes:

LOGO

Item 2. Code of Ethics.

As of December 31, 2006, Barclays Global Investors Funds (the “Registrant”) had adopted a code of ethics that applies to persons appointed by the Registrant’s Board of Trustees as the Chief Executive Officer, President, Chief Financial Officer, Treasurer and/or Chief Accounting Officer, and any persons performing similar functions. For the year ended December 31, 2006, there were no amendments to any provision of this code of ethics, nor were there any waivers granted from any provision of this code of ethics. A copy of this code of ethics is filed with this Form N-CSR under Item 12(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that the Registrant has more than one audit committee financial expert, as that term is defined under Item 3(b) and 3(c), serving on its audit committee. The audit committee financial experts serving on the Registrant’s audit committee are Mary G. F. Bitterman, Leo Soong, Wendy Paskin-Jordan, and A. John Gambs, all of whom are independent, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

(a)

Audit Fees – The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years, were $114,660 for the year ended December 31, 2005 and $112,750 for the year ended December 31, 2006.

(b)

Audit-Related Fees – There were no fees billed for the fiscal years ended December 31, 2005 and December 31, 2006 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.

(c)

Tax Fees – The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations, were $65,280 for the year ended December 31, 2005 and $69,600 for the year ended December 31, 2006.

(d)

All Other Fees – There were no other fees billed for the fiscal years ended December 31, 2005 and 2006 for products and services provided by the principal accountant, other than the services reported in (a) through (c) of this Item.

(e)

(1) The Registrant’s audit committee charter provides that the audit committee is responsible for the approval, prior to appointment, of the engagement of the principal accountant to annually audit and provide their opinion on the Registrant’s financial statements. The audit committee must also approve, prior to appointment, the engagement of the principal accountant to provide non-audit services to the Registrant or to any entity controlling, controlled by or under common control with the Registrant’s investment adviser (“Adviser Affiliate”) that provides ongoing services to the Registrant, if the engagement relates directly to the operations and financial reporting of the Registrant.

(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)

None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended December 31, 2006 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g)

The aggregate non-audit fees billed by the Registrant’s principal accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser, and any Adviser Affiliate that provides ongoing services to the Registrant for the fiscal years, were $1,071,307 for the fiscal year ended December 31, 2005 and $2,508,726 for the fiscal year ended December 31, 2006.

(h)

The Registrant’s audit committee has considered whether the provision of non-audit services rendered to the Registrant’s investment adviser and any Adviser Affiliate that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if any, are compatible with maintaining the principal accountant’s independence, and has determined that the provision of these services do not compromise the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants

Not applicable to the Registrant.

Item 6. Schedule of Investments

Not applicable to the Registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

The Nominating and Governance Committee of the Registrant’s Board of Trustees (the “Nominating and Governance Committee”) is charged with identifying nominees to serve as Board members and recommending such nominees to the Board. The Board believes that shareholders as a group are best served by the efficient allocation of Registrant and Board resources. As such, the Board is not required to consider any person nominated by any shareholder of the Registrant (acting solely in the capacity as shareholder and not in any other capacity) to serve as an independent Trustee, although the Nominating and Governance Committee may consider any such person if the Nominating and Governance Committee of the Board deems it appropriate after considering all circumstances the Nominating and Governance Committee’s members deem relevant.

Item 11. Controls and Procedures.

(a) The Chief Executive Officer and Chief Financial Officer have concluded that, based on their evaluation as of a date within 90 days of the filing date of this report, the disclosure controls and procedures of the Registrant (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are reasonably designed to achieve the purposes described in Section 4(a) of the attached certification.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant’s 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.

(a) (1) Code of Ethics for Senior Officers that is the subject of Item 2 is attached.

(a) (2) Section 302 Certifications are attached.

(a) (3) Not applicable to the Registrant.

(b) Section 906 Certifications are attached.

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.


		Barclays Global Investors Funds

		By:		/s/ Lee T. Kranefuss
				Lee T. Kranefuss, Chief Executive Officer
		Date:		February 21, 2007

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


		By:		/s/ Lee T. Kranefuss
				Lee T. Kranefuss, Chief Executive Officer
		Date:		February 21, 2007


		By:		/s/ Michael A. Latham
				Michael A. Latham, Chief Financial Officer
		Date:		February 21, 2007